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Risk taxonomy\u00a0
Audited
The ABN AMRO risk appetite follows from
the\u00a0ABN\u00a0AMRO 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\u00a0the\u00a0banking 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.
Risk taxonomy
Audited
External causal factors
Politics, (macro-)economy, society, technology,
environmental, social and governance (ESG e.g. physical and
transition risk, legislation and regulation, greenwashing)
Internal causal factors
People, processes, systems, balance sheet,
products (e.g. mis-selling, greenwashing), clients,
reputation and behaviour
\"Risk
\"Risk
Enterprise risk
Financial risk
Non-financial risk
Credit risk
Liquidity risk
HR risk
ICT risk
Fraud risk
Data risk
Market risk in
the banking
book
Business risk
Change risk
Compliance
risk
Model risk
Third-party
and
outsourcing
risk
Market risk in
the trading
book
Sustainability
risk
Legal risk
Tax risk
Behavioural
risk
\"Risk
Value of the bank
\u2022 Financial\u00a0 \u00a0 \u00a0 \u2022 Reputational
Risk appetite framework\u00a0
Audited
Our risk appetite determines the level of risk that
the\u00a0bank is willing to take in order to pursue its
strategy, in line with our strict risk focus. It is regularly
evaluated and updated to ensure continuous
alignment with our strategy.
Strategic
Risk Appetite Statement
Strategic Risk Indicators
Bank
Risk Appetite Statement
Key Risk Indicators
Client Units RAS
Local & Entities RAS
The Strategic Risk Appetite Statement entails three
focus areas, each of which is substantiated by
a\u00a0qualitative statement and concrete Strategic Risk
Indicators (SRIs). The Strategic Risk Appetite
Statement SRIs are further articulated
in\u00a0the\u00a0bank\u2011wide (bank RAS) and Key Risk Indicators
(KRIs), which are cascaded to client unit level risk
appetite statement (Client Unit 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 regulatory and internal liquidity metrics
\u2022 market risk parameters (Supervisory Outlier Test on
Net Interest Income and Supervisory Outlier Test on
Economic Value of Equity)
\u2022 non-financial risk parameters (effectiveness
of\u00a0internal control environment)
\u2022 reputational risk parameter (NPS)
\u2022 a social risk indicator on facilitating financial
inclusiveness
\u2022 several sustainability risk appetite indicators
The status of adherence to the risk appetite and
the\u00a0outlook are discussed monthly by the Executive
Board and quarterly by the Supervisory Board, based on
the Enterprise Risk Management report.
Strategic Risk Appetite Statement\u00a0
Audited
Sustainable
business
model &
value
creation
Financial
soundness
Banking
for better for
generations
to come
Sound
operating
environment
Risk governance\u00a0
Audited
Effective 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 defence\u00a0
The 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\u00a0bank with clarity regarding their risk management
responsibilities. This defence model is applied across all
risk types and covers the whole organisation, including
the client units, functions, the Risk Management
organisation, outsourced activities and distribution
channels.
Three lines of defence
Audited
1
1st Line
of Defence
2
2nd Line
of Defence
3
3rd Line
of Defence
Risk Ownership
Risk Control & Oversight
Risk Assurance
Responsibility
\u2022 Delivers value-added services
to\u00a0our clients
\u2022 Takes primary ownership to identify
and assess, measure, mitigate,
monitor and report the risk that
it\u00a0incurs
\u2022 Proposes the client unit 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 appetite
Responsibility
\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\u00a0Line
Responsibility
\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\u00a0management & 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
and Legal, 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\u00a0strengthen management's solution focus and
accountability.
Board level oversight
The Executive Board and Supervisory Board
of\u00a0ABN\u00a0AMRO 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\u00a0the\u00a0bank's 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\u00a0bank
\u2022 a risk culture that addresses risk awareness and
risk\u2011taking behaviour in the bank
\u2022 key policies of the bank within the applicable legal
and regulatory framework
\u2022 the bank's 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's exposure to risks is adequately covered
\u2022 targets for the bank\u2019s liquidity and funding
management
The Risk Management organisation operates under
the\u00a0direct responsibility of the Chief Risk Officer, who is
a member of the Executive Board.
Executive risk committees
The Executive Board is responsible for setting,
monitoring, reviewing and realising the bank\u2019s mission,
vision, strategy, risk appetite and risk framework, with
a\u00a0view 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 and the Group Regulatory Committee, both
chaired by the Chief Risk Officer, and the Group Central
Credit Committee, chaired by the Head of Credit Risk.
The mandates of the executive risk committees are
summarised below.
Group Risk Committee
The Group Risk Committee (GRC) is mandated by
the\u00a0Executive Board to monitor, assess and manage
the\u00a0bank\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\u00a0Methodology Acceptance Group, the Scenario and
Stress Testing Committee, and the Impairment and
Provisioning Committee.
Group Central Credit Committee
The Group Central Credit Committee (CCC) is
mandated by the Executive Board to make decisions on
the acceptance of credit and counterparty risk
in\u00a0respect 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 responsible for approving and monitoring
large intercompany credit facilities.
Group Regulatory Committee
The Group Regulatory Committee is mandated by
the\u00a0Executive Board to ensure 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\u00a0the Leadership and governance chapter.
Stress testing and scenario analysis\u00a0
Audited
ABN AMRO uses stress testing and scenario analysis as
an important risk management instrument. This entails
looking at profitability, capital and liquidity from
a\u00a0bank\u2011wide perspective in various scenarios on
a\u00a0regular basis. The stress testing framework covers
both internal and external stress test types. In addition,
sub-portfolio and risk type-specific stress testing and
scenario analyses are performed.
Stress testing purposes
ABN AMRO applies stress testing for several purposes,
including:
\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\u00a0AMRO-specific circumstances.
\u2022 Risk appetite setting and monitoring: the outcome
of\u00a0stress 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\u00a0the\u00a0liquidity and capital contingency and recovery
plans. Reverse stress testing is performed to gain
deeper insight into plausible events that could put
the\u00a0continuity 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\u00a0adverse 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 cycle
Audited
Risk
identification
Management
action
Stress testing
& scenario
analysis
Scenario
& scope
selection
Simulation
& impact
analysis on
ABN AMRO
Data sourcing,
models and
methodologies
Conduct, governance & control framework
Scenario projections for stress testing purposes are
based on quantitative models as well as expert
opinions. In general, the results are presented together
with the mitigating actions, based on contingency plans,
whenever they result in a breach of a pre-defined
internal threshold. The stress testing framework also
comprises the sensitivity scenarios that address
the\u00a0impact of various severe events on specific
portfolios, countries and/or sectors, as well as
the\u00a0annual reverse stress test, in line with regulatory
requirements. Climate-related and environmental risks
are also incorporated into our bank-wide stress testing
framework by including specific events related
to\u00a0physical risk and drivers of transition risk, such as
carbon prices. For physical and transition risk definitions
and more information on internal carbon pricing, please
see the Risk and Environment sections respectively
in\u00a0the Sustainability Statements.
Credit risk management approach\u00a0
Audited
Credit risk constitutes a key risk in our business model.
ABN AMRO employs two separate approaches
to\u00a0managing credit risk, which reflect the bank\u2019s way
of\u00a0doing 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\u00a0addition, we are integrating climate risks into our risk
management practices.
Credit risk management process\u00a0
Audited
The following figure presents a simplified overview
of\u00a0the credit risk management process.
Planning
Credit acceptance
Loan approval and
disbursement
Credit risk monitoring
Business and risk
control\u00a0functions
jointly\u00a0responsible
Restructuring
and recovery
High-risk monitoring
Non-programme
lending
Customised loans,
mostly Wealth
Management,
Corporate Banking
and Business
Banking
(within\u00a0P&BB)
Risk assessment
by client unit
Regular monitoring1
Restructuring
Continual update
of\u00a0risk\u00a0governance,
management and
policies
Processes reflect
guidelines for credit
risk\u00a0management
For programme lending,
Product-specific
standards are established
Sustainability risk
assessment for larger
OOEs and/or
periodically\u00a0on
portfolio\u00a0level
Analysis and credit
decision by credit
risk function
Increased risk
Recovery
Intensive monitoring
(\u2018Watch\u2019)2
Loan disbursement
Programme
lending
Standardised
loans,\u00a0mostly
Personal Banking
(within P&BB)
Credit decision
based\u00a0on credit
score\u00a0and policy
rules
Account maintenance
Restructuring
Loan disbursement
Default prevention
Recovery
1 Daily monitoring or (semi-) annual credit review.
2 \u2018Watch\u2019: status assigned to counterparties with an increased risk.
For more insight on our credit portfolio,
please refer to the Credit risk review section.
Planning
Within programme lending, the credit cycle starts with
a\u00a0product planning phase, during which the product is
designed and/or reviewed. The goal is to optimise
the\u00a0key drivers of risk and return within the context
of\u00a0ABN AMRO\u2019s strategy, risk appetite, clients\u2019 best
interests and sustainability. For non-programme
lending, the lending product is customised and not
subject to a product planning phase.
Credit acceptance
For a credit approval decision within programme
lending, client-specific aspects and internal and
external data are taken into consideration to calculate
a\u00a0credit 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\u00a0the proposal by the relevant client unit.
The\u00a0qualitative 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\u00a0purpose, 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\u00a0credit decision is based on independent
assessments by the commercial and credit risk
functions.
Credit risk monitoring
Consistent and regular monitoring of counterparties,
exposures, risk mitigants and ongoing compliance with
internal policies helps to safeguard the bank\u2019s position
in relation to all risks associated with the counterparty,
credit type or portfolio. Monitoring starts when
the\u00a0credit facility is granted and periodically continues
throughout the lifecycle of the credit facility and
the\u00a0relationship with the counterparty until
the\u00a0exposure 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\u00a0the\u00a0criteria and the assessment at the point of loan
origination, but also climate and environmental risk
(CER). Below we outline CER in our client assessment
in\u00a0more detail.
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\u00a0default classification, a \u2018watch\u2019 status is assigned. This
indicates that a counterparty is subject to increased
monitoring and appropriate follow-up measures
in\u00a0order 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 and recovery
Non-programme lending credit facilities that are subject
to a default event are mandatorily transferred
to\u00a0the\u00a0Financial Restructuring & Recovery department
(FR&R). If a \u2018going concern\u2019 approach is applicable and
return to a performing status is considered likely,
the\u00a0credit 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\u00a0the\u00a0Recovery 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\u00a0the\u00a0client unit.
Programme lending contracts are transferred
to\u00a0the\u00a0Late 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\u00a0client is transferred to other internal departments or
external parties (such as Flanderijn) for debt collection.
FR&R plays a significant role in the execution
of\u00a0the\u00a0bank\u2019s non-performing exposure (NPE) strategy,
which consists of NPE targets for each business
segment and specific sectors.
Credit concentration risk\u00a0
Audited
Credit concentration risk is the risk of loss arising from
large exposures, relative to the bank\u2019s total risk
exposure, to a single counterparty or to counterparties
that are positively and highly correlated. As limiting
excessive concentrations is fundamental to our credit
risk strategy, we aim to keep the credit risk portfolio
sufficiently granular and diversified. To avoid excessive
credit risk concentrations, Risk Management sets
maximum levels for subgroups in the following
categories:
\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 concentration
Counterparty concentration credit risk is the risk of loss
arising from relatively large exposures to counterparties
belonging to the same risk group. The One Obligor
Exposure (OOE) is the exposure to a risk group and
includes all drawn and undrawn credit facilities granted,
plus all indirect exposure to the risk group, including
guarantees and any other recourse claims.
A risk group is an interrelated group of counterparties
with a high degree of interdependency due to a control
relationship. This control relationship may be due
to\u00a0direct or indirect majority interests being held by
the\u00a0same 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 concentration
Geographic 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\u00a0the\u00a0Netherlands and for cross-border risks outside
the\u00a0Netherlands. 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\u00a0actions 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 concentration
Industry concentration risk is the risk of loss arising from
a relatively large credit exposure to counterparties
active in a single industry. Industry concentration risk
arises when deterioration in a specific industry has
an\u00a0effect 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\u00a0total 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\u00a0facilitate timely and sufficient management
interventions so as to avoid limits being breached.
Product concentration
Product concentration risk is the risk of loss arising from
relatively large credit exposures in a specific asset or
product class. This asset or product class concentration
occurs, for example, in residential mortgages,
commercial real estate and leveraged loans. In line with
our risk appetite, ceilings are defined per product type.
Climate risk concentration
Concentration of corporate exposures highly
susceptible to climate transition risk is limited in size
and is monitored. In particular, we monitor
the\u00a0concentration of corporate loans in sectors
contributing highly to climate change and also
carbon\u2011related corporate loans in such sectors. For
managing climate risk in the residential mortgages
book, the bank monitors the percentage of vulnerable
properties that have relatively high climate transition
risks and are located in an area sensitive to climate
physical risk. Please refer to the Environment section
in\u00a0the Sustainability Statements for more details of
the\u00a0GHG financed emissions and climate risks in our real
estate portfolios.
Credit risk quality and impairment\u00a0
Audited
We continuously monitor the credit portfolio for signs
indicating that a 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\u00a0aggregated counterparties in order to optimise
the\u00a0monitoring and review of these loans.
Forbearance
Forbearance is the process of making concessions
to\u00a0clients who are or will soon be experiencing financial
difficulty, 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
that 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\u00a0counterparty 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\u00a0forbearance 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 later of the last forbearance measure
or the date on which the forborne contract was
considered performing.
\u2022 Regular and timely payments of more than
an\u00a0insignificant 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\u2011performing at the time of the forbearance measure,
a mandatory cure period of at least one year applies
to\u00a0the contract before it is returned to performing
status. The cure period starts when the contract
becomes non-performing or, if the contract was already
non-performing, when the last forbearance measure
was taken.
Past due credit exposures
A financial asset is past due if a counterparty fails
to\u00a0make a payment on the contractual due date or if
the\u00a0counterparty 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 lifecycle\u00a0
Audited
Non-forborne
Forborne
Non-forborne
Defaulted forbearance clients
remain defaulted for at least a year
Performing
Cure
\u2265 1 year
Probation period
\u2265 2 year
Ceases to be
forborne
Forbearance measure
End of cure period
End of forbearance period
Performing
Non-performing
Performing
Accounting policy for measuring allowances
for expected credit losses (ECL)
Audited
The IFRS 9 impairment requirements are applicable
to financial assets measured at amortised cost or fair
value through other comprehensive income (FVOCI),
loan commitments, lease receivables and contract
assets and financial guarantee contracts. At each
reporting date, these financial instruments are
classified into one of three risk stages, depending on
current credit quality, or as purchased or originated
credit impaired (POCI).
POCI assets, which are credit impaired at initial
recognition, are accounted for at fair value
(i.e.\u00a0net\u00a0of\u00a0the initial lifetime ECLs) and do not carry
an\u00a0impairment allowance. Instead, a credit-adjusted
effective interest rate (EIR), which is calculated using
expected cash flows including initial lifetime ECLs,
is\u00a0applied to the amortised cost. Subsequently,
the\u00a0cumulative changes in lifetime ECLs since initial
recognition, which are discounted at
the\u00a0credit\u2011adjusted effective interest rate, are
recognised in the profit or loss statement as
an\u00a0impairment gain or loss, and presented under
impairment charges on financial instruments.
Once\u00a0a\u00a0financial 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 quality\u00a0
Audited
Change in credit quality since initial recognition
Stage 1
Stage 2
Stage 3
Performing
(Initial recognition)
Credit quality deteriorated
(Assets with significant increase in
credit risk since initial recognition)
Default = Impaired
(Credit impaired assets)
Recognition of ECL
12 month ECL
Lifetime ECL
Lifetime ECL
Interest income
Effective interest on
gross carrying amount
Effective interest on
gross carrying amount
Effective interest on amortised
cost (gross carrying amount less
loss allowance)
Classification in stage 2
We use quantitative and qualitative stage triggers
to\u00a0determine whether a financial instrument should be
classified as stage 1 or stage 2.
Quantitative stage triggers
The key quantitative metric that determines when
a\u00a0financial instrument is transferred from stage 1
to\u00a0stage 2 is the deterioration in the lifetime
probability of default (LPD) from the date
of\u00a0origination to the reporting date, based on internal
data. The LPD represents the likelihood that
a\u00a0counterparty will default during the lifetime
of\u00a0the\u00a0financial 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\u00a0relative difference between the remaining lifetime
PD at reporting (LPDR) and the remaining lifetime PD at
origination (LPDO) as LPDD = LPDR/LPDO. If the\u00a0LPD
deterioration of an exposure is above a\u00a0predefined
threshold, the LPD is considered to be significantly
deteriorated. The exposure is then transferred to stage\u00a02
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\u00a01.
When determining the\u00a0thresholds, 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\u00a0December 2024. The table
provides ranges because each product class uses
multiple ECL models, and thresholds are determined for
each ECL model.
Range of lifetime PD deterioration
thresholds\u00a0\u00a0
Audited
Product class
Range
Consumer lending
1.8x-5.2x
Residential mortgages
1.5x-2.1x
Corporate loans
1.3x-5.8x
Qualitative stage triggers
The bank transfers a financial instrument from stage 1
to stage 2 if the instrument meets any of the following
qualitative triggers:
\u2022 forborne status of a borrower
\u2022 watch status of a borrower. ABN AMRO assigns
the\u00a0watch status to counterparties with an increased
credit risk. This process comprises intensive
monitoring, early detection of deterioration
in\u00a0the\u00a0credit portfolio and appropriate follow-up
measures
\u2022 a delinquency-based regulatory backstop is
in\u00a0place, such that the credit risk of financial assets
that are more than 30 days past due will be
assumed to have significantly increased
Reclassification to stage 1
As a general rule, favourable changes in credit risk
are recognised consistently with unfavourable
changes, and a financial instrument is transferred
back to stage 1 if quantitative or qualitative triggers
are no longer met. In some cases, a probation period
applies:
\u2022 Forborne financial instruments are transferred
back from stage 2 to stage 1 only after
a\u00a0probation 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 3
A transfer to stage 3 will always be the result of
the\u00a0default of a financial instrument. The definition
of default for IFRS 9 is aligned with the regulatory
capital definition. 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\u00a0the\u00a0bank or
\u2022 the bank considers the borrower to be unlikely
to\u00a0meet its contractual obligations (unlikely
to\u00a0pay, or UTP)
The materiality of a financial obligation past due
is\u00a0assessed against an absolute and a relative
threshold, in line with regulatory standards.
To\u00a0determine unlikeliness to pay, the bank has
specified 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\u00a0UTP indications should result in a default
classification).
The mandatory triggers include the reporting of
a\u00a0forborne exposure under probation as
non\u2011performing for being 30 days past due or owing
to an additional forbearance measure being applied.
As a result, the definitions of non-performing and
default are materially aligned.
Reclassification to stage 2
The default classification for non-forborne
exposures ends when the default triggers no longer
apply and a probation or cure period of at least
three months has passed since the default trigger
was last applied. For forborne exposures,
a\u00a0twelve\u2011month 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\u00a0the credit quality is factual and permanent
(including, for example, no remaining past due
amounts).
Asset stages\u00a0\u00a0
Audited
Asset in scope?
YES
Purchased or originated credit impaired (POCI)?
NO
YES
Default trigger hit?
NO
YES
Lifetime PD significantly deteriorated?
NO
YES
Watch list
Forbearance (but not impaired)
NO
YES
Days past due
0-30
>30
Stage 1
Stage 2
Stage 3
Stage POCI
Calculation method
ABN AMRO recognises loss allowances based on
the\u00a0Expected 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\u00a0all expected cash shortfalls over the remaining life
of the financial instrument for both on- and
off\u2011balance 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\u00a02 and 3) for financial instruments that have
similar credit risk characteristics (e.g. residential
mortgages, consumer loans and SME loans); these
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\u00a0quantify the Probability of Loss (PL), Loss Given
Loss (LGL) and Exposure at Loss (EAL) for
the\u00a0purpose of calculating the collective 12-month
ECL and LECL for these financial instruments.
Lifetime expected credit loss
ABN AMRO defines the lifetime of credit as
the\u00a0maximum contractual period during which
the\u00a0bank is exposed to credit risk; we do not apply
a\u00a0longer period, even if that longer period is
consistent\u00a0with business practice. For some contracts,
such as overdraft facilities or credit cards, no end
date\u00a0is specified or amounts can be contractually
withdrawn by the lender at short notice. In these
cases, ABN\u00a0AMRO uses behavioural maturity models
that rely on historical client behaviour to determine
future expected exposures.
Forward-looking information
For expected credit loss calculations, ABN AMRO
uses\u00a0three different scenarios of future economic
developments: a baseline (or most likely) scenario,
a\u00a0negative scenario and a positive scenario. The three
scenarios are incorporated into the expected credit
loss calculation and risk stage determination
in\u00a0a\u00a0probability-weighted manner.
In order to\u00a0incorporate the latest economic outlook,
the\u00a0scenarios and their weights are reviewed
each\u00a0quarter and adjusted if necessary. Details
of\u00a0the\u00a0scenarios and their weights used in\u00a0the\u00a0reporting
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\u00a0assumed 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
them. This external benchmarking exercise is a standard
input to\u00a0the\u00a0Scenario Booklet that is presented to the
bank\u2019s Scenario and Stress Testing Committee for
approval. Group Economics also develops a negative
and a\u00a0positive scenario. These scenarios are designed
to\u00a0give 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 above institutions and other relevant
developments.
Management overlays and other adjustments
Where necessary to reflect credit risk dynamics not
captured by our models, management judgement is
applied via a management overlay or other IFRS\u00a09
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 by the Impairment and
Provision Committee (IPC). The main types
of\u00a0management overlays that ABN AMRO
distinguishes are: post-model adjustments
(adjustments to model outcomes), adjustments
in\u00a0the\u00a0weightings 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\u00a0same internal approval process.
Climate and environmental risks in ECL\u00a0
ESRS
In this developing discipline we are working
to\u00a0incorporate CER risk explicitly into ECL models.
Following our roadmap, 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.
For identifiable events with no or insufficient
provisioning, ECL-related management overlays can
be taken. We have taken two CER related overlays:
one for the potential impact the Dutch government\u2019s
nitrogen reducing measures will have on our clients
which is related to environmental transition risk
(EUR\u00a029 million), and another for climate transition
risk (EUR 19 million). Given the combination
of\u00a0macroeconomic scenarios and these management
overlays, we consider the bank adequately
provisioned for climate and environmental risks. For
more details on these overlays, please see Individual
and collective loan impairment allowances and
management overlays in the Credit risk review
section.
Cured financial assets
When a credit impaired financial asset cures,
the\u00a0interest 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
Under IFRS 9, \u2018write-off\u2019 refers to the process
of\u00a0recognising that a financial asset, or a portion of it,
is uncollectible and should be removed from
an\u00a0entity\u2019s balance sheet. This typically happens
when there is no reasonable expectation
of\u00a0recovering the asset, indicating that the entity has
exhausted all practical recovery efforts.
\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\u00a0default.
Such loans are written off after all the necessary
procedures have been completed and the amount
of\u00a0the loss has been determined. Subsequent
recoveries of amounts previously written off are
credited to impairment charges on financial
instruments in the income statement.
Credit risk measurement\u00a0
Audited
The models used for measuring and managing credit
risk vary from purely statistical to expert-based models
and employ both quantitative and qualitative risk
drivers. All models are subject to the bank\u2019s model risk
management framework. They undergo initial validation
by the independent model validation function before
their first use, and are then monitored and validated
annually. Independent validation is also required when
a model is changed.
Probability of default
The Probability of Default (PD) indicates the likelihood
that a counterparty or exposure defaults within a
one\u2011year time horizon. For the non-programme lending
portfolio, the model score is mapped to and expressed
as an internal uniform counterparty rating (UCR).
The\u00a0UCR 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 ratings
Grade Category
UCR
(internal rating)
Low
PD%
Mid
PD%
High
PD%
Standard & Poor's
equivalent
Moody's
equivalent
Fitch
equivalent
Investment 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+ to A
UCR 2-
0.071
0.10
0.127
A-
A3
A-
UCR 3+
0.127
0.16
0.200
BBB+
Baa1
BBB+
UCR 3
0.200
0.25
0.300
BBB
Baa2
BBB
UCR 3-
0.300
0.36
0.465
BBB-
Baa3
BBB-
Sub-investment grade
UCR 4+
0.465
0.60
0.775
BB+
Ba1
BB+
UCR 4
0.775
1.00
1.285
BB
Ba3
BB
UCR 4-
1.285
1.65
2.225
BB-
B1
B+
UCR 5+
2.225
3.00
4.243
B
B2
B
UCR 5
4.243
6.00
8.485
B-
Caa
B-
UCR 5-
8.485
12.00
16.971
CCC/C
Ca/C
CCC/C
UCR 6+
16.971
24.00
99.999
CCC/C
Ca/C
CCC/C
Default
UCR 6-8
100
D
C-D
D
Rating assignment
For non-programme lending, the ratings are individually
assigned to each obligor (PD) and facility (LGD) by
the\u00a0business 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 on a monthly basis. For all exposures,
the\u00a0EAD estimation is assigned automatically, based on
the facility type and the undrawn part of the facility.
Loss given default
Loss Given Default (LGD) models estimate the amount
the bank would lose if the counterparty were to default.
LGD is expressed as a percentage of the outstanding
amount at default. For credit facilities that are not
in\u00a0default, LGD estimates are influenced by the risk
mitigating techniques used by the bank (such as
collateral coverage and/or third-party protection),
the\u00a0credit facility\u2019s seniority and structure, and
the\u00a0bank\u2019s view on the creditor-friendliness
of\u00a0the\u00a0relevant country's legal framework.
Exposure at default
Exposure at Default (EAD) models estimate
the\u00a0expected exposure at the time a counterparty
defaults. If all or part of a facility is undrawn (i.e.
the\u00a0outstanding amount is less than the approved limit)
at the time of the EAD calculation, a portion of
the\u00a0undrawn amount is added to the exposure to\u00a0reflect
the tendency of counterparties to utilise larger portions
of their approved credit facilities when nearing default.
Capital for credit risk
Regulatory capital
For the purpose of determining capital requirements for
credit risk, ABN AMRO applies the Advanced Internal
Rating Based (A-IRB) approach to a number of its
portfolios. Under this approach, the previously described
internal estimates for PD, EAD and LGD are used
to\u00a0calculate Credit Risk RWA. For the other portfolios,
the\u00a0Standardised Approach (SA) is applied, meaning that
regulatory prescribed methods are used to determine
credit risk RWA. The PD, LGD and EAD models portfolios
are still used for internal purposes such as origination,
pricing, monitoring and reporting for the SA portfolios.
Economic capital
The EC model for credit risk uses a Monte Carlo
simulation to determine a full portfolio loss distribution,
taking into account specific portfolio characteristics and
diversification effects. Loan facilities are valued on
an\u00a0economic value (mark-to-market) basis to ensure
that loss estimates can be based not only on defaulting
borrowers, but also on possible credit migrations and
changes associated with the market values of loans.
Accounting policy for offsetting financial
assets and liabilities \u00a0
Audited
Financial assets and liabilities are offset, and the net
amount is reported on the EU IFRS balance sheet, if
there is a legally enforceable right to offset
the\u00a0recognised 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
the\u00a0balances meet the applicable criteria.
Accounting policy for enforceable master
netting agreements or similar
instruments\u00a0\u00a0
Audited
Enforceable master netting arrangements take into
account all agreements containing conditions that
allow offsetting in the event of default. In addition,
agreements are enforceable if the bank has a legally
enforceable right to offset and no ability and/or
intention to realise the asset and settle the liability
simultaneously. These arrangements include
derivative clearing agreements, global master
repurchase agreements and global master securities
lending agreements.
Credit risk overview\u00a0\u00a0
Audited
(in millions)
31 December 2024
31 December 2023
Cash and balances at central banks
44,464
53,656
Financial assets held for trading
2,503
1,371
Derivatives
4,347
4,403
Financial investments\u00b9
47,173
41,501
Securities financing
26,989
21,503
Loans and advances banks
2,049
2,324
Loans and advances customers
248,782
245,935
Other assets
5,518
5,351
Less: Other\u00b9
342
546
Other assets
5,176
4,805
On-balance sheet maximum exposure to credit risk
381,484
375,496
Off-balance sheet
Committed credit facilities
52,617
53,968
Guarantees and other commitments
6,638
6,289
Revocable credit facilities
38,093
31,710
Off-balance sheet credit facilities and guarantees
97,348
91,967
Maximum exposure to credit risk\u00b2
478,831
467,463
Adjustments on assets 2, 3
1,996
2,680
Valuation adjustments 4
5,664
7,226
Offsetting and netting
-33,229
-28,194
Off-balance sheet credit facilities and guarantees
-97,348
-91,967
Off-balance sheet exposure fraction expected to be drawn prior to
default (credit conversion factors)
34,091
28,816
Total Exposure at Default
390,006
386,024
Credit risk RWA / Total Exposure at Default
31.5%
31.7%
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\u00a0determination of regulatory and economic capital.
Overall credit risk EAD and RWA\u00a0\u00a0
Audited
31 December 2024
Original
EAD
Less: Netting/
EAD mitigation\u00b3
EAD
- of which
RWA
RWA/EAD
(in millions)
Derivatives
Securities
financing
transactions
Credit risk IRB
Institutions\u00b9
10,820
1,187
9,633
810
2,055
1,624
16.9%
Corporates
128,991
29,003
99,988
1,964
1,556
58,499
58.5%
Retail
172,472
4,712
167,760
18,495
11.0%
\u00a0 - of which secured by immovable property
164,118
571
163,547
17,369
10.6%
\u00a0 - of which qualifying revolving exposures
5,354
3,746
1,608
153
9.5%
\u00a0 - of which other retail
3,000
396
2,604
973
37.4%
Securitisation positions
2,869
2,869
371
12.9%
Subtotal
315,151
34,902
280,249
2,774
3,611
78,989
28.2%
Equities not held for trading
1,100
1,100
3,423
311.3%
Other\u00b2
2,123
2,123
30,164
1420.9%
Total IRB
318,374
34,902
283,472
2,774
3,611
112,576
39.7%
Credit risk SA
Central governments and central banks
79,926
-1,833
81,759
37
136
675
0.8%
Institutions\u00b9
28,434
14,104
14,330
3,750
4,252
1,149
8.0%
Corporates
21,817
15,473
6,344
1,109
1,166
5,226
82.4%
Retail
5,472
2,302
3,170
2,377
75.0%
Secured by mortgages on immovable property
598
12
587
209
35.7%
Exposures in default
330
172
158
213
134.6%
Collective investments undertakings (CIU)
36
36
19
Credit valuation adjustment
122
Subtotal
136,612
30,229
106,383
4,896
5,554
9,990
9.4%
Other\u00b2
152
152
212
139.9%
Total SA
136,763
30,229
106,534
4,896
5,554
10,202
9.6%
Total
455,137
65,131
390,006
7,670
9,165
122,779
31.5%
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 2023
Original
EAD
Less: Netting/
EAD mitigation\u00b3
EAD
- of which
RWA
RWA/EAD
(in millions)
Derivatives
Securities
financing
transactions
Credit risk IRB
Institutions\u00b9
9,875
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%
\u00a0 - of which secured by immovable property
157,349
505
156,844
15,917
10.1%
\u00a0 - of which qualifying revolving exposures
5,352
3,955
1,397
139
9.9%
\u00a0 - 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%
Other\u00b2
2,063
2,063
33,883
1642.1%
Total IRB
316,861
40,197
276,664
2,698
3,171
113,146
40.9%
Credit risk SA
Central governments and central banks
84,348
-327
84,675
56
190
347
0.4%
Institutions\u00b9
25,703
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
261
Subtotal
134,956
25,652
109,304
4,988
5,863
9,344
8.5%
Other\u00b2
56
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.
Credit quality by exposure class\u00a0\u00a0
Audited
31 December 2024
(in millions, Exposure at Default)
Investment
grade
Sub-investment
grade
Impaired
Total
Central governments and central banks
Institutions\u00b9
9,476
157
9,633
Corporates
50,688
46,211
3,089
99,988
Retail\u00b2
138,686
27,507
1,567
167,760
\u00a0 - of which secured by immovable property
135,861
26,216
1,470
163,547
\u00a0 - of which qualifying revolving exposures
1,404
181
23
1,608
\u00a0 - of which other retail
1,421
1,109
74
2,604
Securitisation positions
2,869
2,869
Total IRB\u00b3
201,719
73,874
4,656
280,249
Total SA 4
106,383
Total IRB and SA 3, 4
386,632
31 December 2023
Investment
grade
Sub-investment
grade
Impaired
Total
Central governments and central banks
Institutions\u00b9
8,890
283
9,173
Corporates
48,964
47,861
2,987
99,812
Retail\u00b2
133,993
26,773
1,582
162,347
\u00a0 - of which secured by immovable property
131,115
24,300
1,429
156,844
\u00a0 - of which qualifying revolving exposures
1,231
142
24
1,397
\u00a0 - of which other retail
1,647
2,331
129
4,106
Securitisation positions
2,205
2,205
Total IRB\u00b3
194,052
74,916
4,569
273,537
Total SA 4
109,304
Total IRB and SA 3, 4
382,841
1. 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\u00a0 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 increased to EUR 390.0 billion
(31\u00a0December\u00a02023: EUR 386.0 billion), largely as
a\u00a0result of the increase in loans and advances and partly
offset by a lower fair value adjustment from hedge
accounting on residential mortgages.
Total RWA slightly increased to EUR 140.9 billion
(31\u00a0December 2023: EUR 140.2 billion) while credit risk
RWA remained relatively flat. Credit risk RWA increased
during the first half of 2024, mainly due to an increase
in model related add-ons and business developments in
Corporate Banking. In the second half of the year, credit
risk RWA came down again, mainly due to business
developments in Corporate Banking, where Clearing
and Asset Based Finance were large contributors.
Steering measures and data quality improvements
added to the decrease.
Market risk RWA decreased by roughly EUR 60 million
over the year, CVA risk RWA (counterparty credit risk)
declined by roughly EUR 0.1 billion over the year.
Operational risk RWA increased by EUR 0.5 billion
compared to 2023. RWA for operational risk in 2024
was allocated to client units based on client units' total
income, in line with the standardised approach (TSA).
Under the TSA operational risk RWA is based on
a\u00a0three\u2011year average of the operating income.
The\u00a0average operating income increased due
to\u00a0the\u00a0addition of the 2023 income to replace the
2020\u00a0figure.
At 31 December 2024, RWA add-ons for regulatory
matters amounted to approximately EUR 22 billion
(31\u00a0December 2023: approximately EUR 23 billion).
Credit quality by internal rating scale mapped
to stages\u00a0\u00a0
Audited
The following table presents the gross carrying amount
of loans and the contractual amount of undrawn loan
commitments, classified by internal rating and risk
stage. In order to classify a client as stage 2, several
qualitative triggers are needed, which are not
necessarily dependent on internal ratings. Reference is
made to the Credit risk management section for more
information on internal ratings and stage determination.
31 December 2024
31 December 2023
(in millions)
PD scale
UCR range
Stage 1
Stage 2
Stage 3 4
Total 4
Stage 1
Stage 2
Stage 3 4
Total 4
Residential mortgages
0.000 - < 0.035
1\u00a0
73
4
77
31
31
0.035 - < 0.127
2\u00a0
51,759
788
52,547
63,726
1,583
65,309
0.127 - < 0.465
3\u00a0
65,597
4,976
70,573
51,973
2,824
54,797
0.465 - < 2.225
4\u00a0
20,300
5,299
25,599
22,404
3,808
26,212
2.225 - < 16.971
5\u00a0
420
4,383
4,803
457
2,366
2,823
16.971 - < 100
6+
23
667
690
79
535
613
100
6-8
1,919
1,919
1,292
1,292
Total residential mortgages
138,172
16,118
1,919
156,209
138,671
11,115
1,292
151,078
Consumer loans
0.000 - < 0.035
1\u00a0
748
24
772
625
2
628
0.035 - < 0.127
2\u00a0
651
8
659
797
5
802
0.127 - < 0.465
3\u00a0
2,033
75
2,108
2,708
43
2,751
0.465 - < 2.225
4\u00a0
2,469
114
2,582
2,604
183
2,788
2.225 - < 16.971
5\u00a0
451
174
625
118
158
276
16.971 - < 100
6+
431
90
521
681
73
755
100
6-8
222
222
255
255
No rating\u00b9
83
2
85
124
2
126
Total consumer loans
6,866
487
222
7,575
7,658
467
255
8,380
Corporate loans
0.000 - < 0.035
1\u00a0
4,736
107
4,842
2,757
77
2,833
0.035 - < 0.127
2\u00a0
7,580
47
7,627
8,429
140
8,569
0.127 - < 0.465
3\u00a0
18,738
779
19,517
19,018
1,565
20,583
0.465 - < 2.225
4\u00a0
26,378
4,343
30,721
26,819
4,460
31,280
2.225 - < 16.971
5\u00a0
1,885
2,502
4,387
1,990
3,004
4,994
16.971 - < 100
6+
3,948
614
4,562
4,935
1,040
5,976
100
6-8
3,110
3,110
3,152
3,152
No rating\u00b9
8,962
98
9,060
9,375
21
9,396
Total corporate loans
72,227
8,490
3,110
83,827
73,324
10,308
3,152
86,784
Other loans
0.000 - < 0.035
1\u00a0
10,332
37
10,369
9,656
37
9,693
0.035 - < 0.127
2\u00a0
8,345
8,345
7,071
7,071
0.127 - < 0.465
3\u00a0
5,394
5,394
3,586
3,586
0.465 - < 2.225
4\u00a0
2,252
2,252
2,996
2,996
2.225 - < 16.971
5\u00a0
82
82
16.971 - < 100
6+
423
1
424
26
14
40
100
6-8
6
6
8
8
No rating\u00b9
8,654
4
8,658
6,933
6,933
Total other loans\u00b2
35,483
42
6
35,531
30,268
51
8
30,327
Loan commitments and financial
guarantee contracts
0.000 - < 0.035
1\u00a0
4,737
4,737
4,328
4
4,332
0.035 - < 0.127
2\u00a0
15,308
60
15,368
15,934
117
16,051
0.127 - < 0.465
3\u00a0
16,096
773
16,869
14,317
657
14,974
0.465 - < 2.225
4\u00a0
12,385
1,516
13,901
14,976
1,644
16,620
2.225 - < 16.971
5\u00a0
1,269
801
2,071
608
867
1,475
16.971 - < 100
6+
1,282
140
1,422
1,823
214
2,037
100
6-8
627
627
965
965
No rating\u00b9
336
4
340
155
3
159
Total loan commitments and financial
guarantee contracts\u00b3
51,414
3,293
627
55,334
52,141
3,507
965
56,613
Total
0.000 - < 0.035
1\u00a0
20,625
172
20,797
17,398
121
17,518
0.035 - < 0.127
2\u00a0
83,644
902
84,546
95,957
1,844
97,801
0.127 - < 0.465
3\u00a0
107,858
6,603
114,461
91,602
5,089
96,691
0.465 - < 2.225
4\u00a0
63,784
11,272
75,056
69,800
10,096
79,896
2.225 - < 16.971
5\u00a0
4,107
7,861
11,968
3,174
6,395
9,569
16.971 - < 100
6+
6,108
1,511
7,619
7,544
1,877
9,420
100
6-8
5,885
5,885
5,672
5,672
No rating\u00b9
18,035
108
18,143
16,588
27
16,614
Total
304,162
28,430
5,885
338,476
302,062
25,447
5,672
333,181
1. Up until 31 December 2023, clients and counterparties for which no internal UCR is available but did get a proxy for provisioning purposes, were reported in the
corresponding UCR category (mainly \u20181\u2019). This mainly concerned CCPs within Clearing, and are reported in the category No rating from 31 December 2024 onwards. This
aligns with the RWA practice (RWA for trade exposures to CCPs which is not based on PD/UCR ratings) for these counterparties where no internal UCR process is in place.
Comparative figures have been adjusted.
2. Including Banks, Securities Financing and Government and official institutions.
3. Excluding performance letters of credit.
4. Including POCI.
The largest part of ABN AMRO's portfolio continues
to\u00a0be classified in the highest and medium internal
ratings of stage 1. Stage 2 clients are mostly in
the\u00a0medium internal UCRs, primarily visible for
corporate and mortgage loans. Compared to 2023,
the\u00a0share of the portfolio with an investment grade
(UCR 1 to UCR 3 bucket) increased marginally, mainly
due to slightly higher investment grades in corporate,
consumer and mortgage loans resulting from overall
improved and less overdue client ratings.
Approximately 2% of the bank's portfolio was reported
in UCR 6+, which came down from 2023, mainly as
a\u00a0result of an internal focus on reducing overdue
revisions. Clients whose 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 concentration\u00a0
Audited
Geographic concentration
The exposures in the following table have been
classified on the basis of the geographical regions in
which 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 EAD\u00a0\u00a0
Audited
31 December 2024
(in millions, Exposure at Default)
The
Netherlands
Rest of
Europe
USA
Asia
Rest of
the world
Total
Institutions\u00b9
1,158
6,977
817
141
540
9,633
Corporates
56,516
36,792
1,359
489
4,832
99,988
Retail
167,270
341
53
66
29
167,760
\u00a0 - of which secured by immovable property
163,087
315
52
65
28
163,547
\u00a0 - of which qualifying revolving exposures
1,581
23
1
1
1
1,608
\u00a0 - of which other retail
2,601
3
2,604
Securitisation positions
2,869
2,869
Total IRB\u00b2
227,813
44,110
2,229
697
5,401
280,249
Total SA\u00b3
57,890
30,777
10,626
5,091
1,999
106,383
Total IRB and SA 2, 3
285,703
74,887
12,855
5,787
7,400
386,632
Percentage of total IRB and SA 2, 3
73.9%
19.4%
3.3%
1.5%
1.9%
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.
31 December 2023
The
Netherlands
Rest of
Europe
USA
Asia
Rest of
the world
Total
Institutions\u00b9
1,173
6,517
765
188
531
9,173
Corporates
60,206
32,906
1,533
591
4,576
99,812
Retail
161,714
469
54
71
39
162,347
\u00a0 - of which secured by immovable property
156,242
444
53
68
37
156,844
\u00a0 - of which qualifying revolving exposures
1,397
1,397
\u00a0 - of which other retail
4,076
25
1
3
2
4,106
Securitisation positions
2,205
2,205
Total IRB\u00b2
225,297
39,892
2,352
850
5,145
273,537
Total SA\u00b3
61,173
32,830
10,307
2,934
2,060
109,304
Total IRB and SA 2, 3
286,471
72,722
12,659
3,785
7,205
382,841
Percentage of total IRB and SA 2, 3
74.8%
19.0%
3.3%
1.0%
1.9%
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 73.9%
of\u00a0the bank\u2019s portfolio at 31 December 2024
(31\u00a0December 2023: 74.8%), mainly as a result of
an\u00a0increase in corporates in the rest of Europe due
to\u00a0our expansion activities. Clients in the rest of Europe
are primarily located in neighbouring countries like
Belgium, France and Germany. Our exposure
to\u00a0countries outside Europe increased in Asia, and was
mainly related to Treasury activities. Exposures
to\u00a0the\u00a0USA related mainly to our Clearing activities.
Industry concentration\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross carrying
amount 4, 5
Percentage
of total
Gross carrying
amount 4, 5
Percentage
of total
Loans and advances banks
2,053
0.8%
2,327
0.9%
Agriculture, forestry and fishing
6,659
2.6%
6,928
2.7%
Mining and quarrying
1,576
0.6%
1,729
0.7%
Manufacturing
6,565
2.6%
6,699
2.6%
Electricity, gas, steam and air conditioning supply
2,241
0.9%
2,107
0.8%
Water supply; sewerage, waste management and remediation
activities
664
0.3%
702
0.3%
Construction
2,952
1.2%
3,623
1.4%
Wholesale and retail trade; repair of motor vehicles and
motorcycles
7,975
3.1%
8,778
3.4%
Transport and storage
8,749
3.4%
8,833
3.5%
Real estate activities
11,052
4.3%
11,067
4.3%
Accommodation and food service activities
1,733
0.7%
1,834
0.7%
Information and communication
4,851
1.9%
5,324
2.1%
Financial and insurance activities\u00b9
17,890
7.0%
18,683
7.3%
Professional, scientific & technical activities
2,024
0.8%
1,999
0.8%
Administrative & support service activities
5,358
2.1%
4,804
1.9%
Human health services & social work activities
2,630
1.0%
2,788
1.1%
Other sectors\u00b2
909
0.4%
886
0.3%
Total corporate loans
83,827
32.7%
86,784
34.0%
Private individuals (residential mortgages and consumer loans)
163,783
63.9%
159,458
62.5%
Other loans\u00b3
6,489
2.5%
6,497
2.5%
Total non-industry classification
170,273
66.5%
165,955
65.1%
Total loans and advances customers
254,100
99.2%
252,739
99.1%
Total loans and advances
256,153
100%
255,066
100%
1. Financial and insurance activities include asset managers, credit card companies and providers of personal financial services and securities and brokers.
2. Other include loans to Public administration & defence, compulsory social security, Education, Arts, entertainment & recreation, Activities of households as employers,
Activities of extraterritorial organisations & bodies and Other services.
3. Other loans include loans to Government and official institutions and default fund contributions for our clearing clients.
4. Excluding loans at fair value through P&L.
5. Excluding fair value adjustments from hedge accounting.
In comparison with 2023, total corporate loans declined
by EUR 3.0 billion, reducing the share of corporate
loans in total loans and advances to customers
to\u00a032.7% (2023: 34.0%). Portfolio composition by
industry remained stable: the top five industries in terms
of exposures were in the financial sector, followed by
real estate, transport and storage, wholesale and retail
trade and agriculture, which was the same as in 2023.
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. In
the\u00a0exposure table, non-material industry clusters are
aggregated under Other. Industry concentration limits
are established within the bank\u2019s risk appetite, with
the\u00a0thresholds for concentrations being based on
relative risk, the importance of the industry to the Dutch
economy and expert opinion.
Management of forborne, past due and
credit impaired loans\u00a0\u00a0
Audited
Credit risk reporting scope
Although all financial assets on our balance sheet are
subject to some form of credit risk, by far the largest
part is in loans and advances. To provide a meaningful
view of the credit risk in our lending book, the figures
presented in this section therefore relate to loans and
advances. Any credit risk outside the reported scope are
mentioned in the notes below the table. All figures are
reported gross of loan impairment allowances and
exclude fair value adjustments. The following table
provides a comparison between the gross carrying
amounts presented in this section and the consolidated
balance sheet.
Total loans and advances customers\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross
carrying
amount\u00b3
Fair value
adjustment
from
hedge
accounting
Less: loan
impairment
allowance
Less:
amortisation
and
depreciation
Carrying
amount
Gross
carrying
amount\u00b3
Fair value
adjustment
from
hedge
accounting
Less: loan
impairment
allowance
Less:
amortisation
and
depreciation
Carrying
amount
Loans and advances
banks
2,053
4
2,049
2,327
3
2,324
Residential mortgages
156,209
-4,686
133
151,390
151,078
-6,005
198
144,875
Consumer loans\u00b9
7,575
130
7,445
8,380
147
8,233
Corporate loans\u00b9
83,827
102
1,100
82,829
86,784
96
1,254
85,626
Other loans and advances
customers\u00b9
6,489
2
6,487
6,497
3
6,494
Total loans and
advances customers\u00b9
254,100
-4,584
1,364
248,152
252,739
-5,909
1,602
245,228
Total loans and
advances\u00b9
256,153
-4,584
1,368
250,201
255,066
-5,909
1,605
247,551
Other
138,184
-981
133
2,224
134,845
134,409
-1,640
187
2,224
130,358
Total assets
394,336
-5,565
1,501
2,224
385,047
389,474
-7,549
1,792
2,224
377,909
Loans and advances
customers\u00b9
254,100
-4,584
1,364
248,152
252,739
-5,909
1,602
245,228
Consumer loans at
fair value through P&L\u00b2
600
600
648
648
Corporate loans at
fair value through P&L
30
30
59
59
Total loans and
advances customers
254,730
-4,584
1,364
248,782
253,446
-5,909
1,602
245,935
1. 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 resulted
from interest rate swaps made to protect against
changes in the fair value of fixed-rate assets due
to\u00a0changes in market interest rates. The fair value
adjustment for mortgages decreased as a result
of\u00a0lower market interest rates.
Forborne exposures
Clients in (or potentially in) financial difficulty and
whose contracts have been amended in ways that are
regarded as concessions on the part of the bank are
accounted 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 assets\u00a0\u00a0
Audited
31 December 2024
Gross
carrying
amount\u00b2
Performing assets
Total per-
forming
forborne
assets
Non-performing assets
Total
non-per-
forming
forborne
assets
Total
forborne
assets
For-
bear-
ance
ratio
(in millions)
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Loans and advances banks
2,053
0.0%
Residential mortgages
156,209
513
10
523
508
14
521
1,045
0.7%
Consumer loans\u00b9
7,575
20
45
3
68
9
25
12
46
114
1.5%
Corporate loans\u00b9
83,827
660
1,336
210
2,207
175
1,387
163
1,725
3,932
4.7%
Other loans and advances
customers\u00b9
6,489
1
1
1
0.0%
Total loans and advances
customers\u00b9
254,100
1,193
1,391
214
2,798
692
1,426
177
2,294
5,092
2.0%
Total loans and advances\u00b9
256,153
1,193
1,391
214
2,798
692
1,426
177
2,294
5,092
2.0%
Loans at FV through P&L
630
1
2
6
1
6
8
1.3%
Total loans and advances
256,783
1,194
1,392
214
2,799
698
1,426
177
2,301
5,100
2.0%
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
31 December 2023
Gross
carrying
amount\u00b2
Performing assets
Total per-
forming
forborne
assets
Non-performing assets
Total
non-per-
forming
forborne
assets
Total
forborne
assets
For-
bear-
ance
ratio
(in millions)
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Loans and advances banks
2,327
0.0%
Residential mortgages
151,078
516
14
531
506
10
1
517
1,048
0.7%
Consumer loans\u00b9
8,380
20
27
47
11
40
6
56
103
1.2%
Corporate loans\u00b9
86,784
564
1,548
370
2,482
294
1,303
288
1,884
4,367
5.0%
Other loans and advances
customers\u00b9
6,497
2
2
2
0.0%
Total loans and advances
customers\u00b9
252,739
1,101
1,589
371
3,060
810
1,352
296
2,459
5,519
2.2%
Total loans and advances\u00b9
255,066
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. Excluding fair value adjustments from hedge accounting.
The forbearance ratio improved to 2.0%
(31\u00a0December\u00a02023: 2.2%), mainly because permanent
forbearance measures relating to some corporate loans
ended. Approximately 37% of the forborne exposures is
now subject to a temporary measure
(31\u00a0December\u00a02023: 35%).
Past due not classified as stage 3\u00a0\u00a0
Audited
31 December 2024
Days past due
(in millions)
Gross
carrying
amount\u00b2
Assets not
classified as
stage 3 or POCI
\u2264\u00a030 days
>\u00a030 days &
\u2264 90 days
> 90 days\u00b3
Total past due,
but not stage 3
or POCI
Past due
ratio
Loans and advances\u00a0banks
2,053
2,053
0.0%
Residential mortgages
156,209
154,290
1,195
26
3
1,224
0.8%
Consumer\u00a0loans\u00b9
7,575
7,353
356
16
20
392
5.2%
Corporate loans\u00b9
83,827
80,717
570
200
2
772
0.9%
Other loans and advances customers\u00b9
6,489
6,483
0.0%
Total\u00a0loans and advances customers\u00b9
254,100
248,842
2,122
242
25
2,389
0.9%
Total\u00a0loans and advances\u00b9
256,153
250,895
2,122
242
25
2,389
0.9%
1. Excluding loans at fair value through P&L.
2. Excluding 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 2023
Days past due
(in millions)
Gross
carrying
amount\u00b2
Assets not
classified as
stage 3 or POCI
\u2264\u00a030 days
>\u00a030 days &
\u2264 90 days
> 90 days\u00b3
Total past due,
but not stage 3
or POCI
Past due
ratio
Loans and advances\u00a0banks
2,327
2,327
0.0%
Residential mortgages
151,078
149,786
1,204
6
2
1,211
0.8%
Consumer\u00a0loans\u00b9
8,380
8,125
90
17
37
143
1.7%
Corporate loans\u00b9
86,784
83,631
359
205
76
640
0.7%
Other loans and advances customers\u00b9
6,497
6,489
4
4
0.1%
Total\u00a0loans and advances customers\u00b9
252,739
248,031
1,657
227
114
1,999
0.8%
Total\u00a0loans and advances\u00b9
255,066
250,358
1,657
227
114
1,999
0.8%
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Materiality thresholds are applied for counterparties transferring to stage 3. Below these thresholds, amounts are reported on > 90 days past due.
Past due exposures
When a counterparty is past due or exceeds its credit
limit, all loans and advances (total gross carrying
amount) in the related credit arrangement are
considered to be past due. The absolute and relative
materiality thresholds used for determining a defaulted
status do not apply for the purposes of classification as
past due. Below these thresholds, arrears of more than
90 days are reported as past due.
Total arrears rose to EUR 2.4 billion or 0.9% of the total
loans and advances compared to 31 December 2023.
Increases were mainly in the short term buckets
(<=30\u00a0days) of consumer and corporate loans.
The\u00a0increase in consumer loans in arrears was triggered
by data quality improvements, and does not reflect
an\u00a0increase in the risk profile.
Coverage and stage ratios\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross
carrying
amount\u00b2
Allowances
for credit
losses\u00b3
Coverage
ratio
Stage
ratio
Gross
carrying
amount\u00b2
Allowances
for credit
losses\u00b3
Coverage
ratio
Stage
ratio
Stage 1
Loans and advances banks
2,016
4
0.2%
98.2%
2,290
3
0.1%
98.4%
Residential mortgages
138,172
36
0.0%
88.5%
138,671
24
0.0%
91.8%
Consumer loans\u00b9
6,866
12
0.2%
90.6%
7,658
18
0.2%
91.4%
Corporate loans\u00b9
72,227
119
0.2%
86.2%
73,324
192
0.3%
84.5%
Other loans and advances customers\u00b9
6,478
0.0%
99.8%
6,475
0.0%
99.7%
Total loans and advances customers\u00b9
223,743
167
0.1%
88.1%
226,128
234
0.1%
89.5%
Stage 2
Loans and advances banks
37
0.0%
1.8%
37
0.0%
1.6%
Residential mortgages
16,118
42
0.3%
10.3%
11,115
49
0.4%
7.4%
Consumer loans\u00b9
487
15
3.1%
6.4%
467
11
2.4%
5.6%
Corporate loans\u00b9
8,490
170
2.0%
10.1%
10,308
228
2.2%
11.9%
Other loans and advances customers\u00b9
5
1.1%
0.1%
14
1
7.9%
0.2%
Total loans and advances customers\u00b9
25,100
226
0.9%
9.9%
21,903
289
1.3%
8.7%
Stage 3 and POCI
Loans and advances banks
Residential mortgages
1,919
55
2.9%
1.2%
1,292
125
9.7%
0.9%
Consumer loans\u00b9
222
102
46.1%
2.9%
255
118
46.3%
3.0%
Corporate loans\u00b9
3,110
811
26.1%
3.7%
3,152
833
26.4%
3.6%
Other loans and advances customers\u00b9
6
2
27.1%
0.1%
8
2
27.1%
0.1%
Total loans and advances customers\u00b9
5,258
971
18.5%
2.1%
4,707
1,079
22.9%
1.9%
Total of stages 1, 2, 3 and POCI
Total loans and advances banks
2,053
4
0.2%
2,327
3
0.1%
Residential mortgages
156,209
133
0.1%
151,078
198
0.1%
Consumer loans\u00b9
7,575
130
1.7%
8,380
147
1.8%
Corporate loans\u00b9
83,827
1,100
1.3%
86,784
1,254
1.4%
Other loans and advances customers\u00b9
6,489
2
0.0%
6,497
3
0.1%
Total loans and advances customers\u00b9
254,100
1,364
0.5%
252,739
1,602
0.6%
Total loans and advances\u00b9
256,153
1,368
0.5%
255,066
1,605
0.6%
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 2024: EUR 1 million; 31 December 2023: EUR 1 million).
Portfolio developments in combination with lower
allowances for credit losses at Corporate Banking
resulted in a decrease in the stage 2 ratio and the stage
2 coverage ratio. Stage 3 ratio increased slightly, while
stage 3 coverage ratio showed a slight decline.
For mortgages, stage 2 and stage 3 ratio in 2024
increased to 10.3% and 1.2% respectively
(31\u00a0December 2023: 7.4% and 0.9%). The stage 2 and
3 coverage ratios 2 and 3 of mortgages decreased
to\u00a00.3% and 2.9% respectively (31 December 2023:
0.4% and 9.7%). IFRS 9 model changes in the third
quarter led to a decrease in the stage 3 coverage ratio.
In the fourth quarter, methodology changes were
implemented to better reflect the credit risk
characteristics of interest-only mortgages and
the\u00a0anticipated impact of a new mortgages model. For
interest-only mortgages, this resulted in a significant
increase from stage 1 to stage 2, and for the anticipated
impact of a new mortgages model to stage 3.
An\u00a0additional impact on the stage 2 and 3 coverage
ratios was a consequence of improvements in the Dutch
housing market outlook.
Purchased or Originated Credit Impaired (POCI)
At 31 December 2024, loans classified as POCI
amounted to EUR 7 million. Due to the immateriality
ofthe amount, this is included in the amount shown for
stage 3 throughout this report.
Exposure and impairment flows
This section provides more details on the exposure and
impairment flows underlying the change in coverage
and stage ratios shown in the previous section.
Total loans and advances\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Closing balance of the previous year
228,418
21,940
4,707
255,066
229,084
23,954
5,175
258,212
Impact adopting IFRS 17
-1,061
-103
-83
-1,247
Balance at 1 January
228,418
21,940
4,707
255,066
228,023
23,851
5,091
256,965
Transfer to stage 1
8,704
-8,644
-59
8,542
-8,417
-125
Transfer to stage 2
-15,361
16,025
-664
-11,135
12,130
-996
Transfer to stage 3
-1,468
-1,186
2,654
-1,131
-1,116
2,247
Additional drawdowns and partial
repayments
-16,518
1,265
-142
-15,394
-11,950
199
-8
-11,759
Originated or purchased
42,922
42,922
37,428
37,428
Matured or repaid
-20,472
-4,170
-876
-25,518
-20,909
-4,609
-1,198
-26,715
Write-offs
-350
-350
-334
-334
Foreign exchange
1,017
50
21
1,088
-484
-92
-18
-594
Other movements
-1,483
-144
-34
-1,660
33
-7
48
74
Balance at 31 December
225,759
25,136
5,258
256,153
228,418
21,940
4,707
255,066
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Total loans and advances increased marginally
compared to 31 December 2023. This was mainly due
to an increase in mortgages, which was mostly offset by
a decrease in corporate and consumer loans.
There was a significant transfer from stage 1 to stage 2
and 3, largely due to the implementation
of\u00a0methodology changes to better reflect the credit risk
characteristics of interest-only mortgages and
the\u00a0anticipated impact of a new mortgage model.
There was a significant decrease in other movements,
which was mainly due to a loan portfolio being
reclassified to assets held for sale.
Exposure flows per product class are presented
in\u00a0the\u00a0section Additional risk, funding & capital
disclosures.
Loan impairment charges and allowances\u00a0\u00a0
Audited
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Balance at 31 December 2023
3
198
147
1,254
3
1,605
109
Transfer to stage 1
-4
-4
-10
-18
Transfer to stage 2
6
23
29
2
Transfer to stage 3
16
29
137
181
Remeasurements\u00b9
-73
-15
-16
-2
-105
22
Changes in risk parameters
1
3
-11
-7
Originated or purchased
4
3
33
1
41
5
Matured or repaid
-14
-6
-60
-79
-7
Impairment charges (releases) on loans
and advances
-64
11
96
-2
41
22
Write-offs
-2
-31
-317
-350
Unwind discount / unearned interest accrued
1
3
22
1
27
Foreign exchange and other movements
-1
45
45
-34
Balance at 31 December 2024
4
133
130
1,100
2
1,368
96
2024
Impairment charges (releases) on loans and
advances
-64
11
96
-2
41
22
Recoveries and other charges (releases)
-11
-25
-48
-83
Total impairment charges for the period\u00b2
-75
-13
48
-2
-42
22
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage.
2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2024: EUR 1 million.
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Balance at 31 December 2022
8
153
277
1,590
5
2,034
51
Impact adopting IFRS 17
-100
-100
Balance at 1 January 2023
8
153
177
1,590
5
1,934
51
Transfer to stage 1
-4
-5
-20
-28
-1
Transfer to stage 2
7
-1
-14
-9
2
Transfer to stage 3
24
30
133
2
188
17
Remeasurements\u00b9
-5
35
-15
-112
-4
-101
47
Changes in risk parameters
3
6
-35
-26
-4
Originated or purchased
4
3
32
39
8
Matured or repaid
-17
-8
-54
-79
-9
Impairment charges (releases) on loans
and advances
-5
51
10
-71
-3
-17
60
Write-offs
-1
-58
-274
-334
Unwind discount / unearned interest accrued
2
3
29
1
34
Foreign exchange and other movements
-7
15
-20
-12
-1
Balance at 31 December 2023
3
198
147
1,254
3
1,605
109
2023
Impairment charges (releases) on loans and
advances
-5
51
10
-71
-3
-17
60
Recoveries and other charges (releases)
-14
-29
-67
-111
-90
Total impairment charges for the period\u00b2
-5
37
-19
-139
-3
-128
-30
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million.
Loan impairment charges and allowances per stage\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Closing balance of the previous year
237
289
1,079
1,605
316
396
1,322
2,034
Impact adopting IFRS 17
-6
-19
-75
-100
Balance at 1 January
237
289
1,079
1,605
310
376
1,247
1,934
Transfer to stage 1
61
-70
-9
-18
109
-128
-10
-28
Transfer to stage 2
-32
104
-43
29
-41
90
-58
-9
Transfer to stage 3
-6
-29
216
181
-15
-59
261
188
Remeasurements\u00b9
-106
-46
46
-105
-125
44
-20
-101
Changes in risk parameters
-5
-4
2
-7
-31
-1
6
-26
Originated or purchased
41
41
39
39
Matured or repaid
-18
-24
-38
-79
-11
-16
-53
-79
Impairment charges (releases) on loans
and advances
-65
-68
174
41
-75
-69
126
-17
Write-offs
-350
-350
-334
-334
Unwind discount / unearned interest accrued
27
27
34
34
Foreign exchange and other movements
-2
6
41
45
2
-18
4
-12
Balance at 31 December
170
226
971
1,368
237
289
1,079
1,605
Impairment charges (releases) on loans
and advances
-65
-68
174
41
-75
-69
126
-17
Recoveries and other charges (releases)
-83
-83
-111
-111
Total impairment charges for the period
-65
-68
91
-42
-75
-69
16
-128
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
A release of EUR 21 million (a EUR 42 million release on
balance and a EUR 22 million charge off balance)
in\u00a0impairments was recorded for 2024 (2023: a release
of EUR 158 million, of which EUR 30 million
off\u2011balance).\u00a0 Impairment releases were primarily
related to\u00a0residential mortgages somewhat offset by
impairment charges in corporate loans.
For residential mortgages, releases of EUR 75 million
were recorded in 2024, compared to charges of
EUR\u00a037\u00a0million in 2023. This was mainly caused by
the\u00a0impact of the updated IFRS 9 model for mortgages,
including updated and enhanced data, which led
to\u00a0lower impairment levels from the third quarter
of\u00a02024. Besides that, the decrease was mostly due
to\u00a0lower loss given default rates driven by increased
collateral values. The decrease in total impairments was
partly offset by an increase in management overlays
of\u00a0EUR 2 million.
For corporate loans, charges of EUR 48 million were
recorded in 2024, primarily due to an increase
in\u00a0individual files, which is also reflected in the
off\u2011balance items. In 2023, there was a release of
EUR\u00a0139 million. In 2024, we recorded an increase
in\u00a0collective impairments (mostly in stage 3) due
to\u00a0the\u00a0anticipated impact of a new model for corporate
portfolios. This decrease in total impairments for
corporate loans was mainly driven by a decrease
in\u00a0management overlays of EUR 121 million, which was
largely due to the decommissioning of the management
overlay for geopolitical and market sensitivity
(geopolitical risk).
Individual and collective loan impairment allowances and management overlays\u00a0\u00a0
Audited
31 December 2024
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Individual impairments
Stage 3\u00b9
42
600
2
643
80
Total individual impairments
42
600
2
643
80
Collective impairments
Stage 1
4
36
12
119
170
6
Stage 2
42
15
170
226
10
Stage 3\u00b9
55
60
212
327
Total collective impairments
4
133
88
500
724
16
- of which management overlay
85
56
140
Total impairments
4
133
130
1,100
2
1,368
96
Carrying amount of loans, determined to be impaired,
before deducting any assessed impairment allowance
1,919
222
3,110
6
5,258
1. Including POCI.
31 December 2023
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Individual impairments
Stage 3\u00b9
52
695
2
750
78
Total individual impairments
52
695
2
750
78
Collective impairments
Stage 1
3
24
18
192
237
16
Stage 2
49
11
228
1
289
12
Stage 3\u00b9
125
66
138
329
3
Total collective impairments
3
198
95
558
1
855
31
- of which management overlay
83
177
260
Total impairments
3
198
147
1,254
3
1,605
109
Carrying amount of loans, determined to be impaired,
before deducting any assessed impairment allowance
1,292
255
3,152
8
4,707
1. Including POCI.
Total collective impairments amounted to
EUR\u00a0724\u00a0million at year end 2024 (31 December 2023:
EUR\u00a0855\u00a0million). These impairments included expected
credit losses (ECL) as calculated by our IFRS 9 models
and the management overlays we recorded. The ECL
calculations take into account a probability weighted
average of three economic scenarios. As the ECL model
outcomes do not always reflect the current economic
environment and circumstances, additional
management overlays are applied to incorporate novel
risks not fully captured by the model.
During 2024, management overlays decreased to
a\u00a0total of EUR 140 million (31 December 2023:
EUR\u00a0260 million). Some of the management overlays
were recorded for risks in corporate loans portfolios,
where the impairments decreased from
EUR\u00a0177\u00a0million to EUR 56 million. In 2024,
the\u00a0management overlays changed mainly due to:
\u2022 Discontinuation of the management overlay for
geopolitical and market sensitivity (geopolitical risk).
In\u00a0combination with the changed macroeconomic
scenario weights, revised forecasts for macroeconomic
variables, and credit risk assessments at both
the\u00a0sectorial and individual levels, we captured
the\u00a0current geopolitical risks in our modelled loan
impairment calculations. The decommissioning
resulted in a release of EUR 86 million.
\u2022 The existing overlays, which cover potential additional
risk costs relating to the wind-down of portfolios,
decreased over the year by EUR 23 million.
\u2022 The overlays that are in place for climate transition
risk decreased by EUR 6 million to EUR 19 million,
based on the updated materiality impact assessment.
\u2022 The overlay that is in place for the potential impact
of\u00a0the government\u2019s nitrogen reducing measures on
clients in livestock farming businesses
in\u00a0the\u00a0Netherlands decreased slightly from
EUR\u00a035\u00a0million to EUR 29 million.
Some of the management overlays were recorded for
risks in mortgage loans, where the impairments
increased from EUR 83 million to EUR 85 million
in\u00a02024. The management overlay framework for our
mortgages portfolio was revised in the third quarter,
following the update of the IFRS 9 model for
mortgages. The methodology for interest-only
mortgages was updated to include, among others,
a\u00a0new component that was introduced to capture the
possible impact of a significant decrease in
loan\u2011to\u2011value upon default and an adjustment in
the\u00a0calculation of refinancing risk. In the fourth quarter,
stage 2 ratio increased due to these methodology
changes, which were implemented to better reflect
the\u00a0credit risk characteristics of the mortgages overlays.
All management overlays represent best estimates
of\u00a0the risks involved. The underlying reasoning and
calculations are documented and discussed and
approved by the Impairments and Provisioning
Committee (IPC).
Macroeconomic scenarios in 2024\u00a0\u00a0
Audited
(in millions)
Weight
Macroeconomic variable\u00b9
2025
2026
2027
2028
Unweighted
ECL 5
Weighted
ECL 5
Real GDP Netherlands\u00b2
2.6%
2.1%
1.7%
1.3%
Positive
15%
Unemployment\u00b3
3.5%
3.5%
3.6%
3.5%
639
House price index 4
7.5%
3.8%
3.0%
3.0%
Real GDP Netherlands\u00b2
1.5%
0.8%
1.2%
1.3%
Baseline
55%
Unemployment\u00b3
3.9%
4.2%
4.4%
4.4%
692
724
House price index 4
7.0%
3.5%
2.1%
2.5%
Real GDP Netherlands\u00b2
0.5%
-0.4%
0.7%
1.2%
Negative
30%
Unemployment\u00b3
6.0%
6.0%
5.8%
5.7%
826
House price index 4
0.2%
-4.5%
1.5%
2.6%
1. The variables presented in this table are a selection of the key macroeconomic variables.
2. Real GDP Netherlands, % change year-on-year.
3. Unemployment Netherlands, % of labour force.
4. House price index Netherlands - average % change year-on-year.
5. Weighted and unweighted ECL are including all collective impairments.
Macroeconomic scenarios in 2023\u00a0\u00a0
Audited
(in millions)
Weight
Macroeconomic variable\u00b9
2024
2025
2026
2027
Unweighted
ECL 5
Weighted
ECL 5
Real GDP Netherlands\u00b2
2.0%
2.0%
1.4%
1.2%
Positive
15%
Unemployment\u00b3
3.7%
3.6%
3.5%
3.6%
763
House price index 4
4.5%
2.0%
1.5%
2.5%
Real GDP Netherlands\u00b2
0.6%
1.1%
1.3%
1.2%
Baseline
60%
Unemployment\u00b3
4.1%
4.0%
4.0%
4.1%
822
855
House price index 4
2.5%
0.5%
1.5%
2.0%
Real GDP Netherlands\u00b2
-1.0%
1.0%
1.6%
1.4%
Negative
25%
Unemployment\u00b3
6.1%
5.6%
5.3%
5.1%
990
House price index 4
-7.5%
-5.0%
1.3%
2.1%
1. The variables presented in this table are a selection of the key macroeconomic variables.
2. Real GDP Netherlands, % change year-on-year.
3. Unemployment Netherlands, % of labour force.
4. House price index Netherlands - average % change year-on-year.
5. Weighted and unweighted ECL are including all collective impairments.
Credit risk mitigation\u00a0\u00a0
Audited
Collateral reporting is based on the net collateral value
(NCV). The NCV represents the amount expected to be
recovered from the collateral pledged to the bank if
the\u00a0client defaults. Where necessary, certain discounts
are applied. The NCV is approached by an average
recovery rate observed for the specific type of collateral
and, where applicable, by applying haircuts, for
example in the event of currency mismatches. Surplus
collateral is the amount of over-collateralisation,
calculated on an individual basis. A surplus is not
included for guarantees, as the debtor cannot be held
liable for more than the maximum debt.
Financial assets: offsetting, netting, collateral and guarantees\u00a0\u00a0
Audited
31 December 2024
Offset in the statement of financial
position
Not offset in the statement of financial position
Net
exposure5
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet
netting with
gross
liabilities
Carrying
amount\u00b2
Master
netting
agree-
ment\u00b3
Financial
instru-
ments
collateral
Property
& equip-
ment
Other
collateral
and guar-
antees
Total risk
mitigation
- of which
surplus
collateral 4
Financial assets
held for trading
2,503
2,503
2,503
Derivatives
4,347
4,347
3,176
639
3,815
103
635
Financial investments
47,173
47,173
47,173
Securities financing
32,192
5,203
26,989
847
32,348
33,195
6,452
246
Interest-bearing deposits
1,169
1,169
16
16
1,153
Loans and advances
707
707
527
728
1,255
721
173
Other
174
174
174
Total loans and advances
banks
2,049
2,049
543
728
1,271
721
1,500
Residential mortgages
156,076
156,076
2,695
325,975
372
329,041
176,542
3,577
Consumer loans
7,446
1
7,445
2,866
3,958
48
6,873
2,928
3,501
Corporate loans
83,433
705
82,727
1,759
30,917
54,489
3,303
90,468
37,508
29,767
Other loans and advances
customers
6,491
4
6,487
49
31
80
10
6,417
Fair value adjustment from
hedge accounting
-4,584
-4,584
-4,584
Total loans and advances
customers\u00b9
248,863
711
248,152
1,808
36,478
384,453
3,723
426,463
216,988
38,677
Loans at fair value through P&L
630
630
1,715
1,715
1,252
167
Total loans and advances
customers
249,493
711
248,782
1,808
36,478
386,168
3,723
428,178
218,239
38,843
Other assets
4,652
4,652
7
584
1,163
1,754
584
3,482
Total\u00a0on-balance sheet
subject to netting and
pledged agreements
342,409
5,914
336,496
6,380
70,777
386,168
4,887
468,212
226,099
94,383
Assets not subject to netting
and pledged agreements
48,551
48,551
48,551
Total assets
390,960
5,914
385,047
6,380
70,777
386,168
4,887
468,212
226,099
142,934
Total\u00a0off-balance sheet
97,348
97,348
1,952
11,547
845
14,344
5,478
88,482
Total on- and off-balance
sheet
488,308
5,914
482,394
6,380
72,729
397,715
5,732
482,556
231,577
231,415
1. Excluding loans at fair value through P&L.
2. Carrying amount includes loan impairment allowances where applicable.
3. Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these
agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.
4. Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.
5. Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.
31 December 2023
Offset in the statement of financial
position
Not offset in the statement of financial position
Net
exposure5
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet
netting with
gross
liabilities
Carrying
amount\u00b2
Master
netting
agree-
ment\u00b3
Financial
instru-
ments
collateral
Property
& equip-
ment
Other
collateral
and guar-
antees
Total risk
mitigation
- of which
surplus
collateral 4
Financial assets
held for trading
1,371
1,371
1,371
Derivatives
4,403
4,403
3,151
3,151
1,252
Financial investments
41,501
41,501
41,501
Securities financing
29,876
8,374
21,503
1,130
29,213
30,343
9,279
438
Interest-bearing deposits
1,729
328
1,401
39
39
1,362
Loans and advances
729
729
490
489
980
487
236
Other
194
194
194
Total loans and advances
banks
2,651
328
2,324
529
489
1,019
487
1,792
Residential mortgages
150,880
150,880
2,567
271,233
613
274,413
128,748
5,216
Consumer loans
8,233
8,233
3,444
4,501
55
8,000
2,874
3,107
Corporate loans
86,413
883
85,530
1,812
36,311
52,909
3,717
94,749
39,523
30,304
Other loans and advances
customers
6,494
6,494
203
36
5
244
15
6,264
Fair value adjustment from
hedge accounting
-5,909
-5,909
-5,909
Total loans and advances
customers\u00b9
246,111
883
245,228
2,015
42,322
328,679
4,390
377,406
171,159
38,981
Loans at fair value through P&L
707
707
1,385
1,385
988
309
Total loans and advances
customers
246,818
883
245,935
2,015
42,322
330,064
4,390
378,791
172,147
39,290
Other assets
4,295
4,295
17
460
1,121
1,597
460
3,158
Total\u00a0on-balance sheet
subject to netting and
pledged agreements
330,916
9,584
321,331
6,843
72,484
330,064
5,510
414,901
182,373
88,803
Assets not subject to netting
and pledged agreements
56,578
56,578
56,578
Total assets
387,493
9,584
377,909
6,843
72,484
330,064
5,510
414,901
182,373
145,381
Total\u00a0off-balance sheet
91,967
91,967
2,640
10,739
807
14,186
4,963
82,745
Total on- and off-balance
sheet
479,461
9,584
469,876
6,843
75,124
340,803
6,317
429,087
187,336
228,126
1. Excluding loans at fair value through P&L.
2. Carrying amount includes loan impairment allowances where applicable.
3. Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these
agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.
4. Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.
5. Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.
Total risk mitigation increased mainly due to an increase
in property and equipment for residential mortgages,
mainly due to rising house prices. As a result, surplus
collateral increased as well. For consumer loans, total
risk mitigation declined, mainly due to the declining
carrying amount. Financial instruments collateral
decreased, resulting in lower total risk mitigation for
corporate loans. This decline was partly the result of
a\u00a0decline in exposure, and for the other part it mostly
effected surplus collateral. The net exposure therefore
remained relatively stable. The decline in surplus
exposure occurred mostly with, and was due to,
changing client positions. The total net exposure
of\u00a0loans and advances to customers decreased slightly
to EUR 38.8 billion in 2024 (31 December 2023:
EUR\u00a039.3 billion), mainly as a result of the decreasing
net exposure on residential mortgages due to rising
collateral values, partly offset by an increase in net
exposure on fair value adjustment from hedge
accounting due to declining interest rates.
Financial assets: offsetting, netting, collateral
and guarantees for credit-impaired
assets\u00a0\u00a0
Audited
Collateral and guarantees for credit-impaired assets
(stage 3 and POCI) represent credit risk mitigation
based on the net collateral value (NCV) for clients
in\u00a0default. The carrying amount includes expected
credit loss allowances, based on
the\u00a0probability\u2011weighted 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\u2011programme 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 taking into account
collateral pledged to the bank.
31 December 2024
Offset in the statement
of financial position
Not offset in the statement
of financial position
Net
exposure4
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet
netting
with gross
liabilities
Carrying
amount\u00b9
Master
netting
agree-
ment\u00b2
Financial
instru-
ments
collateral
Property
& equip-
ment
Other
collateral
and gua-
rantees
Total risk
mitigation
- of which
surplus
collateral\u00b3
Loans and advances banks
Residential mortgages
1,863
1,863
13
3,333
1
3,348
1,483
-1
Consumer loans
120
120
18
62
80
27
66
Corporate loans
2,299
2,299
774
1,768
230
2,773
825
351
Other loans and advances
customers
5
5
5
Total\u00a0loans and advances
\u00a0customers
4,287
4,287
805
5,163
232
6,201
2,335
421
Total loans and advances
4,287
4,287
805
5,163
232
6,201
2,335
421
1. 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.
31 December 2023
Offset in the statement
of financial position
Not offset in the statement
of financial position
Net
exposure4
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet
netting
with gross
liabilities
Carrying
amount\u00b9
Master
netting
agree-
ment\u00b2
Financial
instru-
ments
collateral
Property
& equip-
ment
Other
collateral
and gua-
rantees
Total risk
mitigation
- of which
surplus
collateral\u00b3
Loans and advances banks
Residential mortgages
1,167
1,167
11
2,015
2
2,028
862
1
Consumer loans
137
137
11
67
4
82
23
78
Corporate loans
2,319
2,319
762
1,674
156
2,592
711
438
Other loans and advances
customers
6
6
5
5
1
Total\u00a0loans and advances
\u00a0customers
3,629
3,629
784
3,756
167
4,707
1,596
518
Total loans and advances
3,629
3,629
784
3,756
167
4,707
1,596
518
1. 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 increase in the stage 3 carrying amount
(including POCI) to EUR 4.3 billion (31 December 2023:\u00a0
EUR 3.6 billion), total risk mitigation increased
to\u00a0EUR\u00a06.2 billion in 2024 (31 December 2023:
EUR\u00a04.7\u00a0billion). This increase was mainly observed in
residential mortgages and, to a lesser extent, corporate
loans. The increase in residential mortgages collateral
was caused by an increase in residential real estate
values. The carrying amount of the stage 3 portfolio
(including POCI) increased, but the total risk mitigation
increased more, so net exposure decreased by
EUR\u00a097\u00a0million to EUR 421 million at
31\u00a0December\u00a02024.
During 2024, ABN AMRO obtained property and
equipment by taking possession of collateral held as
security for loans and advances. The total amount
of\u00a0such assets held on 31 December 2024 amounted
to\u00a0EUR 4 million (2023: EUR 4 million). ABN AMRO does
not intend to use these assets in its operations and will
pursue timely and orderly realisation of the collateral.
Financial liabilities: offsetting, netting, collateral and guarantees\u00a0\u00a0
Audited
31 December 2024
Offset in the statement
of financial position
Not offset in the statement
of financial position
Net
exposure\u00b3
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet netting
with gross
assets
Carrying
amount
Master
netting
agree-
ment\u00b9
Financial
instru-
ments
collateral
Total risk
mitigation
- of which
surplus
collateral\u00b2
Financial liabilities held for trading
1,163
1,163
1,163
Derivatives
2,499
2,499
1,590
207
1,797
27
729
Securities financing
15,555
5,203
10,352
846
15,792
16,638
6,305
19
Deposits
2,329
2,329
658
658
1,671
Due to banks
2,329
2,329
658
658
1,672
Deposits
254,998
710
254,288
1,589
1,589
252,699
Other borrowings
1,899
1,899
1,698
1,698
200
Due to customers
256,896
710
256,186
3,287
3,287
252,900
Other liabilities
4,247
1
4,247
4,247
Total\u00a0liabilities subject to netting
arrangements
282,689
5,914
276,776
6,380
15,999
22,379
6,332
260,728
Remaining liabilities not subject to netting
82,163
82,163
82,163
Total liabilities
364,852
5,914
358,939
6,380
15,999
22,379
6,332
342,892
1. Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these
agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.
2. Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.
3. Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.
31 December 2023
Offset in the statement
of financial position
Not offset in the statement
of financial position
Net
exposure4
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less: balance-
sheet netting
with gross
assets
Carrying
amount
Master
netting
agree-
ment\u00b2
Financial
instru-
ments
collateral
Total risk
mitigation
- of which
surplus
collateral\u00b3
Financial liabilities held for trading
917
917
917
Derivatives
2,856
2,856
1,994
1,994
861
Securities financing\u00b9
20,084
8,373
11,710
1,130
19,566
20,696
9,313
327
Deposits
5,351
5,351
544
544
4,807
Due to banks
5,352
5,352
544
544
4,808
Deposits
253,831
1,211
252,620
1,424
1,424
251,196
Other borrowings
1,846
1,846
1,750
1,750
96
Due to customers
255,677
1,211
254,466
3,174
3,174
251,292
Other liabilities
5,741
5,741
2
5,743
Total\u00a0liabilities subject to netting
arrangements
290,626
9,584
281,041
6,843
19,566
26,409
9,316
263,948
Remaining liabilities not subject to netting
72,700
72,700
72,700
Total liabilities
363,326
9,584
353,741
6,843
19,566
26,409
9,316
336,648
1. ABN AMRO has performed a detailed review on its classification of items in securities financing line. This resulted in an improvement of the identification of non-cash
collateral. For 2023, this resulted in the balance of financial instruments collateral, which is not offset in the statement of financial position, to increase by EUR 9.5 billion to
EUR 19.6 billion. It was adjusted for comparative purposes.
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.
Market risk management for
the\u00a0trading\u00a0book\u00a0\u00a0
Audited
Positions held with trading intent and hedges for
positions held with trading intent must be included
in\u00a0the bank's 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 as
principal in key financial markets where our clients are
active. Market risk in the trading book is the risk
of\u00a0losses in market value due to adverse market
movements. The following market risks are inherent
in\u00a0the trading book:
\u2022 interest rate risk, arising from adverse changes
in\u00a0interest rate risk curves and/or interest rate
volatilities
\u2022 credit spread risk, arising from adverse changes
in\u00a0the\u00a0term 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\u00a0client-focused business strategy and strict risk focus.
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\u00a0subsidiary committee of the Group Risk Committee.
Market risk measurement for
the\u00a0trading\u00a0book\u00a0\u00a0
Audited
ABN AMRO measures and manages market risk
in\u00a0the\u00a0trading book on a daily basis. The key metrics
used are economic capital, regulatory capital,
Value\u2011at\u2011Risk (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 in the Central Trading Risk policy.
Metrics and models are managed, reviewed, assessed
and, if required, adjusted in a similar way as
in\u00a0the\u00a0banking book. Other important tools to ensure
the adequacy of the models, alongside the formal
validation and review of models, are the daily
explanation of risk reporting figures, periodic portfolio
reviews and regular back-testing.
Validation procedure
For all models, including market risk models, we have
a\u00a0model risk policy in place. This policy requires model
assumptions and limitations to be documented and
independently validated by Model Validation. For material
changes, the regulator performs an on-site investigation
before such a model change is applied in production.
Economic capital
The calculation of economic capital for market risk
in\u00a0the trading book is based on the daily VaR, SVaR and
IRC at a 99.9% confidence level.
Stress testing and scenario analysis
Stress testing and scenario analysis are designed
to\u00a0focus 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\u00a0the 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\u00a0holding period is monitored as a measure
of\u00a0the\u00a0positions\u2019 liquidity.
Internal aggregated diversified and
undiversified VaR for all trading positions
Audited
ABN AMRO applies a diversified portfolio VaR approach
that takes into account the fact that returns across risk
factors may offset one another to a certain extent and
consequently reduce risk. As long as these returns are
not perfectly correlated to one another, VaR figures
based on a diversified portfolio approach will be lower
than if the figures are calculated using undiversified
VaR. Undiversified VaR means that the VaR figures
computed for the different risk factors are aggregated
without taking into account any offset across risk
factors, negating the potential for risk reduction.
The\u00a0following graph shows the total one-day VaR at
a\u00a099% confidence level (\u2018VaR diversified\u2019) and
aggregation of the stand-alone risk factors
(\u2018VaR\u00a0undiversified\u2019).
Internal aggregated diversified and undiversified VaR for all trading positions\u00a0\u00a0
Audited
31 December 2024
(in millions)
Foreign
exchange
Interest
rate
Total undiversified
VaR
Diversified
VaR
VaR at last trading day of the period
0.1
5.0
5.2
5.1
Highest VaR
0.4
7.3
7.5
7.3
Lowest VaR
1.3
1.4
1.3
Average VaR
0.1
4.0
4.1
4.0
31 December 2023
VaR at last trading day of the period
0.1
3.0
3.1
3.1
Highest VaR
0.4
8.2
8.3
8.3
Lowest VaR
1.7
1.8
1.7
Average VaR
0.1
3.9
4.0
3.9
Market risk management for
the\u00a0banking\u00a0book\u00a0\u00a0
Audited
ABN AMRO has a detailed risk management framework
in place to identify, measure and control market risk
in\u00a0the banking book. This framework provides assurance
that the banking book activities remain consistent with
the bank\u2019s strategy and strict risk focus. 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\u00a0defence. 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 book
Interest 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
because 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\u00a0predict 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\u00a0manage 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 behaviour
From an interest rate risk perspective, the following
aspects of client behaviour are the most important:
\u2022 client behaviour with respect to early redemption
of\u00a0residential 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\u00a0the\u00a0interest 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\u00a0the\u00a0behavioural 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\u00a0mandated 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 risk
Interest rate risk is measured by net interest income
(NII) at risk, the present value of one basis point (PV01)
and the economic value of equity (EVE) at risk.
To\u00a0ensure a comprehensive approach to risk
management and identify potential weaknesses,
the\u00a0metrics 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 book
Credit spread risk is the risk of losses due to adverse
movements in the credit spread in the balance sheet.
A\u00a0main source is from bonds held for liquidity purposes.
It is measured as the impact on economic value
of\u00a0a\u00a01bp change in spreads to a swap rate.
The\u00a0sensitivity is measured for individual term points, as
well as for a parallel shift of the curve. Additionally, if
funding spreads widen, it costs more to fund assets on
the balance sheet. Unless this increased spread is
passed on to clients by raising client rates, the projected
net interest income will decrease. This risk is measured
using an NII-at-risk approach whereby the funding
spread increases.
Foreign exchange risk
Foreign 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/
Treasury. As a general rule, foreign exchange risk is
hedged by using cross-currency swaps to swap
the\u00a0exposure 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 the euro.
Economic capital
Economic capital for market risk in the banking book is
calculated using a parametric Monte Carlo simulation
model that determines the economic capital needed
to\u00a0absorb losses resulting from adverse movements
in\u00a0interest rates, client behaviour for mortgages and
non-maturing deposits, volatility, credit spreads and
foreign exchange rates.
Risk management approach\u00a0\u00a0
Audited
The natural maturity mismatch between our loan book
and funding portfolio requires liquidity risk management.
As we consider maturity transformation to be an integral
part of the business model, we closely monitor our
liquidity position and the resulting risks. We hold a
portfolio of highly liquid assets that can swiftly be
converted into cash in the event of unforeseen market
disruptions, thus allowing us to meet payment and
collateral obligations at all times. Funding and liquidity
risk are 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 management
The 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 various stress scenarios, based on historic stress
events. Market-wide and bank-specific stress
scenarios are defined and analysed. The goal of stress
testing is twofold. Firstly, it helps us to review our risk
management framework, i.e. the liquidity buffer size,
risk appetite and risk limits. Secondly, it allows us
to\u00a0identify ways to reduce outflows in times of crisis.
\u2022 Liquidity Coverage Ratio (LCR): The objective
of\u00a0the\u00a0LCR is to assess the short-term resilience
of\u00a0the\u00a0liquidity position by ensuring sufficient
high\u2011quality 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\u00a0this 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\u2011term
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 management
Contingency risk management aims to ensure that,
in\u00a0the event of a bank-specific or general market stress
event, the bank is able to generate sufficient liquidity
to\u00a0withstand a short- or long-term liquidity crisis.
Contingency risk management entails:
\u2022 Contingency Funding Plan: This plan sets out
the\u00a0guidelines 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 aims to manage the liquidity position
without unnecessarily jeopardising commercial
activities, while limiting excessive funding costs
in\u00a0severe market circumstances.
\u2022 Collateral posting in the event of a rating
downgrade: Credit rating downgrades may result in
increased collateral requirements. We monitor these
potential additional collateral postings in our liquidity
risk management framework. Our collateral capabilities
are set out in our collateral management framework.
\u2022 Collateral posting to guarantee access to critical
Financial Market Infrastructures (FMI): Access
to\u00a0critical FMI is essential for conducting our business
and collateral requirements may increase in times
of\u00a0stress. 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\u00a0substantial 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 composition\u00a0\u00a0
Audited
31 December 2024
31 December 2023
Liquidity
buffer
LCR
eligible
Liquidity
buffer
LCR
eligible
(in billions, liquidity value)
Level 1
Level 2
Level 1
Level 2
Cash & central bank deposits\u00b9
42.3
42.3
51.4
51.4
Government bonds
35.9
34.4
2.1
26.9
27.0
0.5
Supra national & Agency bonds
10.5
10.8
10.1
10.5
Covered bonds
5.9
5.6
5.0
4.6
0.1
Retained covered bonds
17.4
16.1
Other
0.3
0.2
0.2
0.2
Total liquidity buffer
112.2
93.1
2.3
109.7
93.5
0.8
- of which ESG bonds\u00b2
5.1
4.9
4.4
4.5
1. The mandatory cash reserve with the central bank has been deducted from the cash and central bank deposits in the liquidity buffer.
2. ESG bonds are bonds whose proceeds are invested in line with the International Capital Market Association Green Bond Principles, the Social Bond Principles or a
combination of the two. Inclusion of such bonds in our ESG portfolio is subject to the availability of ESG reporting, a thorough project selection process and sound
management of proceeds. To preserve the portfolios\u2019 high quality and liquidity, these bonds must also meet the high quality liquid assets criteria of the European Banking
Authority.
The liquidity buffer increased to EUR 112.2 billion
at\u00a031\u00a0December 2024 (31 December 2023:
EUR\u00a0109.7\u00a0billion) and consisted 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\u00a0
liquidity buffer and the LCR eligible buffer as
the\u00a0internal assessment of the liquidity buffer may
deviate from the LCR definition.
ESG bond holdings increased by 16% in 2024 and
amounted to EUR 5.1 billion in liquidity value at
year\u2011end (31 December 2023: EUR 4.4 billion),
reflecting 7% of total bonds in the liquidity buffer.
Liquidity buffer - currency diversification\u00a0\u00a0
Audited
31 December 2024
31 December 2023
Liquidity value
(in billions)
Percentage
of total
Liquidity value
(in billions)
Percentage
of total
EUR
98.3
87.6%
99.5
90.7%
USD
9.9
8.8%
8.0
7.3%
JPY
2.4
2.2%
0.6
0.5%
GBP
0.2
0.2%
0.2
0.2%
SGD
1.4
1.2%
1.4
1.3%
Total
112.2
100.0%
109.7
100.0%
The above table shows the breakdown per currency
in\u00a0the liquidity buffer. The currency composition reflects
the composition of the balance sheet, which mainly
consists of EUR and USD exposures. The monthly
averages of the liquidity buffer are shown
in\u00a0the\u00a0following table.
Liquidity buffer composition - monthly average\u00a0\u00a0
Audited
(in billions, liquidity value)
2024
2023
Cash & central bank deposits\u00b9
39.0
60.2
Government bonds
31.4
23.3
Supra national & Agency bonds
9.4
8.1
Covered bonds
5.7
3.9
Retained covered bonds
17.6
11.1
Other
2.2
0.8
Total
105.3
107.6
1. 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 breakdown\u00a0\u00a0
Audited
Client deposits are our main source of funding,
complemented by a well-diversified book of wholesale
funding. The following table shows the liability and
equity breakdown for the full balance sheet.
Liability and equity breakdown\u00a0\u00a0
Audited
(in billions)
31 December 2024
31 December 2023
Due to Customers
256.2
254.5
Issued debt & Subordinated liabilities
81.2
71.8
Due to banks
2.3
5.4
Securities financing
10.4
11.7
Equity
26.1
24.2
Other
8.9
10.4
Total
385.0
377.9
Breakdown of client deposits\u00a0\u00a0
Audited
(in billions)
\"17042430254418\"
Available funding instruments\u00a0\u00a0
Audited
A 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\u00a0following table shows a breakdown of total
funding\u00a0instruments.
Overview of funding instruments\u00a0\u00a0
Audited
(in millions)
31 December 2024
31 December 2023
Commercial Paper/Certificates of Deposit
17,922
13,741
Covered bonds
23,921
23,853
Secured funding (long-term)
23,921
23,853
Senior preferred
13,373
12,726
- of which ESG bonds\u00b9
3,947
2,832
Senior non-preferred
19,327
15,907
- of which ESG bonds\u00b9
6,620
6,481
Unsecured funding (long-term)
32,700
28,633
Total issued debt
74,542
66,227
Subordinated liabilities
6,613
5,572
Wholesale funding
81,155
71,800
Other long-term funding 2, 3
723
3,546
Total funding instruments 4
81,879
75,346
- of which matures within one year
29,421
20,481
1. Our Green Bond Framework comprises a set of criteria for the issuance of green bonds, including how we allocate the issue proceeds from green bonds to eligible assets,
and independent assurance on the allocation of proceeds to eligible green assets. Green bonds have been issued since 2015, with a focus on sustainable real estate and
renewable energy, and enable investors to invest in, for example, energy efficiency through residential mortgages.
2. Includes funding obtained apart from our long-term programmes and consists mainly of unsecured funding.
3. Funding with the European Union as counterparty (recorded in due to banks) has been included in other long-term funding. Comparative figures have been adjusted
accordingly.
4. Includes FX effects, fair value adjustments and interest movements.
Total funding instruments increased to EUR 81.9 billion
at 31 December 2024 (31 December 2023:
EUR\u00a075.3\u00a0billion). This was mainly driven by the increase
in commercial paper/certificates of deposit to absorb
regular short-term volatility in the balance sheet,
the\u00a0increase in senior non-preferred funding in order
to\u00a0meet MREL requirements and the increase
in\u00a0subordinated liabilities in order to meet Own Funds
requirements. The increase in total funding instruments
was partly offset by the repayment of EUR 3.0 billion
of\u00a0TLTRO III. Total ESG bonds outstanding increased by
14% in 2024 to EUR 10.6 billion at year-end
(31\u00a0December 2023: EUR 9.3 billion), which is 32%
of\u00a0total unsecured long term funding and 14% of total
issued debt.
Funding issuance in 2024\u00a0
Audited
Total long-term funding raised in 2024 amounted
to\u00a0EUR 7.5 billion. This included EUR 1.3 billion
in\u00a0covered bonds, EUR 2.3 billion in senior preferred
funding, EUR 2.9 billion in senior non-preferred funding,
EUR 0.8 billion in subordinated liabilities and
EUR\u00a00.3\u00a0billion in other funding. In addition,
EUR\u00a01.5\u00a0billion additional tier 1 (AT1) capital
instruments were raised in 2024. These AT1 capital
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\u00a02024\u00a0and\u00a02023\u00a0\u00a0
Audited
(notional amounts at issuance, in billions)
\"17042430255097\"
Long-term wholesale funding in non-euro currencies
increased to 21.3% of total outstanding long-term
wholesale funding, compared with 17.7% at
31\u00a0December 2023. In 2024, the bank raised its
long\u2011term wholesale funding in euros and dollars.
The\u00a0diversification 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 funding\u00a0\u00a0
Audited
(in billions)
\"17042430255469\"
Maturity calendar\u00a0\u00a0
Audited
31 December 2024
(notional amounts, in billions)
2025
2026
2027
2028
2029
2030
2031
2032
2033
2034
\u2265 2035
Total
Covered bonds
0.6
1.6
1.9
0.6
0.4
1.9
3.1
2.3
2.3
0.9
10.8
26.4
Senior preferred
6.5
3.6
1.5
0.3
0.3
0.1
0.9
0.1
13.3
Senior non-preferred
2.0
2.4
3.2
4.2
1.0
1.3
1.8
1.0
2.8
0.1
19.6
Subordinated liabilities
1.4
1.0
1.5
0.8
2.0
6.7
Other long-term funding\u00b9
0.3
0.2
0.3
0.7
Total long-term funding
10.4
8.9
8.3
5.9
1.7
3.5
6.0
4.0
3.3
3.7
10.9
66.7
31 December 2023
2024
2025
2026
2027
2028
2029
2030
2031
2032
2033
\u2265 2034
Total
Total 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
65.2
1. Includes funding obtained apart from our long-term programmes and consists mainly of unsecured funding.
We target a maturity profile where redemptions
of\u00a0funding instruments are well spread over time.
The\u00a0average remaining maturity of outstanding
long\u2011term funding decreased to 5.4 years at year-end
2024 (5.8 years at year-end 2023). The average
remaining maturity of newly issued wholesale funding
increased to 4.8 years at year-end 2024 (up from 3.3
years at year\u2011end 2023). The maturity calendar assumes
redemption on the earliest possible call date or
the\u00a0legal maturity date, which does not mean that
the\u00a0instruments will be called at the earliest possible
call date. Early redemption of subordinated liabilities is
subject to approval by the regulator.
Gross carrying amount \u2013 residential mortgages\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Balance at 1 January
138,671
11,115
1,292
151,078
140,450
9,169
1,143
150,762
Transfer to stage 1
5,562
-5,523
-39
2,927
-2,922
-5
Transfer to stage 2
-11,651
11,966
-316
-6,111
6,435
-324
Transfer to stage 3
-795
-452
1,247
-306
-383
689
Additional drawdowns and partial repayments
-11,615
23
2
-11,591
-10,497
-904
-7
-11,408
Originated or purchased
18,978
18,978
13,824
13,824
Matured or repaid
-1,055
-931
-261
-2,247
-1,605
-280
-202
-2,088
Write-offs
-2
-2
-1
-1
Foreign exchange
1
Other movements
77
-80
-4
-7
-11
-11
Balance at 31 December
138,172
16,118
1,919
156,209
138,671
11,115
1,292
151,078
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Gross carrying amount \u2013 consumer loans\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Closing balance of the previous year
7,658
467
255
8,380
9,121
749
363
10,232
Impact adopting IFRS 17
-1,061
-103
-83
-1,247
Balance at 1 January
7,658
467
255
8,380
8,060
646
279
8,985
Transfer to stage 1
145
-136
-10
298
-285
-13
Transfer to stage 2
-237
265
-28
-259
274
-15
Transfer to stage 3
-43
-22
65
-52
-34
86
Additional drawdowns and partial repayments
-512
56
-3
-460
-452
9
19
-424
Originated or purchased
1,237
1,237
1,433
1,433
Matured or repaid
-1,383
-143
-26
-1,552
-1,430
-144
-42
-1,617
Write-offs
-31
-31
-58
-58
Foreign exchange
1
1
1
Other movements
60
60
Balance at 31 December
6,866
487
222
7,575
7,658
467
255
8,380
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Gross carrying amount \u2013 corporate loans\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Balance at 1 January
73,324
10,308
3,152
86,784
69,103
13,963
3,666
86,731
Transfer to stage 1
2,983
-2,973
-10
5,317
-5,210
-107
Transfer to stage 2
-3,469
3,789
-320
-4,764
5,420
-657
Transfer to stage 3
-630
-713
1,343
-773
-695
1,467
Additional drawdowns and partial repayments
-4,054
1,175
-139
-3,019
302
1,098
-19
1,381
Originated or purchased
22,541
22,541
21,897
21,897
Matured or repaid
-17,785
-3,082
-589
-21,456
-17,389
-4,170
-954
-22,513
Write-offs
-317
-317
-274
-274
Foreign exchange
854
50
21
925
-350
-92
-18
-461
Other movements
-1,536
-64
-30
-1,630
-19
-7
48
22
Balance at 31 December
72,227
8,490
3,110
83,827
73,324
10,308
3,152
86,784
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Gross carrying amount \u2013 off-balance\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b9
Total\u00b9
Stage 1
Stage 2
Stage 3\u00b9
Total\u00b9
Balance at 1 January
52,141
3,507
965
56,613
50,187
6,209
700
57,095
Transfer to stage 1
1,123
-1,120
-3
2,543
-2,505
-38
Transfer to stage 2
-1,171
1,260
-89
-1,564
1,632
-68
Transfer to stage 3
-160
-113
273
-139
-90
230
Additional drawdowns and partial repayments
-12,098
-246
-538
-12,882
-8,615
-1,421
165
-9,872
Originated or purchased
11,397
11,397
10,341
10,341
Matured or repaid
-384
-4
-388
-519
-302
-22
-844
Foreign exchange
487
6
23
516
-91
-15
-2
-108
Other movements
79
79
Balance at 31 December
51,414
3,293
627
55,334
52,141
3,507
965
56,613
1. Including POCI.
Additional information on impairment charges
Loan impairment charges and allowances \u2013 residential mortgages\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Balance at 1 January
24
49
125
198
21
57
75
153
Transfer to stage 1
19
-20
-3
-4
14
-18
-1
-4
Transfer to stage 2
-2
37
-29
6
-2
28
-19
7
Transfer to stage 3
-1
-5
21
16
-1
-5
30
24
Remeasurements\u00b9
-8
-17
-48
-73
-13
-6
54
35
Changes in risk parameters
1
1
-1
1
4
-1
3
Originated or purchased
4
4
4
4
Matured or repaid
-2
-3
-9
-14
-1
-6
-10
-17
Impairment charges (releases) on loans
and advances
12
-7
-69
-64
4
-7
54
51
Write-offs
-2
-2
-1
-1
Unwind discount / unearned interest accrued
1
1
2
2
Foreign exchange and other movements
1
-1
-2
-4
-7
Balance at 31 December
36
42
55
133
24
49
125
198
Impairment charges (releases) on loans and
advances
12
-7
-69
-64
4
-7
54
51
Recoveries and other charges (releases)
-11
-11
-14
-14
Total impairment charges for the period
12
-7
-80
-75
4
-7
39
37
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 consumer loans\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Closing balance of the previous year
18
11
118
147
30
36
211
277
Impact adopting IFRS 17
-6
-19
-75
-100
Balance at 1 January
18
11
118
147
25
16
136
177
Transfer to stage 1
4
-3
-4
-4
7
-7
-4
-5
Transfer to stage 2
-1
8
-6
-3
8
-6
-1
Transfer to stage 3
-2
31
29
-3
-2
35
30
Remeasurements\u00b9
-9
1
-6
-15
-11
-4
-15
Changes in risk parameters
-1
3
3
6
6
Originated or purchased
3
3
3
3
Matured or repaid
-1
-5
-6
-2
-1
-6
-8
Impairment charges (releases) on loans
and advances
-5
4
12
11
-9
-6
26
10
Write-offs
-31
-31
-58
-58
Unwind discount / unearned interest accrued
3
3
3
3
Foreign exchange and other movements
-1
2
1
11
15
Balance at 31 December
12
15
102
130
18
11
118
147
Impairment charges (releases) on loans and
advances
-5
4
12
11
-9
-6
26
10
Recoveries and other charges (releases)
-25
-25
-29
-29
Total impairment charges for the period
-5
4
-12
-13
-9
-6
-4
-19
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 corporate loans\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Balance at 1 January
192
228
833
1,254
256
301
1,033
1,590
Transfer to stage 1
39
-47
-1
-10
88
-103
-5
-20
Transfer to stage 2
-29
59
-8
23
-36
55
-33
-14
Transfer to stage 3
-5
-23
164
137
-10
-51
194
133
Remeasurements\u00b9
-89
-29
102
-16
-96
54
-71
-112
Changes in risk parameters
-6
-5
-11
-34
-1
-35
Originated or purchased
33
33
32
32
Matured or repaid
-15
-20
-25
-60
-9
-9
-37
-54
Impairment charges (releases) on loans
and advances
-72
-64
232
96
-65
-55
49
-71
Write-offs
-317
-317
-274
-274
Unwind discount / unearned interest accrued
22
22
29
29
Foreign exchange and other movements
-2
6
40
45
1
-17
-3
-20
Balance at 31 December
119
170
811
1,100
192
228
833
1,254
Impairment charges (releases) on loans and
advances
-72
-64
232
96
-65
-55
49
-71
Recoveries and other charges (releases)
-48
-48
-67
-67
Total impairment charges for the period
-72
-64
184
48
-65
-55
-19
-139
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 off-balance\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b3
Total\u00b3
Stage 1
Stage 2
Stage 3\u00b3
Total\u00b3
Balance at 1 January
16
12
81
109
25
16
10
51
Transfer to stage 1
2
-2
4
-5
-1
Transfer to stage 2
-2
4
2
-4
5
2
Transfer to stage 3
17
17
Remeasurements\u00b9
-10
-1
33
22
-7
-1
55
47
Changes in risk parameters
-4
-4
Originated or purchased
5
5
8
8
Matured or repaid
-4
-2
-7
-7
-2
-9
Impairment charges (releases)
-10
-1
33
22
-10
-3
72
60
Foreign exchange and other movements
1
-1
-34
-34
1
-1
-1
-1
Balance at 31 December
6
10
80
96
16
12
81
109
Impairment charges (releases) on off-balance
-10
-1
33
22
-10
-3
72
60
Other charges (releases)\u00b2
-90
-90
Total impairment charges for the period
-10
-1
33
22
-10
-3
-18
-30
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. In 2023, 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\u00a0 credit\u00a0 quality\u00a0\u00a0
Audited
31 December 2024
(in millions)
Total
forborne
assets
Forborne assets
not past due and
not stage 3
or POCI
Forborne assets
past due, but
not stage 3
or POCI
Impaired
forborne
assets
Specific
allowance
Collective
allowance
Total
allowance
Loans and advances banks
Residential mortgages
1,045
525
106
413
23
23
Consumer loans\u00b9
114
54
14
45
6
15
21
Corporate loans\u00b9
3,932
2,107
100
1,725
342
96
438
Other loans and advances customers\u00b9
1
1
Total\u00a0loans and advances\u00a0customers\u00b9
5,092
2,687
220
2,186
349
134
483
Total loans and advances\u00b9
5,092
2,687
220
2,186
349
134
483
Loans at FV through P&L
8
8
Total loans and advances
5,100
2,694
220
2,186
349
134
483
1. Excluding loans at fair value through P&L.
31 December 2023
(in millions)
Total
forborne
assets
Forborne assets
not past due and
not stage 3
or POCI
Forborne assets
past due, but
not stage 3
or POCI
Impaired
forborne
assets
Specific
allowance
Collective
allowance
Total
allowance
Loans and advances banks
Residential mortgages
1,048
639
8
400
47
47
Consumer loans\u00b9
103
32
16
56
5
14
20
Corporate loans\u00b9
4,367
2,471
12
1,884
404
95
499
Other loans and advances customers\u00b9
2
2
1
1
Total\u00a0loans and advances\u00a0customers\u00b9
5,519
3,142
35
2,342
410
156
566
Total loans and advances\u00b9
5,519
3,142
35
2,342
410
156
566
Loans at FV through P&L
16
15
Total loans and advances
5,535
3,157
36
2,342
410
156
566
1. Excluding loans at fair value through P&L.
Forborne\u00a0 assets\u00a0 by\u00a0 geography\u00a0\u00a0
Audited
31 December 2024
(in millions)
The
Netherlands
Rest of
Europe
USA
Asia
Rest of
the world
Total
Loans and advances banks
Residential mortgages
1,020
24
1,045
Consumer loans\u00b9
82
33
114
Corporate loans\u00b9
2,969
846
42
76
3,932
Other loans and advances customers\u00b9
1
1
Total\u00a0loans and advances\u00a0customers\u00b9
4,070
902
42
78
5,092
Total loans and advances\u00b9
4,070
902
42
78
5,092
Loans at FV through P&L
8
8
Total loans and advances
4,079
902
42
78
5,100
1. Excluding loans at fair value through P&L.
31 December 2023
(in millions)
The
Netherlands
Rest of
Europe
USA
Asia
Rest of
the world
Total
Loans and advances banks
Residential mortgages
1,046
1
1,048
Consumer loans\u00b9
82
21
103
Corporate loans\u00b9
3,400
784
99
2
82
4,367
Other loans and advances customers\u00b9
2
2
Total\u00a0loans and advances\u00a0customers\u00b9
4,528
807
99
2
83
5,519
Total loans and advances\u00b9
4,528
807
99
2
83
5,519
Loans at FV through P&L
16
16
Total loans and advances
4,544
807
99
2
83
5,535
1. Excluding loans at fair value through P&L.
Forborne\u00a0 assets\u00a0 by\u00a0 business\u00a0 segment\u00a0\u00a0
Audited
(in millions)
31 December 2024
31 December 2023
Personal & Business Banking
1,924
1,984
Wealth Management
295
272
Corporate Banking
2,881
3,278
Total forborne assets
5,100
5,535
Maturity overview of assets and liabilities\u00a0\u00a0
Audited
The following tables show financial assets and liabilities
arranged by the earliest possible contractual maturity.
Contractual maturity of assets and liabilities\u00a0\u00a0
Audited
31 December 2024
(in millions)
On
demand
Trading
deriva-
tives
Up to
one
month
Between
one and
three
months
Between
three
and six
months
Between
six and
twelve
months
Between
one
and two
years
Between
two
and five
years
More
than five
years
No
maturity
Total
Assets:
Cash and balances at
central banks
44,464
44,464
Financial assets held for trading
85
30
169
176
319
202
663
860
2,503
Derivatives
3,892
27
2
3
2
102
318
4,347
Financial investments
932
2,246
1,115
2,613
3,125
4,959
13,334
17,873
977
47,173
Securities financing
1,584
20,935
3,043
922
505
26,989
Loans and advances banks
788
783
12
3
52
34
225
152
2,049
Loans and advances customers
17,757
7,454
4,497
3,976
7,399
12,562
36,445
158,692
248,782
Other assets
2,513
3,115
906
1,423
23
277
190
292
8,739
Total assets
68,123
3,892
34,590
9,742
9,115
11,426
18,036
50,959
178,188
977
385,047
Liabilities:
Financial liabilities held for trading
85
159
9
64
60
263
523
1,163
Derivatives
2,119
54
3
4
18
36
37
228
2,499
Securities financing
101
9,649
601
10,352
Due to banks
1,128
632
377
78
6
5
2
102
2,329
Due to customers
194,039
38,379
7,202
4,515
3,013
1,091
1,453
6,493
256,186
Issued debt
6,471
7,608
10,988
1,910
7,638
13,449
26,478
74,542
- of which senior secured
51
38
485
1,589
2,988
18,770
23,921
- of which senior unsecured
1,862
5,218
1,401
6,050
10,462
7,707
32,700
- of which other
4,608
7,557
5,732
24
17,922
Subordinated liabilities
4
1,452
935
2,374
1,848
6,613
Other liabilities
3,255
829
494
543
21
102
6
5
5,254
Total liabilities
198,523
2,119
56,103
16,444
16,136
6,484
9,867
17,584
35,677
358,939
Total equity
26,108
26,108
Total liabilities and equity
198,523
2,119
56,103
16,444
16,136
6,484
9,867
17,584
35,677
26,108
385,047
Off-balance sheet liabilities
Committed credit facilities
52,617
52,617
Guarantees and
other commitments
6,638
6,638
Total off-balance sheet
liabilities
59,255
59,255
31 December 2023
(in millions)
On
demand
Trading
deriva-
tives
Up to
one
month
Between
one and
three
months
Between
three
and six
months
Between
six and
twelve
months
Between
one
and two
years
Between
two
and five
years
More
than five
years
No
maturity
Total
Assets:
Cash and balances at
central banks
53,656
53,656
Financial assets held for trading
13
18
57
35
72
178
495
504
1,371
Derivatives
4,038
15
7
1
17
6
62
259
4,403
Financial investments
814
1,188
1,865
2,549
2,104
4,707
12,115
15,320
838
41,501
Securities financing
1,098
18,141
1,265
996
2
21,503
Loans and advances banks
814
561
26
223
22
22
182
473
2,324
Loans and advances customers
8,498
9,836
4,986
3,321
7,834
13,814
34,399
163,246
245,935
Other assets
3,001
2,647
724
63
146
14
534
89
7,218
Total assets
67,895
4,038
32,404
8,931
7,188
10,197
18,741
47,787
179,891
838
377,909
Liabilities:
Financial liabilities held for trading
3
79
22
95
25
89
233
370
917
Derivatives
2,422
39
7
6
2
24
82
274
2,856
Securities financing
301
10,653
753
2
11,710
Due to banks
870
806
180
3,159
45
76
53
163
5,352
Due to customers
203,764
25,275
7,022
5,638
4,382
595
1,665
6,124
254,466
Issued 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 unsecured
1,557
121
31
116
8,294
12,479
5,993
28,590
- of which other
16
4,081
6,761
2,106
732
67
22
13,784
Subordinated liabilities
1,342
3,210
1,020
5,572
Other liabilities
1,987
3,593
426
64
24
538
5
6
6,641
Total liabilities
206,942
2,422
47,614
15,407
11,129
5,493
11,523
20,595
32,617
353,741
Total equity
24,168
24,168
Total liabilities and equity
206,942
2,422
47,614
15,407
11,129
5,493
11,523
20,595
32,617
24,168
377,909
Off-balance sheet liabilities
Committed credit facilities
53,968
53,968
Guarantees and
other commitments
6,289
6,289
Total off-balance sheet
liabilities
60,257
60,257
Maturity based on contractual undiscounted
cash flows\u00a0\u00a0
Audited
The following tables show financial assets and liabilities
arranged by their earliest possible contractual maturity.
31 December 2024
(in millions)
On
demand
Trading
deriva-
tives
Up to
one
month
Between
one and
three
months
Between
three
and six
months
Between
six and
twelve
months
Between
one
and two
years
Between
two
and five
years
More
than five
years
No
maturity
Total
Assets:
Cash and balances at
central banks
44,464
44,464
Financial assets held for trading
85
32
176
191
343
242
722
912
2,702
Derivatives
3,892
96
260
649
1,223
2,300
4,393
4,332
17,146
Financial investments
932
2,286
1,265
2,969
3,738
5,952
14,812
19,203
977
52,134
Securities financing
1,584
20,981
3,070
940
509
27,083
Loans and advances banks
788
815
61
123
259
387
637
491
3,561
Loans and advances customers
17,757
7,824
5,926
7,462
13,783
23,881
58,666
180,604
315,901
Other assets
2,513
3,118
910
1,429
29
284
201
302
8,786
Total undiscounted assets
68,123
3,892
35,152
11,667
13,762
19,884
33,046
79,431
205,844
977
471,778
- of which:
Gross settled derivatives
not held for trading:
Contractual amounts receivable
255
253
149
114
175
355
117
1,418
Contractual amounts payable
140
157
81
73
140
254
76
921
Total undiscounted gross
settled derivatives not held
for trading
115
96
68
41
36
101
41
497
Net settled derivatives not held
for trading
183
128
243
495
1,076
1,636
3,761
Liabilities:
Financial liabilities held for
trading
86
162
16
77
83
301
559
1,285
Derivatives
2,119
138
292
716
1,304
2,171
4,398
4,601
15,739
Securities financing
101
9,670
605
10,376
Due to banks
1,128
635
381
81
11
13
22
122
2,394
Due to customers
194,039
38,431
7,277
4,637
3,169
1,336
1,933
6,967
257,788
Issued debt
6,568
7,954
11,705
3,100
9,534
16,595
29,415
84,870
Subordinated liabilities
18
56
139
1,670
1,260
2,769
2,178
8,090
Other liabilities
3,255
826
486
535
17
101
5
4
5,228
Total liabilities
198,523
2,119
56,371
17,212
17,830
9,349
14,498
26,023
43,846
385,771
- of which:
Gross settled derivatives
not held for trading:
Contractual amounts receivable
109
27
52
52
29
12
19
300
Contractual amounts payable
71
36
32
58
29
10
12
248
Total undiscounted gross
settled derivatives not held
for trading
-38
9
-20
6
-2
-7
-51
Net settled derivatives not held
for trading
180
-153
20
98
39
379
961
1,525
Net liquidity gap
-130,400
1,773
-21,219
-5,545
-4,068
10,535
18,548
53,408
161,998
977
86,007
Off-balance sheet liabilities
Committed credit facilities
52,617
52,617
Guarantees and
other commitments
6,638
6,638
Total off-balance sheet
liabilities
59,255
59,255
31 December 2023
(in millions)
On
demand
Trading
deriva-
tives
Up to
one
month
Between
one and
three
months
Between
three
and six
months
Between
six and
twelve
months
Between
one
and two
years
Between
two
and five
years
More
than five
years
No
maturity
Total
Assets:
Cash and balances at
central banks
53,656
53,656
Financial assets held for trading
13
19
60
42
85
198
522
528
1,468
Derivatives
4,038
53
155
366
683
1,235
2,476
2,524
11,531
Financial investments
814
1,216
1,973
2,799
2,541
5,410
13,141
16,239
838
44,970
Securities financing
1,098
18,179
1,280
1,006
2
21,565
Loans and advances banks
814
604
136
459
398
711
1,415
1,658
6,195
Loans and advances customers
8,498
10,196
6,362
6,679
13,988
24,670
55,972
184,582
310,948
Other assets
3,001
2,647
725
65
149
19
537
90
7,234
Total undiscounted assets
67,895
4,038
32,915
10,692
11,417
17,845
32,243
74,063
205,622
838
457,567
- of which:
Gross settled derivatives
not held for trading:
Contractual amounts receivable
273
100
108
117
211
457
160
1,426
Contractual amounts payable
269
94
131
104
191
383
119
1,289
Total undiscounted gross
settled derivatives not held
for trading
5
6
-23
13
20
75
41
137
Net settled derivatives not held
for trading
160
355
89
282
746
1,554
2,481
5,667
Liabilities:
Financial liabilities held for
trading
3
80
23
98
29
96
243
379
951
Derivatives
2,422
101
234
563
1,047
1,883
3,571
3,682
13,503
Securities financing
301
10,676
758
2
11,737
Due to banks
870
814
205
3,192
55
90
78
188
5,491
Due to customers
203,764
25,308
7,083
5,740
4,497
779
2,016
6,468
255,657
Issued debt
16
7,249
7,273
2,781
2,137
10,615
18,099
27,187
75,356
Subordinated liabilities
12
49
123
233
1,683
3,496
1,211
6,808
Other liabilities
1,987
3,583
417
51
2
535
4
4
6,583
Total 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
618
Contractual amounts payable
150
102
47
30
24
14
15
383
Total undiscounted gross
settled derivatives not held
for trading
-147
-56
-23
-6
3
1
-8
-235
Net settled derivatives not held
for trading
418
-42
121
266
117
211
1,075
2,167
Net liquidity gap
-139,047
1,616
-14,907
-5,352
-1,130
9,843
16,562
46,557
166,503
838
81,482
Off-balance sheet liabilities
Committed credit facilities
53,968
53,968
Guarantees and
other commitments
6,289
6,289
Total off-balance sheet
liabilities
60,257
60,257
Expected maturity based on behavioural
models\u00a0\u00a0
Audited
The following table provides an overview
of\u00a0the\u00a0amounts expected to be settled within twelve
months and after twelve months, based on
the\u00a0behavioural maturity profile.
31 December 2024
31 December 2023
(in millions)
Up to
one year
More than
one year
Total
Up to
one year
More than
one year
Total
Assets
Cash and balances at central banks
44,464
44,464
53,656
53,656
Financial assets held for trading
2,503
2,503
1,371
1,371
Derivatives
3,891
455
4,347
4,038
365
4,403
Financial investments
9,971
37,202
47,173
8,440
33,061
41,501
Securities financing
26,589
400
26,989
20,830
673
21,503
Loans and advances banks
1,510
540
2,049
1,494
829
2,324
Residential mortgages
14,735
136,655
151,390
10,591
134,284
144,875
Consumer loans at amortised cost
2,427
5,018
7,445
2,261
5,972
8,233
Consumer loans at fair value through P&L
196
404
600
178
470
648
Corporate loans at amortised cost
36,022
46,808
82,829
33,731
51,895
85,626
Corporate loans at fair value through P&L
13
17
30
23
36
59
Other loans and advances customers
6,124
363
6,487
5,975
519
6,494
Equity-accounted investments
244
244
333
333
Property and equipment
801
267
1,068
713
264
978
Goodwill and other intangible assets
253
253
99
99
Assets held for sale
1,330
1,330
130
130
Tax assets
326
326
327
327
Other assets
4,911
607
5,518
4,848
503
5,351
Total assets
156,067
228,980
385,047
148,706
229,203
377,909
Liabilities
Financial liabilities held for trading
1,163
1,163
917
917
Derivatives
2,125
374
2,499
2,422
434
2,856
Securities financing
10,256
96
10,352
11,448
262
11,710
Due to banks
2,162
167
2,329
5,008
344
5,352
Current accounts
29,264
63,482
92,746
21,862
78,086
99,948
Demand deposits
12,547
95,462
108,008
5,846
95,097
100,943
Time deposits
46,633
6,900
53,533
45,068
6,660
51,728
Other due to customers
149
1,750
1,899
72
1,775
1,846
Issued debt
26,214
48,328
74,542
17,517
48,711
66,227
Subordinated liabilities
1,446
5,167
6,613
5,572
5,572
Provisions
605
7
612
734
7
742
Tax liabilities
395
395
159
159
Other liabilities
4,239
7
4,247
5,726
15
5,741
Total liabilities
137,199
221,740
358,939
116,779
236,962
353,741
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\u00a0models 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\u00a0 \u00a0 Overview of financial assets and liabilities by measurement base
31 December 2024
(in millions)
Amortised
cost
Fair value through
profit or loss -
trading
Fair value through
profit or loss -
other
Fair value through
other comprehensive
income
Total
Financial assets
Cash and balances at central banks
44,464
44,464
Financial assets held for trading
2,503
2,503
Derivatives
3,891
455
4,347
Financial investments
977
46,196
47,173
Securities financing
26,989
26,989
Loans and advances banks
2,049
2,049
Loans and advances customers
248,152
630
248,782
Assets held for sale
1,329
1,329
Other financial assets
4,557
4,557
Total financial assets
327,540
6,394
2,063
46,196
382,193
Financial liabilities
Financial liabilities held for trading
1,163
1,163
Derivatives
2,125
374
2,499
Securities financing
10,352
10,352
Due to banks
2,329
2,329
Due to customers
256,186
256,186
Issued debt
74,337
205
74,542
Subordinated liabilities
6,613
6,613
Other financial liabilities
1,758
1,758
Total financial liabilities
351,576
3,288
579
355,443
31 December 2023
(in millions)
Amortised
cost
Fair value through
profit or loss -
trading
Fair value through
profit or loss -
other
Fair value through
other comprehensive
income
Total
Financial assets
Cash and balances at central banks
53,656
53,656
Financial assets held for trading
1,371
1,371
Derivatives
4,038
365
4,403
Financial investments
838
40,663
41,501
Securities financing
21,503
21,503
Loans and advances banks
2,324
2,324
Loans and advances customers
245,228
707
245,935
Other financial assets
4,217
4,217
Total financial assets
326,927
5,409
1,910
40,663
374,909
Financial liabilities
Financial liabilities held for trading
917
917
Derivatives
2,422
434
2,856
Securities financing
11,710
11,710
Due to banks
5,352
5,352
Due to customers
254,466
254,466
Issued debt
66,005
222
66,227
Subordinated liabilities
5,572
5,572
Other financial liabilities
3,510
3,510
Total financial liabilities
346,616
3,339
656
350,610
4\u00a0 \u00a0 Net interest income
Accounting policy for net interest income
Interest 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\u00a0expected 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\u00a0net 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)
2024
2023
Interest income calculated using the effective interest method
16,757
15,849
Other interest and similar income
351
334
Interest income
17,108
16,183
Interest expense calculated using the effective interest method
10,532
9,812
Other interest and similar expense
72
92
Interest expense
10,604
9,904
Net interest income
6,504
6,278
Interest income
(in millions)
2024
2023
Interest income from:
Financial investments at fair value through other comprehensive income
1,028
657
Securities financing
1,495
1,417
Loans and advances banks
1,917
2,350
Loans and advances customers
9,528
8,822
Non-trading derivatives - hedge accounting - Cash flow hedges
208
267
Non-trading derivatives - hedge accounting - Fair value hedges
2,369
2,078
Other
213
258
Interest income calculated using the effective interest method
16,757
15,849
Financial assets at fair value through profit or loss
34
46
Non-trading derivatives - no hedge accounting
55
83
Other
262
205
Other interest and similar income
351
334
Total interest income
17,108
16,183
\"\"
Interest expense
(in millions)
2024
2023
Interest expenses from:
Securities financing
896
961
Due to banks
333
524
Due to customers
5,260
4,043
Issued debt
2,139
1,871
Subordinated liabilities
297
282
Non-trading derivatives - hedge accounting - Cash flow hedges
654
1,343
Non-trading derivatives - hedge accounting - Fair value hedges
1,283
1,137
Other
-330
-348
Interest expense calculated using the effective interest method
10,532
9,812
Financial liabilities at fair value through profit or loss
9
9
Non-trading derivatives - no hedge accounting
43
58
Other
20
24
Other interest and similar expense
72
92
Total interest expense
10,604
9,904
7\u00a0 \u00a0 Net trading income
Accounting policy for net trading income
In accordance with IFRS 9, trading positions are held at fair value, and net trading income includes gains and
losses arising from changes in the fair value of such financial assets and liabilities. The latter comprises gains and
losses from trading financial assets and liabilities, interest income and expenses related to trading financial
assets and liabilities, and dividends received from trading instruments. Dividend income and dividends from
trading instruments are recognised at the dividend announcement date. Net trading income also includes
changes in fair value arising from changes in counterparty credit spreads (CVA) and changes in own credit
spreads (DVA) where these 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)
2024
2023
Interest instruments trading
133
69
Equity and commodity trading
1
Foreign exchange transaction results
151
143
Total net trading income
283
213
8\u00a0 \u00a0 Net gains/(losses) on derecognition of financial assets measured at amortised cost
Accounting policy derecognition of financial assets
The net gains/(losses) on derecognition of financial assets measured at amortised cost includes gains and losses
recognised on the sale or derecognition of these financial assets, calculated as the difference between the
carrying amount (which is the amortised cost adjusted for the loss allowance) and the proceeds received.
The net losses on derecognition of financial assets measured at amortised cost comprise EUR 41 million in gains and
EUR\u00a0112 million in losses and relate to several smaller portfolio sales.
13\u00a0 Cash and balances at central banks
Accounting policy for cash and balances at central banks
Cash and balances at central banks are held at amortised cost. This item includes cash on hand and available
demand deposits with central banks in countries in which the bank has a presence. Mandatory reserve deposits
are disclosed in Note 20 - Loans and advances banks.
(in millions)
31 December 2024
31 December 2023
Cash on hand and other cash equivalents
414
299
Balances with central banks readily convertible in cash other than mandatory reserve deposits
44,050
53,357
Total cash and balances at central banks
44,464
53,656
14\u00a0 Financial assets and liabilities held for trading
Accounting policy for financial assets and liabilities held for trading
In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or
loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement.
Financial assets and liabilities held for trading relates mainly to client-facilitating activities carried out by the Global
Markets business. These contracts are managed on a combined basis and are therefore assessed on a total portfolio
basis rather than as stand-alone asset and liability classes.
Financial assets held for trading
(in millions)
31 December 2024
31 December 2023
Trading securities
Government bonds
1,169
341
Corporate debt securities
1,246
1,019
Equity securities
2
1
Total trading securities
2,416
1,361
Other trading assets
87
10
Total financial assets held for trading
2,503
1,371
\"\"
Financial liabilities held for trading
(in millions)
31 December 2024
31 December 2023
Bonds
1,040
814
Equity securities
7
Total short security positions
1,040
821
Other liabilities held for trading
123
96
Total financial liabilities held for trading
1,163
917
15\u00a0 Derivatives
Accounting policy for derivatives
A derivative is a financial instrument or other contract within the scope of IFRS 9 with all three of the following
characteristics:
\u2022 its value changes in response to the change in a specified interest rate, financial instrument price, commodity
price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided
in\u00a0the case of a non-financial variable that the variable is not specific to a party to the contract (sometimes
called the \u2018underlying\u2019)
\u2022 it requires no initial net investment or an initial net investment that is smaller than would be required for other
types of contracts that would be expected to have a similar response to changes in market factors
\u2022 it is settled at a future date
Derivatives are recorded at fair value.
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\u00a0the statement of financial position in either 2024 or 2023.
Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held
for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading
portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate
exposures. ABN AMRO also 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.
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 2024
Derivatives held for trading
Economic hedges
Hedge
accounting
Total
derivatives
(in millions)
Interest rate
Currency
Other
Interest rate
Currency
Other
Interest rate
Exchange traded
Fair value assets
5
5
Fair value liabilities
3
3
Notionals
429
22
451
Over-the-counter
Central counterparties
Fair value assets
Fair value liabilities
Notionals
1,985,210
298
177,535
2,163,043
Other bilateral
Fair value assets
3,056
829
1
33
376
46
4,342
Fair value liabilities
1,427
690
4
37
113
224
2,495
Notionals
69,354
62,798
477
640
31,636
2,349
167,254
Total
Fair value assets
3,061
829
1
33
376
46
4,347
Fair value liabilities
1,430
690
4
37
113
224
2,499
Notionals
2,054,992
62,820
477
938
31,636
179,884
2,330,749
31 December 2023
Derivatives held for trading
Economic hedges
Hedge
accounting
Total
derivatives
(in millions)
Interest rate
Currency
Other
Interest rate
Currency
Other
Interest rate
Exchange traded
Fair value assets
4
4
Fair value liabilities
1
1
Notionals
3,273
30
3,303
Over-the-counter
Central counterparties
Fair value assets
Fair value liabilities
Notionals
1,428,191
1,049
112,795
1,542,035
Other bilateral
Fair value assets
3,527
505
2
41
271
53
4,399
Fair value liabilities
1,946
470
5
66
82
286
2,855
Notionals
255,738
36,794
286
597
24,873
85,602
403,889
Total
Fair value assets
3,531
505
2
41
271
53
4,403
Fair value liabilities
1,946
470
5
66
82
286
2,856
Notionals
1,687,201
36,824
286
1,645
24,873
198,398
1,949,227
16\u00a0 Hedge accounting
Accounting policy for hedge accounting
ABN AMRO enters into various derivative and non-derivative instrument transactions with external parties
to\u00a0hedge risks on assets, liabilities, highly probable forecasted transactions 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\u00a0non-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\u00a0asset, a liability, or a net investment in a foreign operation that (a) exposes the entity to the risk of changes
in\u00a0fair 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 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 Union
As permitted by IFRS 9 paragraph 7.2.21, ABN AMRO has elected to continue applying the requirements of IAS 39
as endorsed by the European Union instead of applying the hedge accounting requirements of IFRS 9.
The\u00a0EU\u2011endorsed version of IAS 39 provides relief from certain hedge accounting requirements when compared
to\u00a0the 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\u00a0over\u2011hedging. This relief is applied in the macro fair value hedge.
Fair value hedges
ABN AMRO applies fair value hedge accounting on individual hedged items (micro fair value hedging), as well as
on a portfolio of hedged items (macro fair value hedging). Where a derivative financial instrument hedges
the\u00a0exposure 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\u00a0the\u00a0hedging instrument are different from the changes in the fair value of the hedged item. When a fair value
hedge of interest rate risk is terminated, any value adjustment to the carrying amount of the hedged item is
amortised to profit or loss over the original designated hedging period, or taken directly to income if the hedged
item is derecognised.
\"\"
Micro fair value hedge accounting
Hedging instruments designated in individual fair value hedge relationships principally consist of interest rate
swaps, interest rate options and cross-currency interest rate swaps that are used to protect against changes
in\u00a0the\u00a0fair 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
\u2022 potential differences in maturities of the interest rate swap and the loans or notes
Macro fair value hedge accounting
ABN AMRO manages the interest rate risk arising from fixed-rate mortgages by entering into interest rate swaps.
The exposure from this portfolio changes frequently 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\u2011designated 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\u00a0interest 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\u00a0the\u00a0mortgages. The recognised fair value changes in the mortgages partially offset the changes in fair value
of\u00a0the 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\u00a0the\u00a0extent 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 hedges
ABN AMRO applies cash flow hedge accounting to a portfolio of future cash flows on banking book assets and
liabilities \u2013 the hedged items \u2013 and a portfolio of interest rate swaps \u2013 the hedging instruments. The hedge
relationship is reviewed on a monthly basis and the hedging instruments and hedged items are de-designated or
re-designated, if necessary, to maintain an effective hedge accounting relationship.\u00a0
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\u00a0other operating income. When a cash flow hedging instrument or hedge relationship is terminated but
the\u00a0hedged transaction is still expected to occur, the accumulated gains or losses continue to be recognised
in\u00a0other comprehensive income and are transferred to the income statement when the hedged transaction affects
profit or loss.\u00a0
The gains or losses are included in the same line item as the hedged transaction. In the exceptional case that
the\u00a0hedged 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\u00a0different 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\u00a0the\u00a0designation. Back-testing is performed on the interest rate risk models. Historical data are used to review
the assumptions applied.
\"\"
Hedges of net investments in foreign operations
ABN AMRO may enter into foreign currency derivatives and currency borrowings to hedge various net
investments in foreign operations. For such hedges, currency translation differences arising on translation
of\u00a0the\u00a0currency 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.\u00a0
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.\u00a0
Hedges not qualifying for hedge accounting
The fair value changes of derivative transactions used to hedge against economic risk exposures that do not
qualify for hedge accounting, or for which it is not cost-beneficial to apply hedge accounting, are recognised
directly in profit or loss.
Effect on financial position and performance - hedging instruments
31 December 2024
Notional
amount
Carrying amount
Line item in the
statement of
financial position
Changes in fair
value used for
calculation hedge
ineffectiveness
for the year
(in millions)
Assets
Liabilities
Cash flow hedges - macro
Interest rate
36,102
Derivatives
133
Fair value hedges - macro
Interest rate
39,088
Derivatives
-975
Fair value hedges - micro
Interest rate
104,695
46
224
Derivatives
314
Economic hedges
Total economic hedges
32,575
409
150
Derivatives
n/a
31 December 2023
Notional
amount
Carrying amount
Line item in the
statement of
financial position
Changes in fair
value used for
calculation hedge
ineffectiveness
for the year
(in millions)
Assets
Liabilities
Cash flow hedges - macro
Interest rate
53,217
Derivatives
815
Fair value hedges - macro
Interest rate
45,782
Derivatives
-3,151
Fair value hedges - micro
Interest rate
99,279
53
286
Derivatives
1,292
Economic hedges
Total economic hedges
26,518
312
148
Derivatives
n/a
The deltas in the hedge accounting numbers are largely caused by interest rate developments in 2024. Please refer
to\u00a0Note 6 - Net income from other operating activities where hedge ineffectiveness is included.
\"\"
Effect on financial position and performance - hedged item
31 December 2024
Carrying amount
of the hedged item
Accumulated amount
of fair value hedge
adjustments on the
hedged item
Line item in
the
statement
of financial
position
Change in value
used for
calculating
hedge
ineffectiveness
for the year
Cash flow
hedge reserve/
Foreign currency
translation reserve
Assets
Liabilities
Assets
Liabilities
Continuing
hedges
Discontinued
hedges
(in millions)
active and
discontinued
active and
discontinued
active and
discontinued
active and
discontinued
Cash flow hedges -
macro
Interest rate
-129
1,032
-1,046
Fair value hedges -
macro
Interest rate - Financial
assets at AC
34,402
-4,686
Residential
mortgages
951
Fair value hedges -
micro
Interest rate - Financial
assets at FVOCI
41,425
-981
Financial
investments
668
Interest rate - Financial
assets at AC
478
102
Corporate &
other loans
5
Interest rate - Financial
liabilities at AC
58,685
-3,076
Issued debt &
subordinated
liabilities
-963
Net investment hedges
Currency
-41
31 December 2023
Carrying amount
of the hedged item
Accumulated amount
of fair value hedge
adjustments on the
hedged item
Line item in
the statement
of financial
position
Change in value
used for
calculating hedge
ineffectiveness
for the year
Cash flow
hedge reserve/
Foreign currency
translation reserve
Assets
Liabilities
Assets
Liabilities
Continuing
hedges
Discontinued
hedges
(in millions)
active and
discontinued
active and
discontinued
active and
discontinued
active and
discontinued
Cash flow hedges -
macro
Interest rate
-790
903
-1,240
Fair value hedges -
macro
Interest rate - Financial
assets at AC
39,777
-6,005
Residential
mortgages
3,128
Fair value hedges -
micro
Interest rate - Financial
assets at FVOCI
37,512
-1,640
Financial
investments
1,464
Interest rate - Financial
assets at AC
485
96
Corporate &
other loans
-58
Interest rate - Financial
liabilities at AC
55,462
-4,021
Issued debt &
subordinated
liabilities
-2,653
Net investment hedges
Currency
-41
The accumulated amount of fair value hedge adjustments remaining in the statement of financial position for hedged
items that are no longer adjusted for hedging gains and losses amounted to EUR 1.3 billion negative at
31\u00a0December\u00a02024 (31 December 2023: EUR 0.9 billion negative).
\"\"
Effect on financial position and performance - hedge ineffectiveness and hedging gains or losses
31 December 2024
(in millions)
Changes in
fair value used
for calculation
hedge
ineffectiveness
for the year -
hedged item
Changes in
value used for
calculating
hedge
ineffectiveness
for the year -
hedging
instrument
Hedge
ineffectiveness
recognised in
profit or loss
Line item in
profit or loss
(that includes
hedge
ineffectiveness)
Changes in
the value
of
the
hedging
instrument
recognised
in OCI\u00b9
Amount
reclassified
from the
cash
flow hedge
reserve to
profit or
loss -
hedges
item
affected
profit or
loss\u00b2
Amount
reclassified
from the
foreign
currency
translation
reserve to
profit or
loss
Line item
affected in
profit or loss
because of the
reclassification
Cash flow hedges -
macro
Interest rate
-129
133
4
Other
operating
income
129
194
Net interest
income
Fair value hedges -
macro
Interest rate
951
-975
-24
Other
operating
income
Fair value hedges -
micro
Interest rate
-291
314
23
Other
operating
income
Net investment
hedges
Currency
Other
operating
income
31 December 2023
(in millions)
Changes in
fair value used
for calculation
hedge
ineffectiveness
for the year -
hedged item
Changes in
value used for
calculating
hedge
ineffectiveness
for the year -
hedging
instrument
Hedge
ineffectiveness
recognised in
profit or loss
Line item in
profit or loss
(that includes
hedge
ineffectiveness)
Changes in
the value
of
the
hedging
instrument
recognised
in OCI\u00b9
Amount
reclassified
from the
cash
flow hedge
reserve to
profit or
loss - hedges
item affected
profit or loss\u00b2
Amount
reclassified
from the
foreign
currency
translation
reserve to
profit or
loss
Line item
affected in
profit or loss
because of the
reclassification
Cash flow hedges -
macro
Interest rate
-790
815
25
Other
operating
income
790
147
Net interest
income
Fair value hedges -
macro
Interest rate
3,128
-3,151
-23
Other
operating
income
Fair value hedges -
micro
Interest rate
-1,248
1,292
44
Other
operating
income
Net investment
hedges
Currency
1
Other
operating
income
1. The amount reconciles to 'Net gains/(losses)' in the 'Consolidated statement of comprehensive income'.
2. The amount reconciles to 'Less: Reclassification through the income statement' in the 'Consolidated statement of comprehensive income'.
\"\"
Amount, timing and uncertainty of future cash flows - hedging instruments
31\u00a0 December 2024
(in millions, nominal amounts)
Within
3 months
More than
3 months but
within 1 year
More than
1 year but
within 5 years
More than
5 years but
within 10 years
More than
10 years
Total
Fair value hedges - micro
Payers - Interest rate
1,360
3,117
18,566
14,067
6,060
43,170
Receivers - Interest rate
602
7,740
21,530
19,391
12,262
61,524
31\u00a0 December 2023
(in millions, nominal amounts)
Within
3 months
More than
3 months but
within 1 year
More than
1 year but
within 5 years
More than
5 years but
within 10 years
More than
10 years
Total
Fair value hedges - micro
Payers - Interest rate
1,014
4,023
16,964
11,907
5,805
39,712
Receivers - Interest rate
3,420
263
25,843
14,857
15,183
59,566
The weighted average fixed rate of the interest rate swaps included in micro hedge relationships varied between 2.0%
and 2.5% as at 31 December 2024 (1.7% and 2.4% as at 31 December 2023), depending on the origination date,
currency, product type and original maturity.
17\u00a0 Financial investments
Accounting policy for financial investments
Financial investments include financial instruments measured at fair value through other comprehensive income
(FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL).
Accounting policy for financial instruments measured at fair value through other
comprehensive income
Unrealised gains and losses on FVOCI assets are recognised directly in other comprehensive income, net
of\u00a0applicable 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\u00a0the income statement. The impairment loss resulting from the ECL on FVOCI debt instruments is recognised
in\u00a0the 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\u00a0AMRO\u2019s impairment assessment and measurement approach for FVOCI debt instruments is set
out in the Credit risk management section of the Risk, funding & capital management chapter. Fair value changes
in equity instruments that are irrevocably designated as FVOCI upon initial recognition are recognised in other
comprehensive income and not subsequently reclassified to the income statement.
Accounting policy for financial instruments measured at fair value through profit and loss
Financial investments can be designated at FVTPL if doing so eliminates or significantly reduces a measurement
or recognition inconsistency (an accounting mismatch). ABN AMRO also has financial instruments that are
mandatorily measured at fair value because they do not meet the SPPI test.
(in millions)
31 December 2024
31 December 2023
Financial investments
Debt securities held at fair value through other comprehensive income
46,196
40,663
Held at fair value through profit or loss
977
838
Total financial investments
47,173
41,501
Debt securities held at fair value through other comprehensive income consist mainly of government bonds.
\"\"
Financial investments measured at fair value through other comprehensive income
(in millions)
31 December 2024
31 December 2023
Interest-earning securities
Dutch government
3,261
2,642
US Treasury and US government
7,140
6,861
Other OECD government
19,143
15,761
Non-OECD government
170
150
International bonds issued by the European Union
3,319
2,962
European Stability Mechanism
2,441
2,349
Mortgage- and other asset-backed securities
5,288
5,046
Financial institutions
5,404
3,477
Non-financial institutions
29
1,414
Total investments held at fair value through other comprehensive income
46,196
40,663
Government bonds by country of origin
31 December 2024
31 December 2023
(in millions)
Accumulated unrealised
gains/(losses) and
fair value hedges
gains/(losses)
Impairments
Fair
value
Accumulated unrealised
gains/(losses) and
fair value hedges
gains/(losses)
Impairments
Fair
value
Dutch national government
-61
-1
3,261
-23
2,642
USA national government
-267
7,140
-265
6,861
German national government
-118
5,315
-161
4,924
French national government
-61
2,025
-77
1,781
Belgian national government
-152
2,791
-164
-1
2,861
Austrian national government
-34
1,658
-11
1,774
Finnish national government
-50
1,496
-20
1,040
Luxembourg national government
-19
305
-22
245
Canadian national government
-45
1,186
-64
1,142
Japanese national government
-1
2,426
568
Polish national government
34
330
35
330
Spanish national government
4
615
-9
268
United Kingdom national government
-11
170
9
183
Danish national government
-22
341
-10
183
Italian national government
-29
382
-42
370
Irish national government
2
92
3
94
Portuguese national government
10
Brazilian national government
100
82
Singapore national government
70
68
European Union bonds
(excl. European Financial Stability Facility)
-523
3,319
-530
2,962
Total government bonds
-1,354
-1
33,034
-1,351
-1
28,377
Critical accounting estimates and judgements
Interest-bearing debt securities classified as FVOCI investments are assessed at each reporting date to establish
whether there are any expected credit losses. ABN AMRO has developed models to determine such credit losses.
These are explained in more detail in the Risk, funding & capital chapter. Impairment charges on FVOCI instruments
are recorded in (un)realised gains/(losses) fair value through OCI in the statement of comprehensive income.
Financial investments measured at fair value through profit or loss
(in millions)
31 December 2024
31 December 2023
Private equities and venture capital
680
559
Equity securities
297
279
Total investments held at fair value through profit or loss
977
838
18\u00a0 Securities financing
Accounting policy for securities financing
Securities financing is measured at amortised cost. Securities financing consists of securities borrowing and
lending and sale and repurchase transactions. Securities borrowing and securities lending transactions are
generally entered into on a collateralised basis, with securities usually advanced or received as collateral.
The\u00a0transfer 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\u00a0banks or customers). The market value of the securities borrowed or lent is monitored on a daily basis, and
the\u00a0collateral 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\u00a0underlying 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 2024
31 December 2023
(in millions)
Banks
Customers
Total
Banks
Customers
Total
Assets
Reverse repurchase agreements
3,890
16,099
19,988
3,536
11,473
15,009
Securities borrowing transactions
2,834
4,167
7,001
3,075
3,419
6,494
Total
6,723
20,266
26,989
6,611
14,892
21,503
Liabilities
Repurchase agreements
769
9,545
10,315
319
10,453
10,772
Securities lending transactions
37
37
185
753
938
Total
807
9,545
10,352
504
11,206
11,710
Securities financing transactions include balances relating to reverse repurchase activities and cash collateral on
securities borrowed. ABN AMRO controls the credit risk associated with these activities by monitoring counterparty
credit exposure and collateral values on a daily basis, and requiring additional collateral to be deposited with
ABN\u00a0AMRO when deemed necessary.
19\u00a0 Fair value of financial instruments carried at fair value
Accounting policy for fair value of financial instruments
The fair value is defined as the price that would be received when selling an asset or paid when transferring
a\u00a0liability 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\u00a0the\u00a0pricing 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\u00a0arrive at a fair value are as follows:
\u2022 Bid-ask adjustments. If the model calculates a mid-market price, it is adjusted to take into account the relevant
bid-offer spread.
\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\u00a0AMRO\u2019s creditworthiness respectively.
\u2022 Liquidity adjustments. ABN AMRO uses different techniques to determine the price or input parameters
of\u00a0the\u00a0pricing model dependent on the liquidity in the market.
\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 framework
ABN AMRO has in place designated controls and processes to determine the fair value of financial instruments.
A\u00a0process 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\u00a0ensure 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\u00a0the\u00a0fair 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\u00a0valuations 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\u00a0model documentation, testing and review, depending on the complexity of the model and the size of our exposure
to the model.
Valuation techniques
A number of methodologies are used to determine the fair value of financial instruments for which observable prices
in active markets for identical instruments are not available. Values between and beyond available data points are
obtained by interpolation and/or extrapolation. When valuation techniques are used, the fair value can be significantly
impacted by the choice of 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 derivatives
This category includes interest rate swaps, cross-currency swaps, options and forward rate agreements. These
products are valued by estimating future cash flows and discounting these cash flows, using appropriate interest rate
curves. The exception is interest option contracts, which are valued using market standard option pricing models.
The\u00a0inputs 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 contracts
Foreign exchange contracts include foreign exchange forward contracts, foreign exchange options and foreign
exchange swaps. The majority of the foreign exchange contracts at ABN AMRO are traded as over-the-counter
derivatives. These instruments are valued using foreign currency exchange rates. There are observable markets 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 securities
Government 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 securities
Corporate 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 instruments
Equity 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 loss
Loans and advances at fair value through profit or loss consist primarily of contracts with corporate clients where
the\u00a0contractual cash flows do not meet the SPPI requirements or are held in a business model with the objective
of\u00a0generating cash flows from sales. The return on the contracts with embedded derivatives is based on the price
of\u00a0underlying commodity contracts or loans with a floating interest rate. Discounted cash flow models are used
to\u00a0value these contracts. The main inputs are interest rate curves, quoted commodity prices, liquidity spreads and
credit spreads. The instruments are classified as level 2. If adjustments to interest rate curves, liquidity spreads and
credit spreads are based on significant unobservable inputs, the instruments are classified as level 3.
Issued debt
Issued debt securities are valued using discounted cash flow models, based on current interest rate curves that
incorporate observable inputs. These instruments are classified as level 2. When there are no, or only limited, publicly
quoted prices available for these instruments and unobservable inputs have a significant effect on the fair value
calculation, these instruments are classified as level 3.
ABN AMRO refines and modifies its valuation techniques as markets and products develop and as 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\u00a0different estimates of the fair value at the reporting date.
Fair value hierarchy
ABN AMRO analyses financial instruments held at fair value in the three categories described below.
Level 1 financial instruments are those that are valued using unadjusted 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\u00a0valuation 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\u00a0instrument\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 for determining the fair values of financial instruments
carried at fair value.
31 December 2024
31 December 2023
(in millions)
Quoted
market
prices
in active
markets
Valuation
techniques
- observable
inputs
Valuation
techniques
- significant
unobservable
inputs
Total fair
value
Quoted
market
prices
in active
markets
Valuation
techniques
- observable
inputs
Valuation
techniques
- significant
unobservable
inputs
Total fair
value
Assets
Government debt securities
1,119
51
1,169
341
341
Corporate debt securities
743
503
1,246
780
240
1,019
Equity securities
2
2
1
1
Other financial assets held for trading
87
87
10
10
Financial assets held for trading
1,863
640
2,503
1,121
250
1,371
Interest rate derivatives
5
3,116
20
3,140
4
3,606
15
3,625
Foreign exchange contracts
1,203
2
1,206
765
12
776
Other derivatives
1
1
2
2
Derivatives
5
4,320
22
4,347
4
4,372
26
4,403
Equity instruments
133
47
797
977
130
52
656
838
Financial investments at fair value
through profit or loss
133
47
797
977
130
52
656
838
Government debt securities
35,145
330
35,475
30,396
330
30,726
Corporate debt securities
5,432
5,432
4,890
1
4,891
Other debt securities
5,288
5,288
5,046
5,046
Financial assets held at fair value
through other comprehensive
income
45,866
330
46,196
40,332
1
330
40,663
Loans and advances at fair value through
profit or loss
30
600
630
31
676
707
Total financial assets
47,866
5,037
1,750
54,653
41,587
4,706
1,689
47,982
Liabilities
Short positions in government debt
securities
346
172
518
303
303
Corporate debt securities
313
208
522
376
135
511
Equity securities
7
7
Other financial liabilities held for trading
123
123
96
96
Financial liabilities held for trading
660
503
1,163
686
231
917
Interest rate derivatives
3
1,688
1
1,692
1
2,297
2,298
Foreign exchange contracts
803
803
553
553
Other derivatives
4
4
5
5
Derivatives
3
2,495
1
2,499
1
2,855
2,856
Issued debt
205
205
222
222
Total financial liabilities
663
3,203
1
3,867
687
3,308
3,994
Transfers between fair value hierarchies
There were no material transfers between the fair value hierarchies.
\"\"
Movements in level 3 financial instruments measured at fair value
The following table shows a reconciliation of the opening and closing amounts of level 3 financial assets that are
recorded at fair value.
Assets
Liabilities
(in millions)
Derivatives
Financial
investments at
fair value through
profit or loss
Financial assets
held
at fair value
through
other
comprehensive
income
Loans and
advances at
fair value
through
profit or loss
Derivatives
Balance at 1 January 2023
46
481
358
30
Change in accounting policy
982
Purchases
145
Sales
-2
-243
Issuance
24
Redemptions
-12
-38
-175
Gains/(losses) recorded in profit and loss 1
6
1
1
Unrealised gains/(losses) 2
1
52
10
59
Transfer between levels
-21
Other movements
-14
-2
Balance at 31 December 2023
26
656
330
676
Purchases
86
Sales
-3
-35
Issuance
42
Redemptions
-14
-157
Gains/(losses) recorded in profit and loss\u00b9
1
-5
Unrealised gains/(losses)\u00b2
-3
89
-1
59
Transfer between levels
-2
1
Other movements
-17
19
Balance at 31 December 2024
22
797
330
600
1
1. Included in other operating income.
2. Unrealised gains/(losses) on derivatives held for trading are included in net trading income, on instruments measured at FVTPL in other operating income and on instruments
measured at FVOCI in other comprehensive income.
Level 3 sensitivity information
Interest-earning securities - government bonds
ABN AMRO has a position in a Polish bond, denominated in euros (see Note 17 - Financial investments, and part
of\u00a0Other 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 shares
Equities measured at fair value through profit and loss and classified as level 3 mainly comprise private equity
investments. Private equity shares are measured at fair value, applying two calculation techniques:
\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 to 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\u00a0the 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 cannot be applied for the NAV calculation based on the quarterly
performance.
Derivatives
ABN AMRO applies a credit valuation adjustment (CVA) that reflects counterparty credit risk in the fair value
measurement of uncollateralised and partially collateralised OTC derivatives. For counterparties that do not have
an\u00a0observable 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\u00a0the\u00a0following table of level 3 sensitivity information, is generated internally and is therefore an unobservable input.
Loans and advances \u2013 Equity release mortgages
ABN 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 historical bandwidth observed for
prepayment rates.
Loans and advances - Other
ABN AMRO offers personal loans that feature a waiver on a portion of the outstanding debt upon the decease
of\u00a0the\u00a0client. 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 for expected credit losses.
31 December 2024
Valuation
technique
Unobservable
data
Carrying
value
Possible alternative
assumptions
Unobservable
data range
Unobservable
data base
(in millions)
Applying
minimum
Applying
maximum
Applying
minimum
Applying
maximum
Equity shares
Private equity
valuation
EBITDA
multiples
141
-14
14
Equity shares
Private equity
valuation
Net asset
value
657
-66
66
Interest-earning securities -
government bonds
Discounted
cash flow
Liquidity and
credit spread
330
-13
19
38bps
157bps
110bps
Loans and advances -
Equity release mortgages
Discounted
cash flow
Prepayment
rate
458
-6
9
2.4%
4.9%
3.6%
Loans and advances -
Other
Discounted
cash flow
Credit
spread
142
-4
7
Derivatives held for trading -
assets/liabilities (net)
Discounted
cash flow
Probability
of default
22
-2
6
100.0%
24.0%
31 December 2023
Valuation
technique
Unobservable
data
Carrying
value
Possible alternative
assumptions
Unobservable
data range
Unobservable
data base
(in millions)
Applying
minimum
Applying
maximum
Applying
minimum
Applying
maximum
Equity shares
Private equity
valuation
EBITDA
multiples
136
-14
14
Equity shares
Private equity
valuation
Net asset
value
519
-52
52
Interest-earning securities -
government bonds
Discounted
cash flow
Liquidity and
credit spread
330
-11
28
4bps
139bps
101bps
Loans and advances -
Equity release mortgages
Discounted
cash flow
Prepayment
rate
398
-9
9
1.9%
3.2%
2.5%
Loans and advances -
Other
Discounted
cash flow
Credit
spread
250
-7
11
Derivatives held for trading -
assets/liabilities (net)
Discounted
cash flow
Probability
of default
26
-3
4
0.0%
100.0%
12.7%
20\u00a0 Loans and advances banks
Accounting policy for loans and advances banks and customers
Loans and advances banks, and loans and advances customers, are held in a \u2018hold to collect\u2019 business model.
Loans and advances for which the contractual cash flows are solely payments of principal and interest (SPPI) are
measured at amortised cost, i.e. fair value at initial recognition, adjusted for repayment and amortisation
of\u00a0coupon, 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 section in the Risk, funding &
capital chapter (Accounting policy for measuring allowances for credit losses).
(in millions)
31 December 2024
31 December 2023
Interest-bearing deposits
1,169
1,401
Loans and advances
707
729
Mandatory reserve deposits with central banks
166
181
Other loans and advances banks
12
16
Subtotal
2,053
2,327
Less: loan impairment allowances
4
3
Total loans and advances banks
2,049
2,324
Mandatory reserve deposits are held with local central banks in accordance with statutory requirements. The most
relevant for the bank are the minimum reserve requirements determined by the ECB. The ECB prescribes how
the\u00a0minimum reserve amount should be calculated during pre-defined reserve periods. During such a period,
the\u00a0balances are available for use by ABN AMRO. The bank manages and monitors deposits to ensure that it meets
the\u00a0minimum reserve requirements for the period.
21\u00a0 Loans and advances customers
Accounting policy for loans and advances customers
The accounting policy for loans and advances customers is included in Note 20 - Loans and advances banks.
Please refer to Note 1 - Accounting policies in the Consolidated Annual Financial Statements and to the Credit
risk management section of the Risk, funding & capital chapter (Accounting policy for measuring allowances for
credit losses).
\"\"
(in millions)
31 December 2024
31 December 2023
Residential mortgages (excluding fair value adjustment)
156,209
151,078
Fair value adjustment from hedge accounting on residential mortgages
-4,686
-6,005
Residential mortgages, gross
151,523
145,073
Less: loan impairment allowances - residential mortgage loans
133
198
Residential mortgages
151,390
144,875
Consumer loans at amortised cost, gross
7,575
8,380
Less: loan impairment allowances - consumer loans
130
147
Consumer loans at amortised cost
7,445
8,233
Consumer loans at fair value through P&L
600
648
Corporate loans (excluding fair value adjustment)
76,679
78,387
Fair value adjustment from hedge accounting on corporate loans
102
96
Financial lease receivables
3,822
4,169
Factoring
3,326
4,227
Corporate loans at amortised cost, gross
83,929
86,880
Less: loan impairment allowances - corporate loans
1,100
1,254
Corporate loans at amortised cost
82,829
85,626
Corporate loans at fair value through P&L
30
59
Government and official institutions
298
455
Other loans
6,191
6,043
Other loans and advances customers, gross
6,489
6,497
Less: loan impairment allowances - other
2
3
Other loans and advances customers
6,487
6,494
Total loans and advances customers
248,782
245,935
For information on loan impairment allowances, please refer to the Credit risk review section in the Risk, funding &
capital chapter.
22\u00a0 Fair value of financial instruments not carried at fair value
Accounting policy for fair value of financial instruments not carried at fair value
The categorisation and valuation of financial instruments not carried at fair value is determined in accordance
with the accounting policies set out in Note 19 - Fair value of financial instruments carried at fair value.
Valuation methodologies
The methods and assumptions described below have been applied to estimate the fair value of financial instruments
not carried at fair value. These fair values were calculated for disclosure purposes only. Note that the fair value can be
significantly impacted by the choice of valuation model and underlying assumptions concerning factors such as
the\u00a0amount and timing of cash flows, discount rates, credit risk and liquidity risk.
Short-term financial instruments
The carrying amounts (net of impairment allowances) of financial instruments maturing within a period of less than
three months or that have no contractual maturity are assumed to be a reasonable approximation of their fair value.
For certain instruments, behavioural maturities are applied.
Short-term financial instruments are classified as level 2 as unobservable inputs (such as inputs to determine credit
risk, prepayment risk and liquidity risk) do not have a significant influence on the determination of their fair value.
Cash and balances at central banks
Cash and balances at central banks are classified as level 1 as these instruments have a short-term nature, prices from
an active market are available and no fair value adjustments are made to the carrying amounts.
\"\"
Securities financing
Securities financing includes repurchase and reverse repurchase agreements and securities borrowing and lending
transactions. Due to the short-term characteristics of these instruments and the value and liquidity of available
collateral, 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 customers
The fair value of loans and advances \u2013 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\u00a0liquidity 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\u00a0loans and advances for which unobservable inputs do not significantly influence the approximated fair values are
classified as level 2. Behavioural maturities instead of contractual maturities are used to determine the level
classification of a small part of the portfolio.
Cash collateral paid to counterparties in relation to Credit Support Annexes (CSA) is included in loans and advances \u2013
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 customers
The 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\u00a0liquidity spreads are applied. Amounts due to banks and customers are classified as level 3 on the basis that
unobservable inputs significantly influence the approximated fair values. The financial instruments for which
unobservable inputs do not significantly influence the approximated fair values are classified as level 2. For
the\u00a0majority of the portfolio, behavioural maturities are used to determine the level classification.
Cash collateral liabilities in relation to Credit Support Annexes (CSA) are included in due to banks and customers. Due
to the short-term characteristics of these instruments, their carrying amounts are considered an approximation
of\u00a0the\u00a0fair value. The related amounts are classified as level 2.
Issued debt and subordinated liabilities
The fair value of issued debt securities and subordinated liabilities is based on quoted prices. If these are not available,
the fair value is based on a market approach in which independent quotes from market participants are used for
the\u00a0debt 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 2024
Carrying value
Total fair value
Difference
(in millions)
Quoted market
prices in
active markets
Valuation
techniques
- observable
inputs
Valuation
techniques
- significant
unobservable
inputs
Assets
Cash and balances at central banks
44,464
44,464
44,464
Securities financing
26,989
26,989
26,989
Loans and advances banks
2,049
2,051
2
2,053
4
Loans and advances customers
248,152
28,151
218,379
246,529
-1,622
Total
321,654
44,464
57,190
218,381
320,035
-1,619
Liabilities
Securities financing
10,352
10,352
10,352
Due to banks
2,329
2,038
287
2,325
-5
Due to customers
256,186
241,469
15,305
256,774
587
Issued debt
74,337
50,488
23,618
74,106
-231
Subordinated liabilities
6,613
2,684
4,116
6,800
187
Total
349,818
53,172
281,593
15,592
350,357
539
31 December 2023
Carrying value
Total fair value
Difference
(in millions)
Quoted market
prices in
active markets
Valuation
techniques
- observable
inputs
Valuation
techniques
- significant
unobservable
inputs
Assets
Cash and balances at central banks
53,656
53,656
53,656
Securities financing
21,503
21,503
21,503
Loans and advances banks
2,324
2,120
208
2,328
4
Loans and advances customers
245,228
29,444
209,884
239,328
-5,900
Total
322,709
53,656
53,066
210,092
316,814
-5,896
Liabilities
Securities financing
11,710
11,710
11,710
Due to banks
5,352
2,294
3,126
5,419
68
Due to customers
254,466
237,483
16,739
254,222
-245
Issued debt
66,005
46,178
19,936
66,115
109
Subordinated liabilities
5,572
1,875
3,833
5,708
136
Total
343,105
48,053
275,256
19,865
343,174
69
27\u00a0 Due to banks
Accounting policy for due to banks and due to customers
Amounts due to banks and customers are held at amortised cost. That is, at fair value upon initial recognition,
adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate
of\u00a0the instrument.
(in millions)
31 December 2024
31 December 2023
Current accounts
1,522
1,168
Demand deposits
1
1
Time deposits
320
3,731
Cash collateral on securities lent
485
451
Total due to banks
2,329
5,352
On 26 June 2024, ABN AMRO fully repaid the TLTRO III funding in the amount of EUR 3.0 billion. As at
31\u00a0December\u00a02024, there was no outstanding TLTRO III funding.
28\u00a0 Due to customers
Accounting policy for due to customers
The accounting policy for amounts due to customers is set out in Note 27 - Due to banks.
(in millions)
31 December 2024
31 December 2023
Current accounts
92,746
99,948
Demand deposits
108,008
100,943
Time deposits
53,533
51,728
Other
1,899
1,846
Total due to customers
256,186
254,466
29\u00a0 Issued debt and subordinated liabilities
Accounting policy for issued debt and subordinated liabilities
Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate
method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be
measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce
an\u00a0accounting mismatch, are managed on the basis of their fair value or include terms that qualify as
an\u00a0embedded 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\u00a0substance 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\u00a0credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt
measured at fair value through profit or loss is valued at market prices.
Fair value changes are calculated based on a yield curve generated from observed external pricing for funding
and quoted CDS spreads
The following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding.
Movements in these debt instruments involve a continual process of redemption and issuance of long-term and
short\u2011term funding.
Issued debt
(in millions)
31 December 2024
31 December 2023
Bonds and notes issued
56,416
52,264
Certificates of deposit and commercial paper
17,922
13,741
Total at amortised cost
74,337
66,005
Designated at fair value through profit or loss
205
222
Total issued debt
74,542
66,227
- of which matures within one year
24,999
17,408
2024
2023
(in millions)
Carrying amount
Carrying amount
Balance as at 1 January
66,227
56,259
Cash flows
Issuance
42,885
49,985
Redemption
-36,980
-43,196
Non-cash changes
Foreign exchange differences
909
-96
Fair value changes own credit risk
-2
-2
Fair value changes hedge accounting
902
2,514
Other
601
762
Balance as at 31 December
74,542
66,227
\"\"
The amounts of debt issued and redeemed during the period are shown in the Consolidated statement of cash flows.
Non-cash changes consist mainly of unrealised gains and losses and foreign exchange differences. Further details
of\u00a0the funding programmes are provided in the Funding section of the Risk, funding & capital chapter.
Financial liabilities designated at fair value through profit or loss
(in millions)
31 December 2024
31 December 2023
Cumulative change in fair value of the structured notes attributable to changes in credit risk
1
2
Change during the year in fair value of the structured notes attributable to changes in credit risk
-2
-2
Difference between amount contractually required to pay at maturity and the carrying amount
6
10
The change in fair value of the structured notes attributable to changes in credit risk is determined using the credit
spread implicit in the fair value of similar bonds traded in active markets and issued by ABN AMRO.
Subordinated liabilities
The following table shows the subordinated liabilities.
(in millions)
31 December 2024
31 December 2023
Subordinated liabilities
6,613
5,572
2024
2023
(in millions)
Carrying amount
Carrying amount
Balance as at 1 January
5,572
7,290
Cash flows
Issuance
767
776
Redemption
-21
-2,504
Non-cash changes
Foreign exchange differences
214
-143
Fair value changes hedge accounting
60
143
Other
20
10
Balance as at 31 December
6,613
5,572
34\u00a0 Transferred, pledged, encumbered and restricted assets
Accounting policy for transferred, pledged and encumbered assets
Transferred 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\u00a0obligation 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 the latter is
based on the legal terms such as title transfer while the former is based on economic principles.
Transferred financial assets
This disclosure provides insight into the relationship between these transferred financial assets and associated
financial liabilities in order to show the risks the bank is exposed to when the assets are transferred. If transferred
financial assets continue to be recognised in the balance sheet, ABN AMRO is still exposed to changes in the fair value
of these assets.
\"\"
Transferred financial assets not derecognised in their entirety
The following table shows transferred financial assets that have not been derecognised in their entirety.
31 December 2024
31 December 2023
(in millions)
Financial
investments
(at fair value
through OCI)
Financial assets
held for trading
(at fair value
through profit
and loss)
Total
Financial
investments
(at fair value
through OCI)
Financial assets
held for trading
(at fair value
through profit
and loss)
Total
Securities financing
Carrying amount Transferred assets
12,748
1
12,748
12,924
409
13,332
Carrying amount Associated liabilities
873
1
874
2,043
409
2,451
Fair value of assets
12,748
1
12,748
12,924
409
13,332
Fair value of associated liabilities
873
1
874
2,043
409
2,451
Net position
11,875
11,875
10,881
10,881
Securitisations
The bank uses securitisations as a source of funding, whereby the special purpose entity (SPE) issues debt securities.
In\u00a0a securitisation transaction utilising true sale mechanics, the bank transfers the title of the assets to SPEs. When
the\u00a0cash 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 2024.
Continuing involvement in transferred financial assets derecognised in their entirety
The bank does not have any material transferred assets that are derecognised in their entirety while ABN AMRO has
continuing involvement.
35\u00a0 Commitments and contingent liabilities
Accounting policy for off-balance sheet items
Financial guarantee contracts
A financial guarantee contract requires the issuer to make specified payments to reimburse the holder for a loss
it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt
instrument. Initial recognition of financial guarantee contracts is at their fair value. Subsequent measurement is
at the higher of the amount of the expected credit loss and the amount initially recognised, less \u2013 when
appropriate \u2013 the cumulative amount of income recognised in the income statement.
Committed credit facilities
Commitments 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 commitments
ABN 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\u00a0securities 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\u00a0chapter Other information).
The committed credit facilities, guarantees and other commitments are summarised in the following table.
The\u00a0amounts stated in the table for commitments assume that amounts are fully paid out. The amounts shown
in\u00a0the\u00a0table for guarantees and letters of credit represent the maximum amount ABN AMRO is exposed to if
the\u00a0contract parties completely fail to perform as contracted.
\"\"
31\u00a0 December 2024
(in millions)
Less than
one year
Between one
and three years
Between three
and five years
After
five years
Total
Committed credit facilities
27,869
8,408
12,411
3,928
52,617
Guarantees and other commitments
Guarantees granted
225
267
84
203
779
Irrevocable letters of credit
2,507
1,004
183
226
3,920
Recourse risks arising from discounted bills
1,421
290
209
19
1,939
Total guarantees and other commitments
4,154
1,561
476
448
6,638
Total
32,023
9,969
12,887
4,376
59,255
31 December 2023
(in millions)
Less than
one year
Between one
and three years
Between three
and five years
After
five years
Total
Committed credit facilities
27,566
10,359
10,024
6,019
53,968
Guarantees and other commitments
Guarantees granted
178
175
5
200
558
Irrevocable letters of credit
2,329
937
206
172
3,645
Recourse risks arising from discounted bills
1,407
288
371
20
2,086
Total guarantees and other commitments
3,915
1,399
582
393
6,289
Total
31,481
11,758
10,606
6,411
60,257
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-1": { "value": "
Risk taxonomy\u00a0
Audited
The ABN AMRO risk appetite follows from
the\u00a0ABN\u00a0AMRO 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\u00a0the\u00a0banking 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.
Risk taxonomy
Audited
External causal factors
Politics, (macro-)economy, society, technology,
environmental, social and governance (ESG e.g. physical and
transition risk, legislation and regulation, greenwashing)
Internal causal factors
People, processes, systems, balance sheet,
products (e.g. mis-selling, greenwashing), clients,
reputation and behaviour
\"Risk
\"Risk
Enterprise risk
Financial risk
Non-financial risk
Credit risk
Liquidity risk
HR risk
ICT risk
Fraud risk
Data risk
Market risk in
the banking
book
Business risk
Change risk
Compliance
risk
Model risk
Third-party
and
outsourcing
risk
Market risk in
the trading
book
Sustainability
risk
Legal risk
Tax risk
Behavioural
risk
\"Risk
Value of the bank
\u2022 Financial\u00a0 \u00a0 \u00a0 \u2022 Reputational
Risk appetite framework\u00a0
Audited
Our risk appetite determines the level of risk that
the\u00a0bank is willing to take in order to pursue its
strategy, in line with our strict risk focus. It is regularly
evaluated and updated to ensure continuous
alignment with our strategy.
Strategic
Risk Appetite Statement
Strategic Risk Indicators
Bank
Risk Appetite Statement
Key Risk Indicators
Client Units RAS
Local & Entities RAS
The Strategic Risk Appetite Statement entails three
focus areas, each of which is substantiated by
a\u00a0qualitative statement and concrete Strategic Risk
Indicators (SRIs). The Strategic Risk Appetite
Statement SRIs are further articulated
in\u00a0the\u00a0bank\u2011wide (bank RAS) and Key Risk Indicators
(KRIs), which are cascaded to client unit level risk
appetite statement (Client Unit 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 regulatory and internal liquidity metrics
\u2022 market risk parameters (Supervisory Outlier Test on
Net Interest Income and Supervisory Outlier Test on
Economic Value of Equity)
\u2022 non-financial risk parameters (effectiveness
of\u00a0internal control environment)
\u2022 reputational risk parameter (NPS)
\u2022 a social risk indicator on facilitating financial
inclusiveness
\u2022 several sustainability risk appetite indicators
The status of adherence to the risk appetite and
the\u00a0outlook are discussed monthly by the Executive
Board and quarterly by the Supervisory Board, based on
the Enterprise Risk Management report.
Strategic Risk Appetite Statement\u00a0
Audited
Sustainable
business
model &
value
creation
Financial
soundness
Banking
for better for
generations
to come
Sound
operating
environment
Risk governance\u00a0
Audited
Effective 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 defence\u00a0
The 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\u00a0bank with clarity regarding their risk management
responsibilities. This defence model is applied across all
risk types and covers the whole organisation, including
the client units, functions, the Risk Management
organisation, outsourced activities and distribution
channels.
Three lines of defence
Audited
1
1st Line
of Defence
2
2nd Line
of Defence
3
3rd Line
of Defence
Risk Ownership
Risk Control & Oversight
Risk Assurance
Responsibility
\u2022 Delivers value-added services
to\u00a0our clients
\u2022 Takes primary ownership to identify
and assess, measure, mitigate,
monitor and report the risk that
it\u00a0incurs
\u2022 Proposes the client unit 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 appetite
Responsibility
\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\u00a0Line
Responsibility
\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\u00a0management & 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
and Legal, 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\u00a0strengthen management's solution focus and
accountability.
Board level oversight
The Executive Board and Supervisory Board
of\u00a0ABN\u00a0AMRO 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\u00a0the\u00a0bank's 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\u00a0bank
\u2022 a risk culture that addresses risk awareness and
risk\u2011taking behaviour in the bank
\u2022 key policies of the bank within the applicable legal
and regulatory framework
\u2022 the bank's 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's exposure to risks is adequately covered
\u2022 targets for the bank\u2019s liquidity and funding
management
The Risk Management organisation operates under
the\u00a0direct responsibility of the Chief Risk Officer, who is
a member of the Executive Board.
Executive risk committees
The Executive Board is responsible for setting,
monitoring, reviewing and realising the bank\u2019s mission,
vision, strategy, risk appetite and risk framework, with
a\u00a0view 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 and the Group Regulatory Committee, both
chaired by the Chief Risk Officer, and the Group Central
Credit Committee, chaired by the Head of Credit Risk.
The mandates of the executive risk committees are
summarised below.
Group Risk Committee
The Group Risk Committee (GRC) is mandated by
the\u00a0Executive Board to monitor, assess and manage
the\u00a0bank\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\u00a0Methodology Acceptance Group, the Scenario and
Stress Testing Committee, and the Impairment and
Provisioning Committee.
Group Central Credit Committee
The Group Central Credit Committee (CCC) is
mandated by the Executive Board to make decisions on
the acceptance of credit and counterparty risk
in\u00a0respect 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 responsible for approving and monitoring
large intercompany credit facilities.
Group Regulatory Committee
The Group Regulatory Committee is mandated by
the\u00a0Executive Board to ensure 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\u00a0the Leadership and governance chapter.
Stress testing and scenario analysis\u00a0
Audited
ABN AMRO uses stress testing and scenario analysis as
an important risk management instrument. This entails
looking at profitability, capital and liquidity from
a\u00a0bank\u2011wide perspective in various scenarios on
a\u00a0regular basis. The stress testing framework covers
both internal and external stress test types. In addition,
sub-portfolio and risk type-specific stress testing and
scenario analyses are performed.
Stress testing purposes
ABN AMRO applies stress testing for several purposes,
including:
\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\u00a0AMRO-specific circumstances.
\u2022 Risk appetite setting and monitoring: the outcome
of\u00a0stress 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\u00a0the\u00a0liquidity and capital contingency and recovery
plans. Reverse stress testing is performed to gain
deeper insight into plausible events that could put
the\u00a0continuity 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\u00a0adverse 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 cycle
Audited
Risk
identification
Management
action
Stress testing
& scenario
analysis
Scenario
& scope
selection
Simulation
& impact
analysis on
ABN AMRO
Data sourcing,
models and
methodologies
Conduct, governance & control framework
Scenario projections for stress testing purposes are
based on quantitative models as well as expert
opinions. In general, the results are presented together
with the mitigating actions, based on contingency plans,
whenever they result in a breach of a pre-defined
internal threshold. The stress testing framework also
comprises the sensitivity scenarios that address
the\u00a0impact of various severe events on specific
portfolios, countries and/or sectors, as well as
the\u00a0annual reverse stress test, in line with regulatory
requirements. Climate-related and environmental risks
are also incorporated into our bank-wide stress testing
framework by including specific events related
to\u00a0physical risk and drivers of transition risk, such as
carbon prices. For physical and transition risk definitions
and more information on internal carbon pricing, please
see the Risk and Environment sections respectively
in\u00a0the Sustainability Statements.
Credit risk management approach\u00a0
Audited
Credit risk constitutes a key risk in our business model.
ABN AMRO employs two separate approaches
to\u00a0managing credit risk, which reflect the bank\u2019s way
of\u00a0doing 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\u00a0addition, we are integrating climate risks into our risk
management practices.
Credit risk management process\u00a0
Audited
The following figure presents a simplified overview
of\u00a0the credit risk management process.
Planning
Credit acceptance
Loan approval and
disbursement
Credit risk monitoring
Business and risk
control\u00a0functions
jointly\u00a0responsible
Restructuring
and recovery
High-risk monitoring
Non-programme
lending
Customised loans,
mostly Wealth
Management,
Corporate Banking
and Business
Banking
(within\u00a0P&BB)
Risk assessment
by client unit
Regular monitoring1
Restructuring
Continual update
of\u00a0risk\u00a0governance,
management and
policies
Processes reflect
guidelines for credit
risk\u00a0management
For programme lending,
Product-specific
standards are established
Sustainability risk
assessment for larger
OOEs and/or
periodically\u00a0on
portfolio\u00a0level
Analysis and credit
decision by credit
risk function
Increased risk
Recovery
Intensive monitoring
(\u2018Watch\u2019)2
Loan disbursement
Programme
lending
Standardised
loans,\u00a0mostly
Personal Banking
(within P&BB)
Credit decision
based\u00a0on credit
score\u00a0and policy
rules
Account maintenance
Restructuring
Loan disbursement
Default prevention
Recovery
1 Daily monitoring or (semi-) annual credit review.
2 \u2018Watch\u2019: status assigned to counterparties with an increased risk.
For more insight on our credit portfolio,
please refer to the Credit risk review section.
Planning
Within programme lending, the credit cycle starts with
a\u00a0product planning phase, during which the product is
designed and/or reviewed. The goal is to optimise
the\u00a0key drivers of risk and return within the context
of\u00a0ABN AMRO\u2019s strategy, risk appetite, clients\u2019 best
interests and sustainability. For non-programme
lending, the lending product is customised and not
subject to a product planning phase.
Credit acceptance
For a credit approval decision within programme
lending, client-specific aspects and internal and
external data are taken into consideration to calculate
a\u00a0credit 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\u00a0the proposal by the relevant client unit.
The\u00a0qualitative 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\u00a0purpose, 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\u00a0credit decision is based on independent
assessments by the commercial and credit risk
functions.
Credit risk monitoring
Consistent and regular monitoring of counterparties,
exposures, risk mitigants and ongoing compliance with
internal policies helps to safeguard the bank\u2019s position
in relation to all risks associated with the counterparty,
credit type or portfolio. Monitoring starts when
the\u00a0credit facility is granted and periodically continues
throughout the lifecycle of the credit facility and
the\u00a0relationship with the counterparty until
the\u00a0exposure 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\u00a0the\u00a0criteria and the assessment at the point of loan
origination, but also climate and environmental risk
(CER). Below we outline CER in our client assessment
in\u00a0more detail.
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\u00a0default classification, a \u2018watch\u2019 status is assigned. This
indicates that a counterparty is subject to increased
monitoring and appropriate follow-up measures
in\u00a0order 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 and recovery
Non-programme lending credit facilities that are subject
to a default event are mandatorily transferred
to\u00a0the\u00a0Financial Restructuring & Recovery department
(FR&R). If a \u2018going concern\u2019 approach is applicable and
return to a performing status is considered likely,
the\u00a0credit 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\u00a0the\u00a0Recovery 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\u00a0the\u00a0client unit.
Programme lending contracts are transferred
to\u00a0the\u00a0Late 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\u00a0client is transferred to other internal departments or
external parties (such as Flanderijn) for debt collection.
FR&R plays a significant role in the execution
of\u00a0the\u00a0bank\u2019s non-performing exposure (NPE) strategy,
which consists of NPE targets for each business
segment and specific sectors.
Credit concentration risk\u00a0
Audited
Credit concentration risk is the risk of loss arising from
large exposures, relative to the bank\u2019s total risk
exposure, to a single counterparty or to counterparties
that are positively and highly correlated. As limiting
excessive concentrations is fundamental to our credit
risk strategy, we aim to keep the credit risk portfolio
sufficiently granular and diversified. To avoid excessive
credit risk concentrations, Risk Management sets
maximum levels for subgroups in the following
categories:
\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 concentration
Counterparty concentration credit risk is the risk of loss
arising from relatively large exposures to counterparties
belonging to the same risk group. The One Obligor
Exposure (OOE) is the exposure to a risk group and
includes all drawn and undrawn credit facilities granted,
plus all indirect exposure to the risk group, including
guarantees and any other recourse claims.
A risk group is an interrelated group of counterparties
with a high degree of interdependency due to a control
relationship. This control relationship may be due
to\u00a0direct or indirect majority interests being held by
the\u00a0same 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 concentration
Geographic 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\u00a0the\u00a0Netherlands and for cross-border risks outside
the\u00a0Netherlands. 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\u00a0actions 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 concentration
Industry concentration risk is the risk of loss arising from
a relatively large credit exposure to counterparties
active in a single industry. Industry concentration risk
arises when deterioration in a specific industry has
an\u00a0effect 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\u00a0total 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\u00a0facilitate timely and sufficient management
interventions so as to avoid limits being breached.
Product concentration
Product concentration risk is the risk of loss arising from
relatively large credit exposures in a specific asset or
product class. This asset or product class concentration
occurs, for example, in residential mortgages,
commercial real estate and leveraged loans. In line with
our risk appetite, ceilings are defined per product type.
Climate risk concentration
Concentration of corporate exposures highly
susceptible to climate transition risk is limited in size
and is monitored. In particular, we monitor
the\u00a0concentration of corporate loans in sectors
contributing highly to climate change and also
carbon\u2011related corporate loans in such sectors. For
managing climate risk in the residential mortgages
book, the bank monitors the percentage of vulnerable
properties that have relatively high climate transition
risks and are located in an area sensitive to climate
physical risk. Please refer to the Environment section
in\u00a0the Sustainability Statements for more details of
the\u00a0GHG financed emissions and climate risks in our real
estate portfolios.
Credit risk quality and impairment\u00a0
Audited
We continuously monitor the credit portfolio for signs
indicating that a 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\u00a0aggregated counterparties in order to optimise
the\u00a0monitoring and review of these loans.
Forbearance
Forbearance is the process of making concessions
to\u00a0clients who are or will soon be experiencing financial
difficulty, 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
that 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\u00a0counterparty 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\u00a0forbearance 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 later of the last forbearance measure
or the date on which the forborne contract was
considered performing.
\u2022 Regular and timely payments of more than
an\u00a0insignificant 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\u2011performing at the time of the forbearance measure,
a mandatory cure period of at least one year applies
to\u00a0the contract before it is returned to performing
status. The cure period starts when the contract
becomes non-performing or, if the contract was already
non-performing, when the last forbearance measure
was taken.
Past due credit exposures
A financial asset is past due if a counterparty fails
to\u00a0make a payment on the contractual due date or if
the\u00a0counterparty 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 lifecycle\u00a0
Audited
Non-forborne
Forborne
Non-forborne
Defaulted forbearance clients
remain defaulted for at least a year
Performing
Cure
\u2265 1 year
Probation period
\u2265 2 year
Ceases to be
forborne
Forbearance measure
End of cure period
End of forbearance period
Performing
Non-performing
Performing
Accounting policy for measuring allowances
for expected credit losses (ECL)
Audited
The IFRS 9 impairment requirements are applicable
to financial assets measured at amortised cost or fair
value through other comprehensive income (FVOCI),
loan commitments, lease receivables and contract
assets and financial guarantee contracts. At each
reporting date, these financial instruments are
classified into one of three risk stages, depending on
current credit quality, or as purchased or originated
credit impaired (POCI).
POCI assets, which are credit impaired at initial
recognition, are accounted for at fair value
(i.e.\u00a0net\u00a0of\u00a0the initial lifetime ECLs) and do not carry
an\u00a0impairment allowance. Instead, a credit-adjusted
effective interest rate (EIR), which is calculated using
expected cash flows including initial lifetime ECLs,
is\u00a0applied to the amortised cost. Subsequently,
the\u00a0cumulative changes in lifetime ECLs since initial
recognition, which are discounted at
the\u00a0credit\u2011adjusted effective interest rate, are
recognised in the profit or loss statement as
an\u00a0impairment gain or loss, and presented under
impairment charges on financial instruments.
Once\u00a0a\u00a0financial 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 quality\u00a0
Audited
Change in credit quality since initial recognition
Stage 1
Stage 2
Stage 3
Performing
(Initial recognition)
Credit quality deteriorated
(Assets with significant increase in
credit risk since initial recognition)
Default = Impaired
(Credit impaired assets)
Recognition of ECL
12 month ECL
Lifetime ECL
Lifetime ECL
Interest income
Effective interest on
gross carrying amount
Effective interest on
gross carrying amount
Effective interest on amortised
cost (gross carrying amount less
loss allowance)
Classification in stage 2
We use quantitative and qualitative stage triggers
to\u00a0determine whether a financial instrument should be
classified as stage 1 or stage 2.
Quantitative stage triggers
The key quantitative metric that determines when
a\u00a0financial instrument is transferred from stage 1
to\u00a0stage 2 is the deterioration in the lifetime
probability of default (LPD) from the date
of\u00a0origination to the reporting date, based on internal
data. The LPD represents the likelihood that
a\u00a0counterparty will default during the lifetime
of\u00a0the\u00a0financial 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\u00a0relative difference between the remaining lifetime
PD at reporting (LPDR) and the remaining lifetime PD at
origination (LPDO) as LPDD = LPDR/LPDO. If the\u00a0LPD
deterioration of an exposure is above a\u00a0predefined
threshold, the LPD is considered to be significantly
deteriorated. The exposure is then transferred to stage\u00a02
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\u00a01.
When determining the\u00a0thresholds, 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\u00a0December 2024. The table
provides ranges because each product class uses
multiple ECL models, and thresholds are determined for
each ECL model.
Range of lifetime PD deterioration
thresholds\u00a0\u00a0
Audited
Product class
Range
Consumer lending
1.8x-5.2x
Residential mortgages
1.5x-2.1x
Corporate loans
1.3x-5.8x
Qualitative stage triggers
The bank transfers a financial instrument from stage 1
to stage 2 if the instrument meets any of the following
qualitative triggers:
\u2022 forborne status of a borrower
\u2022 watch status of a borrower. ABN AMRO assigns
the\u00a0watch status to counterparties with an increased
credit risk. This process comprises intensive
monitoring, early detection of deterioration
in\u00a0the\u00a0credit portfolio and appropriate follow-up
measures
\u2022 a delinquency-based regulatory backstop is
in\u00a0place, such that the credit risk of financial assets
that are more than 30 days past due will be
assumed to have significantly increased
Reclassification to stage 1
As a general rule, favourable changes in credit risk
are recognised consistently with unfavourable
changes, and a financial instrument is transferred
back to stage 1 if quantitative or qualitative triggers
are no longer met. In some cases, a probation period
applies:
\u2022 Forborne financial instruments are transferred
back from stage 2 to stage 1 only after
a\u00a0probation 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 3
A transfer to stage 3 will always be the result of
the\u00a0default of a financial instrument. The definition
of default for IFRS 9 is aligned with the regulatory
capital definition. 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\u00a0the\u00a0bank or
\u2022 the bank considers the borrower to be unlikely
to\u00a0meet its contractual obligations (unlikely
to\u00a0pay, or UTP)
The materiality of a financial obligation past due
is\u00a0assessed against an absolute and a relative
threshold, in line with regulatory standards.
To\u00a0determine unlikeliness to pay, the bank has
specified 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\u00a0UTP indications should result in a default
classification).
The mandatory triggers include the reporting of
a\u00a0forborne exposure under probation as
non\u2011performing for being 30 days past due or owing
to an additional forbearance measure being applied.
As a result, the definitions of non-performing and
default are materially aligned.
Reclassification to stage 2
The default classification for non-forborne
exposures ends when the default triggers no longer
apply and a probation or cure period of at least
three months has passed since the default trigger
was last applied. For forborne exposures,
a\u00a0twelve\u2011month 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\u00a0the credit quality is factual and permanent
(including, for example, no remaining past due
amounts).
Asset stages\u00a0\u00a0
Audited
Asset in scope?
YES
Purchased or originated credit impaired (POCI)?
NO
YES
Default trigger hit?
NO
YES
Lifetime PD significantly deteriorated?
NO
YES
Watch list
Forbearance (but not impaired)
NO
YES
Days past due
0-30
>30
Stage 1
Stage 2
Stage 3
Stage POCI
Calculation method
ABN AMRO recognises loss allowances based on
the\u00a0Expected 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\u00a0all expected cash shortfalls over the remaining life
of the financial instrument for both on- and
off\u2011balance 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\u00a02 and 3) for financial instruments that have
similar credit risk characteristics (e.g. residential
mortgages, consumer loans and SME loans); these
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\u00a0quantify the Probability of Loss (PL), Loss Given
Loss (LGL) and Exposure at Loss (EAL) for
the\u00a0purpose of calculating the collective 12-month
ECL and LECL for these financial instruments.
Lifetime expected credit loss
ABN AMRO defines the lifetime of credit as
the\u00a0maximum contractual period during which
the\u00a0bank is exposed to credit risk; we do not apply
a\u00a0longer period, even if that longer period is
consistent\u00a0with business practice. For some contracts,
such as overdraft facilities or credit cards, no end
date\u00a0is specified or amounts can be contractually
withdrawn by the lender at short notice. In these
cases, ABN\u00a0AMRO uses behavioural maturity models
that rely on historical client behaviour to determine
future expected exposures.
Forward-looking information
For expected credit loss calculations, ABN AMRO
uses\u00a0three different scenarios of future economic
developments: a baseline (or most likely) scenario,
a\u00a0negative scenario and a positive scenario. The three
scenarios are incorporated into the expected credit
loss calculation and risk stage determination
in\u00a0a\u00a0probability-weighted manner.
In order to\u00a0incorporate the latest economic outlook,
the\u00a0scenarios and their weights are reviewed
each\u00a0quarter and adjusted if necessary. Details
of\u00a0the\u00a0scenarios and their weights used in\u00a0the\u00a0reporting
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\u00a0assumed 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
them. This external benchmarking exercise is a standard
input to\u00a0the\u00a0Scenario Booklet that is presented to the
bank\u2019s Scenario and Stress Testing Committee for
approval. Group Economics also develops a negative
and a\u00a0positive scenario. These scenarios are designed
to\u00a0give 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 above institutions and other relevant
developments.
Management overlays and other adjustments
Where necessary to reflect credit risk dynamics not
captured by our models, management judgement is
applied via a management overlay or other IFRS\u00a09
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 by the Impairment and
Provision Committee (IPC). The main types
of\u00a0management overlays that ABN AMRO
distinguishes are: post-model adjustments
(adjustments to model outcomes), adjustments
in\u00a0the\u00a0weightings 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\u00a0same internal approval process.
Climate and environmental risks in ECL\u00a0
ESRS
In this developing discipline we are working
to\u00a0incorporate CER risk explicitly into ECL models.
Following our roadmap, 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.
For identifiable events with no or insufficient
provisioning, ECL-related management overlays can
be taken. We have taken two CER related overlays:
one for the potential impact the Dutch government\u2019s
nitrogen reducing measures will have on our clients
which is related to environmental transition risk
(EUR\u00a029 million), and another for climate transition
risk (EUR 19 million). Given the combination
of\u00a0macroeconomic scenarios and these management
overlays, we consider the bank adequately
provisioned for climate and environmental risks. For
more details on these overlays, please see Individual
and collective loan impairment allowances and
management overlays in the Credit risk review
section.
Cured financial assets
When a credit impaired financial asset cures,
the\u00a0interest 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
Under IFRS 9, \u2018write-off\u2019 refers to the process
of\u00a0recognising that a financial asset, or a portion of it,
is uncollectible and should be removed from
an\u00a0entity\u2019s balance sheet. This typically happens
when there is no reasonable expectation
of\u00a0recovering the asset, indicating that the entity has
exhausted all practical recovery efforts.
\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\u00a0default.
Such loans are written off after all the necessary
procedures have been completed and the amount
of\u00a0the loss has been determined. Subsequent
recoveries of amounts previously written off are
credited to impairment charges on financial
instruments in the income statement.
Credit risk measurement\u00a0
Audited
The models used for measuring and managing credit
risk vary from purely statistical to expert-based models
and employ both quantitative and qualitative risk
drivers. All models are subject to the bank\u2019s model risk
management framework. They undergo initial validation
by the independent model validation function before
their first use, and are then monitored and validated
annually. Independent validation is also required when
a model is changed.
Probability of default
The Probability of Default (PD) indicates the likelihood
that a counterparty or exposure defaults within a
one\u2011year time horizon. For the non-programme lending
portfolio, the model score is mapped to and expressed
as an internal uniform counterparty rating (UCR).
The\u00a0UCR 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 ratings
Grade Category
UCR
(internal rating)
Low
PD%
Mid
PD%
High
PD%
Standard & Poor's
equivalent
Moody's
equivalent
Fitch
equivalent
Investment 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+ to A
UCR 2-
0.071
0.10
0.127
A-
A3
A-
UCR 3+
0.127
0.16
0.200
BBB+
Baa1
BBB+
UCR 3
0.200
0.25
0.300
BBB
Baa2
BBB
UCR 3-
0.300
0.36
0.465
BBB-
Baa3
BBB-
Sub-investment grade
UCR 4+
0.465
0.60
0.775
BB+
Ba1
BB+
UCR 4
0.775
1.00
1.285
BB
Ba3
BB
UCR 4-
1.285
1.65
2.225
BB-
B1
B+
UCR 5+
2.225
3.00
4.243
B
B2
B
UCR 5
4.243
6.00
8.485
B-
Caa
B-
UCR 5-
8.485
12.00
16.971
CCC/C
Ca/C
CCC/C
UCR 6+
16.971
24.00
99.999
CCC/C
Ca/C
CCC/C
Default
UCR 6-8
100
D
C-D
D
Rating assignment
For non-programme lending, the ratings are individually
assigned to each obligor (PD) and facility (LGD) by
the\u00a0business 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 on a monthly basis. For all exposures,
the\u00a0EAD estimation is assigned automatically, based on
the facility type and the undrawn part of the facility.
Loss given default
Loss Given Default (LGD) models estimate the amount
the bank would lose if the counterparty were to default.
LGD is expressed as a percentage of the outstanding
amount at default. For credit facilities that are not
in\u00a0default, LGD estimates are influenced by the risk
mitigating techniques used by the bank (such as
collateral coverage and/or third-party protection),
the\u00a0credit facility\u2019s seniority and structure, and
the\u00a0bank\u2019s view on the creditor-friendliness
of\u00a0the\u00a0relevant country's legal framework.
Exposure at default
Exposure at Default (EAD) models estimate
the\u00a0expected exposure at the time a counterparty
defaults. If all or part of a facility is undrawn (i.e.
the\u00a0outstanding amount is less than the approved limit)
at the time of the EAD calculation, a portion of
the\u00a0undrawn amount is added to the exposure to\u00a0reflect
the tendency of counterparties to utilise larger portions
of their approved credit facilities when nearing default.
Capital for credit risk
Regulatory capital
For the purpose of determining capital requirements for
credit risk, ABN AMRO applies the Advanced Internal
Rating Based (A-IRB) approach to a number of its
portfolios. Under this approach, the previously described
internal estimates for PD, EAD and LGD are used
to\u00a0calculate Credit Risk RWA. For the other portfolios,
the\u00a0Standardised Approach (SA) is applied, meaning that
regulatory prescribed methods are used to determine
credit risk RWA. The PD, LGD and EAD models portfolios
are still used for internal purposes such as origination,
pricing, monitoring and reporting for the SA portfolios.
Economic capital
The EC model for credit risk uses a Monte Carlo
simulation to determine a full portfolio loss distribution,
taking into account specific portfolio characteristics and
diversification effects. Loan facilities are valued on
an\u00a0economic value (mark-to-market) basis to ensure
that loss estimates can be based not only on defaulting
borrowers, but also on possible credit migrations and
changes associated with the market values of loans.
Accounting policy for offsetting financial
assets and liabilities \u00a0
Audited
Financial assets and liabilities are offset, and the net
amount is reported on the EU IFRS balance sheet, if
there is a legally enforceable right to offset
the\u00a0recognised 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
the\u00a0balances meet the applicable criteria.
Accounting policy for enforceable master
netting agreements or similar
instruments\u00a0\u00a0
Audited
Enforceable master netting arrangements take into
account all agreements containing conditions that
allow offsetting in the event of default. In addition,
agreements are enforceable if the bank has a legally
enforceable right to offset and no ability and/or
intention to realise the asset and settle the liability
simultaneously. These arrangements include
derivative clearing agreements, global master
repurchase agreements and global master securities
lending agreements.
Credit risk overview\u00a0\u00a0
Audited
(in millions)
31 December 2024
31 December 2023
Cash and balances at central banks
44,464
53,656
Financial assets held for trading
2,503
1,371
Derivatives
4,347
4,403
Financial investments\u00b9
47,173
41,501
Securities financing
26,989
21,503
Loans and advances banks
2,049
2,324
Loans and advances customers
248,782
245,935
Other assets
5,518
5,351
Less: Other\u00b9
342
546
Other assets
5,176
4,805
On-balance sheet maximum exposure to credit risk
381,484
375,496
Off-balance sheet
Committed credit facilities
52,617
53,968
Guarantees and other commitments
6,638
6,289
Revocable credit facilities
38,093
31,710
Off-balance sheet credit facilities and guarantees
97,348
91,967
Maximum exposure to credit risk\u00b2
478,831
467,463
Adjustments on assets 2, 3
1,996
2,680
Valuation adjustments 4
5,664
7,226
Offsetting and netting
-33,229
-28,194
Off-balance sheet credit facilities and guarantees
-97,348
-91,967
Off-balance sheet exposure fraction expected to be drawn prior to
default (credit conversion factors)
34,091
28,816
Total Exposure at Default
390,006
386,024
Credit risk RWA / Total Exposure at Default
31.5%
31.7%
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\u00a0determination of regulatory and economic capital.
Overall credit risk EAD and RWA\u00a0\u00a0
Audited
31 December 2024
Original
EAD
Less: Netting/
EAD mitigation\u00b3
EAD
- of which
RWA
RWA/EAD
(in millions)
Derivatives
Securities
financing
transactions
Credit risk IRB
Institutions\u00b9
10,820
1,187
9,633
810
2,055
1,624
16.9%
Corporates
128,991
29,003
99,988
1,964
1,556
58,499
58.5%
Retail
172,472
4,712
167,760
18,495
11.0%
\u00a0 - of which secured by immovable property
164,118
571
163,547
17,369
10.6%
\u00a0 - of which qualifying revolving exposures
5,354
3,746
1,608
153
9.5%
\u00a0 - of which other retail
3,000
396
2,604
973
37.4%
Securitisation positions
2,869
2,869
371
12.9%
Subtotal
315,151
34,902
280,249
2,774
3,611
78,989
28.2%
Equities not held for trading
1,100
1,100
3,423
311.3%
Other\u00b2
2,123
2,123
30,164
1420.9%
Total IRB
318,374
34,902
283,472
2,774
3,611
112,576
39.7%
Credit risk SA
Central governments and central banks
79,926
-1,833
81,759
37
136
675
0.8%
Institutions\u00b9
28,434
14,104
14,330
3,750
4,252
1,149
8.0%
Corporates
21,817
15,473
6,344
1,109
1,166
5,226
82.4%
Retail
5,472
2,302
3,170
2,377
75.0%
Secured by mortgages on immovable property
598
12
587
209
35.7%
Exposures in default
330
172
158
213
134.6%
Collective investments undertakings (CIU)
36
36
19
Credit valuation adjustment
122
Subtotal
136,612
30,229
106,383
4,896
5,554
9,990
9.4%
Other\u00b2
152
152
212
139.9%
Total SA
136,763
30,229
106,534
4,896
5,554
10,202
9.6%
Total
455,137
65,131
390,006
7,670
9,165
122,779
31.5%
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 2023
Original
EAD
Less: Netting/
EAD mitigation\u00b3
EAD
- of which
RWA
RWA/EAD
(in millions)
Derivatives
Securities
financing
transactions
Credit risk IRB
Institutions\u00b9
9,875
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%
\u00a0 - of which secured by immovable property
157,349
505
156,844
15,917
10.1%
\u00a0 - of which qualifying revolving exposures
5,352
3,955
1,397
139
9.9%
\u00a0 - 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%
Other\u00b2
2,063
2,063
33,883
1642.1%
Total IRB
316,861
40,197
276,664
2,698
3,171
113,146
40.9%
Credit risk SA
Central governments and central banks
84,348
-327
84,675
56
190
347
0.4%
Institutions\u00b9
25,703
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
261
Subtotal
134,956
25,652
109,304
4,988
5,863
9,344
8.5%
Other\u00b2
56
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.
Credit quality by exposure class\u00a0\u00a0
Audited
31 December 2024
(in millions, Exposure at Default)
Investment
grade
Sub-investment
grade
Impaired
Total
Central governments and central banks
Institutions\u00b9
9,476
157
9,633
Corporates
50,688
46,211
3,089
99,988
Retail\u00b2
138,686
27,507
1,567
167,760
\u00a0 - of which secured by immovable property
135,861
26,216
1,470
163,547
\u00a0 - of which qualifying revolving exposures
1,404
181
23
1,608
\u00a0 - of which other retail
1,421
1,109
74
2,604
Securitisation positions
2,869
2,869
Total IRB\u00b3
201,719
73,874
4,656
280,249
Total SA 4
106,383
Total IRB and SA 3, 4
386,632
31 December 2023
Investment
grade
Sub-investment
grade
Impaired
Total
Central governments and central banks
Institutions\u00b9
8,890
283
9,173
Corporates
48,964
47,861
2,987
99,812
Retail\u00b2
133,993
26,773
1,582
162,347
\u00a0 - of which secured by immovable property
131,115
24,300
1,429
156,844
\u00a0 - of which qualifying revolving exposures
1,231
142
24
1,397
\u00a0 - of which other retail
1,647
2,331
129
4,106
Securitisation positions
2,205
2,205
Total IRB\u00b3
194,052
74,916
4,569
273,537
Total SA 4
109,304
Total IRB and SA 3, 4
382,841
1. 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\u00a0 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 increased to EUR 390.0 billion
(31\u00a0December\u00a02023: EUR 386.0 billion), largely as
a\u00a0result of the increase in loans and advances and partly
offset by a lower fair value adjustment from hedge
accounting on residential mortgages.
Total RWA slightly increased to EUR 140.9 billion
(31\u00a0December 2023: EUR 140.2 billion) while credit risk
RWA remained relatively flat. Credit risk RWA increased
during the first half of 2024, mainly due to an increase
in model related add-ons and business developments in
Corporate Banking. In the second half of the year, credit
risk RWA came down again, mainly due to business
developments in Corporate Banking, where Clearing
and Asset Based Finance were large contributors.
Steering measures and data quality improvements
added to the decrease.
Market risk RWA decreased by roughly EUR 60 million
over the year, CVA risk RWA (counterparty credit risk)
declined by roughly EUR 0.1 billion over the year.
Operational risk RWA increased by EUR 0.5 billion
compared to 2023. RWA for operational risk in 2024
was allocated to client units based on client units' total
income, in line with the standardised approach (TSA).
Under the TSA operational risk RWA is based on
a\u00a0three\u2011year average of the operating income.
The\u00a0average operating income increased due
to\u00a0the\u00a0addition of the 2023 income to replace the
2020\u00a0figure.
At 31 December 2024, RWA add-ons for regulatory
matters amounted to approximately EUR 22 billion
(31\u00a0December 2023: approximately EUR 23 billion).
Credit quality by internal rating scale mapped
to stages\u00a0\u00a0
Audited
The following table presents the gross carrying amount
of loans and the contractual amount of undrawn loan
commitments, classified by internal rating and risk
stage. In order to classify a client as stage 2, several
qualitative triggers are needed, which are not
necessarily dependent on internal ratings. Reference is
made to the Credit risk management section for more
information on internal ratings and stage determination.
31 December 2024
31 December 2023
(in millions)
PD scale
UCR range
Stage 1
Stage 2
Stage 3 4
Total 4
Stage 1
Stage 2
Stage 3 4
Total 4
Residential mortgages
0.000 - < 0.035
1\u00a0
73
4
77
31
31
0.035 - < 0.127
2\u00a0
51,759
788
52,547
63,726
1,583
65,309
0.127 - < 0.465
3\u00a0
65,597
4,976
70,573
51,973
2,824
54,797
0.465 - < 2.225
4\u00a0
20,300
5,299
25,599
22,404
3,808
26,212
2.225 - < 16.971
5\u00a0
420
4,383
4,803
457
2,366
2,823
16.971 - < 100
6+
23
667
690
79
535
613
100
6-8
1,919
1,919
1,292
1,292
Total residential mortgages
138,172
16,118
1,919
156,209
138,671
11,115
1,292
151,078
Consumer loans
0.000 - < 0.035
1\u00a0
748
24
772
625
2
628
0.035 - < 0.127
2\u00a0
651
8
659
797
5
802
0.127 - < 0.465
3\u00a0
2,033
75
2,108
2,708
43
2,751
0.465 - < 2.225
4\u00a0
2,469
114
2,582
2,604
183
2,788
2.225 - < 16.971
5\u00a0
451
174
625
118
158
276
16.971 - < 100
6+
431
90
521
681
73
755
100
6-8
222
222
255
255
No rating\u00b9
83
2
85
124
2
126
Total consumer loans
6,866
487
222
7,575
7,658
467
255
8,380
Corporate loans
0.000 - < 0.035
1\u00a0
4,736
107
4,842
2,757
77
2,833
0.035 - < 0.127
2\u00a0
7,580
47
7,627
8,429
140
8,569
0.127 - < 0.465
3\u00a0
18,738
779
19,517
19,018
1,565
20,583
0.465 - < 2.225
4\u00a0
26,378
4,343
30,721
26,819
4,460
31,280
2.225 - < 16.971
5\u00a0
1,885
2,502
4,387
1,990
3,004
4,994
16.971 - < 100
6+
3,948
614
4,562
4,935
1,040
5,976
100
6-8
3,110
3,110
3,152
3,152
No rating\u00b9
8,962
98
9,060
9,375
21
9,396
Total corporate loans
72,227
8,490
3,110
83,827
73,324
10,308
3,152
86,784
Other loans
0.000 - < 0.035
1\u00a0
10,332
37
10,369
9,656
37
9,693
0.035 - < 0.127
2\u00a0
8,345
8,345
7,071
7,071
0.127 - < 0.465
3\u00a0
5,394
5,394
3,586
3,586
0.465 - < 2.225
4\u00a0
2,252
2,252
2,996
2,996
2.225 - < 16.971
5\u00a0
82
82
16.971 - < 100
6+
423
1
424
26
14
40
100
6-8
6
6
8
8
No rating\u00b9
8,654
4
8,658
6,933
6,933
Total other loans\u00b2
35,483
42
6
35,531
30,268
51
8
30,327
Loan commitments and financial
guarantee contracts
0.000 - < 0.035
1\u00a0
4,737
4,737
4,328
4
4,332
0.035 - < 0.127
2\u00a0
15,308
60
15,368
15,934
117
16,051
0.127 - < 0.465
3\u00a0
16,096
773
16,869
14,317
657
14,974
0.465 - < 2.225
4\u00a0
12,385
1,516
13,901
14,976
1,644
16,620
2.225 - < 16.971
5\u00a0
1,269
801
2,071
608
867
1,475
16.971 - < 100
6+
1,282
140
1,422
1,823
214
2,037
100
6-8
627
627
965
965
No rating\u00b9
336
4
340
155
3
159
Total loan commitments and financial
guarantee contracts\u00b3
51,414
3,293
627
55,334
52,141
3,507
965
56,613
Total
0.000 - < 0.035
1\u00a0
20,625
172
20,797
17,398
121
17,518
0.035 - < 0.127
2\u00a0
83,644
902
84,546
95,957
1,844
97,801
0.127 - < 0.465
3\u00a0
107,858
6,603
114,461
91,602
5,089
96,691
0.465 - < 2.225
4\u00a0
63,784
11,272
75,056
69,800
10,096
79,896
2.225 - < 16.971
5\u00a0
4,107
7,861
11,968
3,174
6,395
9,569
16.971 - < 100
6+
6,108
1,511
7,619
7,544
1,877
9,420
100
6-8
5,885
5,885
5,672
5,672
No rating\u00b9
18,035
108
18,143
16,588
27
16,614
Total
304,162
28,430
5,885
338,476
302,062
25,447
5,672
333,181
1. Up until 31 December 2023, clients and counterparties for which no internal UCR is available but did get a proxy for provisioning purposes, were reported in the
corresponding UCR category (mainly \u20181\u2019). This mainly concerned CCPs within Clearing, and are reported in the category No rating from 31 December 2024 onwards. This
aligns with the RWA practice (RWA for trade exposures to CCPs which is not based on PD/UCR ratings) for these counterparties where no internal UCR process is in place.
Comparative figures have been adjusted.
2. Including Banks, Securities Financing and Government and official institutions.
3. Excluding performance letters of credit.
4. Including POCI.
The largest part of ABN AMRO's portfolio continues
to\u00a0be classified in the highest and medium internal
ratings of stage 1. Stage 2 clients are mostly in
the\u00a0medium internal UCRs, primarily visible for
corporate and mortgage loans. Compared to 2023,
the\u00a0share of the portfolio with an investment grade
(UCR 1 to UCR 3 bucket) increased marginally, mainly
due to slightly higher investment grades in corporate,
consumer and mortgage loans resulting from overall
improved and less overdue client ratings.
Approximately 2% of the bank's portfolio was reported
in UCR 6+, which came down from 2023, mainly as
a\u00a0result of an internal focus on reducing overdue
revisions. Clients whose 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 concentration\u00a0
Audited
Geographic concentration
The exposures in the following table have been
classified on the basis of the geographical regions in
which 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 EAD\u00a0\u00a0
Audited
31 December 2024
(in millions, Exposure at Default)
The
Netherlands
Rest of
Europe
USA
Asia
Rest of
the world
Total
Institutions\u00b9
1,158
6,977
817
141
540
9,633
Corporates
56,516
36,792
1,359
489
4,832
99,988
Retail
167,270
341
53
66
29
167,760
\u00a0 - of which secured by immovable property
163,087
315
52
65
28
163,547
\u00a0 - of which qualifying revolving exposures
1,581
23
1
1
1
1,608
\u00a0 - of which other retail
2,601
3
2,604
Securitisation positions
2,869
2,869
Total IRB\u00b2
227,813
44,110
2,229
697
5,401
280,249
Total SA\u00b3
57,890
30,777
10,626
5,091
1,999
106,383
Total IRB and SA 2, 3
285,703
74,887
12,855
5,787
7,400
386,632
Percentage of total IRB and SA 2, 3
73.9%
19.4%
3.3%
1.5%
1.9%
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.
31 December 2023
The
Netherlands
Rest of
Europe
USA
Asia
Rest of
the world
Total
Institutions\u00b9
1,173
6,517
765
188
531
9,173
Corporates
60,206
32,906
1,533
591
4,576
99,812
Retail
161,714
469
54
71
39
162,347
\u00a0 - of which secured by immovable property
156,242
444
53
68
37
156,844
\u00a0 - of which qualifying revolving exposures
1,397
1,397
\u00a0 - of which other retail
4,076
25
1
3
2
4,106
Securitisation positions
2,205
2,205
Total IRB\u00b2
225,297
39,892
2,352
850
5,145
273,537
Total SA\u00b3
61,173
32,830
10,307
2,934
2,060
109,304
Total IRB and SA 2, 3
286,471
72,722
12,659
3,785
7,205
382,841
Percentage of total IRB and SA 2, 3
74.8%
19.0%
3.3%
1.0%
1.9%
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 73.9%
of\u00a0the bank\u2019s portfolio at 31 December 2024
(31\u00a0December 2023: 74.8%), mainly as a result of
an\u00a0increase in corporates in the rest of Europe due
to\u00a0our expansion activities. Clients in the rest of Europe
are primarily located in neighbouring countries like
Belgium, France and Germany. Our exposure
to\u00a0countries outside Europe increased in Asia, and was
mainly related to Treasury activities. Exposures
to\u00a0the\u00a0USA related mainly to our Clearing activities.
Industry concentration\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross carrying
amount 4, 5
Percentage
of total
Gross carrying
amount 4, 5
Percentage
of total
Loans and advances banks
2,053
0.8%
2,327
0.9%
Agriculture, forestry and fishing
6,659
2.6%
6,928
2.7%
Mining and quarrying
1,576
0.6%
1,729
0.7%
Manufacturing
6,565
2.6%
6,699
2.6%
Electricity, gas, steam and air conditioning supply
2,241
0.9%
2,107
0.8%
Water supply; sewerage, waste management and remediation
activities
664
0.3%
702
0.3%
Construction
2,952
1.2%
3,623
1.4%
Wholesale and retail trade; repair of motor vehicles and
motorcycles
7,975
3.1%
8,778
3.4%
Transport and storage
8,749
3.4%
8,833
3.5%
Real estate activities
11,052
4.3%
11,067
4.3%
Accommodation and food service activities
1,733
0.7%
1,834
0.7%
Information and communication
4,851
1.9%
5,324
2.1%
Financial and insurance activities\u00b9
17,890
7.0%
18,683
7.3%
Professional, scientific & technical activities
2,024
0.8%
1,999
0.8%
Administrative & support service activities
5,358
2.1%
4,804
1.9%
Human health services & social work activities
2,630
1.0%
2,788
1.1%
Other sectors\u00b2
909
0.4%
886
0.3%
Total corporate loans
83,827
32.7%
86,784
34.0%
Private individuals (residential mortgages and consumer loans)
163,783
63.9%
159,458
62.5%
Other loans\u00b3
6,489
2.5%
6,497
2.5%
Total non-industry classification
170,273
66.5%
165,955
65.1%
Total loans and advances customers
254,100
99.2%
252,739
99.1%
Total loans and advances
256,153
100%
255,066
100%
1. Financial and insurance activities include asset managers, credit card companies and providers of personal financial services and securities and brokers.
2. Other include loans to Public administration & defence, compulsory social security, Education, Arts, entertainment & recreation, Activities of households as employers,
Activities of extraterritorial organisations & bodies and Other services.
3. Other loans include loans to Government and official institutions and default fund contributions for our clearing clients.
4. Excluding loans at fair value through P&L.
5. Excluding fair value adjustments from hedge accounting.
In comparison with 2023, total corporate loans declined
by EUR 3.0 billion, reducing the share of corporate
loans in total loans and advances to customers
to\u00a032.7% (2023: 34.0%). Portfolio composition by
industry remained stable: the top five industries in terms
of exposures were in the financial sector, followed by
real estate, transport and storage, wholesale and retail
trade and agriculture, which was the same as in 2023.
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. In
the\u00a0exposure table, non-material industry clusters are
aggregated under Other. Industry concentration limits
are established within the bank\u2019s risk appetite, with
the\u00a0thresholds for concentrations being based on
relative risk, the importance of the industry to the Dutch
economy and expert opinion.
Management of forborne, past due and
credit impaired loans\u00a0\u00a0
Audited
Credit risk reporting scope
Although all financial assets on our balance sheet are
subject to some form of credit risk, by far the largest
part is in loans and advances. To provide a meaningful
view of the credit risk in our lending book, the figures
presented in this section therefore relate to loans and
advances. Any credit risk outside the reported scope are
mentioned in the notes below the table. All figures are
reported gross of loan impairment allowances and
exclude fair value adjustments. The following table
provides a comparison between the gross carrying
amounts presented in this section and the consolidated
balance sheet.
Total loans and advances customers\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross
carrying
amount\u00b3
Fair value
adjustment
from
hedge
accounting
Less: loan
impairment
allowance
Less:
amortisation
and
depreciation
Carrying
amount
Gross
carrying
amount\u00b3
Fair value
adjustment
from
hedge
accounting
Less: loan
impairment
allowance
Less:
amortisation
and
depreciation
Carrying
amount
Loans and advances
banks
2,053
4
2,049
2,327
3
2,324
Residential mortgages
156,209
-4,686
133
151,390
151,078
-6,005
198
144,875
Consumer loans\u00b9
7,575
130
7,445
8,380
147
8,233
Corporate loans\u00b9
83,827
102
1,100
82,829
86,784
96
1,254
85,626
Other loans and advances
customers\u00b9
6,489
2
6,487
6,497
3
6,494
Total loans and
advances customers\u00b9
254,100
-4,584
1,364
248,152
252,739
-5,909
1,602
245,228
Total loans and
advances\u00b9
256,153
-4,584
1,368
250,201
255,066
-5,909
1,605
247,551
Other
138,184
-981
133
2,224
134,845
134,409
-1,640
187
2,224
130,358
Total assets
394,336
-5,565
1,501
2,224
385,047
389,474
-7,549
1,792
2,224
377,909
Loans and advances
customers\u00b9
254,100
-4,584
1,364
248,152
252,739
-5,909
1,602
245,228
Consumer loans at
fair value through P&L\u00b2
600
600
648
648
Corporate loans at
fair value through P&L
30
30
59
59
Total loans and
advances customers
254,730
-4,584
1,364
248,782
253,446
-5,909
1,602
245,935
1. 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 resulted
from interest rate swaps made to protect against
changes in the fair value of fixed-rate assets due
to\u00a0changes in market interest rates. The fair value
adjustment for mortgages decreased as a result
of\u00a0lower market interest rates.
Forborne exposures
Clients in (or potentially in) financial difficulty and
whose contracts have been amended in ways that are
regarded as concessions on the part of the bank are
accounted 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 assets\u00a0\u00a0
Audited
31 December 2024
Gross
carrying
amount\u00b2
Performing assets
Total per-
forming
forborne
assets
Non-performing assets
Total
non-per-
forming
forborne
assets
Total
forborne
assets
For-
bear-
ance
ratio
(in millions)
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Loans and advances banks
2,053
0.0%
Residential mortgages
156,209
513
10
523
508
14
521
1,045
0.7%
Consumer loans\u00b9
7,575
20
45
3
68
9
25
12
46
114
1.5%
Corporate loans\u00b9
83,827
660
1,336
210
2,207
175
1,387
163
1,725
3,932
4.7%
Other loans and advances
customers\u00b9
6,489
1
1
1
0.0%
Total loans and advances
customers\u00b9
254,100
1,193
1,391
214
2,798
692
1,426
177
2,294
5,092
2.0%
Total loans and advances\u00b9
256,153
1,193
1,391
214
2,798
692
1,426
177
2,294
5,092
2.0%
Loans at FV through P&L
630
1
2
6
1
6
8
1.3%
Total loans and advances
256,783
1,194
1,392
214
2,799
698
1,426
177
2,301
5,100
2.0%
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
31 December 2023
Gross
carrying
amount\u00b2
Performing assets
Total per-
forming
forborne
assets
Non-performing assets
Total
non-per-
forming
forborne
assets
Total
forborne
assets
For-
bear-
ance
ratio
(in millions)
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Loans and advances banks
2,327
0.0%
Residential mortgages
151,078
516
14
531
506
10
1
517
1,048
0.7%
Consumer loans\u00b9
8,380
20
27
47
11
40
6
56
103
1.2%
Corporate loans\u00b9
86,784
564
1,548
370
2,482
294
1,303
288
1,884
4,367
5.0%
Other loans and advances
customers\u00b9
6,497
2
2
2
0.0%
Total loans and advances
customers\u00b9
252,739
1,101
1,589
371
3,060
810
1,352
296
2,459
5,519
2.2%
Total loans and advances\u00b9
255,066
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. Excluding fair value adjustments from hedge accounting.
The forbearance ratio improved to 2.0%
(31\u00a0December\u00a02023: 2.2%), mainly because permanent
forbearance measures relating to some corporate loans
ended. Approximately 37% of the forborne exposures is
now subject to a temporary measure
(31\u00a0December\u00a02023: 35%).
Past due not classified as stage 3\u00a0\u00a0
Audited
31 December 2024
Days past due
(in millions)
Gross
carrying
amount\u00b2
Assets not
classified as
stage 3 or POCI
\u2264\u00a030 days
>\u00a030 days &
\u2264 90 days
> 90 days\u00b3
Total past due,
but not stage 3
or POCI
Past due
ratio
Loans and advances\u00a0banks
2,053
2,053
0.0%
Residential mortgages
156,209
154,290
1,195
26
3
1,224
0.8%
Consumer\u00a0loans\u00b9
7,575
7,353
356
16
20
392
5.2%
Corporate loans\u00b9
83,827
80,717
570
200
2
772
0.9%
Other loans and advances customers\u00b9
6,489
6,483
0.0%
Total\u00a0loans and advances customers\u00b9
254,100
248,842
2,122
242
25
2,389
0.9%
Total\u00a0loans and advances\u00b9
256,153
250,895
2,122
242
25
2,389
0.9%
1. Excluding loans at fair value through P&L.
2. Excluding 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 2023
Days past due
(in millions)
Gross
carrying
amount\u00b2
Assets not
classified as
stage 3 or POCI
\u2264\u00a030 days
>\u00a030 days &
\u2264 90 days
> 90 days\u00b3
Total past due,
but not stage 3
or POCI
Past due
ratio
Loans and advances\u00a0banks
2,327
2,327
0.0%
Residential mortgages
151,078
149,786
1,204
6
2
1,211
0.8%
Consumer\u00a0loans\u00b9
8,380
8,125
90
17
37
143
1.7%
Corporate loans\u00b9
86,784
83,631
359
205
76
640
0.7%
Other loans and advances customers\u00b9
6,497
6,489
4
4
0.1%
Total\u00a0loans and advances customers\u00b9
252,739
248,031
1,657
227
114
1,999
0.8%
Total\u00a0loans and advances\u00b9
255,066
250,358
1,657
227
114
1,999
0.8%
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Materiality thresholds are applied for counterparties transferring to stage 3. Below these thresholds, amounts are reported on > 90 days past due.
Past due exposures
When a counterparty is past due or exceeds its credit
limit, all loans and advances (total gross carrying
amount) in the related credit arrangement are
considered to be past due. The absolute and relative
materiality thresholds used for determining a defaulted
status do not apply for the purposes of classification as
past due. Below these thresholds, arrears of more than
90 days are reported as past due.
Total arrears rose to EUR 2.4 billion or 0.9% of the total
loans and advances compared to 31 December 2023.
Increases were mainly in the short term buckets
(<=30\u00a0days) of consumer and corporate loans.
The\u00a0increase in consumer loans in arrears was triggered
by data quality improvements, and does not reflect
an\u00a0increase in the risk profile.
Coverage and stage ratios\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross
carrying
amount\u00b2
Allowances
for credit
losses\u00b3
Coverage
ratio
Stage
ratio
Gross
carrying
amount\u00b2
Allowances
for credit
losses\u00b3
Coverage
ratio
Stage
ratio
Stage 1
Loans and advances banks
2,016
4
0.2%
98.2%
2,290
3
0.1%
98.4%
Residential mortgages
138,172
36
0.0%
88.5%
138,671
24
0.0%
91.8%
Consumer loans\u00b9
6,866
12
0.2%
90.6%
7,658
18
0.2%
91.4%
Corporate loans\u00b9
72,227
119
0.2%
86.2%
73,324
192
0.3%
84.5%
Other loans and advances customers\u00b9
6,478
0.0%
99.8%
6,475
0.0%
99.7%
Total loans and advances customers\u00b9
223,743
167
0.1%
88.1%
226,128
234
0.1%
89.5%
Stage 2
Loans and advances banks
37
0.0%
1.8%
37
0.0%
1.6%
Residential mortgages
16,118
42
0.3%
10.3%
11,115
49
0.4%
7.4%
Consumer loans\u00b9
487
15
3.1%
6.4%
467
11
2.4%
5.6%
Corporate loans\u00b9
8,490
170
2.0%
10.1%
10,308
228
2.2%
11.9%
Other loans and advances customers\u00b9
5
1.1%
0.1%
14
1
7.9%
0.2%
Total loans and advances customers\u00b9
25,100
226
0.9%
9.9%
21,903
289
1.3%
8.7%
Stage 3 and POCI
Loans and advances banks
Residential mortgages
1,919
55
2.9%
1.2%
1,292
125
9.7%
0.9%
Consumer loans\u00b9
222
102
46.1%
2.9%
255
118
46.3%
3.0%
Corporate loans\u00b9
3,110
811
26.1%
3.7%
3,152
833
26.4%
3.6%
Other loans and advances customers\u00b9
6
2
27.1%
0.1%
8
2
27.1%
0.1%
Total loans and advances customers\u00b9
5,258
971
18.5%
2.1%
4,707
1,079
22.9%
1.9%
Total of stages 1, 2, 3 and POCI
Total loans and advances banks
2,053
4
0.2%
2,327
3
0.1%
Residential mortgages
156,209
133
0.1%
151,078
198
0.1%
Consumer loans\u00b9
7,575
130
1.7%
8,380
147
1.8%
Corporate loans\u00b9
83,827
1,100
1.3%
86,784
1,254
1.4%
Other loans and advances customers\u00b9
6,489
2
0.0%
6,497
3
0.1%
Total loans and advances customers\u00b9
254,100
1,364
0.5%
252,739
1,602
0.6%
Total loans and advances\u00b9
256,153
1,368
0.5%
255,066
1,605
0.6%
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 2024: EUR 1 million; 31 December 2023: EUR 1 million).
Portfolio developments in combination with lower
allowances for credit losses at Corporate Banking
resulted in a decrease in the stage 2 ratio and the stage
2 coverage ratio. Stage 3 ratio increased slightly, while
stage 3 coverage ratio showed a slight decline.
For mortgages, stage 2 and stage 3 ratio in 2024
increased to 10.3% and 1.2% respectively
(31\u00a0December 2023: 7.4% and 0.9%). The stage 2 and
3 coverage ratios 2 and 3 of mortgages decreased
to\u00a00.3% and 2.9% respectively (31 December 2023:
0.4% and 9.7%). IFRS 9 model changes in the third
quarter led to a decrease in the stage 3 coverage ratio.
In the fourth quarter, methodology changes were
implemented to better reflect the credit risk
characteristics of interest-only mortgages and
the\u00a0anticipated impact of a new mortgages model. For
interest-only mortgages, this resulted in a significant
increase from stage 1 to stage 2, and for the anticipated
impact of a new mortgages model to stage 3.
An\u00a0additional impact on the stage 2 and 3 coverage
ratios was a consequence of improvements in the Dutch
housing market outlook.
Purchased or Originated Credit Impaired (POCI)
At 31 December 2024, loans classified as POCI
amounted to EUR 7 million. Due to the immateriality
ofthe amount, this is included in the amount shown for
stage 3 throughout this report.
Exposure and impairment flows
This section provides more details on the exposure and
impairment flows underlying the change in coverage
and stage ratios shown in the previous section.
Total loans and advances\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Closing balance of the previous year
228,418
21,940
4,707
255,066
229,084
23,954
5,175
258,212
Impact adopting IFRS 17
-1,061
-103
-83
-1,247
Balance at 1 January
228,418
21,940
4,707
255,066
228,023
23,851
5,091
256,965
Transfer to stage 1
8,704
-8,644
-59
8,542
-8,417
-125
Transfer to stage 2
-15,361
16,025
-664
-11,135
12,130
-996
Transfer to stage 3
-1,468
-1,186
2,654
-1,131
-1,116
2,247
Additional drawdowns and partial
repayments
-16,518
1,265
-142
-15,394
-11,950
199
-8
-11,759
Originated or purchased
42,922
42,922
37,428
37,428
Matured or repaid
-20,472
-4,170
-876
-25,518
-20,909
-4,609
-1,198
-26,715
Write-offs
-350
-350
-334
-334
Foreign exchange
1,017
50
21
1,088
-484
-92
-18
-594
Other movements
-1,483
-144
-34
-1,660
33
-7
48
74
Balance at 31 December
225,759
25,136
5,258
256,153
228,418
21,940
4,707
255,066
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Total loans and advances increased marginally
compared to 31 December 2023. This was mainly due
to an increase in mortgages, which was mostly offset by
a decrease in corporate and consumer loans.
There was a significant transfer from stage 1 to stage 2
and 3, largely due to the implementation
of\u00a0methodology changes to better reflect the credit risk
characteristics of interest-only mortgages and
the\u00a0anticipated impact of a new mortgage model.
There was a significant decrease in other movements,
which was mainly due to a loan portfolio being
reclassified to assets held for sale.
Exposure flows per product class are presented
in\u00a0the\u00a0section Additional risk, funding & capital
disclosures.
Loan impairment charges and allowances\u00a0\u00a0
Audited
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Balance at 31 December 2023
3
198
147
1,254
3
1,605
109
Transfer to stage 1
-4
-4
-10
-18
Transfer to stage 2
6
23
29
2
Transfer to stage 3
16
29
137
181
Remeasurements\u00b9
-73
-15
-16
-2
-105
22
Changes in risk parameters
1
3
-11
-7
Originated or purchased
4
3
33
1
41
5
Matured or repaid
-14
-6
-60
-79
-7
Impairment charges (releases) on loans
and advances
-64
11
96
-2
41
22
Write-offs
-2
-31
-317
-350
Unwind discount / unearned interest accrued
1
3
22
1
27
Foreign exchange and other movements
-1
45
45
-34
Balance at 31 December 2024
4
133
130
1,100
2
1,368
96
2024
Impairment charges (releases) on loans and
advances
-64
11
96
-2
41
22
Recoveries and other charges (releases)
-11
-25
-48
-83
Total impairment charges for the period\u00b2
-75
-13
48
-2
-42
22
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage.
2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2024: EUR 1 million.
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Balance at 31 December 2022
8
153
277
1,590
5
2,034
51
Impact adopting IFRS 17
-100
-100
Balance at 1 January 2023
8
153
177
1,590
5
1,934
51
Transfer to stage 1
-4
-5
-20
-28
-1
Transfer to stage 2
7
-1
-14
-9
2
Transfer to stage 3
24
30
133
2
188
17
Remeasurements\u00b9
-5
35
-15
-112
-4
-101
47
Changes in risk parameters
3
6
-35
-26
-4
Originated or purchased
4
3
32
39
8
Matured or repaid
-17
-8
-54
-79
-9
Impairment charges (releases) on loans
and advances
-5
51
10
-71
-3
-17
60
Write-offs
-1
-58
-274
-334
Unwind discount / unearned interest accrued
2
3
29
1
34
Foreign exchange and other movements
-7
15
-20
-12
-1
Balance at 31 December 2023
3
198
147
1,254
3
1,605
109
2023
Impairment charges (releases) on loans and
advances
-5
51
10
-71
-3
-17
60
Recoveries and other charges (releases)
-14
-29
-67
-111
-90
Total impairment charges for the period\u00b2
-5
37
-19
-139
-3
-128
-30
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million.
Loan impairment charges and allowances per stage\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Closing balance of the previous year
237
289
1,079
1,605
316
396
1,322
2,034
Impact adopting IFRS 17
-6
-19
-75
-100
Balance at 1 January
237
289
1,079
1,605
310
376
1,247
1,934
Transfer to stage 1
61
-70
-9
-18
109
-128
-10
-28
Transfer to stage 2
-32
104
-43
29
-41
90
-58
-9
Transfer to stage 3
-6
-29
216
181
-15
-59
261
188
Remeasurements\u00b9
-106
-46
46
-105
-125
44
-20
-101
Changes in risk parameters
-5
-4
2
-7
-31
-1
6
-26
Originated or purchased
41
41
39
39
Matured or repaid
-18
-24
-38
-79
-11
-16
-53
-79
Impairment charges (releases) on loans
and advances
-65
-68
174
41
-75
-69
126
-17
Write-offs
-350
-350
-334
-334
Unwind discount / unearned interest accrued
27
27
34
34
Foreign exchange and other movements
-2
6
41
45
2
-18
4
-12
Balance at 31 December
170
226
971
1,368
237
289
1,079
1,605
Impairment charges (releases) on loans
and advances
-65
-68
174
41
-75
-69
126
-17
Recoveries and other charges (releases)
-83
-83
-111
-111
Total impairment charges for the period
-65
-68
91
-42
-75
-69
16
-128
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
A release of EUR 21 million (a EUR 42 million release on
balance and a EUR 22 million charge off balance)
in\u00a0impairments was recorded for 2024 (2023: a release
of EUR 158 million, of which EUR 30 million
off\u2011balance).\u00a0 Impairment releases were primarily
related to\u00a0residential mortgages somewhat offset by
impairment charges in corporate loans.
For residential mortgages, releases of EUR 75 million
were recorded in 2024, compared to charges of
EUR\u00a037\u00a0million in 2023. This was mainly caused by
the\u00a0impact of the updated IFRS 9 model for mortgages,
including updated and enhanced data, which led
to\u00a0lower impairment levels from the third quarter
of\u00a02024. Besides that, the decrease was mostly due
to\u00a0lower loss given default rates driven by increased
collateral values. The decrease in total impairments was
partly offset by an increase in management overlays
of\u00a0EUR 2 million.
For corporate loans, charges of EUR 48 million were
recorded in 2024, primarily due to an increase
in\u00a0individual files, which is also reflected in the
off\u2011balance items. In 2023, there was a release of
EUR\u00a0139 million. In 2024, we recorded an increase
in\u00a0collective impairments (mostly in stage 3) due
to\u00a0the\u00a0anticipated impact of a new model for corporate
portfolios. This decrease in total impairments for
corporate loans was mainly driven by a decrease
in\u00a0management overlays of EUR 121 million, which was
largely due to the decommissioning of the management
overlay for geopolitical and market sensitivity
(geopolitical risk).
Individual and collective loan impairment allowances and management overlays\u00a0\u00a0
Audited
31 December 2024
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Individual impairments
Stage 3\u00b9
42
600
2
643
80
Total individual impairments
42
600
2
643
80
Collective impairments
Stage 1
4
36
12
119
170
6
Stage 2
42
15
170
226
10
Stage 3\u00b9
55
60
212
327
Total collective impairments
4
133
88
500
724
16
- of which management overlay
85
56
140
Total impairments
4
133
130
1,100
2
1,368
96
Carrying amount of loans, determined to be impaired,
before deducting any assessed impairment allowance
1,919
222
3,110
6
5,258
1. Including POCI.
31 December 2023
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Individual impairments
Stage 3\u00b9
52
695
2
750
78
Total individual impairments
52
695
2
750
78
Collective impairments
Stage 1
3
24
18
192
237
16
Stage 2
49
11
228
1
289
12
Stage 3\u00b9
125
66
138
329
3
Total collective impairments
3
198
95
558
1
855
31
- of which management overlay
83
177
260
Total impairments
3
198
147
1,254
3
1,605
109
Carrying amount of loans, determined to be impaired,
before deducting any assessed impairment allowance
1,292
255
3,152
8
4,707
1. Including POCI.
Total collective impairments amounted to
EUR\u00a0724\u00a0million at year end 2024 (31 December 2023:
EUR\u00a0855\u00a0million). These impairments included expected
credit losses (ECL) as calculated by our IFRS 9 models
and the management overlays we recorded. The ECL
calculations take into account a probability weighted
average of three economic scenarios. As the ECL model
outcomes do not always reflect the current economic
environment and circumstances, additional
management overlays are applied to incorporate novel
risks not fully captured by the model.
During 2024, management overlays decreased to
a\u00a0total of EUR 140 million (31 December 2023:
EUR\u00a0260 million). Some of the management overlays
were recorded for risks in corporate loans portfolios,
where the impairments decreased from
EUR\u00a0177\u00a0million to EUR 56 million. In 2024,
the\u00a0management overlays changed mainly due to:
\u2022 Discontinuation of the management overlay for
geopolitical and market sensitivity (geopolitical risk).
In\u00a0combination with the changed macroeconomic
scenario weights, revised forecasts for macroeconomic
variables, and credit risk assessments at both
the\u00a0sectorial and individual levels, we captured
the\u00a0current geopolitical risks in our modelled loan
impairment calculations. The decommissioning
resulted in a release of EUR 86 million.
\u2022 The existing overlays, which cover potential additional
risk costs relating to the wind-down of portfolios,
decreased over the year by EUR 23 million.
\u2022 The overlays that are in place for climate transition
risk decreased by EUR 6 million to EUR 19 million,
based on the updated materiality impact assessment.
\u2022 The overlay that is in place for the potential impact
of\u00a0the government\u2019s nitrogen reducing measures on
clients in livestock farming businesses
in\u00a0the\u00a0Netherlands decreased slightly from
EUR\u00a035\u00a0million to EUR 29 million.
Some of the management overlays were recorded for
risks in mortgage loans, where the impairments
increased from EUR 83 million to EUR 85 million
in\u00a02024. The management overlay framework for our
mortgages portfolio was revised in the third quarter,
following the update of the IFRS 9 model for
mortgages. The methodology for interest-only
mortgages was updated to include, among others,
a\u00a0new component that was introduced to capture the
possible impact of a significant decrease in
loan\u2011to\u2011value upon default and an adjustment in
the\u00a0calculation of refinancing risk. In the fourth quarter,
stage 2 ratio increased due to these methodology
changes, which were implemented to better reflect
the\u00a0credit risk characteristics of the mortgages overlays.
All management overlays represent best estimates
of\u00a0the risks involved. The underlying reasoning and
calculations are documented and discussed and
approved by the Impairments and Provisioning
Committee (IPC).
Macroeconomic scenarios in 2024\u00a0\u00a0
Audited
(in millions)
Weight
Macroeconomic variable\u00b9
2025
2026
2027
2028
Unweighted
ECL 5
Weighted
ECL 5
Real GDP Netherlands\u00b2
2.6%
2.1%
1.7%
1.3%
Positive
15%
Unemployment\u00b3
3.5%
3.5%
3.6%
3.5%
639
House price index 4
7.5%
3.8%
3.0%
3.0%
Real GDP Netherlands\u00b2
1.5%
0.8%
1.2%
1.3%
Baseline
55%
Unemployment\u00b3
3.9%
4.2%
4.4%
4.4%
692
724
House price index 4
7.0%
3.5%
2.1%
2.5%
Real GDP Netherlands\u00b2
0.5%
-0.4%
0.7%
1.2%
Negative
30%
Unemployment\u00b3
6.0%
6.0%
5.8%
5.7%
826
House price index 4
0.2%
-4.5%
1.5%
2.6%
1. The variables presented in this table are a selection of the key macroeconomic variables.
2. Real GDP Netherlands, % change year-on-year.
3. Unemployment Netherlands, % of labour force.
4. House price index Netherlands - average % change year-on-year.
5. Weighted and unweighted ECL are including all collective impairments.
Macroeconomic scenarios in 2023\u00a0\u00a0
Audited
(in millions)
Weight
Macroeconomic variable\u00b9
2024
2025
2026
2027
Unweighted
ECL 5
Weighted
ECL 5
Real GDP Netherlands\u00b2
2.0%
2.0%
1.4%
1.2%
Positive
15%
Unemployment\u00b3
3.7%
3.6%
3.5%
3.6%
763
House price index 4
4.5%
2.0%
1.5%
2.5%
Real GDP Netherlands\u00b2
0.6%
1.1%
1.3%
1.2%
Baseline
60%
Unemployment\u00b3
4.1%
4.0%
4.0%
4.1%
822
855
House price index 4
2.5%
0.5%
1.5%
2.0%
Real GDP Netherlands\u00b2
-1.0%
1.0%
1.6%
1.4%
Negative
25%
Unemployment\u00b3
6.1%
5.6%
5.3%
5.1%
990
House price index 4
-7.5%
-5.0%
1.3%
2.1%
1. The variables presented in this table are a selection of the key macroeconomic variables.
2. Real GDP Netherlands, % change year-on-year.
3. Unemployment Netherlands, % of labour force.
4. House price index Netherlands - average % change year-on-year.
5. Weighted and unweighted ECL are including all collective impairments.
Credit risk mitigation\u00a0\u00a0
Audited
Collateral reporting is based on the net collateral value
(NCV). The NCV represents the amount expected to be
recovered from the collateral pledged to the bank if
the\u00a0client defaults. Where necessary, certain discounts
are applied. The NCV is approached by an average
recovery rate observed for the specific type of collateral
and, where applicable, by applying haircuts, for
example in the event of currency mismatches. Surplus
collateral is the amount of over-collateralisation,
calculated on an individual basis. A surplus is not
included for guarantees, as the debtor cannot be held
liable for more than the maximum debt.
Financial assets: offsetting, netting, collateral and guarantees\u00a0\u00a0
Audited
31 December 2024
Offset in the statement of financial
position
Not offset in the statement of financial position
Net
exposure5
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet
netting with
gross
liabilities
Carrying
amount\u00b2
Master
netting
agree-
ment\u00b3
Financial
instru-
ments
collateral
Property
& equip-
ment
Other
collateral
and guar-
antees
Total risk
mitigation
- of which
surplus
collateral 4
Financial assets
held for trading
2,503
2,503
2,503
Derivatives
4,347
4,347
3,176
639
3,815
103
635
Financial investments
47,173
47,173
47,173
Securities financing
32,192
5,203
26,989
847
32,348
33,195
6,452
246
Interest-bearing deposits
1,169
1,169
16
16
1,153
Loans and advances
707
707
527
728
1,255
721
173
Other
174
174
174
Total loans and advances
banks
2,049
2,049
543
728
1,271
721
1,500
Residential mortgages
156,076
156,076
2,695
325,975
372
329,041
176,542
3,577
Consumer loans
7,446
1
7,445
2,866
3,958
48
6,873
2,928
3,501
Corporate loans
83,433
705
82,727
1,759
30,917
54,489
3,303
90,468
37,508
29,767
Other loans and advances
customers
6,491
4
6,487
49
31
80
10
6,417
Fair value adjustment from
hedge accounting
-4,584
-4,584
-4,584
Total loans and advances
customers\u00b9
248,863
711
248,152
1,808
36,478
384,453
3,723
426,463
216,988
38,677
Loans at fair value through P&L
630
630
1,715
1,715
1,252
167
Total loans and advances
customers
249,493
711
248,782
1,808
36,478
386,168
3,723
428,178
218,239
38,843
Other assets
4,652
4,652
7
584
1,163
1,754
584
3,482
Total\u00a0on-balance sheet
subject to netting and
pledged agreements
342,409
5,914
336,496
6,380
70,777
386,168
4,887
468,212
226,099
94,383
Assets not subject to netting
and pledged agreements
48,551
48,551
48,551
Total assets
390,960
5,914
385,047
6,380
70,777
386,168
4,887
468,212
226,099
142,934
Total\u00a0off-balance sheet
97,348
97,348
1,952
11,547
845
14,344
5,478
88,482
Total on- and off-balance
sheet
488,308
5,914
482,394
6,380
72,729
397,715
5,732
482,556
231,577
231,415
1. Excluding loans at fair value through P&L.
2. Carrying amount includes loan impairment allowances where applicable.
3. Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these
agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.
4. Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.
5. Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.
31 December 2023
Offset in the statement of financial
position
Not offset in the statement of financial position
Net
exposure5
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet
netting with
gross
liabilities
Carrying
amount\u00b2
Master
netting
agree-
ment\u00b3
Financial
instru-
ments
collateral
Property
& equip-
ment
Other
collateral
and guar-
antees
Total risk
mitigation
- of which
surplus
collateral 4
Financial assets
held for trading
1,371
1,371
1,371
Derivatives
4,403
4,403
3,151
3,151
1,252
Financial investments
41,501
41,501
41,501
Securities financing
29,876
8,374
21,503
1,130
29,213
30,343
9,279
438
Interest-bearing deposits
1,729
328
1,401
39
39
1,362
Loans and advances
729
729
490
489
980
487
236
Other
194
194
194
Total loans and advances
banks
2,651
328
2,324
529
489
1,019
487
1,792
Residential mortgages
150,880
150,880
2,567
271,233
613
274,413
128,748
5,216
Consumer loans
8,233
8,233
3,444
4,501
55
8,000
2,874
3,107
Corporate loans
86,413
883
85,530
1,812
36,311
52,909
3,717
94,749
39,523
30,304
Other loans and advances
customers
6,494
6,494
203
36
5
244
15
6,264
Fair value adjustment from
hedge accounting
-5,909
-5,909
-5,909
Total loans and advances
customers\u00b9
246,111
883
245,228
2,015
42,322
328,679
4,390
377,406
171,159
38,981
Loans at fair value through P&L
707
707
1,385
1,385
988
309
Total loans and advances
customers
246,818
883
245,935
2,015
42,322
330,064
4,390
378,791
172,147
39,290
Other assets
4,295
4,295
17
460
1,121
1,597
460
3,158
Total\u00a0on-balance sheet
subject to netting and
pledged agreements
330,916
9,584
321,331
6,843
72,484
330,064
5,510
414,901
182,373
88,803
Assets not subject to netting
and pledged agreements
56,578
56,578
56,578
Total assets
387,493
9,584
377,909
6,843
72,484
330,064
5,510
414,901
182,373
145,381
Total\u00a0off-balance sheet
91,967
91,967
2,640
10,739
807
14,186
4,963
82,745
Total on- and off-balance
sheet
479,461
9,584
469,876
6,843
75,124
340,803
6,317
429,087
187,336
228,126
1. Excluding loans at fair value through P&L.
2. Carrying amount includes loan impairment allowances where applicable.
3. Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these
agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.
4. Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.
5. Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.
Total risk mitigation increased mainly due to an increase
in property and equipment for residential mortgages,
mainly due to rising house prices. As a result, surplus
collateral increased as well. For consumer loans, total
risk mitigation declined, mainly due to the declining
carrying amount. Financial instruments collateral
decreased, resulting in lower total risk mitigation for
corporate loans. This decline was partly the result of
a\u00a0decline in exposure, and for the other part it mostly
effected surplus collateral. The net exposure therefore
remained relatively stable. The decline in surplus
exposure occurred mostly with, and was due to,
changing client positions. The total net exposure
of\u00a0loans and advances to customers decreased slightly
to EUR 38.8 billion in 2024 (31 December 2023:
EUR\u00a039.3 billion), mainly as a result of the decreasing
net exposure on residential mortgages due to rising
collateral values, partly offset by an increase in net
exposure on fair value adjustment from hedge
accounting due to declining interest rates.
Financial assets: offsetting, netting, collateral
and guarantees for credit-impaired
assets\u00a0\u00a0
Audited
Collateral and guarantees for credit-impaired assets
(stage 3 and POCI) represent credit risk mitigation
based on the net collateral value (NCV) for clients
in\u00a0default. The carrying amount includes expected
credit loss allowances, based on
the\u00a0probability\u2011weighted 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\u2011programme 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 taking into account
collateral pledged to the bank.
31 December 2024
Offset in the statement
of financial position
Not offset in the statement
of financial position
Net
exposure4
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet
netting
with gross
liabilities
Carrying
amount\u00b9
Master
netting
agree-
ment\u00b2
Financial
instru-
ments
collateral
Property
& equip-
ment
Other
collateral
and gua-
rantees
Total risk
mitigation
- of which
surplus
collateral\u00b3
Loans and advances banks
Residential mortgages
1,863
1,863
13
3,333
1
3,348
1,483
-1
Consumer loans
120
120
18
62
80
27
66
Corporate loans
2,299
2,299
774
1,768
230
2,773
825
351
Other loans and advances
customers
5
5
5
Total\u00a0loans and advances
\u00a0customers
4,287
4,287
805
5,163
232
6,201
2,335
421
Total loans and advances
4,287
4,287
805
5,163
232
6,201
2,335
421
1. 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.
31 December 2023
Offset in the statement
of financial position
Not offset in the statement
of financial position
Net
exposure4
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet
netting
with gross
liabilities
Carrying
amount\u00b9
Master
netting
agree-
ment\u00b2
Financial
instru-
ments
collateral
Property
& equip-
ment
Other
collateral
and gua-
rantees
Total risk
mitigation
- of which
surplus
collateral\u00b3
Loans and advances banks
Residential mortgages
1,167
1,167
11
2,015
2
2,028
862
1
Consumer loans
137
137
11
67
4
82
23
78
Corporate loans
2,319
2,319
762
1,674
156
2,592
711
438
Other loans and advances
customers
6
6
5
5
1
Total\u00a0loans and advances
\u00a0customers
3,629
3,629
784
3,756
167
4,707
1,596
518
Total loans and advances
3,629
3,629
784
3,756
167
4,707
1,596
518
1. 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 increase in the stage 3 carrying amount
(including POCI) to EUR 4.3 billion (31 December 2023:\u00a0
EUR 3.6 billion), total risk mitigation increased
to\u00a0EUR\u00a06.2 billion in 2024 (31 December 2023:
EUR\u00a04.7\u00a0billion). This increase was mainly observed in
residential mortgages and, to a lesser extent, corporate
loans. The increase in residential mortgages collateral
was caused by an increase in residential real estate
values. The carrying amount of the stage 3 portfolio
(including POCI) increased, but the total risk mitigation
increased more, so net exposure decreased by
EUR\u00a097\u00a0million to EUR 421 million at
31\u00a0December\u00a02024.
During 2024, ABN AMRO obtained property and
equipment by taking possession of collateral held as
security for loans and advances. The total amount
of\u00a0such assets held on 31 December 2024 amounted
to\u00a0EUR 4 million (2023: EUR 4 million). ABN AMRO does
not intend to use these assets in its operations and will
pursue timely and orderly realisation of the collateral.
Financial liabilities: offsetting, netting, collateral and guarantees\u00a0\u00a0
Audited
31 December 2024
Offset in the statement
of financial position
Not offset in the statement
of financial position
Net
exposure\u00b3
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet netting
with gross
assets
Carrying
amount
Master
netting
agree-
ment\u00b9
Financial
instru-
ments
collateral
Total risk
mitigation
- of which
surplus
collateral\u00b2
Financial liabilities held for trading
1,163
1,163
1,163
Derivatives
2,499
2,499
1,590
207
1,797
27
729
Securities financing
15,555
5,203
10,352
846
15,792
16,638
6,305
19
Deposits
2,329
2,329
658
658
1,671
Due to banks
2,329
2,329
658
658
1,672
Deposits
254,998
710
254,288
1,589
1,589
252,699
Other borrowings
1,899
1,899
1,698
1,698
200
Due to customers
256,896
710
256,186
3,287
3,287
252,900
Other liabilities
4,247
1
4,247
4,247
Total\u00a0liabilities subject to netting
arrangements
282,689
5,914
276,776
6,380
15,999
22,379
6,332
260,728
Remaining liabilities not subject to netting
82,163
82,163
82,163
Total liabilities
364,852
5,914
358,939
6,380
15,999
22,379
6,332
342,892
1. Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these
agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.
2. Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.
3. Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.
31 December 2023
Offset in the statement
of financial position
Not offset in the statement
of financial position
Net
exposure4
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less: balance-
sheet netting
with gross
assets
Carrying
amount
Master
netting
agree-
ment\u00b2
Financial
instru-
ments
collateral
Total risk
mitigation
- of which
surplus
collateral\u00b3
Financial liabilities held for trading
917
917
917
Derivatives
2,856
2,856
1,994
1,994
861
Securities financing\u00b9
20,084
8,373
11,710
1,130
19,566
20,696
9,313
327
Deposits
5,351
5,351
544
544
4,807
Due to banks
5,352
5,352
544
544
4,808
Deposits
253,831
1,211
252,620
1,424
1,424
251,196
Other borrowings
1,846
1,846
1,750
1,750
96
Due to customers
255,677
1,211
254,466
3,174
3,174
251,292
Other liabilities
5,741
5,741
2
5,743
Total\u00a0liabilities subject to netting
arrangements
290,626
9,584
281,041
6,843
19,566
26,409
9,316
263,948
Remaining liabilities not subject to netting
72,700
72,700
72,700
Total liabilities
363,326
9,584
353,741
6,843
19,566
26,409
9,316
336,648
1. ABN AMRO has performed a detailed review on its classification of items in securities financing line. This resulted in an improvement of the identification of non-cash
collateral. For 2023, this resulted in the balance of financial instruments collateral, which is not offset in the statement of financial position, to increase by EUR 9.5 billion to
EUR 19.6 billion. It was adjusted for comparative purposes.
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.
Market risk management for
the\u00a0trading\u00a0book\u00a0\u00a0
Audited
Positions held with trading intent and hedges for
positions held with trading intent must be included
in\u00a0the bank's 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 as
principal in key financial markets where our clients are
active. Market risk in the trading book is the risk
of\u00a0losses in market value due to adverse market
movements. The following market risks are inherent
in\u00a0the trading book:
\u2022 interest rate risk, arising from adverse changes
in\u00a0interest rate risk curves and/or interest rate
volatilities
\u2022 credit spread risk, arising from adverse changes
in\u00a0the\u00a0term 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\u00a0client-focused business strategy and strict risk focus.
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\u00a0subsidiary committee of the Group Risk Committee.
Market risk measurement for
the\u00a0trading\u00a0book\u00a0\u00a0
Audited
ABN AMRO measures and manages market risk
in\u00a0the\u00a0trading book on a daily basis. The key metrics
used are economic capital, regulatory capital,
Value\u2011at\u2011Risk (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 in the Central Trading Risk policy.
Metrics and models are managed, reviewed, assessed
and, if required, adjusted in a similar way as
in\u00a0the\u00a0banking book. Other important tools to ensure
the adequacy of the models, alongside the formal
validation and review of models, are the daily
explanation of risk reporting figures, periodic portfolio
reviews and regular back-testing.
Validation procedure
For all models, including market risk models, we have
a\u00a0model risk policy in place. This policy requires model
assumptions and limitations to be documented and
independently validated by Model Validation. For material
changes, the regulator performs an on-site investigation
before such a model change is applied in production.
Economic capital
The calculation of economic capital for market risk
in\u00a0the trading book is based on the daily VaR, SVaR and
IRC at a 99.9% confidence level.
Stress testing and scenario analysis
Stress testing and scenario analysis are designed
to\u00a0focus 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\u00a0the 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\u00a0holding period is monitored as a measure
of\u00a0the\u00a0positions\u2019 liquidity.
Review of 2024 results
Internal aggregated diversified and
undiversified VaR for all trading positions
Audited
ABN AMRO applies a diversified portfolio VaR approach
that takes into account the fact that returns across risk
factors may offset one another to a certain extent and
consequently reduce risk. As long as these returns are
not perfectly correlated to one another, VaR figures
based on a diversified portfolio approach will be lower
than if the figures are calculated using undiversified
VaR. Undiversified VaR means that the VaR figures
computed for the different risk factors are aggregated
without taking into account any offset across risk
factors, negating the potential for risk reduction.
The\u00a0following graph shows the total one-day VaR at
a\u00a099% confidence level (\u2018VaR diversified\u2019) and
aggregation of the stand-alone risk factors
(\u2018VaR\u00a0undiversified\u2019).
Internal aggregated diversified and undiversified VaR for all trading positions\u00a0\u00a0
Audited
31 December 2024
(in millions)
Foreign
exchange
Interest
rate
Total undiversified
VaR
Diversified
VaR
VaR at last trading day of the period
0.1
5.0
5.2
5.1
Highest VaR
0.4
7.3
7.5
7.3
Lowest VaR
1.3
1.4
1.3
Average VaR
0.1
4.0
4.1
4.0
31 December 2023
VaR at last trading day of the period
0.1
3.0
3.1
3.1
Highest VaR
0.4
8.2
8.3
8.3
Lowest VaR
1.7
1.8
1.7
Average VaR
0.1
3.9
4.0
3.9
Market risk management for
the\u00a0banking\u00a0book\u00a0\u00a0
Audited
ABN AMRO has a detailed risk management framework
in place to identify, measure and control market risk
in\u00a0the banking book. This framework provides assurance
that the banking book activities remain consistent with
the bank\u2019s strategy and strict risk focus. 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\u00a0defence. 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 book
Interest 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
because 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\u00a0predict 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\u00a0manage 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 behaviour
From an interest rate risk perspective, the following
aspects of client behaviour are the most important:
\u2022 client behaviour with respect to early redemption
of\u00a0residential 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\u00a0the\u00a0interest 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\u00a0the\u00a0behavioural 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\u00a0mandated 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 risk
Interest rate risk is measured by net interest income
(NII) at risk, the present value of one basis point (PV01)
and the economic value of equity (EVE) at risk.
To\u00a0ensure a comprehensive approach to risk
management and identify potential weaknesses,
the\u00a0metrics 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 book
Credit spread risk is the risk of losses due to adverse
movements in the credit spread in the balance sheet.
A\u00a0main source is from bonds held for liquidity purposes.
It is measured as the impact on economic value
of\u00a0a\u00a01bp change in spreads to a swap rate.
The\u00a0sensitivity is measured for individual term points, as
well as for a parallel shift of the curve. Additionally, if
funding spreads widen, it costs more to fund assets on
the balance sheet. Unless this increased spread is
passed on to clients by raising client rates, the projected
net interest income will decrease. This risk is measured
using an NII-at-risk approach whereby the funding
spread increases.
Foreign exchange risk
Foreign 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/
Treasury. As a general rule, foreign exchange risk is
hedged by using cross-currency swaps to swap
the\u00a0exposure 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 the euro.
Economic capital
Economic capital for market risk in the banking book is
calculated using a parametric Monte Carlo simulation
model that determines the economic capital needed
to\u00a0absorb losses resulting from adverse movements
in\u00a0interest rates, client behaviour for mortgages and
non-maturing deposits, volatility, credit spreads and
foreign exchange rates.
Risk management approach\u00a0\u00a0
Audited
The natural maturity mismatch between our loan book
and funding portfolio requires liquidity risk management.
As we consider maturity transformation to be an integral
part of the business model, we closely monitor our
liquidity position and the resulting risks. We hold a
portfolio of highly liquid assets that can swiftly be
converted into cash in the event of unforeseen market
disruptions, thus allowing us to meet payment and
collateral obligations at all times. Funding and liquidity
risk are 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 management
The 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 various stress scenarios, based on historic stress
events. Market-wide and bank-specific stress
scenarios are defined and analysed. The goal of stress
testing is twofold. Firstly, it helps us to review our risk
management framework, i.e. the liquidity buffer size,
risk appetite and risk limits. Secondly, it allows us
to\u00a0identify ways to reduce outflows in times of crisis.
\u2022 Liquidity Coverage Ratio (LCR): The objective
of\u00a0the\u00a0LCR is to assess the short-term resilience
of\u00a0the\u00a0liquidity position by ensuring sufficient
high\u2011quality 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\u00a0this 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\u2011term
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 management
Contingency risk management aims to ensure that,
in\u00a0the event of a bank-specific or general market stress
event, the bank is able to generate sufficient liquidity
to\u00a0withstand a short- or long-term liquidity crisis.
Contingency risk management entails:
\u2022 Contingency Funding Plan: This plan sets out
the\u00a0guidelines 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 aims to manage the liquidity position
without unnecessarily jeopardising commercial
activities, while limiting excessive funding costs
in\u00a0severe market circumstances.
\u2022 Collateral posting in the event of a rating
downgrade: Credit rating downgrades may result in
increased collateral requirements. We monitor these
potential additional collateral postings in our liquidity
risk management framework. Our collateral capabilities
are set out in our collateral management framework.
\u2022 Collateral posting to guarantee access to critical
Financial Market Infrastructures (FMI): Access
to\u00a0critical FMI is essential for conducting our business
and collateral requirements may increase in times
of\u00a0stress. 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\u00a0substantial 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 composition\u00a0\u00a0
Audited
31 December 2024
31 December 2023
Liquidity
buffer
LCR
eligible
Liquidity
buffer
LCR
eligible
(in billions, liquidity value)
Level 1
Level 2
Level 1
Level 2
Cash & central bank deposits\u00b9
42.3
42.3
51.4
51.4
Government bonds
35.9
34.4
2.1
26.9
27.0
0.5
Supra national & Agency bonds
10.5
10.8
10.1
10.5
Covered bonds
5.9
5.6
5.0
4.6
0.1
Retained covered bonds
17.4
16.1
Other
0.3
0.2
0.2
0.2
Total liquidity buffer
112.2
93.1
2.3
109.7
93.5
0.8
- of which ESG bonds\u00b2
5.1
4.9
4.4
4.5
1. The mandatory cash reserve with the central bank has been deducted from the cash and central bank deposits in the liquidity buffer.
2. ESG bonds are bonds whose proceeds are invested in line with the International Capital Market Association Green Bond Principles, the Social Bond Principles or a
combination of the two. Inclusion of such bonds in our ESG portfolio is subject to the availability of ESG reporting, a thorough project selection process and sound
management of proceeds. To preserve the portfolios\u2019 high quality and liquidity, these bonds must also meet the high quality liquid assets criteria of the European Banking
Authority.
The liquidity buffer increased to EUR 112.2 billion
at\u00a031\u00a0December 2024 (31 December 2023:
EUR\u00a0109.7\u00a0billion) and consisted 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\u00a0
liquidity buffer and the LCR eligible buffer as
the\u00a0internal assessment of the liquidity buffer may
deviate from the LCR definition.
ESG bond holdings increased by 16% in 2024 and
amounted to EUR 5.1 billion in liquidity value at
year\u2011end (31 December 2023: EUR 4.4 billion),
reflecting 7% of total bonds in the liquidity buffer.
Liquidity buffer - currency diversification\u00a0\u00a0
Audited
31 December 2024
31 December 2023
Liquidity value
(in billions)
Percentage
of total
Liquidity value
(in billions)
Percentage
of total
EUR
98.3
87.6%
99.5
90.7%
USD
9.9
8.8%
8.0
7.3%
JPY
2.4
2.2%
0.6
0.5%
GBP
0.2
0.2%
0.2
0.2%
SGD
1.4
1.2%
1.4
1.3%
Total
112.2
100.0%
109.7
100.0%
The above table shows the breakdown per currency
in\u00a0the liquidity buffer. The currency composition reflects
the composition of the balance sheet, which mainly
consists of EUR and USD exposures. The monthly
averages of the liquidity buffer are shown
in\u00a0the\u00a0following table.
Liquidity buffer composition - monthly average\u00a0\u00a0
Audited
(in billions, liquidity value)
2024
2023
Cash & central bank deposits\u00b9
39.0
60.2
Government bonds
31.4
23.3
Supra national & Agency bonds
9.4
8.1
Covered bonds
5.7
3.9
Retained covered bonds
17.6
11.1
Other
2.2
0.8
Total
105.3
107.6
1. 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 breakdown\u00a0\u00a0
Audited
Client deposits are our main source of funding,
complemented by a well-diversified book of wholesale
funding. The following table shows the liability and
equity breakdown for the full balance sheet.
Liability and equity breakdown\u00a0\u00a0
Audited
(in billions)
31 December 2024
31 December 2023
Due to Customers
256.2
254.5
Issued debt & Subordinated liabilities
81.2
71.8
Due to banks
2.3
5.4
Securities financing
10.4
11.7
Equity
26.1
24.2
Other
8.9
10.4
Total
385.0
377.9
Breakdown of client deposits\u00a0\u00a0
Audited
(in billions)
\"17042430254418\"
Available funding instruments\u00a0\u00a0
Audited
A 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\u00a0following table shows a breakdown of total
funding\u00a0instruments.
Overview of funding instruments\u00a0\u00a0
Audited
(in millions)
31 December 2024
31 December 2023
Commercial Paper/Certificates of Deposit
17,922
13,741
Covered bonds
23,921
23,853
Secured funding (long-term)
23,921
23,853
Senior preferred
13,373
12,726
- of which ESG bonds\u00b9
3,947
2,832
Senior non-preferred
19,327
15,907
- of which ESG bonds\u00b9
6,620
6,481
Unsecured funding (long-term)
32,700
28,633
Total issued debt
74,542
66,227
Subordinated liabilities
6,613
5,572
Wholesale funding
81,155
71,800
Other long-term funding 2, 3
723
3,546
Total funding instruments 4
81,879
75,346
- of which matures within one year
29,421
20,481
1. Our Green Bond Framework comprises a set of criteria for the issuance of green bonds, including how we allocate the issue proceeds from green bonds to eligible assets,
and independent assurance on the allocation of proceeds to eligible green assets. Green bonds have been issued since 2015, with a focus on sustainable real estate and
renewable energy, and enable investors to invest in, for example, energy efficiency through residential mortgages.
2. Includes funding obtained apart from our long-term programmes and consists mainly of unsecured funding.
3. Funding with the European Union as counterparty (recorded in due to banks) has been included in other long-term funding. Comparative figures have been adjusted
accordingly.
4. Includes FX effects, fair value adjustments and interest movements.
Total funding instruments increased to EUR 81.9 billion
at 31 December 2024 (31 December 2023:
EUR\u00a075.3\u00a0billion). This was mainly driven by the increase
in commercial paper/certificates of deposit to absorb
regular short-term volatility in the balance sheet,
the\u00a0increase in senior non-preferred funding in order
to\u00a0meet MREL requirements and the increase
in\u00a0subordinated liabilities in order to meet Own Funds
requirements. The increase in total funding instruments
was partly offset by the repayment of EUR 3.0 billion
of\u00a0TLTRO III. Total ESG bonds outstanding increased by
14% in 2024 to EUR 10.6 billion at year-end
(31\u00a0December 2023: EUR 9.3 billion), which is 32%
of\u00a0total unsecured long term funding and 14% of total
issued debt.
Funding issuance in 2024\u00a0
Audited
Total long-term funding raised in 2024 amounted
to\u00a0EUR 7.5 billion. This included EUR 1.3 billion
in\u00a0covered bonds, EUR 2.3 billion in senior preferred
funding, EUR 2.9 billion in senior non-preferred funding,
EUR 0.8 billion in subordinated liabilities and
EUR\u00a00.3\u00a0billion in other funding. In addition,
EUR\u00a01.5\u00a0billion additional tier 1 (AT1) capital
instruments were raised in 2024. These AT1 capital
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\u00a02024\u00a0and\u00a02023\u00a0\u00a0
Audited
(notional amounts at issuance, in billions)
\"17042430255097\"
Long-term wholesale funding in non-euro currencies
increased to 21.3% of total outstanding long-term
wholesale funding, compared with 17.7% at
31\u00a0December 2023. In 2024, the bank raised its
long\u2011term wholesale funding in euros and dollars.
The\u00a0diversification 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 funding\u00a0\u00a0
Audited
(in billions)
\"17042430255469\"
Maturity calendar\u00a0\u00a0
Audited
31 December 2024
(notional amounts, in billions)
2025
2026
2027
2028
2029
2030
2031
2032
2033
2034
\u2265 2035
Total
Covered bonds
0.6
1.6
1.9
0.6
0.4
1.9
3.1
2.3
2.3
0.9
10.8
26.4
Senior preferred
6.5
3.6
1.5
0.3
0.3
0.1
0.9
0.1
13.3
Senior non-preferred
2.0
2.4
3.2
4.2
1.0
1.3
1.8
1.0
2.8
0.1
19.6
Subordinated liabilities
1.4
1.0
1.5
0.8
2.0
6.7
Other long-term funding\u00b9
0.3
0.2
0.3
0.7
Total long-term funding
10.4
8.9
8.3
5.9
1.7
3.5
6.0
4.0
3.3
3.7
10.9
66.7
31 December 2023
2024
2025
2026
2027
2028
2029
2030
2031
2032
2033
\u2265 2034
Total
Total 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
65.2
1. Includes funding obtained apart from our long-term programmes and consists mainly of unsecured funding.
We target a maturity profile where redemptions
of\u00a0funding instruments are well spread over time.
The\u00a0average remaining maturity of outstanding
long\u2011term funding decreased to 5.4 years at year-end
2024 (5.8 years at year-end 2023). The average
remaining maturity of newly issued wholesale funding
increased to 4.8 years at year-end 2024 (up from 3.3
years at year\u2011end 2023). The maturity calendar assumes
redemption on the earliest possible call date or
the\u00a0legal maturity date, which does not mean that
the\u00a0instruments will be called at the earliest possible
call date. Early redemption of subordinated liabilities is
subject to approval by the regulator.
Gross carrying amount \u2013 residential mortgages\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Balance at 1 January
138,671
11,115
1,292
151,078
140,450
9,169
1,143
150,762
Transfer to stage 1
5,562
-5,523
-39
2,927
-2,922
-5
Transfer to stage 2
-11,651
11,966
-316
-6,111
6,435
-324
Transfer to stage 3
-795
-452
1,247
-306
-383
689
Additional drawdowns and partial repayments
-11,615
23
2
-11,591
-10,497
-904
-7
-11,408
Originated or purchased
18,978
18,978
13,824
13,824
Matured or repaid
-1,055
-931
-261
-2,247
-1,605
-280
-202
-2,088
Write-offs
-2
-2
-1
-1
Foreign exchange
1
Other movements
77
-80
-4
-7
-11
-11
Balance at 31 December
138,172
16,118
1,919
156,209
138,671
11,115
1,292
151,078
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Gross carrying amount \u2013 consumer loans\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Closing balance of the previous year
7,658
467
255
8,380
9,121
749
363
10,232
Impact adopting IFRS 17
-1,061
-103
-83
-1,247
Balance at 1 January
7,658
467
255
8,380
8,060
646
279
8,985
Transfer to stage 1
145
-136
-10
298
-285
-13
Transfer to stage 2
-237
265
-28
-259
274
-15
Transfer to stage 3
-43
-22
65
-52
-34
86
Additional drawdowns and partial repayments
-512
56
-3
-460
-452
9
19
-424
Originated or purchased
1,237
1,237
1,433
1,433
Matured or repaid
-1,383
-143
-26
-1,552
-1,430
-144
-42
-1,617
Write-offs
-31
-31
-58
-58
Foreign exchange
1
1
1
Other movements
60
60
Balance at 31 December
6,866
487
222
7,575
7,658
467
255
8,380
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Gross carrying amount \u2013 corporate loans\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Balance at 1 January
73,324
10,308
3,152
86,784
69,103
13,963
3,666
86,731
Transfer to stage 1
2,983
-2,973
-10
5,317
-5,210
-107
Transfer to stage 2
-3,469
3,789
-320
-4,764
5,420
-657
Transfer to stage 3
-630
-713
1,343
-773
-695
1,467
Additional drawdowns and partial repayments
-4,054
1,175
-139
-3,019
302
1,098
-19
1,381
Originated or purchased
22,541
22,541
21,897
21,897
Matured or repaid
-17,785
-3,082
-589
-21,456
-17,389
-4,170
-954
-22,513
Write-offs
-317
-317
-274
-274
Foreign exchange
854
50
21
925
-350
-92
-18
-461
Other movements
-1,536
-64
-30
-1,630
-19
-7
48
22
Balance at 31 December
72,227
8,490
3,110
83,827
73,324
10,308
3,152
86,784
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Gross carrying amount \u2013 off-balance\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b9
Total\u00b9
Stage 1
Stage 2
Stage 3\u00b9
Total\u00b9
Balance at 1 January
52,141
3,507
965
56,613
50,187
6,209
700
57,095
Transfer to stage 1
1,123
-1,120
-3
2,543
-2,505
-38
Transfer to stage 2
-1,171
1,260
-89
-1,564
1,632
-68
Transfer to stage 3
-160
-113
273
-139
-90
230
Additional drawdowns and partial repayments
-12,098
-246
-538
-12,882
-8,615
-1,421
165
-9,872
Originated or purchased
11,397
11,397
10,341
10,341
Matured or repaid
-384
-4
-388
-519
-302
-22
-844
Foreign exchange
487
6
23
516
-91
-15
-2
-108
Other movements
79
79
Balance at 31 December
51,414
3,293
627
55,334
52,141
3,507
965
56,613
1. Including POCI.
Loan impairment charges and allowances \u2013 residential mortgages\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Balance at 1 January
24
49
125
198
21
57
75
153
Transfer to stage 1
19
-20
-3
-4
14
-18
-1
-4
Transfer to stage 2
-2
37
-29
6
-2
28
-19
7
Transfer to stage 3
-1
-5
21
16
-1
-5
30
24
Remeasurements\u00b9
-8
-17
-48
-73
-13
-6
54
35
Changes in risk parameters
1
1
-1
1
4
-1
3
Originated or purchased
4
4
4
4
Matured or repaid
-2
-3
-9
-14
-1
-6
-10
-17
Impairment charges (releases) on loans
and advances
12
-7
-69
-64
4
-7
54
51
Write-offs
-2
-2
-1
-1
Unwind discount / unearned interest accrued
1
1
2
2
Foreign exchange and other movements
1
-1
-2
-4
-7
Balance at 31 December
36
42
55
133
24
49
125
198
Impairment charges (releases) on loans and
advances
12
-7
-69
-64
4
-7
54
51
Recoveries and other charges (releases)
-11
-11
-14
-14
Total impairment charges for the period
12
-7
-80
-75
4
-7
39
37
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 consumer loans\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Closing balance of the previous year
18
11
118
147
30
36
211
277
Impact adopting IFRS 17
-6
-19
-75
-100
Balance at 1 January
18
11
118
147
25
16
136
177
Transfer to stage 1
4
-3
-4
-4
7
-7
-4
-5
Transfer to stage 2
-1
8
-6
-3
8
-6
-1
Transfer to stage 3
-2
31
29
-3
-2
35
30
Remeasurements\u00b9
-9
1
-6
-15
-11
-4
-15
Changes in risk parameters
-1
3
3
6
6
Originated or purchased
3
3
3
3
Matured or repaid
-1
-5
-6
-2
-1
-6
-8
Impairment charges (releases) on loans
and advances
-5
4
12
11
-9
-6
26
10
Write-offs
-31
-31
-58
-58
Unwind discount / unearned interest accrued
3
3
3
3
Foreign exchange and other movements
-1
2
1
11
15
Balance at 31 December
12
15
102
130
18
11
118
147
Impairment charges (releases) on loans and
advances
-5
4
12
11
-9
-6
26
10
Recoveries and other charges (releases)
-25
-25
-29
-29
Total impairment charges for the period
-5
4
-12
-13
-9
-6
-4
-19
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 corporate loans\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Balance at 1 January
192
228
833
1,254
256
301
1,033
1,590
Transfer to stage 1
39
-47
-1
-10
88
-103
-5
-20
Transfer to stage 2
-29
59
-8
23
-36
55
-33
-14
Transfer to stage 3
-5
-23
164
137
-10
-51
194
133
Remeasurements\u00b9
-89
-29
102
-16
-96
54
-71
-112
Changes in risk parameters
-6
-5
-11
-34
-1
-35
Originated or purchased
33
33
32
32
Matured or repaid
-15
-20
-25
-60
-9
-9
-37
-54
Impairment charges (releases) on loans
and advances
-72
-64
232
96
-65
-55
49
-71
Write-offs
-317
-317
-274
-274
Unwind discount / unearned interest accrued
22
22
29
29
Foreign exchange and other movements
-2
6
40
45
1
-17
-3
-20
Balance at 31 December
119
170
811
1,100
192
228
833
1,254
Impairment charges (releases) on loans and
advances
-72
-64
232
96
-65
-55
49
-71
Recoveries and other charges (releases)
-48
-48
-67
-67
Total impairment charges for the period
-72
-64
184
48
-65
-55
-19
-139
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 off-balance\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b3
Total\u00b3
Stage 1
Stage 2
Stage 3\u00b3
Total\u00b3
Balance at 1 January
16
12
81
109
25
16
10
51
Transfer to stage 1
2
-2
4
-5
-1
Transfer to stage 2
-2
4
2
-4
5
2
Transfer to stage 3
17
17
Remeasurements\u00b9
-10
-1
33
22
-7
-1
55
47
Changes in risk parameters
-4
-4
Originated or purchased
5
5
8
8
Matured or repaid
-4
-2
-7
-7
-2
-9
Impairment charges (releases)
-10
-1
33
22
-10
-3
72
60
Foreign exchange and other movements
1
-1
-34
-34
1
-1
-1
-1
Balance at 31 December
6
10
80
96
16
12
81
109
Impairment charges (releases) on off-balance
-10
-1
33
22
-10
-3
72
60
Other charges (releases)\u00b2
-90
-90
Total impairment charges for the period
-10
-1
33
22
-10
-3
-18
-30
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. In 2023, 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\u00a0 credit\u00a0 quality\u00a0\u00a0
Audited
31 December 2024
(in millions)
Total
forborne
assets
Forborne assets
not past due and
not stage 3
or POCI
Forborne assets
past due, but
not stage 3
or POCI
Impaired
forborne
assets
Specific
allowance
Collective
allowance
Total
allowance
Loans and advances banks
Residential mortgages
1,045
525
106
413
23
23
Consumer loans\u00b9
114
54
14
45
6
15
21
Corporate loans\u00b9
3,932
2,107
100
1,725
342
96
438
Other loans and advances customers\u00b9
1
1
Total\u00a0loans and advances\u00a0customers\u00b9
5,092
2,687
220
2,186
349
134
483
Total loans and advances\u00b9
5,092
2,687
220
2,186
349
134
483
Loans at FV through P&L
8
8
Total loans and advances
5,100
2,694
220
2,186
349
134
483
1. Excluding loans at fair value through P&L.
31 December 2023
(in millions)
Total
forborne
assets
Forborne assets
not past due and
not stage 3
or POCI
Forborne assets
past due, but
not stage 3
or POCI
Impaired
forborne
assets
Specific
allowance
Collective
allowance
Total
allowance
Loans and advances banks
Residential mortgages
1,048
639
8
400
47
47
Consumer loans\u00b9
103
32
16
56
5
14
20
Corporate loans\u00b9
4,367
2,471
12
1,884
404
95
499
Other loans and advances customers\u00b9
2
2
1
1
Total\u00a0loans and advances\u00a0customers\u00b9
5,519
3,142
35
2,342
410
156
566
Total loans and advances\u00b9
5,519
3,142
35
2,342
410
156
566
Loans at FV through P&L
16
15
Total loans and advances
5,535
3,157
36
2,342
410
156
566
1. Excluding loans at fair value through P&L.
Forborne\u00a0 assets\u00a0 by\u00a0 geography\u00a0\u00a0
Audited
31 December 2024
(in millions)
The
Netherlands
Rest of
Europe
USA
Asia
Rest of
the world
Total
Loans and advances banks
Residential mortgages
1,020
24
1,045
Consumer loans\u00b9
82
33
114
Corporate loans\u00b9
2,969
846
42
76
3,932
Other loans and advances customers\u00b9
1
1
Total\u00a0loans and advances\u00a0customers\u00b9
4,070
902
42
78
5,092
Total loans and advances\u00b9
4,070
902
42
78
5,092
Loans at FV through P&L
8
8
Total loans and advances
4,079
902
42
78
5,100
1. Excluding loans at fair value through P&L.
31 December 2023
(in millions)
The
Netherlands
Rest of
Europe
USA
Asia
Rest of
the world
Total
Loans and advances banks
Residential mortgages
1,046
1
1,048
Consumer loans\u00b9
82
21
103
Corporate loans\u00b9
3,400
784
99
2
82
4,367
Other loans and advances customers\u00b9
2
2
Total\u00a0loans and advances\u00a0customers\u00b9
4,528
807
99
2
83
5,519
Total loans and advances\u00b9
4,528
807
99
2
83
5,519
Loans at FV through P&L
16
16
Total loans and advances
4,544
807
99
2
83
5,535
1. Excluding loans at fair value through P&L.
Forborne\u00a0 assets\u00a0 by\u00a0 business\u00a0 segment\u00a0\u00a0
Audited
(in millions)
31 December 2024
31 December 2023
Personal & Business Banking
1,924
1,984
Wealth Management
295
272
Corporate Banking
2,881
3,278
Total forborne assets
5,100
5,535
Maturity overview of assets and liabilities\u00a0\u00a0
Audited
The following tables show financial assets and liabilities
arranged by the earliest possible contractual maturity.
Contractual maturity of assets and liabilities\u00a0\u00a0
Audited
31 December 2024
(in millions)
On
demand
Trading
deriva-
tives
Up to
one
month
Between
one and
three
months
Between
three
and six
months
Between
six and
twelve
months
Between
one
and two
years
Between
two
and five
years
More
than five
years
No
maturity
Total
Assets:
Cash and balances at
central banks
44,464
44,464
Financial assets held for trading
85
30
169
176
319
202
663
860
2,503
Derivatives
3,892
27
2
3
2
102
318
4,347
Financial investments
932
2,246
1,115
2,613
3,125
4,959
13,334
17,873
977
47,173
Securities financing
1,584
20,935
3,043
922
505
26,989
Loans and advances banks
788
783
12
3
52
34
225
152
2,049
Loans and advances customers
17,757
7,454
4,497
3,976
7,399
12,562
36,445
158,692
248,782
Other assets
2,513
3,115
906
1,423
23
277
190
292
8,739
Total assets
68,123
3,892
34,590
9,742
9,115
11,426
18,036
50,959
178,188
977
385,047
Liabilities:
Financial liabilities held for trading
85
159
9
64
60
263
523
1,163
Derivatives
2,119
54
3
4
18
36
37
228
2,499
Securities financing
101
9,649
601
10,352
Due to banks
1,128
632
377
78
6
5
2
102
2,329
Due to customers
194,039
38,379
7,202
4,515
3,013
1,091
1,453
6,493
256,186
Issued debt
6,471
7,608
10,988
1,910
7,638
13,449
26,478
74,542
- of which senior secured
51
38
485
1,589
2,988
18,770
23,921
- of which senior unsecured
1,862
5,218
1,401
6,050
10,462
7,707
32,700
- of which other
4,608
7,557
5,732
24
17,922
Subordinated liabilities
4
1,452
935
2,374
1,848
6,613
Other liabilities
3,255
829
494
543
21
102
6
5
5,254
Total liabilities
198,523
2,119
56,103
16,444
16,136
6,484
9,867
17,584
35,677
358,939
Total equity
26,108
26,108
Total liabilities and equity
198,523
2,119
56,103
16,444
16,136
6,484
9,867
17,584
35,677
26,108
385,047
Off-balance sheet liabilities
Committed credit facilities
52,617
52,617
Guarantees and
other commitments
6,638
6,638
Total off-balance sheet
liabilities
59,255
59,255
31 December 2023
(in millions)
On
demand
Trading
deriva-
tives
Up to
one
month
Between
one and
three
months
Between
three
and six
months
Between
six and
twelve
months
Between
one
and two
years
Between
two
and five
years
More
than five
years
No
maturity
Total
Assets:
Cash and balances at
central banks
53,656
53,656
Financial assets held for trading
13
18
57
35
72
178
495
504
1,371
Derivatives
4,038
15
7
1
17
6
62
259
4,403
Financial investments
814
1,188
1,865
2,549
2,104
4,707
12,115
15,320
838
41,501
Securities financing
1,098
18,141
1,265
996
2
21,503
Loans and advances banks
814
561
26
223
22
22
182
473
2,324
Loans and advances customers
8,498
9,836
4,986
3,321
7,834
13,814
34,399
163,246
245,935
Other assets
3,001
2,647
724
63
146
14
534
89
7,218
Total assets
67,895
4,038
32,404
8,931
7,188
10,197
18,741
47,787
179,891
838
377,909
Liabilities:
Financial liabilities held for trading
3
79
22
95
25
89
233
370
917
Derivatives
2,422
39
7
6
2
24
82
274
2,856
Securities financing
301
10,653
753
2
11,710
Due to banks
870
806
180
3,159
45
76
53
163
5,352
Due to customers
203,764
25,275
7,022
5,638
4,382
595
1,665
6,124
254,466
Issued 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 unsecured
1,557
121
31
116
8,294
12,479
5,993
28,590
- of which other
16
4,081
6,761
2,106
732
67
22
13,784
Subordinated liabilities
1,342
3,210
1,020
5,572
Other liabilities
1,987
3,593
426
64
24
538
5
6
6,641
Total liabilities
206,942
2,422
47,614
15,407
11,129
5,493
11,523
20,595
32,617
353,741
Total equity
24,168
24,168
Total liabilities and equity
206,942
2,422
47,614
15,407
11,129
5,493
11,523
20,595
32,617
24,168
377,909
Off-balance sheet liabilities
Committed credit facilities
53,968
53,968
Guarantees and
other commitments
6,289
6,289
Total off-balance sheet
liabilities
60,257
60,257
Maturity based on contractual undiscounted
cash flows\u00a0\u00a0
Audited
The following tables show financial assets and liabilities
arranged by their earliest possible contractual maturity.
31 December 2024
(in millions)
On
demand
Trading
deriva-
tives
Up to
one
month
Between
one and
three
months
Between
three
and six
months
Between
six and
twelve
months
Between
one
and two
years
Between
two
and five
years
More
than five
years
No
maturity
Total
Assets:
Cash and balances at
central banks
44,464
44,464
Financial assets held for trading
85
32
176
191
343
242
722
912
2,702
Derivatives
3,892
96
260
649
1,223
2,300
4,393
4,332
17,146
Financial investments
932
2,286
1,265
2,969
3,738
5,952
14,812
19,203
977
52,134
Securities financing
1,584
20,981
3,070
940
509
27,083
Loans and advances banks
788
815
61
123
259
387
637
491
3,561
Loans and advances customers
17,757
7,824
5,926
7,462
13,783
23,881
58,666
180,604
315,901
Other assets
2,513
3,118
910
1,429
29
284
201
302
8,786
Total undiscounted assets
68,123
3,892
35,152
11,667
13,762
19,884
33,046
79,431
205,844
977
471,778
- of which:
Gross settled derivatives
not held for trading:
Contractual amounts receivable
255
253
149
114
175
355
117
1,418
Contractual amounts payable
140
157
81
73
140
254
76
921
Total undiscounted gross
settled derivatives not held
for trading
115
96
68
41
36
101
41
497
Net settled derivatives not held
for trading
183
128
243
495
1,076
1,636
3,761
Liabilities:
Financial liabilities held for
trading
86
162
16
77
83
301
559
1,285
Derivatives
2,119
138
292
716
1,304
2,171
4,398
4,601
15,739
Securities financing
101
9,670
605
10,376
Due to banks
1,128
635
381
81
11
13
22
122
2,394
Due to customers
194,039
38,431
7,277
4,637
3,169
1,336
1,933
6,967
257,788
Issued debt
6,568
7,954
11,705
3,100
9,534
16,595
29,415
84,870
Subordinated liabilities
18
56
139
1,670
1,260
2,769
2,178
8,090
Other liabilities
3,255
826
486
535
17
101
5
4
5,228
Total liabilities
198,523
2,119
56,371
17,212
17,830
9,349
14,498
26,023
43,846
385,771
- of which:
Gross settled derivatives
not held for trading:
Contractual amounts receivable
109
27
52
52
29
12
19
300
Contractual amounts payable
71
36
32
58
29
10
12
248
Total undiscounted gross
settled derivatives not held
for trading
-38
9
-20
6
-2
-7
-51
Net settled derivatives not held
for trading
180
-153
20
98
39
379
961
1,525
Net liquidity gap
-130,400
1,773
-21,219
-5,545
-4,068
10,535
18,548
53,408
161,998
977
86,007
Off-balance sheet liabilities
Committed credit facilities
52,617
52,617
Guarantees and
other commitments
6,638
6,638
Total off-balance sheet
liabilities
59,255
59,255
31 December 2023
(in millions)
On
demand
Trading
deriva-
tives
Up to
one
month
Between
one and
three
months
Between
three
and six
months
Between
six and
twelve
months
Between
one
and two
years
Between
two
and five
years
More
than five
years
No
maturity
Total
Assets:
Cash and balances at
central banks
53,656
53,656
Financial assets held for trading
13
19
60
42
85
198
522
528
1,468
Derivatives
4,038
53
155
366
683
1,235
2,476
2,524
11,531
Financial investments
814
1,216
1,973
2,799
2,541
5,410
13,141
16,239
838
44,970
Securities financing
1,098
18,179
1,280
1,006
2
21,565
Loans and advances banks
814
604
136
459
398
711
1,415
1,658
6,195
Loans and advances customers
8,498
10,196
6,362
6,679
13,988
24,670
55,972
184,582
310,948
Other assets
3,001
2,647
725
65
149
19
537
90
7,234
Total undiscounted assets
67,895
4,038
32,915
10,692
11,417
17,845
32,243
74,063
205,622
838
457,567
- of which:
Gross settled derivatives
not held for trading:
Contractual amounts receivable
273
100
108
117
211
457
160
1,426
Contractual amounts payable
269
94
131
104
191
383
119
1,289
Total undiscounted gross
settled derivatives not held
for trading
5
6
-23
13
20
75
41
137
Net settled derivatives not held
for trading
160
355
89
282
746
1,554
2,481
5,667
Liabilities:
Financial liabilities held for
trading
3
80
23
98
29
96
243
379
951
Derivatives
2,422
101
234
563
1,047
1,883
3,571
3,682
13,503
Securities financing
301
10,676
758
2
11,737
Due to banks
870
814
205
3,192
55
90
78
188
5,491
Due to customers
203,764
25,308
7,083
5,740
4,497
779
2,016
6,468
255,657
Issued debt
16
7,249
7,273
2,781
2,137
10,615
18,099
27,187
75,356
Subordinated liabilities
12
49
123
233
1,683
3,496
1,211
6,808
Other liabilities
1,987
3,583
417
51
2
535
4
4
6,583
Total 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
618
Contractual amounts payable
150
102
47
30
24
14
15
383
Total undiscounted gross
settled derivatives not held
for trading
-147
-56
-23
-6
3
1
-8
-235
Net settled derivatives not held
for trading
418
-42
121
266
117
211
1,075
2,167
Net liquidity gap
-139,047
1,616
-14,907
-5,352
-1,130
9,843
16,562
46,557
166,503
838
81,482
Off-balance sheet liabilities
Committed credit facilities
53,968
53,968
Guarantees and
other commitments
6,289
6,289
Total off-balance sheet
liabilities
60,257
60,257
Expected maturity based on behavioural
models\u00a0\u00a0
Audited
The following table provides an overview
of\u00a0the\u00a0amounts expected to be settled within twelve
months and after twelve months, based on
the\u00a0behavioural maturity profile.
31 December 2024
31 December 2023
(in millions)
Up to
one year
More than
one year
Total
Up to
one year
More than
one year
Total
Assets
Cash and balances at central banks
44,464
44,464
53,656
53,656
Financial assets held for trading
2,503
2,503
1,371
1,371
Derivatives
3,891
455
4,347
4,038
365
4,403
Financial investments
9,971
37,202
47,173
8,440
33,061
41,501
Securities financing
26,589
400
26,989
20,830
673
21,503
Loans and advances banks
1,510
540
2,049
1,494
829
2,324
Residential mortgages
14,735
136,655
151,390
10,591
134,284
144,875
Consumer loans at amortised cost
2,427
5,018
7,445
2,261
5,972
8,233
Consumer loans at fair value through P&L
196
404
600
178
470
648
Corporate loans at amortised cost
36,022
46,808
82,829
33,731
51,895
85,626
Corporate loans at fair value through P&L
13
17
30
23
36
59
Other loans and advances customers
6,124
363
6,487
5,975
519
6,494
Equity-accounted investments
244
244
333
333
Property and equipment
801
267
1,068
713
264
978
Goodwill and other intangible assets
253
253
99
99
Assets held for sale
1,330
1,330
130
130
Tax assets
326
326
327
327
Other assets
4,911
607
5,518
4,848
503
5,351
Total assets
156,067
228,980
385,047
148,706
229,203
377,909
Liabilities
Financial liabilities held for trading
1,163
1,163
917
917
Derivatives
2,125
374
2,499
2,422
434
2,856
Securities financing
10,256
96
10,352
11,448
262
11,710
Due to banks
2,162
167
2,329
5,008
344
5,352
Current accounts
29,264
63,482
92,746
21,862
78,086
99,948
Demand deposits
12,547
95,462
108,008
5,846
95,097
100,943
Time deposits
46,633
6,900
53,533
45,068
6,660
51,728
Other due to customers
149
1,750
1,899
72
1,775
1,846
Issued debt
26,214
48,328
74,542
17,517
48,711
66,227
Subordinated liabilities
1,446
5,167
6,613
5,572
5,572
Provisions
605
7
612
734
7
742
Tax liabilities
395
395
159
159
Other liabilities
4,239
7
4,247
5,726
15
5,741
Total liabilities
137,199
221,740
358,939
116,779
236,962
353,741
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\u00a0models 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": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-3": { "value": "
Capital measurement
Regulatory capital (CRD V/CRR2)\u00a0
Audited
Under the Basel framework as implemented
in\u00a0European 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 have to calculate their exposure
to\u00a0three 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\u2011specific percentage of RWA in addition to
the\u00a0Pillar 1 requirement. As from 1 January 2025, CRR3
will be applicable, which will lead to an adjusted
calculation of RWA.
Regulatory capital structure\u00a0\u00a0
Audited
(in millions)
31 December 2024
31 December 2023
Total equity (EU IFRS)
26,108
24,168
Cash flow hedge reserve
10
250
Dividend reserve
-625
-770
AT1 capital securities (EU IFRS)
-3,475
-1,987
Share buyback reserve
-500
Regulatory and other adjustments
-1,662
-1,157
Common Equity Tier 1
20,357
20,003
AT1 capital securities (EU IFRS)
3,475
1,987
Regulatory and other adjustments
-1
-5
Tier 1 capital
23,831
21,985
Subordinated liabilities (EU IFRS)
6,613
5,572
Regulatory and other adjustments
-1,967
-1,294
Tier 2 capital
4,646
4,279
Total regulatory capital
28,477
26,264
Regulatory capital flow statement\u00a0\u00a0
Audited
(in millions)
2024
2023
Common Equity Tier 1 capital
Balance at 1 January
20,003
19,507
Addition of net profit attributable to owners of the parent company
2,403
2,697
Reserved dividend
-625
-770
Interim dividend paid
-500
-537
Other, including regulatory adjustments
-925
-893
Balance at 31 December
20,357
20,003
Additional Tier 1 capital
Balance at 1 January
1,982
1,982
Newly issued Tier 1 eligible capital instruments
1,492
Redeemed Tier 1 eligible capital instruments
Balance at 31 December
3,474
1,982
Tier 1 capital
23,831
21,985
Tier 2 capital
Balance at 1 January
4,279
5,449
New issued Tier 2 eligible capital instruments
745
746
Redeemed Tier 2 ineligible capital instruments
-1,385
Other, including regulatory adjustments
-377
-531
Balance at 31 December
4,646
4,279
Total regulatory capital
28,477
26,264
RWA\u00a0\u00a0
Audited
(in millions)
31 December 2024
31 December 2023
Credit risk
122,779
122,548
- of which standardised
10,202
9,402
- of which advanced
112,576
113,146
Operational risk
15,977
15,465
- of which standardised
- of which TSA approach
15,977
15,465
- of which advanced
Market risk
2,115
2,175
- of which standardised
2
- of which advanced
2,115
2,173
Total RWA
140,871
140,187
Capital instruments\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
ISIN/CUSIP
Maturity date
First possible
call date
Nominal
amount
Carrying
amount
Nominal
amount
Carrying
amount
Tier 1\u00b9
EUR 1,000 million 4.375% per annum
XS2131567138
Perpetual
September 2025
1,000
988
1,000
993
EUR 1,000 million 4.75% per annum
XS1693822634
Perpetual
September 2027
1,000
994
1,000
994
EUR 750 million 6,875% per annum
XS2774944008
Perpetual
September 2031
750
746
EUR 750 million 6,375% per annum
XS2893176862
Perpetual
September 2034
750
746
Total Tier 1 capital instruments
3,500
3,475
2,000
1,987
Tier 2
USD 1,500 million 4.75% per annum
US00080QAF28 /
XS1264600310
July 2025
1,440
1,452
1,357
1,338
USD 1,000 million 4.8% per annum
US0008DAL47 /
XS1392917784
April 2026
960
935
905
860
USD 300 million 5.6% per annum
XS1385037558
April 2031
288
256
271
245
SGD 750 million 5.5% per annum
XS2498035455
October 2032
July 2027
529
537
514
522
EUR 1,000 million 5.125% per annum
XS2558022591
February 2033
November 2027
1,000
1,056
1,000
1,049
USD 1,000 million 3.324% per annum
US00084DAV29 /
XS2415308761
March 2037
December 2031
960
807
905
774
EUR 750 million 5.5% per annum
XS2637967139
September 2033
June 2028
750
782
750
779
EUR 750 million 4.375% per annum
XS2859413341
July 2036
July 2031
750
785
EUR various smaller instruments
2023 - 2025
3
4
4
4
Total Tier 2 capital instruments
6,681
6,613
5,706
5,572
- of which eligible for regulatory
capital:
Basel III, Tier 1 (fully-loaded)
3,500
2,000
Basel III, Tier 2 (fully-loaded)
4,646
4,279
1. 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 2024 totals EUR 21.7 billion (31 December 2023: EUR 21.3 billion).
Movements in subordinated liabilities\u00a0\u00a0
Audited
2024
2023
(in millions)
Carrying amount
Carrying amount
Balance as at 1 January
5,572
7,290
Cash flows
Issuance
767
776
Redemption
-21
-2,504
Non-cash changes
Foreign exchange differences
214
-143
Fair value changes hedge accounting
60
143
Other
20
10
Balance as at 31 December
6,613
5,572
", "dimensions": { "concept": "ifrs-full:DisclosureOfObjectivesPoliciesAndProcessesForManagingCapitalExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-4": { "value": "
Credit risk management approach\u00a0
Audited
Credit risk constitutes a key risk in our business model.
ABN AMRO employs two separate approaches
to\u00a0managing credit risk, which reflect the bank\u2019s way
of\u00a0doing 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\u00a0addition, we are integrating climate risks into our risk
management practices.
Credit risk management process\u00a0
Audited
The following figure presents a simplified overview
of\u00a0the credit risk management process.
Planning
Credit acceptance
Loan approval and
disbursement
Credit risk monitoring
Business and risk
control\u00a0functions
jointly\u00a0responsible
Restructuring
and recovery
High-risk monitoring
Non-programme
lending
Customised loans,
mostly Wealth
Management,
Corporate Banking
and Business
Banking
(within\u00a0P&BB)
Risk assessment
by client unit
Regular monitoring1
Restructuring
Continual update
of\u00a0risk\u00a0governance,
management and
policies
Processes reflect
guidelines for credit
risk\u00a0management
For programme lending,
Product-specific
standards are established
Sustainability risk
assessment for larger
OOEs and/or
periodically\u00a0on
portfolio\u00a0level
Analysis and credit
decision by credit
risk function
Increased risk
Recovery
Intensive monitoring
(\u2018Watch\u2019)2
Loan disbursement
Programme
lending
Standardised
loans,\u00a0mostly
Personal Banking
(within P&BB)
Credit decision
based\u00a0on credit
score\u00a0and policy
rules
Account maintenance
Restructuring
Loan disbursement
Default prevention
Recovery
1 Daily monitoring or (semi-) annual credit review.
2 \u2018Watch\u2019: status assigned to counterparties with an increased risk.
For more insight on our credit portfolio,
please refer to the Credit risk review section.
Planning
Within programme lending, the credit cycle starts with
a\u00a0product planning phase, during which the product is
designed and/or reviewed. The goal is to optimise
the\u00a0key drivers of risk and return within the context
of\u00a0ABN AMRO\u2019s strategy, risk appetite, clients\u2019 best
interests and sustainability. For non-programme
lending, the lending product is customised and not
subject to a product planning phase.
Credit acceptance
For a credit approval decision within programme
lending, client-specific aspects and internal and
external data are taken into consideration to calculate
a\u00a0credit 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\u00a0the proposal by the relevant client unit.
The\u00a0qualitative 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\u00a0purpose, 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\u00a0credit decision is based on independent
assessments by the commercial and credit risk
functions.
Credit risk monitoring
Consistent and regular monitoring of counterparties,
exposures, risk mitigants and ongoing compliance with
internal policies helps to safeguard the bank\u2019s position
in relation to all risks associated with the counterparty,
credit type or portfolio. Monitoring starts when
the\u00a0credit facility is granted and periodically continues
throughout the lifecycle of the credit facility and
the\u00a0relationship with the counterparty until
the\u00a0exposure 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\u00a0the\u00a0criteria and the assessment at the point of loan
origination, but also climate and environmental risk
(CER). Below we outline CER in our client assessment
in\u00a0more detail.
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\u00a0default classification, a \u2018watch\u2019 status is assigned. This
indicates that a counterparty is subject to increased
monitoring and appropriate follow-up measures
in\u00a0order 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 and recovery
Non-programme lending credit facilities that are subject
to a default event are mandatorily transferred
to\u00a0the\u00a0Financial Restructuring & Recovery department
(FR&R). If a \u2018going concern\u2019 approach is applicable and
return to a performing status is considered likely,
the\u00a0credit 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\u00a0the\u00a0Recovery 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\u00a0the\u00a0client unit.
Programme lending contracts are transferred
to\u00a0the\u00a0Late 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\u00a0client is transferred to other internal departments or
external parties (such as Flanderijn) for debt collection.
FR&R plays a significant role in the execution
of\u00a0the\u00a0bank\u2019s non-performing exposure (NPE) strategy,
which consists of NPE targets for each business
segment and specific sectors.
Credit concentration risk\u00a0
Audited
Credit concentration risk is the risk of loss arising from
large exposures, relative to the bank\u2019s total risk
exposure, to a single counterparty or to counterparties
that are positively and highly correlated. As limiting
excessive concentrations is fundamental to our credit
risk strategy, we aim to keep the credit risk portfolio
sufficiently granular and diversified. To avoid excessive
credit risk concentrations, Risk Management sets
maximum levels for subgroups in the following
categories:
\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 concentration
Counterparty concentration credit risk is the risk of loss
arising from relatively large exposures to counterparties
belonging to the same risk group. The One Obligor
Exposure (OOE) is the exposure to a risk group and
includes all drawn and undrawn credit facilities granted,
plus all indirect exposure to the risk group, including
guarantees and any other recourse claims.
A risk group is an interrelated group of counterparties
with a high degree of interdependency due to a control
relationship. This control relationship may be due
to\u00a0direct or indirect majority interests being held by
the\u00a0same 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 concentration
Geographic 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\u00a0the\u00a0Netherlands and for cross-border risks outside
the\u00a0Netherlands. 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\u00a0actions 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 concentration
Industry concentration risk is the risk of loss arising from
a relatively large credit exposure to counterparties
active in a single industry. Industry concentration risk
arises when deterioration in a specific industry has
an\u00a0effect 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\u00a0total 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\u00a0facilitate timely and sufficient management
interventions so as to avoid limits being breached.
Product concentration
Product concentration risk is the risk of loss arising from
relatively large credit exposures in a specific asset or
product class. This asset or product class concentration
occurs, for example, in residential mortgages,
commercial real estate and leveraged loans. In line with
our risk appetite, ceilings are defined per product type.
Climate risk concentration
Concentration of corporate exposures highly
susceptible to climate transition risk is limited in size
and is monitored. In particular, we monitor
the\u00a0concentration of corporate loans in sectors
contributing highly to climate change and also
carbon\u2011related corporate loans in such sectors. For
managing climate risk in the residential mortgages
book, the bank monitors the percentage of vulnerable
properties that have relatively high climate transition
risks and are located in an area sensitive to climate
physical risk. Please refer to the Environment section
in\u00a0the Sustainability Statements for more details of
the\u00a0GHG financed emissions and climate risks in our real
estate portfolios.
Credit risk quality and impairment\u00a0
Audited
We continuously monitor the credit portfolio for signs
indicating that a 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\u00a0aggregated counterparties in order to optimise
the\u00a0monitoring and review of these loans.
Forbearance
Forbearance is the process of making concessions
to\u00a0clients who are or will soon be experiencing financial
difficulty, 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
that 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\u00a0counterparty 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\u00a0forbearance 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 later of the last forbearance measure
or the date on which the forborne contract was
considered performing.
\u2022 Regular and timely payments of more than
an\u00a0insignificant 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\u2011performing at the time of the forbearance measure,
a mandatory cure period of at least one year applies
to\u00a0the contract before it is returned to performing
status. The cure period starts when the contract
becomes non-performing or, if the contract was already
non-performing, when the last forbearance measure
was taken.
Past due credit exposures
A financial asset is past due if a counterparty fails
to\u00a0make a payment on the contractual due date or if
the\u00a0counterparty 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 lifecycle\u00a0
Audited
Non-forborne
Forborne
Non-forborne
Defaulted forbearance clients
remain defaulted for at least a year
Performing
Cure
\u2265 1 year
Probation period
\u2265 2 year
Ceases to be
forborne
Forbearance measure
End of cure period
End of forbearance period
Performing
Non-performing
Performing
Accounting policy for measuring allowances
for expected credit losses (ECL)
Audited
The IFRS 9 impairment requirements are applicable
to financial assets measured at amortised cost or fair
value through other comprehensive income (FVOCI),
loan commitments, lease receivables and contract
assets and financial guarantee contracts. At each
reporting date, these financial instruments are
classified into one of three risk stages, depending on
current credit quality, or as purchased or originated
credit impaired (POCI).
POCI assets, which are credit impaired at initial
recognition, are accounted for at fair value
(i.e.\u00a0net\u00a0of\u00a0the initial lifetime ECLs) and do not carry
an\u00a0impairment allowance. Instead, a credit-adjusted
effective interest rate (EIR), which is calculated using
expected cash flows including initial lifetime ECLs,
is\u00a0applied to the amortised cost. Subsequently,
the\u00a0cumulative changes in lifetime ECLs since initial
recognition, which are discounted at
the\u00a0credit\u2011adjusted effective interest rate, are
recognised in the profit or loss statement as
an\u00a0impairment gain or loss, and presented under
impairment charges on financial instruments.
Once\u00a0a\u00a0financial 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 quality\u00a0
Audited
Change in credit quality since initial recognition
Stage 1
Stage 2
Stage 3
Performing
(Initial recognition)
Credit quality deteriorated
(Assets with significant increase in
credit risk since initial recognition)
Default = Impaired
(Credit impaired assets)
Recognition of ECL
12 month ECL
Lifetime ECL
Lifetime ECL
Interest income
Effective interest on
gross carrying amount
Effective interest on
gross carrying amount
Effective interest on amortised
cost (gross carrying amount less
loss allowance)
Classification in stage 2
We use quantitative and qualitative stage triggers
to\u00a0determine whether a financial instrument should be
classified as stage 1 or stage 2.
Quantitative stage triggers
The key quantitative metric that determines when
a\u00a0financial instrument is transferred from stage 1
to\u00a0stage 2 is the deterioration in the lifetime
probability of default (LPD) from the date
of\u00a0origination to the reporting date, based on internal
data. The LPD represents the likelihood that
a\u00a0counterparty will default during the lifetime
of\u00a0the\u00a0financial 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\u00a0relative difference between the remaining lifetime
PD at reporting (LPDR) and the remaining lifetime PD at
origination (LPDO) as LPDD = LPDR/LPDO. If the\u00a0LPD
deterioration of an exposure is above a\u00a0predefined
threshold, the LPD is considered to be significantly
deteriorated. The exposure is then transferred to stage\u00a02
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\u00a01.
When determining the\u00a0thresholds, 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\u00a0December 2024. The table
provides ranges because each product class uses
multiple ECL models, and thresholds are determined for
each ECL model.
Range of lifetime PD deterioration
thresholds\u00a0\u00a0
Audited
Product class
Range
Consumer lending
1.8x-5.2x
Residential mortgages
1.5x-2.1x
Corporate loans
1.3x-5.8x
Qualitative stage triggers
The bank transfers a financial instrument from stage 1
to stage 2 if the instrument meets any of the following
qualitative triggers:
\u2022 forborne status of a borrower
\u2022 watch status of a borrower. ABN AMRO assigns
the\u00a0watch status to counterparties with an increased
credit risk. This process comprises intensive
monitoring, early detection of deterioration
in\u00a0the\u00a0credit portfolio and appropriate follow-up
measures
\u2022 a delinquency-based regulatory backstop is
in\u00a0place, such that the credit risk of financial assets
that are more than 30 days past due will be
assumed to have significantly increased
Reclassification to stage 1
As a general rule, favourable changes in credit risk
are recognised consistently with unfavourable
changes, and a financial instrument is transferred
back to stage 1 if quantitative or qualitative triggers
are no longer met. In some cases, a probation period
applies:
\u2022 Forborne financial instruments are transferred
back from stage 2 to stage 1 only after
a\u00a0probation 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 3
A transfer to stage 3 will always be the result of
the\u00a0default of a financial instrument. The definition
of default for IFRS 9 is aligned with the regulatory
capital definition. 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\u00a0the\u00a0bank or
\u2022 the bank considers the borrower to be unlikely
to\u00a0meet its contractual obligations (unlikely
to\u00a0pay, or UTP)
The materiality of a financial obligation past due
is\u00a0assessed against an absolute and a relative
threshold, in line with regulatory standards.
To\u00a0determine unlikeliness to pay, the bank has
specified 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\u00a0UTP indications should result in a default
classification).
The mandatory triggers include the reporting of
a\u00a0forborne exposure under probation as
non\u2011performing for being 30 days past due or owing
to an additional forbearance measure being applied.
As a result, the definitions of non-performing and
default are materially aligned.
Reclassification to stage 2
The default classification for non-forborne
exposures ends when the default triggers no longer
apply and a probation or cure period of at least
three months has passed since the default trigger
was last applied. For forborne exposures,
a\u00a0twelve\u2011month 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\u00a0the credit quality is factual and permanent
(including, for example, no remaining past due
amounts).
Asset stages\u00a0\u00a0
Audited
Asset in scope?
YES
Purchased or originated credit impaired (POCI)?
NO
YES
Default trigger hit?
NO
YES
Lifetime PD significantly deteriorated?
NO
YES
Watch list
Forbearance (but not impaired)
NO
YES
Days past due
0-30
>30
Stage 1
Stage 2
Stage 3
Stage POCI
Calculation method
ABN AMRO recognises loss allowances based on
the\u00a0Expected 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\u00a0all expected cash shortfalls over the remaining life
of the financial instrument for both on- and
off\u2011balance 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\u00a02 and 3) for financial instruments that have
similar credit risk characteristics (e.g. residential
mortgages, consumer loans and SME loans); these
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\u00a0quantify the Probability of Loss (PL), Loss Given
Loss (LGL) and Exposure at Loss (EAL) for
the\u00a0purpose of calculating the collective 12-month
ECL and LECL for these financial instruments.
Lifetime expected credit loss
ABN AMRO defines the lifetime of credit as
the\u00a0maximum contractual period during which
the\u00a0bank is exposed to credit risk; we do not apply
a\u00a0longer period, even if that longer period is
consistent\u00a0with business practice. For some contracts,
such as overdraft facilities or credit cards, no end
date\u00a0is specified or amounts can be contractually
withdrawn by the lender at short notice. In these
cases, ABN\u00a0AMRO uses behavioural maturity models
that rely on historical client behaviour to determine
future expected exposures.
Forward-looking information
For expected credit loss calculations, ABN AMRO
uses\u00a0three different scenarios of future economic
developments: a baseline (or most likely) scenario,
a\u00a0negative scenario and a positive scenario. The three
scenarios are incorporated into the expected credit
loss calculation and risk stage determination
in\u00a0a\u00a0probability-weighted manner.
In order to\u00a0incorporate the latest economic outlook,
the\u00a0scenarios and their weights are reviewed
each\u00a0quarter and adjusted if necessary. Details
of\u00a0the\u00a0scenarios and their weights used in\u00a0the\u00a0reporting
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\u00a0assumed 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
them. This external benchmarking exercise is a standard
input to\u00a0the\u00a0Scenario Booklet that is presented to the
bank\u2019s Scenario and Stress Testing Committee for
approval. Group Economics also develops a negative
and a\u00a0positive scenario. These scenarios are designed
to\u00a0give 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 above institutions and other relevant
developments.
Management overlays and other adjustments
Where necessary to reflect credit risk dynamics not
captured by our models, management judgement is
applied via a management overlay or other IFRS\u00a09
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 by the Impairment and
Provision Committee (IPC). The main types
of\u00a0management overlays that ABN AMRO
distinguishes are: post-model adjustments
(adjustments to model outcomes), adjustments
in\u00a0the\u00a0weightings 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\u00a0same internal approval process.
Climate and environmental risks in ECL\u00a0
ESRS
In this developing discipline we are working
to\u00a0incorporate CER risk explicitly into ECL models.
Following our roadmap, 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.
For identifiable events with no or insufficient
provisioning, ECL-related management overlays can
be taken. We have taken two CER related overlays:
one for the potential impact the Dutch government\u2019s
nitrogen reducing measures will have on our clients
which is related to environmental transition risk
(EUR\u00a029 million), and another for climate transition
risk (EUR 19 million). Given the combination
of\u00a0macroeconomic scenarios and these management
overlays, we consider the bank adequately
provisioned for climate and environmental risks. For
more details on these overlays, please see Individual
and collective loan impairment allowances and
management overlays in the Credit risk review
section.
Cured financial assets
When a credit impaired financial asset cures,
the\u00a0interest 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
Under IFRS 9, \u2018write-off\u2019 refers to the process
of\u00a0recognising that a financial asset, or a portion of it,
is uncollectible and should be removed from
an\u00a0entity\u2019s balance sheet. This typically happens
when there is no reasonable expectation
of\u00a0recovering the asset, indicating that the entity has
exhausted all practical recovery efforts.
\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\u00a0default.
Such loans are written off after all the necessary
procedures have been completed and the amount
of\u00a0the loss has been determined. Subsequent
recoveries of amounts previously written off are
credited to impairment charges on financial
instruments in the income statement.
Credit risk measurement\u00a0
Audited
The models used for measuring and managing credit
risk vary from purely statistical to expert-based models
and employ both quantitative and qualitative risk
drivers. All models are subject to the bank\u2019s model risk
management framework. They undergo initial validation
by the independent model validation function before
their first use, and are then monitored and validated
annually. Independent validation is also required when
a model is changed.
Probability of default
The Probability of Default (PD) indicates the likelihood
that a counterparty or exposure defaults within a
one\u2011year time horizon. For the non-programme lending
portfolio, the model score is mapped to and expressed
as an internal uniform counterparty rating (UCR).
The\u00a0UCR 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 ratings
Grade Category
UCR
(internal rating)
Low
PD%
Mid
PD%
High
PD%
Standard & Poor's
equivalent
Moody's
equivalent
Fitch
equivalent
Investment 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+ to A
UCR 2-
0.071
0.10
0.127
A-
A3
A-
UCR 3+
0.127
0.16
0.200
BBB+
Baa1
BBB+
UCR 3
0.200
0.25
0.300
BBB
Baa2
BBB
UCR 3-
0.300
0.36
0.465
BBB-
Baa3
BBB-
Sub-investment grade
UCR 4+
0.465
0.60
0.775
BB+
Ba1
BB+
UCR 4
0.775
1.00
1.285
BB
Ba3
BB
UCR 4-
1.285
1.65
2.225
BB-
B1
B+
UCR 5+
2.225
3.00
4.243
B
B2
B
UCR 5
4.243
6.00
8.485
B-
Caa
B-
UCR 5-
8.485
12.00
16.971
CCC/C
Ca/C
CCC/C
UCR 6+
16.971
24.00
99.999
CCC/C
Ca/C
CCC/C
Default
UCR 6-8
100
D
C-D
D
Rating assignment
For non-programme lending, the ratings are individually
assigned to each obligor (PD) and facility (LGD) by
the\u00a0business 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 on a monthly basis. For all exposures,
the\u00a0EAD estimation is assigned automatically, based on
the facility type and the undrawn part of the facility.
Loss given default
Loss Given Default (LGD) models estimate the amount
the bank would lose if the counterparty were to default.
LGD is expressed as a percentage of the outstanding
amount at default. For credit facilities that are not
in\u00a0default, LGD estimates are influenced by the risk
mitigating techniques used by the bank (such as
collateral coverage and/or third-party protection),
the\u00a0credit facility\u2019s seniority and structure, and
the\u00a0bank\u2019s view on the creditor-friendliness
of\u00a0the\u00a0relevant country's legal framework.
Exposure at default
Exposure at Default (EAD) models estimate
the\u00a0expected exposure at the time a counterparty
defaults. If all or part of a facility is undrawn (i.e.
the\u00a0outstanding amount is less than the approved limit)
at the time of the EAD calculation, a portion of
the\u00a0undrawn amount is added to the exposure to\u00a0reflect
the tendency of counterparties to utilise larger portions
of their approved credit facilities when nearing default.
Capital for credit risk
Regulatory capital
For the purpose of determining capital requirements for
credit risk, ABN AMRO applies the Advanced Internal
Rating Based (A-IRB) approach to a number of its
portfolios. Under this approach, the previously described
internal estimates for PD, EAD and LGD are used
to\u00a0calculate Credit Risk RWA. For the other portfolios,
the\u00a0Standardised Approach (SA) is applied, meaning that
regulatory prescribed methods are used to determine
credit risk RWA. The PD, LGD and EAD models portfolios
are still used for internal purposes such as origination,
pricing, monitoring and reporting for the SA portfolios.
Economic capital
The EC model for credit risk uses a Monte Carlo
simulation to determine a full portfolio loss distribution,
taking into account specific portfolio characteristics and
diversification effects. Loan facilities are valued on
an\u00a0economic value (mark-to-market) basis to ensure
that loss estimates can be based not only on defaulting
borrowers, but also on possible credit migrations and
changes associated with the market values of loans.
Accounting policy for offsetting financial
assets and liabilities \u00a0
Audited
Financial assets and liabilities are offset, and the net
amount is reported on the EU IFRS balance sheet, if
there is a legally enforceable right to offset
the\u00a0recognised 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
the\u00a0balances meet the applicable criteria.
Accounting policy for enforceable master
netting agreements or similar
instruments\u00a0\u00a0
Audited
Enforceable master netting arrangements take into
account all agreements containing conditions that
allow offsetting in the event of default. In addition,
agreements are enforceable if the bank has a legally
enforceable right to offset and no ability and/or
intention to realise the asset and settle the liability
simultaneously. These arrangements include
derivative clearing agreements, global master
repurchase agreements and global master securities
lending agreements.
Credit risk overview\u00a0\u00a0
Audited
(in millions)
31 December 2024
31 December 2023
Cash and balances at central banks
44,464
53,656
Financial assets held for trading
2,503
1,371
Derivatives
4,347
4,403
Financial investments\u00b9
47,173
41,501
Securities financing
26,989
21,503
Loans and advances banks
2,049
2,324
Loans and advances customers
248,782
245,935
Other assets
5,518
5,351
Less: Other\u00b9
342
546
Other assets
5,176
4,805
On-balance sheet maximum exposure to credit risk
381,484
375,496
Off-balance sheet
Committed credit facilities
52,617
53,968
Guarantees and other commitments
6,638
6,289
Revocable credit facilities
38,093
31,710
Off-balance sheet credit facilities and guarantees
97,348
91,967
Maximum exposure to credit risk\u00b2
478,831
467,463
Adjustments on assets 2, 3
1,996
2,680
Valuation adjustments 4
5,664
7,226
Offsetting and netting
-33,229
-28,194
Off-balance sheet credit facilities and guarantees
-97,348
-91,967
Off-balance sheet exposure fraction expected to be drawn prior to
default (credit conversion factors)
34,091
28,816
Total Exposure at Default
390,006
386,024
Credit risk RWA / Total Exposure at Default
31.5%
31.7%
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\u00a0determination of regulatory and economic capital.
Overall credit risk EAD and RWA\u00a0\u00a0
Audited
31 December 2024
Original
EAD
Less: Netting/
EAD mitigation\u00b3
EAD
- of which
RWA
RWA/EAD
(in millions)
Derivatives
Securities
financing
transactions
Credit risk IRB
Institutions\u00b9
10,820
1,187
9,633
810
2,055
1,624
16.9%
Corporates
128,991
29,003
99,988
1,964
1,556
58,499
58.5%
Retail
172,472
4,712
167,760
18,495
11.0%
\u00a0 - of which secured by immovable property
164,118
571
163,547
17,369
10.6%
\u00a0 - of which qualifying revolving exposures
5,354
3,746
1,608
153
9.5%
\u00a0 - of which other retail
3,000
396
2,604
973
37.4%
Securitisation positions
2,869
2,869
371
12.9%
Subtotal
315,151
34,902
280,249
2,774
3,611
78,989
28.2%
Equities not held for trading
1,100
1,100
3,423
311.3%
Other\u00b2
2,123
2,123
30,164
1420.9%
Total IRB
318,374
34,902
283,472
2,774
3,611
112,576
39.7%
Credit risk SA
Central governments and central banks
79,926
-1,833
81,759
37
136
675
0.8%
Institutions\u00b9
28,434
14,104
14,330
3,750
4,252
1,149
8.0%
Corporates
21,817
15,473
6,344
1,109
1,166
5,226
82.4%
Retail
5,472
2,302
3,170
2,377
75.0%
Secured by mortgages on immovable property
598
12
587
209
35.7%
Exposures in default
330
172
158
213
134.6%
Collective investments undertakings (CIU)
36
36
19
Credit valuation adjustment
122
Subtotal
136,612
30,229
106,383
4,896
5,554
9,990
9.4%
Other\u00b2
152
152
212
139.9%
Total SA
136,763
30,229
106,534
4,896
5,554
10,202
9.6%
Total
455,137
65,131
390,006
7,670
9,165
122,779
31.5%
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 2023
Original
EAD
Less: Netting/
EAD mitigation\u00b3
EAD
- of which
RWA
RWA/EAD
(in millions)
Derivatives
Securities
financing
transactions
Credit risk IRB
Institutions\u00b9
9,875
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%
\u00a0 - of which secured by immovable property
157,349
505
156,844
15,917
10.1%
\u00a0 - of which qualifying revolving exposures
5,352
3,955
1,397
139
9.9%
\u00a0 - 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%
Other\u00b2
2,063
2,063
33,883
1642.1%
Total IRB
316,861
40,197
276,664
2,698
3,171
113,146
40.9%
Credit risk SA
Central governments and central banks
84,348
-327
84,675
56
190
347
0.4%
Institutions\u00b9
25,703
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
261
Subtotal
134,956
25,652
109,304
4,988
5,863
9,344
8.5%
Other\u00b2
56
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.
Credit quality by exposure class\u00a0\u00a0
Audited
31 December 2024
(in millions, Exposure at Default)
Investment
grade
Sub-investment
grade
Impaired
Total
Central governments and central banks
Institutions\u00b9
9,476
157
9,633
Corporates
50,688
46,211
3,089
99,988
Retail\u00b2
138,686
27,507
1,567
167,760
\u00a0 - of which secured by immovable property
135,861
26,216
1,470
163,547
\u00a0 - of which qualifying revolving exposures
1,404
181
23
1,608
\u00a0 - of which other retail
1,421
1,109
74
2,604
Securitisation positions
2,869
2,869
Total IRB\u00b3
201,719
73,874
4,656
280,249
Total SA 4
106,383
Total IRB and SA 3, 4
386,632
31 December 2023
Investment
grade
Sub-investment
grade
Impaired
Total
Central governments and central banks
Institutions\u00b9
8,890
283
9,173
Corporates
48,964
47,861
2,987
99,812
Retail\u00b2
133,993
26,773
1,582
162,347
\u00a0 - of which secured by immovable property
131,115
24,300
1,429
156,844
\u00a0 - of which qualifying revolving exposures
1,231
142
24
1,397
\u00a0 - of which other retail
1,647
2,331
129
4,106
Securitisation positions
2,205
2,205
Total IRB\u00b3
194,052
74,916
4,569
273,537
Total SA 4
109,304
Total IRB and SA 3, 4
382,841
1. 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\u00a0 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 increased to EUR 390.0 billion
(31\u00a0December\u00a02023: EUR 386.0 billion), largely as
a\u00a0result of the increase in loans and advances and partly
offset by a lower fair value adjustment from hedge
accounting on residential mortgages.
Total RWA slightly increased to EUR 140.9 billion
(31\u00a0December 2023: EUR 140.2 billion) while credit risk
RWA remained relatively flat. Credit risk RWA increased
during the first half of 2024, mainly due to an increase
in model related add-ons and business developments in
Corporate Banking. In the second half of the year, credit
risk RWA came down again, mainly due to business
developments in Corporate Banking, where Clearing
and Asset Based Finance were large contributors.
Steering measures and data quality improvements
added to the decrease.
Market risk RWA decreased by roughly EUR 60 million
over the year, CVA risk RWA (counterparty credit risk)
declined by roughly EUR 0.1 billion over the year.
Operational risk RWA increased by EUR 0.5 billion
compared to 2023. RWA for operational risk in 2024
was allocated to client units based on client units' total
income, in line with the standardised approach (TSA).
Under the TSA operational risk RWA is based on
a\u00a0three\u2011year average of the operating income.
The\u00a0average operating income increased due
to\u00a0the\u00a0addition of the 2023 income to replace the
2020\u00a0figure.
At 31 December 2024, RWA add-ons for regulatory
matters amounted to approximately EUR 22 billion
(31\u00a0December 2023: approximately EUR 23 billion).
Credit quality by internal rating scale mapped
to stages\u00a0\u00a0
Audited
The following table presents the gross carrying amount
of loans and the contractual amount of undrawn loan
commitments, classified by internal rating and risk
stage. In order to classify a client as stage 2, several
qualitative triggers are needed, which are not
necessarily dependent on internal ratings. Reference is
made to the Credit risk management section for more
information on internal ratings and stage determination.
31 December 2024
31 December 2023
(in millions)
PD scale
UCR range
Stage 1
Stage 2
Stage 3 4
Total 4
Stage 1
Stage 2
Stage 3 4
Total 4
Residential mortgages
0.000 - < 0.035
1\u00a0
73
4
77
31
31
0.035 - < 0.127
2\u00a0
51,759
788
52,547
63,726
1,583
65,309
0.127 - < 0.465
3\u00a0
65,597
4,976
70,573
51,973
2,824
54,797
0.465 - < 2.225
4\u00a0
20,300
5,299
25,599
22,404
3,808
26,212
2.225 - < 16.971
5\u00a0
420
4,383
4,803
457
2,366
2,823
16.971 - < 100
6+
23
667
690
79
535
613
100
6-8
1,919
1,919
1,292
1,292
Total residential mortgages
138,172
16,118
1,919
156,209
138,671
11,115
1,292
151,078
Consumer loans
0.000 - < 0.035
1\u00a0
748
24
772
625
2
628
0.035 - < 0.127
2\u00a0
651
8
659
797
5
802
0.127 - < 0.465
3\u00a0
2,033
75
2,108
2,708
43
2,751
0.465 - < 2.225
4\u00a0
2,469
114
2,582
2,604
183
2,788
2.225 - < 16.971
5\u00a0
451
174
625
118
158
276
16.971 - < 100
6+
431
90
521
681
73
755
100
6-8
222
222
255
255
No rating\u00b9
83
2
85
124
2
126
Total consumer loans
6,866
487
222
7,575
7,658
467
255
8,380
Corporate loans
0.000 - < 0.035
1\u00a0
4,736
107
4,842
2,757
77
2,833
0.035 - < 0.127
2\u00a0
7,580
47
7,627
8,429
140
8,569
0.127 - < 0.465
3\u00a0
18,738
779
19,517
19,018
1,565
20,583
0.465 - < 2.225
4\u00a0
26,378
4,343
30,721
26,819
4,460
31,280
2.225 - < 16.971
5\u00a0
1,885
2,502
4,387
1,990
3,004
4,994
16.971 - < 100
6+
3,948
614
4,562
4,935
1,040
5,976
100
6-8
3,110
3,110
3,152
3,152
No rating\u00b9
8,962
98
9,060
9,375
21
9,396
Total corporate loans
72,227
8,490
3,110
83,827
73,324
10,308
3,152
86,784
Other loans
0.000 - < 0.035
1\u00a0
10,332
37
10,369
9,656
37
9,693
0.035 - < 0.127
2\u00a0
8,345
8,345
7,071
7,071
0.127 - < 0.465
3\u00a0
5,394
5,394
3,586
3,586
0.465 - < 2.225
4\u00a0
2,252
2,252
2,996
2,996
2.225 - < 16.971
5\u00a0
82
82
16.971 - < 100
6+
423
1
424
26
14
40
100
6-8
6
6
8
8
No rating\u00b9
8,654
4
8,658
6,933
6,933
Total other loans\u00b2
35,483
42
6
35,531
30,268
51
8
30,327
Loan commitments and financial
guarantee contracts
0.000 - < 0.035
1\u00a0
4,737
4,737
4,328
4
4,332
0.035 - < 0.127
2\u00a0
15,308
60
15,368
15,934
117
16,051
0.127 - < 0.465
3\u00a0
16,096
773
16,869
14,317
657
14,974
0.465 - < 2.225
4\u00a0
12,385
1,516
13,901
14,976
1,644
16,620
2.225 - < 16.971
5\u00a0
1,269
801
2,071
608
867
1,475
16.971 - < 100
6+
1,282
140
1,422
1,823
214
2,037
100
6-8
627
627
965
965
No rating\u00b9
336
4
340
155
3
159
Total loan commitments and financial
guarantee contracts\u00b3
51,414
3,293
627
55,334
52,141
3,507
965
56,613
Total
0.000 - < 0.035
1\u00a0
20,625
172
20,797
17,398
121
17,518
0.035 - < 0.127
2\u00a0
83,644
902
84,546
95,957
1,844
97,801
0.127 - < 0.465
3\u00a0
107,858
6,603
114,461
91,602
5,089
96,691
0.465 - < 2.225
4\u00a0
63,784
11,272
75,056
69,800
10,096
79,896
2.225 - < 16.971
5\u00a0
4,107
7,861
11,968
3,174
6,395
9,569
16.971 - < 100
6+
6,108
1,511
7,619
7,544
1,877
9,420
100
6-8
5,885
5,885
5,672
5,672
No rating\u00b9
18,035
108
18,143
16,588
27
16,614
Total
304,162
28,430
5,885
338,476
302,062
25,447
5,672
333,181
1. Up until 31 December 2023, clients and counterparties for which no internal UCR is available but did get a proxy for provisioning purposes, were reported in the
corresponding UCR category (mainly \u20181\u2019). This mainly concerned CCPs within Clearing, and are reported in the category No rating from 31 December 2024 onwards. This
aligns with the RWA practice (RWA for trade exposures to CCPs which is not based on PD/UCR ratings) for these counterparties where no internal UCR process is in place.
Comparative figures have been adjusted.
2. Including Banks, Securities Financing and Government and official institutions.
3. Excluding performance letters of credit.
4. Including POCI.
The largest part of ABN AMRO's portfolio continues
to\u00a0be classified in the highest and medium internal
ratings of stage 1. Stage 2 clients are mostly in
the\u00a0medium internal UCRs, primarily visible for
corporate and mortgage loans. Compared to 2023,
the\u00a0share of the portfolio with an investment grade
(UCR 1 to UCR 3 bucket) increased marginally, mainly
due to slightly higher investment grades in corporate,
consumer and mortgage loans resulting from overall
improved and less overdue client ratings.
Approximately 2% of the bank's portfolio was reported
in UCR 6+, which came down from 2023, mainly as
a\u00a0result of an internal focus on reducing overdue
revisions. Clients whose 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 concentration\u00a0
Audited
Geographic concentration
The exposures in the following table have been
classified on the basis of the geographical regions in
which 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 EAD\u00a0\u00a0
Audited
31 December 2024
(in millions, Exposure at Default)
The
Netherlands
Rest of
Europe
USA
Asia
Rest of
the world
Total
Institutions\u00b9
1,158
6,977
817
141
540
9,633
Corporates
56,516
36,792
1,359
489
4,832
99,988
Retail
167,270
341
53
66
29
167,760
\u00a0 - of which secured by immovable property
163,087
315
52
65
28
163,547
\u00a0 - of which qualifying revolving exposures
1,581
23
1
1
1
1,608
\u00a0 - of which other retail
2,601
3
2,604
Securitisation positions
2,869
2,869
Total IRB\u00b2
227,813
44,110
2,229
697
5,401
280,249
Total SA\u00b3
57,890
30,777
10,626
5,091
1,999
106,383
Total IRB and SA 2, 3
285,703
74,887
12,855
5,787
7,400
386,632
Percentage of total IRB and SA 2, 3
73.9%
19.4%
3.3%
1.5%
1.9%
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.
31 December 2023
The
Netherlands
Rest of
Europe
USA
Asia
Rest of
the world
Total
Institutions\u00b9
1,173
6,517
765
188
531
9,173
Corporates
60,206
32,906
1,533
591
4,576
99,812
Retail
161,714
469
54
71
39
162,347
\u00a0 - of which secured by immovable property
156,242
444
53
68
37
156,844
\u00a0 - of which qualifying revolving exposures
1,397
1,397
\u00a0 - of which other retail
4,076
25
1
3
2
4,106
Securitisation positions
2,205
2,205
Total IRB\u00b2
225,297
39,892
2,352
850
5,145
273,537
Total SA\u00b3
61,173
32,830
10,307
2,934
2,060
109,304
Total IRB and SA 2, 3
286,471
72,722
12,659
3,785
7,205
382,841
Percentage of total IRB and SA 2, 3
74.8%
19.0%
3.3%
1.0%
1.9%
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 73.9%
of\u00a0the bank\u2019s portfolio at 31 December 2024
(31\u00a0December 2023: 74.8%), mainly as a result of
an\u00a0increase in corporates in the rest of Europe due
to\u00a0our expansion activities. Clients in the rest of Europe
are primarily located in neighbouring countries like
Belgium, France and Germany. Our exposure
to\u00a0countries outside Europe increased in Asia, and was
mainly related to Treasury activities. Exposures
to\u00a0the\u00a0USA related mainly to our Clearing activities.
Industry concentration\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross carrying
amount 4, 5
Percentage
of total
Gross carrying
amount 4, 5
Percentage
of total
Loans and advances banks
2,053
0.8%
2,327
0.9%
Agriculture, forestry and fishing
6,659
2.6%
6,928
2.7%
Mining and quarrying
1,576
0.6%
1,729
0.7%
Manufacturing
6,565
2.6%
6,699
2.6%
Electricity, gas, steam and air conditioning supply
2,241
0.9%
2,107
0.8%
Water supply; sewerage, waste management and remediation
activities
664
0.3%
702
0.3%
Construction
2,952
1.2%
3,623
1.4%
Wholesale and retail trade; repair of motor vehicles and
motorcycles
7,975
3.1%
8,778
3.4%
Transport and storage
8,749
3.4%
8,833
3.5%
Real estate activities
11,052
4.3%
11,067
4.3%
Accommodation and food service activities
1,733
0.7%
1,834
0.7%
Information and communication
4,851
1.9%
5,324
2.1%
Financial and insurance activities\u00b9
17,890
7.0%
18,683
7.3%
Professional, scientific & technical activities
2,024
0.8%
1,999
0.8%
Administrative & support service activities
5,358
2.1%
4,804
1.9%
Human health services & social work activities
2,630
1.0%
2,788
1.1%
Other sectors\u00b2
909
0.4%
886
0.3%
Total corporate loans
83,827
32.7%
86,784
34.0%
Private individuals (residential mortgages and consumer loans)
163,783
63.9%
159,458
62.5%
Other loans\u00b3
6,489
2.5%
6,497
2.5%
Total non-industry classification
170,273
66.5%
165,955
65.1%
Total loans and advances customers
254,100
99.2%
252,739
99.1%
Total loans and advances
256,153
100%
255,066
100%
1. Financial and insurance activities include asset managers, credit card companies and providers of personal financial services and securities and brokers.
2. Other include loans to Public administration & defence, compulsory social security, Education, Arts, entertainment & recreation, Activities of households as employers,
Activities of extraterritorial organisations & bodies and Other services.
3. Other loans include loans to Government and official institutions and default fund contributions for our clearing clients.
4. Excluding loans at fair value through P&L.
5. Excluding fair value adjustments from hedge accounting.
In comparison with 2023, total corporate loans declined
by EUR 3.0 billion, reducing the share of corporate
loans in total loans and advances to customers
to\u00a032.7% (2023: 34.0%). Portfolio composition by
industry remained stable: the top five industries in terms
of exposures were in the financial sector, followed by
real estate, transport and storage, wholesale and retail
trade and agriculture, which was the same as in 2023.
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. In
the\u00a0exposure table, non-material industry clusters are
aggregated under Other. Industry concentration limits
are established within the bank\u2019s risk appetite, with
the\u00a0thresholds for concentrations being based on
relative risk, the importance of the industry to the Dutch
economy and expert opinion.
Management of forborne, past due and
credit impaired loans\u00a0\u00a0
Audited
Credit risk reporting scope
Although all financial assets on our balance sheet are
subject to some form of credit risk, by far the largest
part is in loans and advances. To provide a meaningful
view of the credit risk in our lending book, the figures
presented in this section therefore relate to loans and
advances. Any credit risk outside the reported scope are
mentioned in the notes below the table. All figures are
reported gross of loan impairment allowances and
exclude fair value adjustments. The following table
provides a comparison between the gross carrying
amounts presented in this section and the consolidated
balance sheet.
Total loans and advances customers\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross
carrying
amount\u00b3
Fair value
adjustment
from
hedge
accounting
Less: loan
impairment
allowance
Less:
amortisation
and
depreciation
Carrying
amount
Gross
carrying
amount\u00b3
Fair value
adjustment
from
hedge
accounting
Less: loan
impairment
allowance
Less:
amortisation
and
depreciation
Carrying
amount
Loans and advances
banks
2,053
4
2,049
2,327
3
2,324
Residential mortgages
156,209
-4,686
133
151,390
151,078
-6,005
198
144,875
Consumer loans\u00b9
7,575
130
7,445
8,380
147
8,233
Corporate loans\u00b9
83,827
102
1,100
82,829
86,784
96
1,254
85,626
Other loans and advances
customers\u00b9
6,489
2
6,487
6,497
3
6,494
Total loans and
advances customers\u00b9
254,100
-4,584
1,364
248,152
252,739
-5,909
1,602
245,228
Total loans and
advances\u00b9
256,153
-4,584
1,368
250,201
255,066
-5,909
1,605
247,551
Other
138,184
-981
133
2,224
134,845
134,409
-1,640
187
2,224
130,358
Total assets
394,336
-5,565
1,501
2,224
385,047
389,474
-7,549
1,792
2,224
377,909
Loans and advances
customers\u00b9
254,100
-4,584
1,364
248,152
252,739
-5,909
1,602
245,228
Consumer loans at
fair value through P&L\u00b2
600
600
648
648
Corporate loans at
fair value through P&L
30
30
59
59
Total loans and
advances customers
254,730
-4,584
1,364
248,782
253,446
-5,909
1,602
245,935
1. 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 resulted
from interest rate swaps made to protect against
changes in the fair value of fixed-rate assets due
to\u00a0changes in market interest rates. The fair value
adjustment for mortgages decreased as a result
of\u00a0lower market interest rates.
Forborne exposures
Clients in (or potentially in) financial difficulty and
whose contracts have been amended in ways that are
regarded as concessions on the part of the bank are
accounted 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 assets\u00a0\u00a0
Audited
31 December 2024
Gross
carrying
amount\u00b2
Performing assets
Total per-
forming
forborne
assets
Non-performing assets
Total
non-per-
forming
forborne
assets
Total
forborne
assets
For-
bear-
ance
ratio
(in millions)
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Loans and advances banks
2,053
0.0%
Residential mortgages
156,209
513
10
523
508
14
521
1,045
0.7%
Consumer loans\u00b9
7,575
20
45
3
68
9
25
12
46
114
1.5%
Corporate loans\u00b9
83,827
660
1,336
210
2,207
175
1,387
163
1,725
3,932
4.7%
Other loans and advances
customers\u00b9
6,489
1
1
1
0.0%
Total loans and advances
customers\u00b9
254,100
1,193
1,391
214
2,798
692
1,426
177
2,294
5,092
2.0%
Total loans and advances\u00b9
256,153
1,193
1,391
214
2,798
692
1,426
177
2,294
5,092
2.0%
Loans at FV through P&L
630
1
2
6
1
6
8
1.3%
Total loans and advances
256,783
1,194
1,392
214
2,799
698
1,426
177
2,301
5,100
2.0%
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
31 December 2023
Gross
carrying
amount\u00b2
Performing assets
Total per-
forming
forborne
assets
Non-performing assets
Total
non-per-
forming
forborne
assets
Total
forborne
assets
For-
bear-
ance
ratio
(in millions)
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Loans and advances banks
2,327
0.0%
Residential mortgages
151,078
516
14
531
506
10
1
517
1,048
0.7%
Consumer loans\u00b9
8,380
20
27
47
11
40
6
56
103
1.2%
Corporate loans\u00b9
86,784
564
1,548
370
2,482
294
1,303
288
1,884
4,367
5.0%
Other loans and advances
customers\u00b9
6,497
2
2
2
0.0%
Total loans and advances
customers\u00b9
252,739
1,101
1,589
371
3,060
810
1,352
296
2,459
5,519
2.2%
Total loans and advances\u00b9
255,066
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. Excluding fair value adjustments from hedge accounting.
The forbearance ratio improved to 2.0%
(31\u00a0December\u00a02023: 2.2%), mainly because permanent
forbearance measures relating to some corporate loans
ended. Approximately 37% of the forborne exposures is
now subject to a temporary measure
(31\u00a0December\u00a02023: 35%).
Past due not classified as stage 3\u00a0\u00a0
Audited
31 December 2024
Days past due
(in millions)
Gross
carrying
amount\u00b2
Assets not
classified as
stage 3 or POCI
\u2264\u00a030 days
>\u00a030 days &
\u2264 90 days
> 90 days\u00b3
Total past due,
but not stage 3
or POCI
Past due
ratio
Loans and advances\u00a0banks
2,053
2,053
0.0%
Residential mortgages
156,209
154,290
1,195
26
3
1,224
0.8%
Consumer\u00a0loans\u00b9
7,575
7,353
356
16
20
392
5.2%
Corporate loans\u00b9
83,827
80,717
570
200
2
772
0.9%
Other loans and advances customers\u00b9
6,489
6,483
0.0%
Total\u00a0loans and advances customers\u00b9
254,100
248,842
2,122
242
25
2,389
0.9%
Total\u00a0loans and advances\u00b9
256,153
250,895
2,122
242
25
2,389
0.9%
1. Excluding loans at fair value through P&L.
2. Excluding 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 2023
Days past due
(in millions)
Gross
carrying
amount\u00b2
Assets not
classified as
stage 3 or POCI
\u2264\u00a030 days
>\u00a030 days &
\u2264 90 days
> 90 days\u00b3
Total past due,
but not stage 3
or POCI
Past due
ratio
Loans and advances\u00a0banks
2,327
2,327
0.0%
Residential mortgages
151,078
149,786
1,204
6
2
1,211
0.8%
Consumer\u00a0loans\u00b9
8,380
8,125
90
17
37
143
1.7%
Corporate loans\u00b9
86,784
83,631
359
205
76
640
0.7%
Other loans and advances customers\u00b9
6,497
6,489
4
4
0.1%
Total\u00a0loans and advances customers\u00b9
252,739
248,031
1,657
227
114
1,999
0.8%
Total\u00a0loans and advances\u00b9
255,066
250,358
1,657
227
114
1,999
0.8%
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Materiality thresholds are applied for counterparties transferring to stage 3. Below these thresholds, amounts are reported on > 90 days past due.
Past due exposures
When a counterparty is past due or exceeds its credit
limit, all loans and advances (total gross carrying
amount) in the related credit arrangement are
considered to be past due. The absolute and relative
materiality thresholds used for determining a defaulted
status do not apply for the purposes of classification as
past due. Below these thresholds, arrears of more than
90 days are reported as past due.
Total arrears rose to EUR 2.4 billion or 0.9% of the total
loans and advances compared to 31 December 2023.
Increases were mainly in the short term buckets
(<=30\u00a0days) of consumer and corporate loans.
The\u00a0increase in consumer loans in arrears was triggered
by data quality improvements, and does not reflect
an\u00a0increase in the risk profile.
Coverage and stage ratios\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross
carrying
amount\u00b2
Allowances
for credit
losses\u00b3
Coverage
ratio
Stage
ratio
Gross
carrying
amount\u00b2
Allowances
for credit
losses\u00b3
Coverage
ratio
Stage
ratio
Stage 1
Loans and advances banks
2,016
4
0.2%
98.2%
2,290
3
0.1%
98.4%
Residential mortgages
138,172
36
0.0%
88.5%
138,671
24
0.0%
91.8%
Consumer loans\u00b9
6,866
12
0.2%
90.6%
7,658
18
0.2%
91.4%
Corporate loans\u00b9
72,227
119
0.2%
86.2%
73,324
192
0.3%
84.5%
Other loans and advances customers\u00b9
6,478
0.0%
99.8%
6,475
0.0%
99.7%
Total loans and advances customers\u00b9
223,743
167
0.1%
88.1%
226,128
234
0.1%
89.5%
Stage 2
Loans and advances banks
37
0.0%
1.8%
37
0.0%
1.6%
Residential mortgages
16,118
42
0.3%
10.3%
11,115
49
0.4%
7.4%
Consumer loans\u00b9
487
15
3.1%
6.4%
467
11
2.4%
5.6%
Corporate loans\u00b9
8,490
170
2.0%
10.1%
10,308
228
2.2%
11.9%
Other loans and advances customers\u00b9
5
1.1%
0.1%
14
1
7.9%
0.2%
Total loans and advances customers\u00b9
25,100
226
0.9%
9.9%
21,903
289
1.3%
8.7%
Stage 3 and POCI
Loans and advances banks
Residential mortgages
1,919
55
2.9%
1.2%
1,292
125
9.7%
0.9%
Consumer loans\u00b9
222
102
46.1%
2.9%
255
118
46.3%
3.0%
Corporate loans\u00b9
3,110
811
26.1%
3.7%
3,152
833
26.4%
3.6%
Other loans and advances customers\u00b9
6
2
27.1%
0.1%
8
2
27.1%
0.1%
Total loans and advances customers\u00b9
5,258
971
18.5%
2.1%
4,707
1,079
22.9%
1.9%
Total of stages 1, 2, 3 and POCI
Total loans and advances banks
2,053
4
0.2%
2,327
3
0.1%
Residential mortgages
156,209
133
0.1%
151,078
198
0.1%
Consumer loans\u00b9
7,575
130
1.7%
8,380
147
1.8%
Corporate loans\u00b9
83,827
1,100
1.3%
86,784
1,254
1.4%
Other loans and advances customers\u00b9
6,489
2
0.0%
6,497
3
0.1%
Total loans and advances customers\u00b9
254,100
1,364
0.5%
252,739
1,602
0.6%
Total loans and advances\u00b9
256,153
1,368
0.5%
255,066
1,605
0.6%
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 2024: EUR 1 million; 31 December 2023: EUR 1 million).
Portfolio developments in combination with lower
allowances for credit losses at Corporate Banking
resulted in a decrease in the stage 2 ratio and the stage
2 coverage ratio. Stage 3 ratio increased slightly, while
stage 3 coverage ratio showed a slight decline.
For mortgages, stage 2 and stage 3 ratio in 2024
increased to 10.3% and 1.2% respectively
(31\u00a0December 2023: 7.4% and 0.9%). The stage 2 and
3 coverage ratios 2 and 3 of mortgages decreased
to\u00a00.3% and 2.9% respectively (31 December 2023:
0.4% and 9.7%). IFRS 9 model changes in the third
quarter led to a decrease in the stage 3 coverage ratio.
In the fourth quarter, methodology changes were
implemented to better reflect the credit risk
characteristics of interest-only mortgages and
the\u00a0anticipated impact of a new mortgages model. For
interest-only mortgages, this resulted in a significant
increase from stage 1 to stage 2, and for the anticipated
impact of a new mortgages model to stage 3.
An\u00a0additional impact on the stage 2 and 3 coverage
ratios was a consequence of improvements in the Dutch
housing market outlook.
Purchased or Originated Credit Impaired (POCI)
At 31 December 2024, loans classified as POCI
amounted to EUR 7 million. Due to the immateriality
ofthe amount, this is included in the amount shown for
stage 3 throughout this report.
Exposure and impairment flows
This section provides more details on the exposure and
impairment flows underlying the change in coverage
and stage ratios shown in the previous section.
Total loans and advances\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Closing balance of the previous year
228,418
21,940
4,707
255,066
229,084
23,954
5,175
258,212
Impact adopting IFRS 17
-1,061
-103
-83
-1,247
Balance at 1 January
228,418
21,940
4,707
255,066
228,023
23,851
5,091
256,965
Transfer to stage 1
8,704
-8,644
-59
8,542
-8,417
-125
Transfer to stage 2
-15,361
16,025
-664
-11,135
12,130
-996
Transfer to stage 3
-1,468
-1,186
2,654
-1,131
-1,116
2,247
Additional drawdowns and partial
repayments
-16,518
1,265
-142
-15,394
-11,950
199
-8
-11,759
Originated or purchased
42,922
42,922
37,428
37,428
Matured or repaid
-20,472
-4,170
-876
-25,518
-20,909
-4,609
-1,198
-26,715
Write-offs
-350
-350
-334
-334
Foreign exchange
1,017
50
21
1,088
-484
-92
-18
-594
Other movements
-1,483
-144
-34
-1,660
33
-7
48
74
Balance at 31 December
225,759
25,136
5,258
256,153
228,418
21,940
4,707
255,066
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Total loans and advances increased marginally
compared to 31 December 2023. This was mainly due
to an increase in mortgages, which was mostly offset by
a decrease in corporate and consumer loans.
There was a significant transfer from stage 1 to stage 2
and 3, largely due to the implementation
of\u00a0methodology changes to better reflect the credit risk
characteristics of interest-only mortgages and
the\u00a0anticipated impact of a new mortgage model.
There was a significant decrease in other movements,
which was mainly due to a loan portfolio being
reclassified to assets held for sale.
Exposure flows per product class are presented
in\u00a0the\u00a0section Additional risk, funding & capital
disclosures.
Loan impairment charges and allowances\u00a0\u00a0
Audited
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Balance at 31 December 2023
3
198
147
1,254
3
1,605
109
Transfer to stage 1
-4
-4
-10
-18
Transfer to stage 2
6
23
29
2
Transfer to stage 3
16
29
137
181
Remeasurements\u00b9
-73
-15
-16
-2
-105
22
Changes in risk parameters
1
3
-11
-7
Originated or purchased
4
3
33
1
41
5
Matured or repaid
-14
-6
-60
-79
-7
Impairment charges (releases) on loans
and advances
-64
11
96
-2
41
22
Write-offs
-2
-31
-317
-350
Unwind discount / unearned interest accrued
1
3
22
1
27
Foreign exchange and other movements
-1
45
45
-34
Balance at 31 December 2024
4
133
130
1,100
2
1,368
96
2024
Impairment charges (releases) on loans and
advances
-64
11
96
-2
41
22
Recoveries and other charges (releases)
-11
-25
-48
-83
Total impairment charges for the period\u00b2
-75
-13
48
-2
-42
22
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage.
2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2024: EUR 1 million.
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Balance at 31 December 2022
8
153
277
1,590
5
2,034
51
Impact adopting IFRS 17
-100
-100
Balance at 1 January 2023
8
153
177
1,590
5
1,934
51
Transfer to stage 1
-4
-5
-20
-28
-1
Transfer to stage 2
7
-1
-14
-9
2
Transfer to stage 3
24
30
133
2
188
17
Remeasurements\u00b9
-5
35
-15
-112
-4
-101
47
Changes in risk parameters
3
6
-35
-26
-4
Originated or purchased
4
3
32
39
8
Matured or repaid
-17
-8
-54
-79
-9
Impairment charges (releases) on loans
and advances
-5
51
10
-71
-3
-17
60
Write-offs
-1
-58
-274
-334
Unwind discount / unearned interest accrued
2
3
29
1
34
Foreign exchange and other movements
-7
15
-20
-12
-1
Balance at 31 December 2023
3
198
147
1,254
3
1,605
109
2023
Impairment charges (releases) on loans and
advances
-5
51
10
-71
-3
-17
60
Recoveries and other charges (releases)
-14
-29
-67
-111
-90
Total impairment charges for the period\u00b2
-5
37
-19
-139
-3
-128
-30
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million.
Loan impairment charges and allowances per stage\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Closing balance of the previous year
237
289
1,079
1,605
316
396
1,322
2,034
Impact adopting IFRS 17
-6
-19
-75
-100
Balance at 1 January
237
289
1,079
1,605
310
376
1,247
1,934
Transfer to stage 1
61
-70
-9
-18
109
-128
-10
-28
Transfer to stage 2
-32
104
-43
29
-41
90
-58
-9
Transfer to stage 3
-6
-29
216
181
-15
-59
261
188
Remeasurements\u00b9
-106
-46
46
-105
-125
44
-20
-101
Changes in risk parameters
-5
-4
2
-7
-31
-1
6
-26
Originated or purchased
41
41
39
39
Matured or repaid
-18
-24
-38
-79
-11
-16
-53
-79
Impairment charges (releases) on loans
and advances
-65
-68
174
41
-75
-69
126
-17
Write-offs
-350
-350
-334
-334
Unwind discount / unearned interest accrued
27
27
34
34
Foreign exchange and other movements
-2
6
41
45
2
-18
4
-12
Balance at 31 December
170
226
971
1,368
237
289
1,079
1,605
Impairment charges (releases) on loans
and advances
-65
-68
174
41
-75
-69
126
-17
Recoveries and other charges (releases)
-83
-83
-111
-111
Total impairment charges for the period
-65
-68
91
-42
-75
-69
16
-128
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
A release of EUR 21 million (a EUR 42 million release on
balance and a EUR 22 million charge off balance)
in\u00a0impairments was recorded for 2024 (2023: a release
of EUR 158 million, of which EUR 30 million
off\u2011balance).\u00a0 Impairment releases were primarily
related to\u00a0residential mortgages somewhat offset by
impairment charges in corporate loans.
For residential mortgages, releases of EUR 75 million
were recorded in 2024, compared to charges of
EUR\u00a037\u00a0million in 2023. This was mainly caused by
the\u00a0impact of the updated IFRS 9 model for mortgages,
including updated and enhanced data, which led
to\u00a0lower impairment levels from the third quarter
of\u00a02024. Besides that, the decrease was mostly due
to\u00a0lower loss given default rates driven by increased
collateral values. The decrease in total impairments was
partly offset by an increase in management overlays
of\u00a0EUR 2 million.
For corporate loans, charges of EUR 48 million were
recorded in 2024, primarily due to an increase
in\u00a0individual files, which is also reflected in the
off\u2011balance items. In 2023, there was a release of
EUR\u00a0139 million. In 2024, we recorded an increase
in\u00a0collective impairments (mostly in stage 3) due
to\u00a0the\u00a0anticipated impact of a new model for corporate
portfolios. This decrease in total impairments for
corporate loans was mainly driven by a decrease
in\u00a0management overlays of EUR 121 million, which was
largely due to the decommissioning of the management
overlay for geopolitical and market sensitivity
(geopolitical risk).
Individual and collective loan impairment allowances and management overlays\u00a0\u00a0
Audited
31 December 2024
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Individual impairments
Stage 3\u00b9
42
600
2
643
80
Total individual impairments
42
600
2
643
80
Collective impairments
Stage 1
4
36
12
119
170
6
Stage 2
42
15
170
226
10
Stage 3\u00b9
55
60
212
327
Total collective impairments
4
133
88
500
724
16
- of which management overlay
85
56
140
Total impairments
4
133
130
1,100
2
1,368
96
Carrying amount of loans, determined to be impaired,
before deducting any assessed impairment allowance
1,919
222
3,110
6
5,258
1. Including POCI.
31 December 2023
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Individual impairments
Stage 3\u00b9
52
695
2
750
78
Total individual impairments
52
695
2
750
78
Collective impairments
Stage 1
3
24
18
192
237
16
Stage 2
49
11
228
1
289
12
Stage 3\u00b9
125
66
138
329
3
Total collective impairments
3
198
95
558
1
855
31
- of which management overlay
83
177
260
Total impairments
3
198
147
1,254
3
1,605
109
Carrying amount of loans, determined to be impaired,
before deducting any assessed impairment allowance
1,292
255
3,152
8
4,707
1. Including POCI.
Total collective impairments amounted to
EUR\u00a0724\u00a0million at year end 2024 (31 December 2023:
EUR\u00a0855\u00a0million). These impairments included expected
credit losses (ECL) as calculated by our IFRS 9 models
and the management overlays we recorded. The ECL
calculations take into account a probability weighted
average of three economic scenarios. As the ECL model
outcomes do not always reflect the current economic
environment and circumstances, additional
management overlays are applied to incorporate novel
risks not fully captured by the model.
During 2024, management overlays decreased to
a\u00a0total of EUR 140 million (31 December 2023:
EUR\u00a0260 million). Some of the management overlays
were recorded for risks in corporate loans portfolios,
where the impairments decreased from
EUR\u00a0177\u00a0million to EUR 56 million. In 2024,
the\u00a0management overlays changed mainly due to:
\u2022 Discontinuation of the management overlay for
geopolitical and market sensitivity (geopolitical risk).
In\u00a0combination with the changed macroeconomic
scenario weights, revised forecasts for macroeconomic
variables, and credit risk assessments at both
the\u00a0sectorial and individual levels, we captured
the\u00a0current geopolitical risks in our modelled loan
impairment calculations. The decommissioning
resulted in a release of EUR 86 million.
\u2022 The existing overlays, which cover potential additional
risk costs relating to the wind-down of portfolios,
decreased over the year by EUR 23 million.
\u2022 The overlays that are in place for climate transition
risk decreased by EUR 6 million to EUR 19 million,
based on the updated materiality impact assessment.
\u2022 The overlay that is in place for the potential impact
of\u00a0the government\u2019s nitrogen reducing measures on
clients in livestock farming businesses
in\u00a0the\u00a0Netherlands decreased slightly from
EUR\u00a035\u00a0million to EUR 29 million.
Some of the management overlays were recorded for
risks in mortgage loans, where the impairments
increased from EUR 83 million to EUR 85 million
in\u00a02024. The management overlay framework for our
mortgages portfolio was revised in the third quarter,
following the update of the IFRS 9 model for
mortgages. The methodology for interest-only
mortgages was updated to include, among others,
a\u00a0new component that was introduced to capture the
possible impact of a significant decrease in
loan\u2011to\u2011value upon default and an adjustment in
the\u00a0calculation of refinancing risk. In the fourth quarter,
stage 2 ratio increased due to these methodology
changes, which were implemented to better reflect
the\u00a0credit risk characteristics of the mortgages overlays.
All management overlays represent best estimates
of\u00a0the risks involved. The underlying reasoning and
calculations are documented and discussed and
approved by the Impairments and Provisioning
Committee (IPC).
Macroeconomic scenarios in 2024\u00a0\u00a0
Audited
(in millions)
Weight
Macroeconomic variable\u00b9
2025
2026
2027
2028
Unweighted
ECL 5
Weighted
ECL 5
Real GDP Netherlands\u00b2
2.6%
2.1%
1.7%
1.3%
Positive
15%
Unemployment\u00b3
3.5%
3.5%
3.6%
3.5%
639
House price index 4
7.5%
3.8%
3.0%
3.0%
Real GDP Netherlands\u00b2
1.5%
0.8%
1.2%
1.3%
Baseline
55%
Unemployment\u00b3
3.9%
4.2%
4.4%
4.4%
692
724
House price index 4
7.0%
3.5%
2.1%
2.5%
Real GDP Netherlands\u00b2
0.5%
-0.4%
0.7%
1.2%
Negative
30%
Unemployment\u00b3
6.0%
6.0%
5.8%
5.7%
826
House price index 4
0.2%
-4.5%
1.5%
2.6%
1. The variables presented in this table are a selection of the key macroeconomic variables.
2. Real GDP Netherlands, % change year-on-year.
3. Unemployment Netherlands, % of labour force.
4. House price index Netherlands - average % change year-on-year.
5. Weighted and unweighted ECL are including all collective impairments.
Macroeconomic scenarios in 2023\u00a0\u00a0
Audited
(in millions)
Weight
Macroeconomic variable\u00b9
2024
2025
2026
2027
Unweighted
ECL 5
Weighted
ECL 5
Real GDP Netherlands\u00b2
2.0%
2.0%
1.4%
1.2%
Positive
15%
Unemployment\u00b3
3.7%
3.6%
3.5%
3.6%
763
House price index 4
4.5%
2.0%
1.5%
2.5%
Real GDP Netherlands\u00b2
0.6%
1.1%
1.3%
1.2%
Baseline
60%
Unemployment\u00b3
4.1%
4.0%
4.0%
4.1%
822
855
House price index 4
2.5%
0.5%
1.5%
2.0%
Real GDP Netherlands\u00b2
-1.0%
1.0%
1.6%
1.4%
Negative
25%
Unemployment\u00b3
6.1%
5.6%
5.3%
5.1%
990
House price index 4
-7.5%
-5.0%
1.3%
2.1%
1. The variables presented in this table are a selection of the key macroeconomic variables.
2. Real GDP Netherlands, % change year-on-year.
3. Unemployment Netherlands, % of labour force.
4. House price index Netherlands - average % change year-on-year.
5. Weighted and unweighted ECL are including all collective impairments.
Credit risk mitigation\u00a0\u00a0
Audited
Collateral reporting is based on the net collateral value
(NCV). The NCV represents the amount expected to be
recovered from the collateral pledged to the bank if
the\u00a0client defaults. Where necessary, certain discounts
are applied. The NCV is approached by an average
recovery rate observed for the specific type of collateral
and, where applicable, by applying haircuts, for
example in the event of currency mismatches. Surplus
collateral is the amount of over-collateralisation,
calculated on an individual basis. A surplus is not
included for guarantees, as the debtor cannot be held
liable for more than the maximum debt.
Financial assets: offsetting, netting, collateral and guarantees\u00a0\u00a0
Audited
31 December 2024
Offset in the statement of financial
position
Not offset in the statement of financial position
Net
exposure5
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet
netting with
gross
liabilities
Carrying
amount\u00b2
Master
netting
agree-
ment\u00b3
Financial
instru-
ments
collateral
Property
& equip-
ment
Other
collateral
and guar-
antees
Total risk
mitigation
- of which
surplus
collateral 4
Financial assets
held for trading
2,503
2,503
2,503
Derivatives
4,347
4,347
3,176
639
3,815
103
635
Financial investments
47,173
47,173
47,173
Securities financing
32,192
5,203
26,989
847
32,348
33,195
6,452
246
Interest-bearing deposits
1,169
1,169
16
16
1,153
Loans and advances
707
707
527
728
1,255
721
173
Other
174
174
174
Total loans and advances
banks
2,049
2,049
543
728
1,271
721
1,500
Residential mortgages
156,076
156,076
2,695
325,975
372
329,041
176,542
3,577
Consumer loans
7,446
1
7,445
2,866
3,958
48
6,873
2,928
3,501
Corporate loans
83,433
705
82,727
1,759
30,917
54,489
3,303
90,468
37,508
29,767
Other loans and advances
customers
6,491
4
6,487
49
31
80
10
6,417
Fair value adjustment from
hedge accounting
-4,584
-4,584
-4,584
Total loans and advances
customers\u00b9
248,863
711
248,152
1,808
36,478
384,453
3,723
426,463
216,988
38,677
Loans at fair value through P&L
630
630
1,715
1,715
1,252
167
Total loans and advances
customers
249,493
711
248,782
1,808
36,478
386,168
3,723
428,178
218,239
38,843
Other assets
4,652
4,652
7
584
1,163
1,754
584
3,482
Total\u00a0on-balance sheet
subject to netting and
pledged agreements
342,409
5,914
336,496
6,380
70,777
386,168
4,887
468,212
226,099
94,383
Assets not subject to netting
and pledged agreements
48,551
48,551
48,551
Total assets
390,960
5,914
385,047
6,380
70,777
386,168
4,887
468,212
226,099
142,934
Total\u00a0off-balance sheet
97,348
97,348
1,952
11,547
845
14,344
5,478
88,482
Total on- and off-balance
sheet
488,308
5,914
482,394
6,380
72,729
397,715
5,732
482,556
231,577
231,415
1. Excluding loans at fair value through P&L.
2. Carrying amount includes loan impairment allowances where applicable.
3. Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these
agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.
4. Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.
5. Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.
31 December 2023
Offset in the statement of financial
position
Not offset in the statement of financial position
Net
exposure5
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet
netting with
gross
liabilities
Carrying
amount\u00b2
Master
netting
agree-
ment\u00b3
Financial
instru-
ments
collateral
Property
& equip-
ment
Other
collateral
and guar-
antees
Total risk
mitigation
- of which
surplus
collateral 4
Financial assets
held for trading
1,371
1,371
1,371
Derivatives
4,403
4,403
3,151
3,151
1,252
Financial investments
41,501
41,501
41,501
Securities financing
29,876
8,374
21,503
1,130
29,213
30,343
9,279
438
Interest-bearing deposits
1,729
328
1,401
39
39
1,362
Loans and advances
729
729
490
489
980
487
236
Other
194
194
194
Total loans and advances
banks
2,651
328
2,324
529
489
1,019
487
1,792
Residential mortgages
150,880
150,880
2,567
271,233
613
274,413
128,748
5,216
Consumer loans
8,233
8,233
3,444
4,501
55
8,000
2,874
3,107
Corporate loans
86,413
883
85,530
1,812
36,311
52,909
3,717
94,749
39,523
30,304
Other loans and advances
customers
6,494
6,494
203
36
5
244
15
6,264
Fair value adjustment from
hedge accounting
-5,909
-5,909
-5,909
Total loans and advances
customers\u00b9
246,111
883
245,228
2,015
42,322
328,679
4,390
377,406
171,159
38,981
Loans at fair value through P&L
707
707
1,385
1,385
988
309
Total loans and advances
customers
246,818
883
245,935
2,015
42,322
330,064
4,390
378,791
172,147
39,290
Other assets
4,295
4,295
17
460
1,121
1,597
460
3,158
Total\u00a0on-balance sheet
subject to netting and
pledged agreements
330,916
9,584
321,331
6,843
72,484
330,064
5,510
414,901
182,373
88,803
Assets not subject to netting
and pledged agreements
56,578
56,578
56,578
Total assets
387,493
9,584
377,909
6,843
72,484
330,064
5,510
414,901
182,373
145,381
Total\u00a0off-balance sheet
91,967
91,967
2,640
10,739
807
14,186
4,963
82,745
Total on- and off-balance
sheet
479,461
9,584
469,876
6,843
75,124
340,803
6,317
429,087
187,336
228,126
1. Excluding loans at fair value through P&L.
2. Carrying amount includes loan impairment allowances where applicable.
3. Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these
agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.
4. Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.
5. Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.
Total risk mitigation increased mainly due to an increase
in property and equipment for residential mortgages,
mainly due to rising house prices. As a result, surplus
collateral increased as well. For consumer loans, total
risk mitigation declined, mainly due to the declining
carrying amount. Financial instruments collateral
decreased, resulting in lower total risk mitigation for
corporate loans. This decline was partly the result of
a\u00a0decline in exposure, and for the other part it mostly
effected surplus collateral. The net exposure therefore
remained relatively stable. The decline in surplus
exposure occurred mostly with, and was due to,
changing client positions. The total net exposure
of\u00a0loans and advances to customers decreased slightly
to EUR 38.8 billion in 2024 (31 December 2023:
EUR\u00a039.3 billion), mainly as a result of the decreasing
net exposure on residential mortgages due to rising
collateral values, partly offset by an increase in net
exposure on fair value adjustment from hedge
accounting due to declining interest rates.
Financial assets: offsetting, netting, collateral
and guarantees for credit-impaired
assets\u00a0\u00a0
Audited
Collateral and guarantees for credit-impaired assets
(stage 3 and POCI) represent credit risk mitigation
based on the net collateral value (NCV) for clients
in\u00a0default. The carrying amount includes expected
credit loss allowances, based on
the\u00a0probability\u2011weighted 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\u2011programme 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 taking into account
collateral pledged to the bank.
31 December 2024
Offset in the statement
of financial position
Not offset in the statement
of financial position
Net
exposure4
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet
netting
with gross
liabilities
Carrying
amount\u00b9
Master
netting
agree-
ment\u00b2
Financial
instru-
ments
collateral
Property
& equip-
ment
Other
collateral
and gua-
rantees
Total risk
mitigation
- of which
surplus
collateral\u00b3
Loans and advances banks
Residential mortgages
1,863
1,863
13
3,333
1
3,348
1,483
-1
Consumer loans
120
120
18
62
80
27
66
Corporate loans
2,299
2,299
774
1,768
230
2,773
825
351
Other loans and advances
customers
5
5
5
Total\u00a0loans and advances
\u00a0customers
4,287
4,287
805
5,163
232
6,201
2,335
421
Total loans and advances
4,287
4,287
805
5,163
232
6,201
2,335
421
1. 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.
31 December 2023
Offset in the statement
of financial position
Not offset in the statement
of financial position
Net
exposure4
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet
netting
with gross
liabilities
Carrying
amount\u00b9
Master
netting
agree-
ment\u00b2
Financial
instru-
ments
collateral
Property
& equip-
ment
Other
collateral
and gua-
rantees
Total risk
mitigation
- of which
surplus
collateral\u00b3
Loans and advances banks
Residential mortgages
1,167
1,167
11
2,015
2
2,028
862
1
Consumer loans
137
137
11
67
4
82
23
78
Corporate loans
2,319
2,319
762
1,674
156
2,592
711
438
Other loans and advances
customers
6
6
5
5
1
Total\u00a0loans and advances
\u00a0customers
3,629
3,629
784
3,756
167
4,707
1,596
518
Total loans and advances
3,629
3,629
784
3,756
167
4,707
1,596
518
1. 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 increase in the stage 3 carrying amount
(including POCI) to EUR 4.3 billion (31 December 2023:\u00a0
EUR 3.6 billion), total risk mitigation increased
to\u00a0EUR\u00a06.2 billion in 2024 (31 December 2023:
EUR\u00a04.7\u00a0billion). This increase was mainly observed in
residential mortgages and, to a lesser extent, corporate
loans. The increase in residential mortgages collateral
was caused by an increase in residential real estate
values. The carrying amount of the stage 3 portfolio
(including POCI) increased, but the total risk mitigation
increased more, so net exposure decreased by
EUR\u00a097\u00a0million to EUR 421 million at
31\u00a0December\u00a02024.
During 2024, ABN AMRO obtained property and
equipment by taking possession of collateral held as
security for loans and advances. The total amount
of\u00a0such assets held on 31 December 2024 amounted
to\u00a0EUR 4 million (2023: EUR 4 million). ABN AMRO does
not intend to use these assets in its operations and will
pursue timely and orderly realisation of the collateral.
Financial liabilities: offsetting, netting, collateral and guarantees\u00a0\u00a0
Audited
31 December 2024
Offset in the statement
of financial position
Not offset in the statement
of financial position
Net
exposure\u00b3
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet netting
with gross
assets
Carrying
amount
Master
netting
agree-
ment\u00b9
Financial
instru-
ments
collateral
Total risk
mitigation
- of which
surplus
collateral\u00b2
Financial liabilities held for trading
1,163
1,163
1,163
Derivatives
2,499
2,499
1,590
207
1,797
27
729
Securities financing
15,555
5,203
10,352
846
15,792
16,638
6,305
19
Deposits
2,329
2,329
658
658
1,671
Due to banks
2,329
2,329
658
658
1,672
Deposits
254,998
710
254,288
1,589
1,589
252,699
Other borrowings
1,899
1,899
1,698
1,698
200
Due to customers
256,896
710
256,186
3,287
3,287
252,900
Other liabilities
4,247
1
4,247
4,247
Total\u00a0liabilities subject to netting
arrangements
282,689
5,914
276,776
6,380
15,999
22,379
6,332
260,728
Remaining liabilities not subject to netting
82,163
82,163
82,163
Total liabilities
364,852
5,914
358,939
6,380
15,999
22,379
6,332
342,892
1. Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these
agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.
2. Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.
3. Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.
31 December 2023
Offset in the statement
of financial position
Not offset in the statement
of financial position
Net
exposure4
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less: balance-
sheet netting
with gross
assets
Carrying
amount
Master
netting
agree-
ment\u00b2
Financial
instru-
ments
collateral
Total risk
mitigation
- of which
surplus
collateral\u00b3
Financial liabilities held for trading
917
917
917
Derivatives
2,856
2,856
1,994
1,994
861
Securities financing\u00b9
20,084
8,373
11,710
1,130
19,566
20,696
9,313
327
Deposits
5,351
5,351
544
544
4,807
Due to banks
5,352
5,352
544
544
4,808
Deposits
253,831
1,211
252,620
1,424
1,424
251,196
Other borrowings
1,846
1,846
1,750
1,750
96
Due to customers
255,677
1,211
254,466
3,174
3,174
251,292
Other liabilities
5,741
5,741
2
5,743
Total\u00a0liabilities subject to netting
arrangements
290,626
9,584
281,041
6,843
19,566
26,409
9,316
263,948
Remaining liabilities not subject to netting
72,700
72,700
72,700
Total liabilities
363,326
9,584
353,741
6,843
19,566
26,409
9,316
336,648
1. ABN AMRO has performed a detailed review on its classification of items in securities financing line. This resulted in an improvement of the identification of non-cash
collateral. For 2023, this resulted in the balance of financial instruments collateral, which is not offset in the statement of financial position, to increase by EUR 9.5 billion to
EUR 19.6 billion. It was adjusted for comparative purposes.
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.
Gross carrying amount \u2013 residential mortgages\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Balance at 1 January
138,671
11,115
1,292
151,078
140,450
9,169
1,143
150,762
Transfer to stage 1
5,562
-5,523
-39
2,927
-2,922
-5
Transfer to stage 2
-11,651
11,966
-316
-6,111
6,435
-324
Transfer to stage 3
-795
-452
1,247
-306
-383
689
Additional drawdowns and partial repayments
-11,615
23
2
-11,591
-10,497
-904
-7
-11,408
Originated or purchased
18,978
18,978
13,824
13,824
Matured or repaid
-1,055
-931
-261
-2,247
-1,605
-280
-202
-2,088
Write-offs
-2
-2
-1
-1
Foreign exchange
1
Other movements
77
-80
-4
-7
-11
-11
Balance at 31 December
138,172
16,118
1,919
156,209
138,671
11,115
1,292
151,078
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Gross carrying amount \u2013 consumer loans\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Closing balance of the previous year
7,658
467
255
8,380
9,121
749
363
10,232
Impact adopting IFRS 17
-1,061
-103
-83
-1,247
Balance at 1 January
7,658
467
255
8,380
8,060
646
279
8,985
Transfer to stage 1
145
-136
-10
298
-285
-13
Transfer to stage 2
-237
265
-28
-259
274
-15
Transfer to stage 3
-43
-22
65
-52
-34
86
Additional drawdowns and partial repayments
-512
56
-3
-460
-452
9
19
-424
Originated or purchased
1,237
1,237
1,433
1,433
Matured or repaid
-1,383
-143
-26
-1,552
-1,430
-144
-42
-1,617
Write-offs
-31
-31
-58
-58
Foreign exchange
1
1
1
Other movements
60
60
Balance at 31 December
6,866
487
222
7,575
7,658
467
255
8,380
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Gross carrying amount \u2013 corporate loans\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Balance at 1 January
73,324
10,308
3,152
86,784
69,103
13,963
3,666
86,731
Transfer to stage 1
2,983
-2,973
-10
5,317
-5,210
-107
Transfer to stage 2
-3,469
3,789
-320
-4,764
5,420
-657
Transfer to stage 3
-630
-713
1,343
-773
-695
1,467
Additional drawdowns and partial repayments
-4,054
1,175
-139
-3,019
302
1,098
-19
1,381
Originated or purchased
22,541
22,541
21,897
21,897
Matured or repaid
-17,785
-3,082
-589
-21,456
-17,389
-4,170
-954
-22,513
Write-offs
-317
-317
-274
-274
Foreign exchange
854
50
21
925
-350
-92
-18
-461
Other movements
-1,536
-64
-30
-1,630
-19
-7
48
22
Balance at 31 December
72,227
8,490
3,110
83,827
73,324
10,308
3,152
86,784
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Gross carrying amount \u2013 off-balance\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b9
Total\u00b9
Stage 1
Stage 2
Stage 3\u00b9
Total\u00b9
Balance at 1 January
52,141
3,507
965
56,613
50,187
6,209
700
57,095
Transfer to stage 1
1,123
-1,120
-3
2,543
-2,505
-38
Transfer to stage 2
-1,171
1,260
-89
-1,564
1,632
-68
Transfer to stage 3
-160
-113
273
-139
-90
230
Additional drawdowns and partial repayments
-12,098
-246
-538
-12,882
-8,615
-1,421
165
-9,872
Originated or purchased
11,397
11,397
10,341
10,341
Matured or repaid
-384
-4
-388
-519
-302
-22
-844
Foreign exchange
487
6
23
516
-91
-15
-2
-108
Other movements
79
79
Balance at 31 December
51,414
3,293
627
55,334
52,141
3,507
965
56,613
1. Including POCI.
Additional information on impairment charges
Loan impairment charges and allowances \u2013 residential mortgages\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Balance at 1 January
24
49
125
198
21
57
75
153
Transfer to stage 1
19
-20
-3
-4
14
-18
-1
-4
Transfer to stage 2
-2
37
-29
6
-2
28
-19
7
Transfer to stage 3
-1
-5
21
16
-1
-5
30
24
Remeasurements\u00b9
-8
-17
-48
-73
-13
-6
54
35
Changes in risk parameters
1
1
-1
1
4
-1
3
Originated or purchased
4
4
4
4
Matured or repaid
-2
-3
-9
-14
-1
-6
-10
-17
Impairment charges (releases) on loans
and advances
12
-7
-69
-64
4
-7
54
51
Write-offs
-2
-2
-1
-1
Unwind discount / unearned interest accrued
1
1
2
2
Foreign exchange and other movements
1
-1
-2
-4
-7
Balance at 31 December
36
42
55
133
24
49
125
198
Impairment charges (releases) on loans and
advances
12
-7
-69
-64
4
-7
54
51
Recoveries and other charges (releases)
-11
-11
-14
-14
Total impairment charges for the period
12
-7
-80
-75
4
-7
39
37
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 consumer loans\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Closing balance of the previous year
18
11
118
147
30
36
211
277
Impact adopting IFRS 17
-6
-19
-75
-100
Balance at 1 January
18
11
118
147
25
16
136
177
Transfer to stage 1
4
-3
-4
-4
7
-7
-4
-5
Transfer to stage 2
-1
8
-6
-3
8
-6
-1
Transfer to stage 3
-2
31
29
-3
-2
35
30
Remeasurements\u00b9
-9
1
-6
-15
-11
-4
-15
Changes in risk parameters
-1
3
3
6
6
Originated or purchased
3
3
3
3
Matured or repaid
-1
-5
-6
-2
-1
-6
-8
Impairment charges (releases) on loans
and advances
-5
4
12
11
-9
-6
26
10
Write-offs
-31
-31
-58
-58
Unwind discount / unearned interest accrued
3
3
3
3
Foreign exchange and other movements
-1
2
1
11
15
Balance at 31 December
12
15
102
130
18
11
118
147
Impairment charges (releases) on loans and
advances
-5
4
12
11
-9
-6
26
10
Recoveries and other charges (releases)
-25
-25
-29
-29
Total impairment charges for the period
-5
4
-12
-13
-9
-6
-4
-19
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 corporate loans\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Balance at 1 January
192
228
833
1,254
256
301
1,033
1,590
Transfer to stage 1
39
-47
-1
-10
88
-103
-5
-20
Transfer to stage 2
-29
59
-8
23
-36
55
-33
-14
Transfer to stage 3
-5
-23
164
137
-10
-51
194
133
Remeasurements\u00b9
-89
-29
102
-16
-96
54
-71
-112
Changes in risk parameters
-6
-5
-11
-34
-1
-35
Originated or purchased
33
33
32
32
Matured or repaid
-15
-20
-25
-60
-9
-9
-37
-54
Impairment charges (releases) on loans
and advances
-72
-64
232
96
-65
-55
49
-71
Write-offs
-317
-317
-274
-274
Unwind discount / unearned interest accrued
22
22
29
29
Foreign exchange and other movements
-2
6
40
45
1
-17
-3
-20
Balance at 31 December
119
170
811
1,100
192
228
833
1,254
Impairment charges (releases) on loans and
advances
-72
-64
232
96
-65
-55
49
-71
Recoveries and other charges (releases)
-48
-48
-67
-67
Total impairment charges for the period
-72
-64
184
48
-65
-55
-19
-139
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 off-balance\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b3
Total\u00b3
Stage 1
Stage 2
Stage 3\u00b3
Total\u00b3
Balance at 1 January
16
12
81
109
25
16
10
51
Transfer to stage 1
2
-2
4
-5
-1
Transfer to stage 2
-2
4
2
-4
5
2
Transfer to stage 3
17
17
Remeasurements\u00b9
-10
-1
33
22
-7
-1
55
47
Changes in risk parameters
-4
-4
Originated or purchased
5
5
8
8
Matured or repaid
-4
-2
-7
-7
-2
-9
Impairment charges (releases)
-10
-1
33
22
-10
-3
72
60
Foreign exchange and other movements
1
-1
-34
-34
1
-1
-1
-1
Balance at 31 December
6
10
80
96
16
12
81
109
Impairment charges (releases) on off-balance
-10
-1
33
22
-10
-3
72
60
Other charges (releases)\u00b2
-90
-90
Total impairment charges for the period
-10
-1
33
22
-10
-3
-18
-30
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. In 2023, 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\u00a0 credit\u00a0 quality\u00a0\u00a0
Audited
31 December 2024
(in millions)
Total
forborne
assets
Forborne assets
not past due and
not stage 3
or POCI
Forborne assets
past due, but
not stage 3
or POCI
Impaired
forborne
assets
Specific
allowance
Collective
allowance
Total
allowance
Loans and advances banks
Residential mortgages
1,045
525
106
413
23
23
Consumer loans\u00b9
114
54
14
45
6
15
21
Corporate loans\u00b9
3,932
2,107
100
1,725
342
96
438
Other loans and advances customers\u00b9
1
1
Total\u00a0loans and advances\u00a0customers\u00b9
5,092
2,687
220
2,186
349
134
483
Total loans and advances\u00b9
5,092
2,687
220
2,186
349
134
483
Loans at FV through P&L
8
8
Total loans and advances
5,100
2,694
220
2,186
349
134
483
1. Excluding loans at fair value through P&L.
31 December 2023
(in millions)
Total
forborne
assets
Forborne assets
not past due and
not stage 3
or POCI
Forborne assets
past due, but
not stage 3
or POCI
Impaired
forborne
assets
Specific
allowance
Collective
allowance
Total
allowance
Loans and advances banks
Residential mortgages
1,048
639
8
400
47
47
Consumer loans\u00b9
103
32
16
56
5
14
20
Corporate loans\u00b9
4,367
2,471
12
1,884
404
95
499
Other loans and advances customers\u00b9
2
2
1
1
Total\u00a0loans and advances\u00a0customers\u00b9
5,519
3,142
35
2,342
410
156
566
Total loans and advances\u00b9
5,519
3,142
35
2,342
410
156
566
Loans at FV through P&L
16
15
Total loans and advances
5,535
3,157
36
2,342
410
156
566
1. Excluding loans at fair value through P&L.
Forborne\u00a0 assets\u00a0 by\u00a0 geography\u00a0\u00a0
Audited
31 December 2024
(in millions)
The
Netherlands
Rest of
Europe
USA
Asia
Rest of
the world
Total
Loans and advances banks
Residential mortgages
1,020
24
1,045
Consumer loans\u00b9
82
33
114
Corporate loans\u00b9
2,969
846
42
76
3,932
Other loans and advances customers\u00b9
1
1
Total\u00a0loans and advances\u00a0customers\u00b9
4,070
902
42
78
5,092
Total loans and advances\u00b9
4,070
902
42
78
5,092
Loans at FV through P&L
8
8
Total loans and advances
4,079
902
42
78
5,100
1. Excluding loans at fair value through P&L.
31 December 2023
(in millions)
The
Netherlands
Rest of
Europe
USA
Asia
Rest of
the world
Total
Loans and advances banks
Residential mortgages
1,046
1
1,048
Consumer loans\u00b9
82
21
103
Corporate loans\u00b9
3,400
784
99
2
82
4,367
Other loans and advances customers\u00b9
2
2
Total\u00a0loans and advances\u00a0customers\u00b9
4,528
807
99
2
83
5,519
Total loans and advances\u00b9
4,528
807
99
2
83
5,519
Loans at FV through P&L
16
16
Total loans and advances
4,544
807
99
2
83
5,535
1. Excluding loans at fair value through P&L.
Forborne\u00a0 assets\u00a0 by\u00a0 business\u00a0 segment\u00a0\u00a0
Audited
(in millions)
31 December 2024
31 December 2023
Personal & Business Banking
1,924
1,984
Wealth Management
295
272
Corporate Banking
2,881
3,278
Total forborne assets
5,100
5,535
", "dimensions": { "concept": "ifrs-full:DisclosureOfCreditRiskExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-15": { "value": "
Accounting policy for measuring allowances
for expected credit losses (ECL)
Audited
The IFRS 9 impairment requirements are applicable
to financial assets measured at amortised cost or fair
value through other comprehensive income (FVOCI),
loan commitments, lease receivables and contract
assets and financial guarantee contracts. At each
reporting date, these financial instruments are
classified into one of three risk stages, depending on
current credit quality, or as purchased or originated
credit impaired (POCI).
POCI assets, which are credit impaired at initial
recognition, are accounted for at fair value
(i.e.\u00a0net\u00a0of\u00a0the initial lifetime ECLs) and do not carry
an\u00a0impairment allowance. Instead, a credit-adjusted
effective interest rate (EIR), which is calculated using
expected cash flows including initial lifetime ECLs,
is\u00a0applied to the amortised cost. Subsequently,
the\u00a0cumulative changes in lifetime ECLs since initial
recognition, which are discounted at
the\u00a0credit\u2011adjusted effective interest rate, are
recognised in the profit or loss statement as
an\u00a0impairment gain or loss, and presented under
impairment charges on financial instruments.
Once\u00a0a\u00a0financial 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 quality\u00a0
Audited
Change in credit quality since initial recognition
Stage 1
Stage 2
Stage 3
Performing
(Initial recognition)
Credit quality deteriorated
(Assets with significant increase in
credit risk since initial recognition)
Default = Impaired
(Credit impaired assets)
Recognition of ECL
12 month ECL
Lifetime ECL
Lifetime ECL
Interest income
Effective interest on
gross carrying amount
Effective interest on
gross carrying amount
Effective interest on amortised
cost (gross carrying amount less
loss allowance)
Classification in stage 2
We use quantitative and qualitative stage triggers
to\u00a0determine whether a financial instrument should be
classified as stage 1 or stage 2.
Quantitative stage triggers
The key quantitative metric that determines when
a\u00a0financial instrument is transferred from stage 1
to\u00a0stage 2 is the deterioration in the lifetime
probability of default (LPD) from the date
of\u00a0origination to the reporting date, based on internal
data. The LPD represents the likelihood that
a\u00a0counterparty will default during the lifetime
of\u00a0the\u00a0financial 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\u00a0relative difference between the remaining lifetime
PD at reporting (LPDR) and the remaining lifetime PD at
origination (LPDO) as LPDD = LPDR/LPDO. If the\u00a0LPD
deterioration of an exposure is above a\u00a0predefined
threshold, the LPD is considered to be significantly
deteriorated. The exposure is then transferred to stage\u00a02
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\u00a01.
When determining the\u00a0thresholds, 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\u00a0December 2024. The table
provides ranges because each product class uses
multiple ECL models, and thresholds are determined for
each ECL model.
Range of lifetime PD deterioration
thresholds\u00a0\u00a0
Audited
Product class
Range
Consumer lending
1.8x-5.2x
Residential mortgages
1.5x-2.1x
Corporate loans
1.3x-5.8x
Qualitative stage triggers
The bank transfers a financial instrument from stage 1
to stage 2 if the instrument meets any of the following
qualitative triggers:
\u2022 forborne status of a borrower
\u2022 watch status of a borrower. ABN AMRO assigns
the\u00a0watch status to counterparties with an increased
credit risk. This process comprises intensive
monitoring, early detection of deterioration
in\u00a0the\u00a0credit portfolio and appropriate follow-up
measures
\u2022 a delinquency-based regulatory backstop is
in\u00a0place, such that the credit risk of financial assets
that are more than 30 days past due will be
assumed to have significantly increased
Reclassification to stage 1
As a general rule, favourable changes in credit risk
are recognised consistently with unfavourable
changes, and a financial instrument is transferred
back to stage 1 if quantitative or qualitative triggers
are no longer met. In some cases, a probation period
applies:
\u2022 Forborne financial instruments are transferred
back from stage 2 to stage 1 only after
a\u00a0probation 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 3
A transfer to stage 3 will always be the result of
the\u00a0default of a financial instrument. The definition
of default for IFRS 9 is aligned with the regulatory
capital definition. 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\u00a0the\u00a0bank or
\u2022 the bank considers the borrower to be unlikely
to\u00a0meet its contractual obligations (unlikely
to\u00a0pay, or UTP)
The materiality of a financial obligation past due
is\u00a0assessed against an absolute and a relative
threshold, in line with regulatory standards.
To\u00a0determine unlikeliness to pay, the bank has
specified 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\u00a0UTP indications should result in a default
classification).
The mandatory triggers include the reporting of
a\u00a0forborne exposure under probation as
non\u2011performing for being 30 days past due or owing
to an additional forbearance measure being applied.
As a result, the definitions of non-performing and
default are materially aligned.
Reclassification to stage 2
The default classification for non-forborne
exposures ends when the default triggers no longer
apply and a probation or cure period of at least
three months has passed since the default trigger
was last applied. For forborne exposures,
a\u00a0twelve\u2011month 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\u00a0the credit quality is factual and permanent
(including, for example, no remaining past due
amounts).
Asset stages\u00a0\u00a0
Audited
Asset in scope?
YES
Purchased or originated credit impaired (POCI)?
NO
YES
Default trigger hit?
NO
YES
Lifetime PD significantly deteriorated?
NO
YES
Watch list
Forbearance (but not impaired)
NO
YES
Days past due
0-30
>30
Stage 1
Stage 2
Stage 3
Stage POCI
Calculation method
ABN AMRO recognises loss allowances based on
the\u00a0Expected 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\u00a0all expected cash shortfalls over the remaining life
of the financial instrument for both on- and
off\u2011balance 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\u00a02 and 3) for financial instruments that have
similar credit risk characteristics (e.g. residential
mortgages, consumer loans and SME loans); these
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\u00a0quantify the Probability of Loss (PL), Loss Given
Loss (LGL) and Exposure at Loss (EAL) for
the\u00a0purpose of calculating the collective 12-month
ECL and LECL for these financial instruments.
Lifetime expected credit loss
ABN AMRO defines the lifetime of credit as
the\u00a0maximum contractual period during which
the\u00a0bank is exposed to credit risk; we do not apply
a\u00a0longer period, even if that longer period is
consistent\u00a0with business practice. For some contracts,
such as overdraft facilities or credit cards, no end
date\u00a0is specified or amounts can be contractually
withdrawn by the lender at short notice. In these
cases, ABN\u00a0AMRO uses behavioural maturity models
that rely on historical client behaviour to determine
future expected exposures.
Forward-looking information
For expected credit loss calculations, ABN AMRO
uses\u00a0three different scenarios of future economic
developments: a baseline (or most likely) scenario,
a\u00a0negative scenario and a positive scenario. The three
scenarios are incorporated into the expected credit
loss calculation and risk stage determination
in\u00a0a\u00a0probability-weighted manner.
In order to\u00a0incorporate the latest economic outlook,
the\u00a0scenarios and their weights are reviewed
each\u00a0quarter and adjusted if necessary. Details
of\u00a0the\u00a0scenarios and their weights used in\u00a0the\u00a0reporting
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\u00a0assumed 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
them. This external benchmarking exercise is a standard
input to\u00a0the\u00a0Scenario Booklet that is presented to the
bank\u2019s Scenario and Stress Testing Committee for
approval. Group Economics also develops a negative
and a\u00a0positive scenario. These scenarios are designed
to\u00a0give 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 above institutions and other relevant
developments.
Management overlays and other adjustments
Where necessary to reflect credit risk dynamics not
captured by our models, management judgement is
applied via a management overlay or other IFRS\u00a09
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 by the Impairment and
Provision Committee (IPC). The main types
of\u00a0management overlays that ABN AMRO
distinguishes are: post-model adjustments
(adjustments to model outcomes), adjustments
in\u00a0the\u00a0weightings 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\u00a0same internal approval process.
Climate and environmental risks in ECL\u00a0
ESRS
In this developing discipline we are working
to\u00a0incorporate CER risk explicitly into ECL models.
Following our roadmap, 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.
For identifiable events with no or insufficient
provisioning, ECL-related management overlays can
be taken. We have taken two CER related overlays:
one for the potential impact the Dutch government\u2019s
nitrogen reducing measures will have on our clients
which is related to environmental transition risk
(EUR\u00a029 million), and another for climate transition
risk (EUR 19 million). Given the combination
of\u00a0macroeconomic scenarios and these management
overlays, we consider the bank adequately
provisioned for climate and environmental risks. For
more details on these overlays, please see Individual
and collective loan impairment allowances and
management overlays in the Credit risk review
section.
Cured financial assets
When a credit impaired financial asset cures,
the\u00a0interest 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
Under IFRS 9, \u2018write-off\u2019 refers to the process
of\u00a0recognising that a financial asset, or a portion of it,
is uncollectible and should be removed from
an\u00a0entity\u2019s balance sheet. This typically happens
when there is no reasonable expectation
of\u00a0recovering the asset, indicating that the entity has
exhausted all practical recovery efforts.
\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\u00a0default.
Such loans are written off after all the necessary
procedures have been completed and the amount
of\u00a0the loss has been determined. Subsequent
recoveries of amounts previously written off are
credited to impairment charges on financial
instruments in the income statement.
Industry concentration\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross carrying
amount 4, 5
Percentage
of total
Gross carrying
amount 4, 5
Percentage
of total
Loans and advances banks
2,053
0.8%
2,327
0.9%
Agriculture, forestry and fishing
6,659
2.6%
6,928
2.7%
Mining and quarrying
1,576
0.6%
1,729
0.7%
Manufacturing
6,565
2.6%
6,699
2.6%
Electricity, gas, steam and air conditioning supply
2,241
0.9%
2,107
0.8%
Water supply; sewerage, waste management and remediation
activities
664
0.3%
702
0.3%
Construction
2,952
1.2%
3,623
1.4%
Wholesale and retail trade; repair of motor vehicles and
motorcycles
7,975
3.1%
8,778
3.4%
Transport and storage
8,749
3.4%
8,833
3.5%
Real estate activities
11,052
4.3%
11,067
4.3%
Accommodation and food service activities
1,733
0.7%
1,834
0.7%
Information and communication
4,851
1.9%
5,324
2.1%
Financial and insurance activities\u00b9
17,890
7.0%
18,683
7.3%
Professional, scientific & technical activities
2,024
0.8%
1,999
0.8%
Administrative & support service activities
5,358
2.1%
4,804
1.9%
Human health services & social work activities
2,630
1.0%
2,788
1.1%
Other sectors\u00b2
909
0.4%
886
0.3%
Total corporate loans
83,827
32.7%
86,784
34.0%
Private individuals (residential mortgages and consumer loans)
163,783
63.9%
159,458
62.5%
Other loans\u00b3
6,489
2.5%
6,497
2.5%
Total non-industry classification
170,273
66.5%
165,955
65.1%
Total loans and advances customers
254,100
99.2%
252,739
99.1%
Total loans and advances
256,153
100%
255,066
100%
1. Financial and insurance activities include asset managers, credit card companies and providers of personal financial services and securities and brokers.
2. Other include loans to Public administration & defence, compulsory social security, Education, Arts, entertainment & recreation, Activities of households as employers,
Activities of extraterritorial organisations & bodies and Other services.
3. Other loans include loans to Government and official institutions and default fund contributions for our clearing clients.
4. Excluding loans at fair value through P&L.
5. Excluding fair value adjustments from hedge accounting.
In comparison with 2023, total corporate loans declined
by EUR 3.0 billion, reducing the share of corporate
loans in total loans and advances to customers
to\u00a032.7% (2023: 34.0%). Portfolio composition by
industry remained stable: the top five industries in terms
of exposures were in the financial sector, followed by
real estate, transport and storage, wholesale and retail
trade and agriculture, which was the same as in 2023.
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. In
the\u00a0exposure table, non-material industry clusters are
aggregated under Other. Industry concentration limits
are established within the bank\u2019s risk appetite, with
the\u00a0thresholds for concentrations being based on
relative risk, the importance of the industry to the Dutch
economy and expert opinion.
Total loans and advances customers\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross
carrying
amount\u00b3
Fair value
adjustment
from
hedge
accounting
Less: loan
impairment
allowance
Less:
amortisation
and
depreciation
Carrying
amount
Gross
carrying
amount\u00b3
Fair value
adjustment
from
hedge
accounting
Less: loan
impairment
allowance
Less:
amortisation
and
depreciation
Carrying
amount
Loans and advances
banks
2,053
4
2,049
2,327
3
2,324
Residential mortgages
156,209
-4,686
133
151,390
151,078
-6,005
198
144,875
Consumer loans\u00b9
7,575
130
7,445
8,380
147
8,233
Corporate loans\u00b9
83,827
102
1,100
82,829
86,784
96
1,254
85,626
Other loans and advances
customers\u00b9
6,489
2
6,487
6,497
3
6,494
Total loans and
advances customers\u00b9
254,100
-4,584
1,364
248,152
252,739
-5,909
1,602
245,228
Total loans and
advances\u00b9
256,153
-4,584
1,368
250,201
255,066
-5,909
1,605
247,551
Other
138,184
-981
133
2,224
134,845
134,409
-1,640
187
2,224
130,358
Total assets
394,336
-5,565
1,501
2,224
385,047
389,474
-7,549
1,792
2,224
377,909
Loans and advances
customers\u00b9
254,100
-4,584
1,364
248,152
252,739
-5,909
1,602
245,228
Consumer loans at
fair value through P&L\u00b2
600
600
648
648
Corporate loans at
fair value through P&L
30
30
59
59
Total loans and
advances customers
254,730
-4,584
1,364
248,782
253,446
-5,909
1,602
245,935
1. 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 resulted
from interest rate swaps made to protect against
changes in the fair value of fixed-rate assets due
to\u00a0changes in market interest rates. The fair value
adjustment for mortgages decreased as a result
of\u00a0lower market interest rates.
Overview of forborne assets\u00a0\u00a0
Audited
31 December 2024
Gross
carrying
amount\u00b2
Performing assets
Total per-
forming
forborne
assets
Non-performing assets
Total
non-per-
forming
forborne
assets
Total
forborne
assets
For-
bear-
ance
ratio
(in millions)
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Loans and advances banks
2,053
0.0%
Residential mortgages
156,209
513
10
523
508
14
521
1,045
0.7%
Consumer loans\u00b9
7,575
20
45
3
68
9
25
12
46
114
1.5%
Corporate loans\u00b9
83,827
660
1,336
210
2,207
175
1,387
163
1,725
3,932
4.7%
Other loans and advances
customers\u00b9
6,489
1
1
1
0.0%
Total loans and advances
customers\u00b9
254,100
1,193
1,391
214
2,798
692
1,426
177
2,294
5,092
2.0%
Total loans and advances\u00b9
256,153
1,193
1,391
214
2,798
692
1,426
177
2,294
5,092
2.0%
Loans at FV through P&L
630
1
2
6
1
6
8
1.3%
Total loans and advances
256,783
1,194
1,392
214
2,799
698
1,426
177
2,301
5,100
2.0%
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
31 December 2023
Gross
carrying
amount\u00b2
Performing assets
Total per-
forming
forborne
assets
Non-performing assets
Total
non-per-
forming
forborne
assets
Total
forborne
assets
For-
bear-
ance
ratio
(in millions)
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Loans and advances banks
2,327
0.0%
Residential mortgages
151,078
516
14
531
506
10
1
517
1,048
0.7%
Consumer loans\u00b9
8,380
20
27
47
11
40
6
56
103
1.2%
Corporate loans\u00b9
86,784
564
1,548
370
2,482
294
1,303
288
1,884
4,367
5.0%
Other loans and advances
customers\u00b9
6,497
2
2
2
0.0%
Total loans and advances
customers\u00b9
252,739
1,101
1,589
371
3,060
810
1,352
296
2,459
5,519
2.2%
Total loans and advances\u00b9
255,066
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. Excluding fair value adjustments from hedge accounting.
The forbearance ratio improved to 2.0%
(31\u00a0December\u00a02023: 2.2%), mainly because permanent
forbearance measures relating to some corporate loans
ended. Approximately 37% of the forborne exposures is
now subject to a temporary measure
(31\u00a0December\u00a02023: 35%).
Past due not classified as stage 3\u00a0\u00a0
Audited
31 December 2024
Days past due
(in millions)
Gross
carrying
amount\u00b2
Assets not
classified as
stage 3 or POCI
\u2264\u00a030 days
>\u00a030 days &
\u2264 90 days
> 90 days\u00b3
Total past due,
but not stage 3
or POCI
Past due
ratio
Loans and advances\u00a0banks
2,053
2,053
0.0%
Residential mortgages
156,209
154,290
1,195
26
3
1,224
0.8%
Consumer\u00a0loans\u00b9
7,575
7,353
356
16
20
392
5.2%
Corporate loans\u00b9
83,827
80,717
570
200
2
772
0.9%
Other loans and advances customers\u00b9
6,489
6,483
0.0%
Total\u00a0loans and advances customers\u00b9
254,100
248,842
2,122
242
25
2,389
0.9%
Total\u00a0loans and advances\u00b9
256,153
250,895
2,122
242
25
2,389
0.9%
1. Excluding loans at fair value through P&L.
2. Excluding 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 2023
Days past due
(in millions)
Gross
carrying
amount\u00b2
Assets not
classified as
stage 3 or POCI
\u2264\u00a030 days
>\u00a030 days &
\u2264 90 days
> 90 days\u00b3
Total past due,
but not stage 3
or POCI
Past due
ratio
Loans and advances\u00a0banks
2,327
2,327
0.0%
Residential mortgages
151,078
149,786
1,204
6
2
1,211
0.8%
Consumer\u00a0loans\u00b9
8,380
8,125
90
17
37
143
1.7%
Corporate loans\u00b9
86,784
83,631
359
205
76
640
0.7%
Other loans and advances customers\u00b9
6,497
6,489
4
4
0.1%
Total\u00a0loans and advances customers\u00b9
252,739
248,031
1,657
227
114
1,999
0.8%
Total\u00a0loans and advances\u00b9
255,066
250,358
1,657
227
114
1,999
0.8%
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Materiality thresholds are applied for counterparties transferring to stage 3. Below these thresholds, amounts are reported on > 90 days past due.
Past due exposures
When a counterparty is past due or exceeds its credit
limit, all loans and advances (total gross carrying
amount) in the related credit arrangement are
considered to be past due. The absolute and relative
materiality thresholds used for determining a defaulted
status do not apply for the purposes of classification as
past due. Below these thresholds, arrears of more than
90 days are reported as past due.
Total arrears rose to EUR 2.4 billion or 0.9% of the total
loans and advances compared to 31 December 2023.
Increases were mainly in the short term buckets
(<=30\u00a0days) of consumer and corporate loans.
The\u00a0increase in consumer loans in arrears was triggered
by data quality improvements, and does not reflect
an\u00a0increase in the risk profile.
Coverage and stage ratios\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross
carrying
amount\u00b2
Allowances
for credit
losses\u00b3
Coverage
ratio
Stage
ratio
Gross
carrying
amount\u00b2
Allowances
for credit
losses\u00b3
Coverage
ratio
Stage
ratio
Stage 1
Loans and advances banks
2,016
4
0.2%
98.2%
2,290
3
0.1%
98.4%
Residential mortgages
138,172
36
0.0%
88.5%
138,671
24
0.0%
91.8%
Consumer loans\u00b9
6,866
12
0.2%
90.6%
7,658
18
0.2%
91.4%
Corporate loans\u00b9
72,227
119
0.2%
86.2%
73,324
192
0.3%
84.5%
Other loans and advances customers\u00b9
6,478
0.0%
99.8%
6,475
0.0%
99.7%
Total loans and advances customers\u00b9
223,743
167
0.1%
88.1%
226,128
234
0.1%
89.5%
Stage 2
Loans and advances banks
37
0.0%
1.8%
37
0.0%
1.6%
Residential mortgages
16,118
42
0.3%
10.3%
11,115
49
0.4%
7.4%
Consumer loans\u00b9
487
15
3.1%
6.4%
467
11
2.4%
5.6%
Corporate loans\u00b9
8,490
170
2.0%
10.1%
10,308
228
2.2%
11.9%
Other loans and advances customers\u00b9
5
1.1%
0.1%
14
1
7.9%
0.2%
Total loans and advances customers\u00b9
25,100
226
0.9%
9.9%
21,903
289
1.3%
8.7%
Stage 3 and POCI
Loans and advances banks
Residential mortgages
1,919
55
2.9%
1.2%
1,292
125
9.7%
0.9%
Consumer loans\u00b9
222
102
46.1%
2.9%
255
118
46.3%
3.0%
Corporate loans\u00b9
3,110
811
26.1%
3.7%
3,152
833
26.4%
3.6%
Other loans and advances customers\u00b9
6
2
27.1%
0.1%
8
2
27.1%
0.1%
Total loans and advances customers\u00b9
5,258
971
18.5%
2.1%
4,707
1,079
22.9%
1.9%
Total of stages 1, 2, 3 and POCI
Total loans and advances banks
2,053
4
0.2%
2,327
3
0.1%
Residential mortgages
156,209
133
0.1%
151,078
198
0.1%
Consumer loans\u00b9
7,575
130
1.7%
8,380
147
1.8%
Corporate loans\u00b9
83,827
1,100
1.3%
86,784
1,254
1.4%
Other loans and advances customers\u00b9
6,489
2
0.0%
6,497
3
0.1%
Total loans and advances customers\u00b9
254,100
1,364
0.5%
252,739
1,602
0.6%
Total loans and advances\u00b9
256,153
1,368
0.5%
255,066
1,605
0.6%
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 2024: EUR 1 million; 31 December 2023: EUR 1 million).
Portfolio developments in combination with lower
allowances for credit losses at Corporate Banking
resulted in a decrease in the stage 2 ratio and the stage
2 coverage ratio. Stage 3 ratio increased slightly, while
stage 3 coverage ratio showed a slight decline.
For mortgages, stage 2 and stage 3 ratio in 2024
increased to 10.3% and 1.2% respectively
(31\u00a0December 2023: 7.4% and 0.9%). The stage 2 and
3 coverage ratios 2 and 3 of mortgages decreased
to\u00a00.3% and 2.9% respectively (31 December 2023:
0.4% and 9.7%). IFRS 9 model changes in the third
quarter led to a decrease in the stage 3 coverage ratio.
In the fourth quarter, methodology changes were
implemented to better reflect the credit risk
characteristics of interest-only mortgages and
the\u00a0anticipated impact of a new mortgages model. For
interest-only mortgages, this resulted in a significant
increase from stage 1 to stage 2, and for the anticipated
impact of a new mortgages model to stage 3.
An\u00a0additional impact on the stage 2 and 3 coverage
ratios was a consequence of improvements in the Dutch
housing market outlook.
Purchased or Originated Credit Impaired (POCI)
At 31 December 2024, loans classified as POCI
amounted to EUR 7 million. Due to the immateriality
ofthe amount, this is included in the amount shown for
stage 3 throughout this report.
Exposure and impairment flows
This section provides more details on the exposure and
impairment flows underlying the change in coverage
and stage ratios shown in the previous section.
Total loans and advances\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Closing balance of the previous year
228,418
21,940
4,707
255,066
229,084
23,954
5,175
258,212
Impact adopting IFRS 17
-1,061
-103
-83
-1,247
Balance at 1 January
228,418
21,940
4,707
255,066
228,023
23,851
5,091
256,965
Transfer to stage 1
8,704
-8,644
-59
8,542
-8,417
-125
Transfer to stage 2
-15,361
16,025
-664
-11,135
12,130
-996
Transfer to stage 3
-1,468
-1,186
2,654
-1,131
-1,116
2,247
Additional drawdowns and partial
repayments
-16,518
1,265
-142
-15,394
-11,950
199
-8
-11,759
Originated or purchased
42,922
42,922
37,428
37,428
Matured or repaid
-20,472
-4,170
-876
-25,518
-20,909
-4,609
-1,198
-26,715
Write-offs
-350
-350
-334
-334
Foreign exchange
1,017
50
21
1,088
-484
-92
-18
-594
Other movements
-1,483
-144
-34
-1,660
33
-7
48
74
Balance at 31 December
225,759
25,136
5,258
256,153
228,418
21,940
4,707
255,066
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Total loans and advances increased marginally
compared to 31 December 2023. This was mainly due
to an increase in mortgages, which was mostly offset by
a decrease in corporate and consumer loans.
There was a significant transfer from stage 1 to stage 2
and 3, largely due to the implementation
of\u00a0methodology changes to better reflect the credit risk
characteristics of interest-only mortgages and
the\u00a0anticipated impact of a new mortgage model.
There was a significant decrease in other movements,
which was mainly due to a loan portfolio being
reclassified to assets held for sale.
Exposure flows per product class are presented
in\u00a0the\u00a0section Additional risk, funding & capital
disclosures.
Loan impairment charges and allowances\u00a0\u00a0
Audited
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Balance at 31 December 2023
3
198
147
1,254
3
1,605
109
Transfer to stage 1
-4
-4
-10
-18
Transfer to stage 2
6
23
29
2
Transfer to stage 3
16
29
137
181
Remeasurements\u00b9
-73
-15
-16
-2
-105
22
Changes in risk parameters
1
3
-11
-7
Originated or purchased
4
3
33
1
41
5
Matured or repaid
-14
-6
-60
-79
-7
Impairment charges (releases) on loans
and advances
-64
11
96
-2
41
22
Write-offs
-2
-31
-317
-350
Unwind discount / unearned interest accrued
1
3
22
1
27
Foreign exchange and other movements
-1
45
45
-34
Balance at 31 December 2024
4
133
130
1,100
2
1,368
96
2024
Impairment charges (releases) on loans and
advances
-64
11
96
-2
41
22
Recoveries and other charges (releases)
-11
-25
-48
-83
Total impairment charges for the period\u00b2
-75
-13
48
-2
-42
22
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage.
2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2024: EUR 1 million.
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Balance at 31 December 2022
8
153
277
1,590
5
2,034
51
Impact adopting IFRS 17
-100
-100
Balance at 1 January 2023
8
153
177
1,590
5
1,934
51
Transfer to stage 1
-4
-5
-20
-28
-1
Transfer to stage 2
7
-1
-14
-9
2
Transfer to stage 3
24
30
133
2
188
17
Remeasurements\u00b9
-5
35
-15
-112
-4
-101
47
Changes in risk parameters
3
6
-35
-26
-4
Originated or purchased
4
3
32
39
8
Matured or repaid
-17
-8
-54
-79
-9
Impairment charges (releases) on loans
and advances
-5
51
10
-71
-3
-17
60
Write-offs
-1
-58
-274
-334
Unwind discount / unearned interest accrued
2
3
29
1
34
Foreign exchange and other movements
-7
15
-20
-12
-1
Balance at 31 December 2023
3
198
147
1,254
3
1,605
109
2023
Impairment charges (releases) on loans and
advances
-5
51
10
-71
-3
-17
60
Recoveries and other charges (releases)
-14
-29
-67
-111
-90
Total impairment charges for the period\u00b2
-5
37
-19
-139
-3
-128
-30
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million.
Loan impairment charges and allowances per stage\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Closing balance of the previous year
237
289
1,079
1,605
316
396
1,322
2,034
Impact adopting IFRS 17
-6
-19
-75
-100
Balance at 1 January
237
289
1,079
1,605
310
376
1,247
1,934
Transfer to stage 1
61
-70
-9
-18
109
-128
-10
-28
Transfer to stage 2
-32
104
-43
29
-41
90
-58
-9
Transfer to stage 3
-6
-29
216
181
-15
-59
261
188
Remeasurements\u00b9
-106
-46
46
-105
-125
44
-20
-101
Changes in risk parameters
-5
-4
2
-7
-31
-1
6
-26
Originated or purchased
41
41
39
39
Matured or repaid
-18
-24
-38
-79
-11
-16
-53
-79
Impairment charges (releases) on loans
and advances
-65
-68
174
41
-75
-69
126
-17
Write-offs
-350
-350
-334
-334
Unwind discount / unearned interest accrued
27
27
34
34
Foreign exchange and other movements
-2
6
41
45
2
-18
4
-12
Balance at 31 December
170
226
971
1,368
237
289
1,079
1,605
Impairment charges (releases) on loans
and advances
-65
-68
174
41
-75
-69
126
-17
Recoveries and other charges (releases)
-83
-83
-111
-111
Total impairment charges for the period
-65
-68
91
-42
-75
-69
16
-128
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
A release of EUR 21 million (a EUR 42 million release on
balance and a EUR 22 million charge off balance)
in\u00a0impairments was recorded for 2024 (2023: a release
of EUR 158 million, of which EUR 30 million
off\u2011balance).\u00a0 Impairment releases were primarily
related to\u00a0residential mortgages somewhat offset by
impairment charges in corporate loans.
For residential mortgages, releases of EUR 75 million
were recorded in 2024, compared to charges of
EUR\u00a037\u00a0million in 2023. This was mainly caused by
the\u00a0impact of the updated IFRS 9 model for mortgages,
including updated and enhanced data, which led
to\u00a0lower impairment levels from the third quarter
of\u00a02024. Besides that, the decrease was mostly due
to\u00a0lower loss given default rates driven by increased
collateral values. The decrease in total impairments was
partly offset by an increase in management overlays
of\u00a0EUR 2 million.
For corporate loans, charges of EUR 48 million were
recorded in 2024, primarily due to an increase
in\u00a0individual files, which is also reflected in the
off\u2011balance items. In 2023, there was a release of
EUR\u00a0139 million. In 2024, we recorded an increase
in\u00a0collective impairments (mostly in stage 3) due
to\u00a0the\u00a0anticipated impact of a new model for corporate
portfolios. This decrease in total impairments for
corporate loans was mainly driven by a decrease
in\u00a0management overlays of EUR 121 million, which was
largely due to the decommissioning of the management
overlay for geopolitical and market sensitivity
(geopolitical risk).
20\u00a0 Loans and advances banks
Accounting policy for loans and advances banks and customers
Loans and advances banks, and loans and advances customers, are held in a \u2018hold to collect\u2019 business model.
Loans and advances for which the contractual cash flows are solely payments of principal and interest (SPPI) are
measured at amortised cost, i.e. fair value at initial recognition, adjusted for repayment and amortisation
of\u00a0coupon, 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 section in the Risk, funding &
capital chapter (Accounting policy for measuring allowances for credit losses).
(in millions)
31 December 2024
31 December 2023
Interest-bearing deposits
1,169
1,401
Loans and advances
707
729
Mandatory reserve deposits with central banks
166
181
Other loans and advances banks
12
16
Subtotal
2,053
2,327
Less: loan impairment allowances
4
3
Total loans and advances banks
2,049
2,324
Mandatory reserve deposits are held with local central banks in accordance with statutory requirements. The most
relevant for the bank are the minimum reserve requirements determined by the ECB. The ECB prescribes how
the\u00a0minimum reserve amount should be calculated during pre-defined reserve periods. During such a period,
the\u00a0balances are available for use by ABN AMRO. The bank manages and monitors deposits to ensure that it meets
the\u00a0minimum reserve requirements for the period.
", "dimensions": { "concept": "ifrs-full:DisclosureOfLoansAndAdvancesToBanksExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-14": { "value": "
Accounting policy for measuring allowances
for expected credit losses (ECL)
Audited
The IFRS 9 impairment requirements are applicable
to financial assets measured at amortised cost or fair
value through other comprehensive income (FVOCI),
loan commitments, lease receivables and contract
assets and financial guarantee contracts. At each
reporting date, these financial instruments are
classified into one of three risk stages, depending on
current credit quality, or as purchased or originated
credit impaired (POCI).
POCI assets, which are credit impaired at initial
recognition, are accounted for at fair value
(i.e.\u00a0net\u00a0of\u00a0the initial lifetime ECLs) and do not carry
an\u00a0impairment allowance. Instead, a credit-adjusted
effective interest rate (EIR), which is calculated using
expected cash flows including initial lifetime ECLs,
is\u00a0applied to the amortised cost. Subsequently,
the\u00a0cumulative changes in lifetime ECLs since initial
recognition, which are discounted at
the\u00a0credit\u2011adjusted effective interest rate, are
recognised in the profit or loss statement as
an\u00a0impairment gain or loss, and presented under
impairment charges on financial instruments.
Once\u00a0a\u00a0financial 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 quality\u00a0
Audited
Change in credit quality since initial recognition
Stage 1
Stage 2
Stage 3
Performing
(Initial recognition)
Credit quality deteriorated
(Assets with significant increase in
credit risk since initial recognition)
Default = Impaired
(Credit impaired assets)
Recognition of ECL
12 month ECL
Lifetime ECL
Lifetime ECL
Interest income
Effective interest on
gross carrying amount
Effective interest on
gross carrying amount
Effective interest on amortised
cost (gross carrying amount less
loss allowance)
Classification in stage 2
We use quantitative and qualitative stage triggers
to\u00a0determine whether a financial instrument should be
classified as stage 1 or stage 2.
Quantitative stage triggers
The key quantitative metric that determines when
a\u00a0financial instrument is transferred from stage 1
to\u00a0stage 2 is the deterioration in the lifetime
probability of default (LPD) from the date
of\u00a0origination to the reporting date, based on internal
data. The LPD represents the likelihood that
a\u00a0counterparty will default during the lifetime
of\u00a0the\u00a0financial 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\u00a0relative difference between the remaining lifetime
PD at reporting (LPDR) and the remaining lifetime PD at
origination (LPDO) as LPDD = LPDR/LPDO. If the\u00a0LPD
deterioration of an exposure is above a\u00a0predefined
threshold, the LPD is considered to be significantly
deteriorated. The exposure is then transferred to stage\u00a02
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\u00a01.
When determining the\u00a0thresholds, 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\u00a0December 2024. The table
provides ranges because each product class uses
multiple ECL models, and thresholds are determined for
each ECL model.
Range of lifetime PD deterioration
thresholds\u00a0\u00a0
Audited
Product class
Range
Consumer lending
1.8x-5.2x
Residential mortgages
1.5x-2.1x
Corporate loans
1.3x-5.8x
Qualitative stage triggers
The bank transfers a financial instrument from stage 1
to stage 2 if the instrument meets any of the following
qualitative triggers:
\u2022 forborne status of a borrower
\u2022 watch status of a borrower. ABN AMRO assigns
the\u00a0watch status to counterparties with an increased
credit risk. This process comprises intensive
monitoring, early detection of deterioration
in\u00a0the\u00a0credit portfolio and appropriate follow-up
measures
\u2022 a delinquency-based regulatory backstop is
in\u00a0place, such that the credit risk of financial assets
that are more than 30 days past due will be
assumed to have significantly increased
Reclassification to stage 1
As a general rule, favourable changes in credit risk
are recognised consistently with unfavourable
changes, and a financial instrument is transferred
back to stage 1 if quantitative or qualitative triggers
are no longer met. In some cases, a probation period
applies:
\u2022 Forborne financial instruments are transferred
back from stage 2 to stage 1 only after
a\u00a0probation 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 3
A transfer to stage 3 will always be the result of
the\u00a0default of a financial instrument. The definition
of default for IFRS 9 is aligned with the regulatory
capital definition. 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\u00a0the\u00a0bank or
\u2022 the bank considers the borrower to be unlikely
to\u00a0meet its contractual obligations (unlikely
to\u00a0pay, or UTP)
The materiality of a financial obligation past due
is\u00a0assessed against an absolute and a relative
threshold, in line with regulatory standards.
To\u00a0determine unlikeliness to pay, the bank has
specified 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\u00a0UTP indications should result in a default
classification).
The mandatory triggers include the reporting of
a\u00a0forborne exposure under probation as
non\u2011performing for being 30 days past due or owing
to an additional forbearance measure being applied.
As a result, the definitions of non-performing and
default are materially aligned.
Reclassification to stage 2
The default classification for non-forborne
exposures ends when the default triggers no longer
apply and a probation or cure period of at least
three months has passed since the default trigger
was last applied. For forborne exposures,
a\u00a0twelve\u2011month 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\u00a0the credit quality is factual and permanent
(including, for example, no remaining past due
amounts).
Asset stages\u00a0\u00a0
Audited
Asset in scope?
YES
Purchased or originated credit impaired (POCI)?
NO
YES
Default trigger hit?
NO
YES
Lifetime PD significantly deteriorated?
NO
YES
Watch list
Forbearance (but not impaired)
NO
YES
Days past due
0-30
>30
Stage 1
Stage 2
Stage 3
Stage POCI
Calculation method
ABN AMRO recognises loss allowances based on
the\u00a0Expected 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\u00a0all expected cash shortfalls over the remaining life
of the financial instrument for both on- and
off\u2011balance 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\u00a02 and 3) for financial instruments that have
similar credit risk characteristics (e.g. residential
mortgages, consumer loans and SME loans); these
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\u00a0quantify the Probability of Loss (PL), Loss Given
Loss (LGL) and Exposure at Loss (EAL) for
the\u00a0purpose of calculating the collective 12-month
ECL and LECL for these financial instruments.
Lifetime expected credit loss
ABN AMRO defines the lifetime of credit as
the\u00a0maximum contractual period during which
the\u00a0bank is exposed to credit risk; we do not apply
a\u00a0longer period, even if that longer period is
consistent\u00a0with business practice. For some contracts,
such as overdraft facilities or credit cards, no end
date\u00a0is specified or amounts can be contractually
withdrawn by the lender at short notice. In these
cases, ABN\u00a0AMRO uses behavioural maturity models
that rely on historical client behaviour to determine
future expected exposures.
Forward-looking information
For expected credit loss calculations, ABN AMRO
uses\u00a0three different scenarios of future economic
developments: a baseline (or most likely) scenario,
a\u00a0negative scenario and a positive scenario. The three
scenarios are incorporated into the expected credit
loss calculation and risk stage determination
in\u00a0a\u00a0probability-weighted manner.
In order to\u00a0incorporate the latest economic outlook,
the\u00a0scenarios and their weights are reviewed
each\u00a0quarter and adjusted if necessary. Details
of\u00a0the\u00a0scenarios and their weights used in\u00a0the\u00a0reporting
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\u00a0assumed 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
them. This external benchmarking exercise is a standard
input to\u00a0the\u00a0Scenario Booklet that is presented to the
bank\u2019s Scenario and Stress Testing Committee for
approval. Group Economics also develops a negative
and a\u00a0positive scenario. These scenarios are designed
to\u00a0give 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 above institutions and other relevant
developments.
Management overlays and other adjustments
Where necessary to reflect credit risk dynamics not
captured by our models, management judgement is
applied via a management overlay or other IFRS\u00a09
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 by the Impairment and
Provision Committee (IPC). The main types
of\u00a0management overlays that ABN AMRO
distinguishes are: post-model adjustments
(adjustments to model outcomes), adjustments
in\u00a0the\u00a0weightings 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\u00a0same internal approval process.
Climate and environmental risks in ECL\u00a0
ESRS
In this developing discipline we are working
to\u00a0incorporate CER risk explicitly into ECL models.
Following our roadmap, 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.
For identifiable events with no or insufficient
provisioning, ECL-related management overlays can
be taken. We have taken two CER related overlays:
one for the potential impact the Dutch government\u2019s
nitrogen reducing measures will have on our clients
which is related to environmental transition risk
(EUR\u00a029 million), and another for climate transition
risk (EUR 19 million). Given the combination
of\u00a0macroeconomic scenarios and these management
overlays, we consider the bank adequately
provisioned for climate and environmental risks. For
more details on these overlays, please see Individual
and collective loan impairment allowances and
management overlays in the Credit risk review
section.
Cured financial assets
When a credit impaired financial asset cures,
the\u00a0interest 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
Under IFRS 9, \u2018write-off\u2019 refers to the process
of\u00a0recognising that a financial asset, or a portion of it,
is uncollectible and should be removed from
an\u00a0entity\u2019s balance sheet. This typically happens
when there is no reasonable expectation
of\u00a0recovering the asset, indicating that the entity has
exhausted all practical recovery efforts.
\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\u00a0default.
Such loans are written off after all the necessary
procedures have been completed and the amount
of\u00a0the 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 loans\u00a0\u00a0
Audited
Credit risk reporting scope
Although all financial assets on our balance sheet are
subject to some form of credit risk, by far the largest
part is in loans and advances. To provide a meaningful
view of the credit risk in our lending book, the figures
presented in this section therefore relate to loans and
advances. Any credit risk outside the reported scope are
mentioned in the notes below the table. All figures are
reported gross of loan impairment allowances and
exclude fair value adjustments. The following table
provides a comparison between the gross carrying
amounts presented in this section and the consolidated
balance sheet.
Total loans and advances customers\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross
carrying
amount\u00b3
Fair value
adjustment
from
hedge
accounting
Less: loan
impairment
allowance
Less:
amortisation
and
depreciation
Carrying
amount
Gross
carrying
amount\u00b3
Fair value
adjustment
from
hedge
accounting
Less: loan
impairment
allowance
Less:
amortisation
and
depreciation
Carrying
amount
Loans and advances
banks
2,053
4
2,049
2,327
3
2,324
Residential mortgages
156,209
-4,686
133
151,390
151,078
-6,005
198
144,875
Consumer loans\u00b9
7,575
130
7,445
8,380
147
8,233
Corporate loans\u00b9
83,827
102
1,100
82,829
86,784
96
1,254
85,626
Other loans and advances
customers\u00b9
6,489
2
6,487
6,497
3
6,494
Total loans and
advances customers\u00b9
254,100
-4,584
1,364
248,152
252,739
-5,909
1,602
245,228
Total loans and
advances\u00b9
256,153
-4,584
1,368
250,201
255,066
-5,909
1,605
247,551
Other
138,184
-981
133
2,224
134,845
134,409
-1,640
187
2,224
130,358
Total assets
394,336
-5,565
1,501
2,224
385,047
389,474
-7,549
1,792
2,224
377,909
Loans and advances
customers\u00b9
254,100
-4,584
1,364
248,152
252,739
-5,909
1,602
245,228
Consumer loans at
fair value through P&L\u00b2
600
600
648
648
Corporate loans at
fair value through P&L
30
30
59
59
Total loans and
advances customers
254,730
-4,584
1,364
248,782
253,446
-5,909
1,602
245,935
1. 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 resulted
from interest rate swaps made to protect against
changes in the fair value of fixed-rate assets due
to\u00a0changes in market interest rates. The fair value
adjustment for mortgages decreased as a result
of\u00a0lower market interest rates.
Coverage and stage ratios\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross
carrying
amount\u00b2
Allowances
for credit
losses\u00b3
Coverage
ratio
Stage
ratio
Gross
carrying
amount\u00b2
Allowances
for credit
losses\u00b3
Coverage
ratio
Stage
ratio
Stage 1
Loans and advances banks
2,016
4
0.2%
98.2%
2,290
3
0.1%
98.4%
Residential mortgages
138,172
36
0.0%
88.5%
138,671
24
0.0%
91.8%
Consumer loans\u00b9
6,866
12
0.2%
90.6%
7,658
18
0.2%
91.4%
Corporate loans\u00b9
72,227
119
0.2%
86.2%
73,324
192
0.3%
84.5%
Other loans and advances customers\u00b9
6,478
0.0%
99.8%
6,475
0.0%
99.7%
Total loans and advances customers\u00b9
223,743
167
0.1%
88.1%
226,128
234
0.1%
89.5%
Stage 2
Loans and advances banks
37
0.0%
1.8%
37
0.0%
1.6%
Residential mortgages
16,118
42
0.3%
10.3%
11,115
49
0.4%
7.4%
Consumer loans\u00b9
487
15
3.1%
6.4%
467
11
2.4%
5.6%
Corporate loans\u00b9
8,490
170
2.0%
10.1%
10,308
228
2.2%
11.9%
Other loans and advances customers\u00b9
5
1.1%
0.1%
14
1
7.9%
0.2%
Total loans and advances customers\u00b9
25,100
226
0.9%
9.9%
21,903
289
1.3%
8.7%
Stage 3 and POCI
Loans and advances banks
Residential mortgages
1,919
55
2.9%
1.2%
1,292
125
9.7%
0.9%
Consumer loans\u00b9
222
102
46.1%
2.9%
255
118
46.3%
3.0%
Corporate loans\u00b9
3,110
811
26.1%
3.7%
3,152
833
26.4%
3.6%
Other loans and advances customers\u00b9
6
2
27.1%
0.1%
8
2
27.1%
0.1%
Total loans and advances customers\u00b9
5,258
971
18.5%
2.1%
4,707
1,079
22.9%
1.9%
Total of stages 1, 2, 3 and POCI
Total loans and advances banks
2,053
4
0.2%
2,327
3
0.1%
Residential mortgages
156,209
133
0.1%
151,078
198
0.1%
Consumer loans\u00b9
7,575
130
1.7%
8,380
147
1.8%
Corporate loans\u00b9
83,827
1,100
1.3%
86,784
1,254
1.4%
Other loans and advances customers\u00b9
6,489
2
0.0%
6,497
3
0.1%
Total loans and advances customers\u00b9
254,100
1,364
0.5%
252,739
1,602
0.6%
Total loans and advances\u00b9
256,153
1,368
0.5%
255,066
1,605
0.6%
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 2024: EUR 1 million; 31 December 2023: EUR 1 million).
Portfolio developments in combination with lower
allowances for credit losses at Corporate Banking
resulted in a decrease in the stage 2 ratio and the stage
2 coverage ratio. Stage 3 ratio increased slightly, while
stage 3 coverage ratio showed a slight decline.
For mortgages, stage 2 and stage 3 ratio in 2024
increased to 10.3% and 1.2% respectively
(31\u00a0December 2023: 7.4% and 0.9%). The stage 2 and
3 coverage ratios 2 and 3 of mortgages decreased
to\u00a00.3% and 2.9% respectively (31 December 2023:
0.4% and 9.7%). IFRS 9 model changes in the third
quarter led to a decrease in the stage 3 coverage ratio.
In the fourth quarter, methodology changes were
implemented to better reflect the credit risk
characteristics of interest-only mortgages and
the\u00a0anticipated impact of a new mortgages model. For
interest-only mortgages, this resulted in a significant
increase from stage 1 to stage 2, and for the anticipated
impact of a new mortgages model to stage 3.
An\u00a0additional impact on the stage 2 and 3 coverage
ratios was a consequence of improvements in the Dutch
housing market outlook.
Purchased or Originated Credit Impaired (POCI)
At 31 December 2024, loans classified as POCI
amounted to EUR 7 million. Due to the immateriality
ofthe amount, this is included in the amount shown for
stage 3 throughout this report.
Exposure and impairment flows
This section provides more details on the exposure and
impairment flows underlying the change in coverage
and stage ratios shown in the previous section.
Total loans and advances\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Closing balance of the previous year
228,418
21,940
4,707
255,066
229,084
23,954
5,175
258,212
Impact adopting IFRS 17
-1,061
-103
-83
-1,247
Balance at 1 January
228,418
21,940
4,707
255,066
228,023
23,851
5,091
256,965
Transfer to stage 1
8,704
-8,644
-59
8,542
-8,417
-125
Transfer to stage 2
-15,361
16,025
-664
-11,135
12,130
-996
Transfer to stage 3
-1,468
-1,186
2,654
-1,131
-1,116
2,247
Additional drawdowns and partial
repayments
-16,518
1,265
-142
-15,394
-11,950
199
-8
-11,759
Originated or purchased
42,922
42,922
37,428
37,428
Matured or repaid
-20,472
-4,170
-876
-25,518
-20,909
-4,609
-1,198
-26,715
Write-offs
-350
-350
-334
-334
Foreign exchange
1,017
50
21
1,088
-484
-92
-18
-594
Other movements
-1,483
-144
-34
-1,660
33
-7
48
74
Balance at 31 December
225,759
25,136
5,258
256,153
228,418
21,940
4,707
255,066
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Total loans and advances increased marginally
compared to 31 December 2023. This was mainly due
to an increase in mortgages, which was mostly offset by
a decrease in corporate and consumer loans.
There was a significant transfer from stage 1 to stage 2
and 3, largely due to the implementation
of\u00a0methodology changes to better reflect the credit risk
characteristics of interest-only mortgages and
the\u00a0anticipated impact of a new mortgage model.
There was a significant decrease in other movements,
which was mainly due to a loan portfolio being
reclassified to assets held for sale.
Exposure flows per product class are presented
in\u00a0the\u00a0section Additional risk, funding & capital
disclosures.
Loan impairment charges and allowances\u00a0\u00a0
Audited
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Balance at 31 December 2023
3
198
147
1,254
3
1,605
109
Transfer to stage 1
-4
-4
-10
-18
Transfer to stage 2
6
23
29
2
Transfer to stage 3
16
29
137
181
Remeasurements\u00b9
-73
-15
-16
-2
-105
22
Changes in risk parameters
1
3
-11
-7
Originated or purchased
4
3
33
1
41
5
Matured or repaid
-14
-6
-60
-79
-7
Impairment charges (releases) on loans
and advances
-64
11
96
-2
41
22
Write-offs
-2
-31
-317
-350
Unwind discount / unearned interest accrued
1
3
22
1
27
Foreign exchange and other movements
-1
45
45
-34
Balance at 31 December 2024
4
133
130
1,100
2
1,368
96
2024
Impairment charges (releases) on loans and
advances
-64
11
96
-2
41
22
Recoveries and other charges (releases)
-11
-25
-48
-83
Total impairment charges for the period\u00b2
-75
-13
48
-2
-42
22
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage.
2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2024: EUR 1 million.
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Balance at 31 December 2022
8
153
277
1,590
5
2,034
51
Impact adopting IFRS 17
-100
-100
Balance at 1 January 2023
8
153
177
1,590
5
1,934
51
Transfer to stage 1
-4
-5
-20
-28
-1
Transfer to stage 2
7
-1
-14
-9
2
Transfer to stage 3
24
30
133
2
188
17
Remeasurements\u00b9
-5
35
-15
-112
-4
-101
47
Changes in risk parameters
3
6
-35
-26
-4
Originated or purchased
4
3
32
39
8
Matured or repaid
-17
-8
-54
-79
-9
Impairment charges (releases) on loans
and advances
-5
51
10
-71
-3
-17
60
Write-offs
-1
-58
-274
-334
Unwind discount / unearned interest accrued
2
3
29
1
34
Foreign exchange and other movements
-7
15
-20
-12
-1
Balance at 31 December 2023
3
198
147
1,254
3
1,605
109
2023
Impairment charges (releases) on loans and
advances
-5
51
10
-71
-3
-17
60
Recoveries and other charges (releases)
-14
-29
-67
-111
-90
Total impairment charges for the period\u00b2
-5
37
-19
-139
-3
-128
-30
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million.
Loan impairment charges and allowances per stage\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Closing balance of the previous year
237
289
1,079
1,605
316
396
1,322
2,034
Impact adopting IFRS 17
-6
-19
-75
-100
Balance at 1 January
237
289
1,079
1,605
310
376
1,247
1,934
Transfer to stage 1
61
-70
-9
-18
109
-128
-10
-28
Transfer to stage 2
-32
104
-43
29
-41
90
-58
-9
Transfer to stage 3
-6
-29
216
181
-15
-59
261
188
Remeasurements\u00b9
-106
-46
46
-105
-125
44
-20
-101
Changes in risk parameters
-5
-4
2
-7
-31
-1
6
-26
Originated or purchased
41
41
39
39
Matured or repaid
-18
-24
-38
-79
-11
-16
-53
-79
Impairment charges (releases) on loans
and advances
-65
-68
174
41
-75
-69
126
-17
Write-offs
-350
-350
-334
-334
Unwind discount / unearned interest accrued
27
27
34
34
Foreign exchange and other movements
-2
6
41
45
2
-18
4
-12
Balance at 31 December
170
226
971
1,368
237
289
1,079
1,605
Impairment charges (releases) on loans
and advances
-65
-68
174
41
-75
-69
126
-17
Recoveries and other charges (releases)
-83
-83
-111
-111
Total impairment charges for the period
-65
-68
91
-42
-75
-69
16
-128
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
A release of EUR 21 million (a EUR 42 million release on
balance and a EUR 22 million charge off balance)
in\u00a0impairments was recorded for 2024 (2023: a release
of EUR 158 million, of which EUR 30 million
off\u2011balance).\u00a0 Impairment releases were primarily
related to\u00a0residential mortgages somewhat offset by
impairment charges in corporate loans.
For residential mortgages, releases of EUR 75 million
were recorded in 2024, compared to charges of
EUR\u00a037\u00a0million in 2023. This was mainly caused by
the\u00a0impact of the updated IFRS 9 model for mortgages,
including updated and enhanced data, which led
to\u00a0lower impairment levels from the third quarter
of\u00a02024. Besides that, the decrease was mostly due
to\u00a0lower loss given default rates driven by increased
collateral values. The decrease in total impairments was
partly offset by an increase in management overlays
of\u00a0EUR 2 million.
For corporate loans, charges of EUR 48 million were
recorded in 2024, primarily due to an increase
in\u00a0individual files, which is also reflected in the
off\u2011balance items. In 2023, there was a release of
EUR\u00a0139 million. In 2024, we recorded an increase
in\u00a0collective impairments (mostly in stage 3) due
to\u00a0the\u00a0anticipated impact of a new model for corporate
portfolios. This decrease in total impairments for
corporate loans was mainly driven by a decrease
in\u00a0management overlays of EUR 121 million, which was
largely due to the decommissioning of the management
overlay for geopolitical and market sensitivity
(geopolitical risk).
Individual and collective loan impairment allowances and management overlays\u00a0\u00a0
Audited
31 December 2024
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Individual impairments
Stage 3\u00b9
42
600
2
643
80
Total individual impairments
42
600
2
643
80
Collective impairments
Stage 1
4
36
12
119
170
6
Stage 2
42
15
170
226
10
Stage 3\u00b9
55
60
212
327
Total collective impairments
4
133
88
500
724
16
- of which management overlay
85
56
140
Total impairments
4
133
130
1,100
2
1,368
96
Carrying amount of loans, determined to be impaired,
before deducting any assessed impairment allowance
1,919
222
3,110
6
5,258
1. Including POCI.
31 December 2023
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Individual impairments
Stage 3\u00b9
52
695
2
750
78
Total individual impairments
52
695
2
750
78
Collective impairments
Stage 1
3
24
18
192
237
16
Stage 2
49
11
228
1
289
12
Stage 3\u00b9
125
66
138
329
3
Total collective impairments
3
198
95
558
1
855
31
- of which management overlay
83
177
260
Total impairments
3
198
147
1,254
3
1,605
109
Carrying amount of loans, determined to be impaired,
before deducting any assessed impairment allowance
1,292
255
3,152
8
4,707
1. Including POCI.
Total collective impairments amounted to
EUR\u00a0724\u00a0million at year end 2024 (31 December 2023:
EUR\u00a0855\u00a0million). These impairments included expected
credit losses (ECL) as calculated by our IFRS 9 models
and the management overlays we recorded. The ECL
calculations take into account a probability weighted
average of three economic scenarios. As the ECL model
outcomes do not always reflect the current economic
environment and circumstances, additional
management overlays are applied to incorporate novel
risks not fully captured by the model.
During 2024, management overlays decreased to
a\u00a0total of EUR 140 million (31 December 2023:
EUR\u00a0260 million). Some of the management overlays
were recorded for risks in corporate loans portfolios,
where the impairments decreased from
EUR\u00a0177\u00a0million to EUR 56 million. In 2024,
the\u00a0management overlays changed mainly due to:
\u2022 Discontinuation of the management overlay for
geopolitical and market sensitivity (geopolitical risk).
In\u00a0combination with the changed macroeconomic
scenario weights, revised forecasts for macroeconomic
variables, and credit risk assessments at both
the\u00a0sectorial and individual levels, we captured
the\u00a0current geopolitical risks in our modelled loan
impairment calculations. The decommissioning
resulted in a release of EUR 86 million.
\u2022 The existing overlays, which cover potential additional
risk costs relating to the wind-down of portfolios,
decreased over the year by EUR 23 million.
\u2022 The overlays that are in place for climate transition
risk decreased by EUR 6 million to EUR 19 million,
based on the updated materiality impact assessment.
\u2022 The overlay that is in place for the potential impact
of\u00a0the government\u2019s nitrogen reducing measures on
clients in livestock farming businesses
in\u00a0the\u00a0Netherlands decreased slightly from
EUR\u00a035\u00a0million to EUR 29 million.
Some of the management overlays were recorded for
risks in mortgage loans, where the impairments
increased from EUR 83 million to EUR 85 million
in\u00a02024. The management overlay framework for our
mortgages portfolio was revised in the third quarter,
following the update of the IFRS 9 model for
mortgages. The methodology for interest-only
mortgages was updated to include, among others,
a\u00a0new component that was introduced to capture the
possible impact of a significant decrease in
loan\u2011to\u2011value upon default and an adjustment in
the\u00a0calculation of refinancing risk. In the fourth quarter,
stage 2 ratio increased due to these methodology
changes, which were implemented to better reflect
the\u00a0credit risk characteristics of the mortgages overlays.
All management overlays represent best estimates
of\u00a0the risks involved. The underlying reasoning and
calculations are documented and discussed and
approved by the Impairments and Provisioning
Committee (IPC).
Loan impairment charges and allowances \u2013 residential mortgages\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Balance at 1 January
24
49
125
198
21
57
75
153
Transfer to stage 1
19
-20
-3
-4
14
-18
-1
-4
Transfer to stage 2
-2
37
-29
6
-2
28
-19
7
Transfer to stage 3
-1
-5
21
16
-1
-5
30
24
Remeasurements\u00b9
-8
-17
-48
-73
-13
-6
54
35
Changes in risk parameters
1
1
-1
1
4
-1
3
Originated or purchased
4
4
4
4
Matured or repaid
-2
-3
-9
-14
-1
-6
-10
-17
Impairment charges (releases) on loans
and advances
12
-7
-69
-64
4
-7
54
51
Write-offs
-2
-2
-1
-1
Unwind discount / unearned interest accrued
1
1
2
2
Foreign exchange and other movements
1
-1
-2
-4
-7
Balance at 31 December
36
42
55
133
24
49
125
198
Impairment charges (releases) on loans and
advances
12
-7
-69
-64
4
-7
54
51
Recoveries and other charges (releases)
-11
-11
-14
-14
Total impairment charges for the period
12
-7
-80
-75
4
-7
39
37
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 consumer loans\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Closing balance of the previous year
18
11
118
147
30
36
211
277
Impact adopting IFRS 17
-6
-19
-75
-100
Balance at 1 January
18
11
118
147
25
16
136
177
Transfer to stage 1
4
-3
-4
-4
7
-7
-4
-5
Transfer to stage 2
-1
8
-6
-3
8
-6
-1
Transfer to stage 3
-2
31
29
-3
-2
35
30
Remeasurements\u00b9
-9
1
-6
-15
-11
-4
-15
Changes in risk parameters
-1
3
3
6
6
Originated or purchased
3
3
3
3
Matured or repaid
-1
-5
-6
-2
-1
-6
-8
Impairment charges (releases) on loans
and advances
-5
4
12
11
-9
-6
26
10
Write-offs
-31
-31
-58
-58
Unwind discount / unearned interest accrued
3
3
3
3
Foreign exchange and other movements
-1
2
1
11
15
Balance at 31 December
12
15
102
130
18
11
118
147
Impairment charges (releases) on loans and
advances
-5
4
12
11
-9
-6
26
10
Recoveries and other charges (releases)
-25
-25
-29
-29
Total impairment charges for the period
-5
4
-12
-13
-9
-6
-4
-19
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 corporate loans\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Balance at 1 January
192
228
833
1,254
256
301
1,033
1,590
Transfer to stage 1
39
-47
-1
-10
88
-103
-5
-20
Transfer to stage 2
-29
59
-8
23
-36
55
-33
-14
Transfer to stage 3
-5
-23
164
137
-10
-51
194
133
Remeasurements\u00b9
-89
-29
102
-16
-96
54
-71
-112
Changes in risk parameters
-6
-5
-11
-34
-1
-35
Originated or purchased
33
33
32
32
Matured or repaid
-15
-20
-25
-60
-9
-9
-37
-54
Impairment charges (releases) on loans
and advances
-72
-64
232
96
-65
-55
49
-71
Write-offs
-317
-317
-274
-274
Unwind discount / unearned interest accrued
22
22
29
29
Foreign exchange and other movements
-2
6
40
45
1
-17
-3
-20
Balance at 31 December
119
170
811
1,100
192
228
833
1,254
Impairment charges (releases) on loans and
advances
-72
-64
232
96
-65
-55
49
-71
Recoveries and other charges (releases)
-48
-48
-67
-67
Total impairment charges for the period
-72
-64
184
48
-65
-55
-19
-139
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 off-balance\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b3
Total\u00b3
Stage 1
Stage 2
Stage 3\u00b3
Total\u00b3
Balance at 1 January
16
12
81
109
25
16
10
51
Transfer to stage 1
2
-2
4
-5
-1
Transfer to stage 2
-2
4
2
-4
5
2
Transfer to stage 3
17
17
Remeasurements\u00b9
-10
-1
33
22
-7
-1
55
47
Changes in risk parameters
-4
-4
Originated or purchased
5
5
8
8
Matured or repaid
-4
-2
-7
-7
-2
-9
Impairment charges (releases)
-10
-1
33
22
-10
-3
72
60
Foreign exchange and other movements
1
-1
-34
-34
1
-1
-1
-1
Balance at 31 December
6
10
80
96
16
12
81
109
Impairment charges (releases) on off-balance
-10
-1
33
22
-10
-3
72
60
Other charges (releases)\u00b2
-90
-90
Total impairment charges for the period
-10
-1
33
22
-10
-3
-18
-30
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. In 2023, 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\u00a0 \u00a0 Accounting policies
Critical accounting estimates and judgements
In preparing the financial statements, management needs to exercise its judgement in the process of applying
ABN\u00a0AMRO\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\u00a0make 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 chapter
\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 control
Whenever ABN AMRO is required to assess risks, rewards and control, as well as when considering the recognition and
derecognition of assets or liabilities and the consolidation or deconsolidation of subsidiaries, 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\u00a0 Income tax expense, tax assets and tax liabilities
Accounting policy for income tax expense, tax assets and tax liabilities
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\u00a0deferred tax asset to be recovered. Deferred tax assets and liabilities are offset only when there is both a legal
right to offset and an intention to settle on a net basis.
(in millions)
2024
2023
Recognised in income statement:
Current tax expenses for the current period
947
915
Pillar Two tax expense
5
Adjustments recognised in the period for current tax of prior periods
9
-90
Total current tax expense
961
825
Deferred tax arising from the current period
43
41
Impact of changes in tax rates on deferred taxes
-1
Deferred tax arising from the write-down or reversal of a write-down of a deferred tax asset
21
-85
Deferred tax prior period
-6
80
Previously unrecognised tax losses, tax credits and\u00a0 temporary differences reducing deferred tax expense
-6
-13
Total deferred tax expense
52
22
Total income tax expense
1,013
847
\"\"
Due to the sale of the Gustav Mahlerlaan building in 2021, ABN AMRO was able to make use of a reinvestment
reserve. This resulted in a lower current tax expense offset by a higher deferred tax expense included in 2023.
Tax assets and liabilities
The most significant temporary differences arose from the revaluation of certain financial assets and liabilities,
including derivative contracts, allowances for loan impairment and investments. The following table summarises
the\u00a0tax position.
31 December 2024
31 December 2023
(in millions)
Assets
Liabilities
Assets
Liabilities
Current tax
51
395
49
159
Deferred tax
275
278
Total tax assets and liabilities
326
395
327
159
\"\"
The significant components and annual movements in deferred tax assets and deferred tax liabilities are shown
in\u00a0the\u00a0following tables.
(in millions)
As at
31 December
2023
Income
statement
OCI
Equity
Other
As at
31 December
2024
- of which
deferred
tax asset
- of which
deferred
tax liability
Assets and liabilities held for trading,
derivatives and financial investments
115
-6
51
159
175
16
Property and equipment (excluding leases) and
intangible assets
25
-20
-5
-1
20
21
Loans
12
-1
10
11
1
Leases
32
-4
28
93
65
Pensions and other (post-)employment benefits
8
1
9
9
Provisions
23
4
1
1
29
29
Tax losses carried forward
88
-42
3
50
50
Other
-25
19
-1
-8
57
65
Deferred tax assets (+) and liabilities (-)
278
-52
51
-2
275
442
167
Offsetting deferred tax assets and liabilities
167
167
Net deferred tax assets (+) and liabilities (-)
275
(in millions)
As at
31 December
2022
Income
statement
OCI
Equity
Other
As at
31 December
2023
- of which
deferred
tax asset
- of which
deferred
tax liability
Assets and liabilities held for trading,
derivatives and financial investments
315
-3
-198
115
124
9
Property and equipment (excluding leases) and
intangible assets
23
2
25
27
2
Loans
12
-1
12
12
Leases
38
-6
32
102
70
Pensions and other (post-)employment benefits
9
-1
8
8
Provisions
20
6
3
1
-6
23
23
Tax losses carried forward
40
50
-2
88
88
Other
39
-69
6
-25
64
89
Deferred tax assets (+) and liabilities (-)
497
-22
-195
1
-2
278
448
170
Offsetting deferred tax assets and liabilities
170
170
Net deferred tax assets (+) and liabilities (-)
278
Deferred tax assets
Deferred tax assets are recognised to the extent that it is probable that future taxable profits will allow the deferred
tax asset to be recovered. Recognition is based on estimates of taxable income by jurisdiction in which ABN AMRO
operates and the period over which the deferred tax assets will be recoverable. In the event that actual results differ
from these estimates in future periods, changes to the recognition of deferred tax assets could be required and these
could impact our financial position and net profit. No deferred income taxes have been recognised on undistributed
earnings of ABN AMRO\u2019s subsidiaries, branches and interests in joint ventures.
Unrecognised tax assets
Certain amounts of deferred tax assets are not recognised because future taxable profits are not considered probable.
Deferred tax assets for an amount of EUR 29 million (31 December 2023: EUR 14 million) have not been recognised
in\u00a0respect of deductible temporary differences of EUR 112 million (31 December 2023: EUR 55 million). In addition,
deferred tax assets for an amount of EUR 46 million (31 December 2023: EUR 47 million) have not been recognised
in\u00a0respect of tax losses of EUR 233 million (31 December 2023: EUR 242 million).
Tax credits and unrecognised tax credits
ABN AMRO did not have any carry-forward tax credits on 31 December 2024.
17\u00a0 Financial investments
Accounting policy for financial investments
Financial investments include financial instruments measured at fair value through other comprehensive income
(FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL).
Accounting policy for financial instruments measured at fair value through other
comprehensive income
Unrealised gains and losses on FVOCI assets are recognised directly in other comprehensive income, net
of\u00a0applicable 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\u00a0the income statement. The impairment loss resulting from the ECL on FVOCI debt instruments is recognised
in\u00a0the 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\u00a0AMRO\u2019s impairment assessment and measurement approach for FVOCI debt instruments is set
out in the Credit risk management section of 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 2024
31 December 2023
Financial investments
Debt securities held at fair value through other comprehensive income
46,196
40,663
Held at fair value through profit or loss
977
838
Total financial investments
47,173
41,501
Debt securities held at fair value through other comprehensive income consist mainly of government bonds.
\"\"
Financial investments measured at fair value through other comprehensive income
(in millions)
31 December 2024
31 December 2023
Interest-earning securities
Dutch government
3,261
2,642
US Treasury and US government
7,140
6,861
Other OECD government
19,143
15,761
Non-OECD government
170
150
International bonds issued by the European Union
3,319
2,962
European Stability Mechanism
2,441
2,349
Mortgage- and other asset-backed securities
5,288
5,046
Financial institutions
5,404
3,477
Non-financial institutions
29
1,414
Total investments held at fair value through other comprehensive income
46,196
40,663
Government bonds by country of origin
31 December 2024
31 December 2023
(in millions)
Accumulated unrealised
gains/(losses) and
fair value hedges
gains/(losses)
Impairments
Fair
value
Accumulated unrealised
gains/(losses) and
fair value hedges
gains/(losses)
Impairments
Fair
value
Dutch national government
-61
-1
3,261
-23
2,642
USA national government
-267
7,140
-265
6,861
German national government
-118
5,315
-161
4,924
French national government
-61
2,025
-77
1,781
Belgian national government
-152
2,791
-164
-1
2,861
Austrian national government
-34
1,658
-11
1,774
Finnish national government
-50
1,496
-20
1,040
Luxembourg national government
-19
305
-22
245
Canadian national government
-45
1,186
-64
1,142
Japanese national government
-1
2,426
568
Polish national government
34
330
35
330
Spanish national government
4
615
-9
268
United Kingdom national government
-11
170
9
183
Danish national government
-22
341
-10
183
Italian national government
-29
382
-42
370
Irish national government
2
92
3
94
Portuguese national government
10
Brazilian national government
100
82
Singapore national government
70
68
European Union bonds
(excl. European Financial Stability Facility)
-523
3,319
-530
2,962
Total government bonds
-1,354
-1
33,034
-1,351
-1
28,377
Critical accounting estimates and judgements
Interest-bearing debt securities classified as FVOCI investments are assessed at each reporting date to establish
whether there are any expected credit losses. ABN AMRO has developed models to determine such credit losses.
These are explained in more detail in the Risk, funding & capital chapter. Impairment charges on FVOCI instruments
are recorded in (un)realised gains/(losses) fair value through OCI in the statement of comprehensive income.
19\u00a0 Fair value of financial instruments carried at fair value
Accounting policy for fair value of financial instruments
The fair value is defined as the price that would be received when selling an asset or paid when transferring
a\u00a0liability 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\u00a0the\u00a0pricing 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\u00a0arrive at a fair value are as follows:
\u2022 Bid-ask adjustments. If the model calculates a mid-market price, it is adjusted to take into account the relevant
bid-offer spread.
\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\u00a0AMRO\u2019s creditworthiness respectively.
\u2022 Liquidity adjustments. ABN AMRO uses different techniques to determine the price or input parameters
of\u00a0the\u00a0pricing model dependent on the liquidity in the market.
\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 framework
ABN AMRO has in place designated controls and processes to determine the fair value of financial instruments.
A\u00a0process 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\u00a0ensure 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\u00a0the\u00a0fair 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\u00a0valuations 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\u00a0model documentation, testing and review, depending on the complexity of the model and the size of our exposure
to the model.
Valuation techniques
A number of methodologies are used to determine the fair value of financial instruments for which observable prices
in active markets for identical instruments are not available. Values between and beyond available data points are
obtained by interpolation and/or extrapolation. When valuation techniques are used, the fair value can be significantly
impacted by the choice of 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 derivatives
This category includes interest rate swaps, cross-currency swaps, options and forward rate agreements. These
products are valued by estimating future cash flows and discounting these cash flows, using appropriate interest rate
curves. The exception is interest option contracts, which are valued using market standard option pricing models.
The\u00a0inputs 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 contracts
Foreign exchange contracts include foreign exchange forward contracts, foreign exchange options and foreign
exchange swaps. The majority of the foreign exchange contracts at ABN AMRO are traded as over-the-counter
derivatives. These instruments are valued using foreign currency exchange rates. There are observable markets 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 securities
Government 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 securities
Corporate 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 instruments
Equity 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 loss
Loans and advances at fair value through profit or loss consist primarily of contracts with corporate clients where
the\u00a0contractual cash flows do not meet the SPPI requirements or are held in a business model with the objective
of\u00a0generating cash flows from sales. The return on the contracts with embedded derivatives is based on the price
of\u00a0underlying commodity contracts or loans with a floating interest rate. Discounted cash flow models are used
to\u00a0value these contracts. The main inputs are interest rate curves, quoted commodity prices, liquidity spreads and
credit spreads. The instruments are classified as level 2. If adjustments to interest rate curves, liquidity spreads and
credit spreads are based on significant unobservable inputs, the instruments are classified as level 3.
Issued debt
Issued debt securities are valued using discounted cash flow models, based on current interest rate curves that
incorporate observable inputs. These instruments are classified as level 2. When there are no, or only limited, publicly
quoted prices available for these instruments and unobservable inputs have a significant effect on the fair value
calculation, these instruments are classified as level 3.
ABN AMRO refines and modifies its valuation techniques as markets and products develop and as 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\u00a0different estimates of the fair value at the reporting date.
Fair value hierarchy
ABN AMRO analyses financial instruments held at fair value in the three categories described below.
Level 1 financial instruments are those that are valued using unadjusted 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\u00a0valuation 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\u00a0instrument\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 for determining the fair values of financial instruments
carried at fair value.
31 December 2024
31 December 2023
(in millions)
Quoted
market
prices
in active
markets
Valuation
techniques
- observable
inputs
Valuation
techniques
- significant
unobservable
inputs
Total fair
value
Quoted
market
prices
in active
markets
Valuation
techniques
- observable
inputs
Valuation
techniques
- significant
unobservable
inputs
Total fair
value
Assets
Government debt securities
1,119
51
1,169
341
341
Corporate debt securities
743
503
1,246
780
240
1,019
Equity securities
2
2
1
1
Other financial assets held for trading
87
87
10
10
Financial assets held for trading
1,863
640
2,503
1,121
250
1,371
Interest rate derivatives
5
3,116
20
3,140
4
3,606
15
3,625
Foreign exchange contracts
1,203
2
1,206
765
12
776
Other derivatives
1
1
2
2
Derivatives
5
4,320
22
4,347
4
4,372
26
4,403
Equity instruments
133
47
797
977
130
52
656
838
Financial investments at fair value
through profit or loss
133
47
797
977
130
52
656
838
Government debt securities
35,145
330
35,475
30,396
330
30,726
Corporate debt securities
5,432
5,432
4,890
1
4,891
Other debt securities
5,288
5,288
5,046
5,046
Financial assets held at fair value
through other comprehensive
income
45,866
330
46,196
40,332
1
330
40,663
Loans and advances at fair value through
profit or loss
30
600
630
31
676
707
Total financial assets
47,866
5,037
1,750
54,653
41,587
4,706
1,689
47,982
Liabilities
Short positions in government debt
securities
346
172
518
303
303
Corporate debt securities
313
208
522
376
135
511
Equity securities
7
7
Other financial liabilities held for trading
123
123
96
96
Financial liabilities held for trading
660
503
1,163
686
231
917
Interest rate derivatives
3
1,688
1
1,692
1
2,297
2,298
Foreign exchange contracts
803
803
553
553
Other derivatives
4
4
5
5
Derivatives
3
2,495
1
2,499
1
2,855
2,856
Issued debt
205
205
222
222
Total financial liabilities
663
3,203
1
3,867
687
3,308
3,994
Transfers between fair value hierarchies
There were no material transfers between the fair value hierarchies.
\"\"
Movements in level 3 financial instruments measured at fair value
The following table shows a reconciliation of the opening and closing amounts of level 3 financial assets that are
recorded at fair value.
Assets
Liabilities
(in millions)
Derivatives
Financial
investments at
fair value through
profit or loss
Financial assets
held
at fair value
through
other
comprehensive
income
Loans and
advances at
fair value
through
profit or loss
Derivatives
Balance at 1 January 2023
46
481
358
30
Change in accounting policy
982
Purchases
145
Sales
-2
-243
Issuance
24
Redemptions
-12
-38
-175
Gains/(losses) recorded in profit and loss 1
6
1
1
Unrealised gains/(losses) 2
1
52
10
59
Transfer between levels
-21
Other movements
-14
-2
Balance at 31 December 2023
26
656
330
676
Purchases
86
Sales
-3
-35
Issuance
42
Redemptions
-14
-157
Gains/(losses) recorded in profit and loss\u00b9
1
-5
Unrealised gains/(losses)\u00b2
-3
89
-1
59
Transfer between levels
-2
1
Other movements
-17
19
Balance at 31 December 2024
22
797
330
600
1
1. Included in other operating income.
2. Unrealised gains/(losses) on derivatives held for trading are included in net trading income, on instruments measured at FVTPL in other operating income and on instruments
measured at FVOCI in other comprehensive income.
Level 3 sensitivity information
Interest-earning securities - government bonds
ABN AMRO has a position in a Polish bond, denominated in euros (see Note 17 - Financial investments, and part
of\u00a0Other 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 shares
Equities measured at fair value through profit and loss and classified as level 3 mainly comprise private equity
investments. Private equity shares are measured at fair value, applying two calculation techniques:
\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 to 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\u00a0the 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 cannot be applied for the NAV calculation based on the quarterly
performance.
Derivatives
ABN AMRO applies a credit valuation adjustment (CVA) that reflects counterparty credit risk in the fair value
measurement of uncollateralised and partially collateralised OTC derivatives. For counterparties that do not have
an\u00a0observable 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\u00a0the\u00a0following table of level 3 sensitivity information, is generated internally and is therefore an unobservable input.
Loans and advances \u2013 Equity release mortgages
ABN 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 historical bandwidth observed for
prepayment rates.
Loans and advances - Other
ABN AMRO offers personal loans that feature a waiver on a portion of the outstanding debt upon the decease
of\u00a0the\u00a0client. 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 for expected credit losses.
31 December 2024
Valuation
technique
Unobservable
data
Carrying
value
Possible alternative
assumptions
Unobservable
data range
Unobservable
data base
(in millions)
Applying
minimum
Applying
maximum
Applying
minimum
Applying
maximum
Equity shares
Private equity
valuation
EBITDA
multiples
141
-14
14
Equity shares
Private equity
valuation
Net asset
value
657
-66
66
Interest-earning securities -
government bonds
Discounted
cash flow
Liquidity and
credit spread
330
-13
19
38bps
157bps
110bps
Loans and advances -
Equity release mortgages
Discounted
cash flow
Prepayment
rate
458
-6
9
2.4%
4.9%
3.6%
Loans and advances -
Other
Discounted
cash flow
Credit
spread
142
-4
7
Derivatives held for trading -
assets/liabilities (net)
Discounted
cash flow
Probability
of default
22
-2
6
100.0%
24.0%
31 December 2023
Valuation
technique
Unobservable
data
Carrying
value
Possible alternative
assumptions
Unobservable
data range
Unobservable
data base
(in millions)
Applying
minimum
Applying
maximum
Applying
minimum
Applying
maximum
Equity shares
Private equity
valuation
EBITDA
multiples
136
-14
14
Equity shares
Private equity
valuation
Net asset
value
519
-52
52
Interest-earning securities -
government bonds
Discounted
cash flow
Liquidity and
credit spread
330
-11
28
4bps
139bps
101bps
Loans and advances -
Equity release mortgages
Discounted
cash flow
Prepayment
rate
398
-9
9
1.9%
3.2%
2.5%
Loans and advances -
Other
Discounted
cash flow
Credit
spread
250
-7
11
Derivatives held for trading -
assets/liabilities (net)
Discounted
cash flow
Probability
of default
26
-3
4
0.0%
100.0%
12.7%
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for impairment of non-financial assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
Accounting policy for intangible assets
Goodwill
Goodwill is capitalised and stated at cost, being the excess of the consideration paid over the fair value
of\u00a0ABN\u00a0AMRO\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 2024
31 December 2023
Land and buildings held for own use
379
225
Leasehold improvements
44
44
Plant & equipment under operating lease
306
338
Equipment
70
78
Right of use assets
260
285
Other
8
9
Total property and equipment
1,068
978
The right of use assets consist primarily of real estate.
\"\"
(in millions)
31 December 2024
31 December 2023
Goodwill
44
Purchased software
5
10
Internally developed software
188
81
Other
15
8
Total goodwill and other intangible assets
253
99
2024
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
777
208
649
626
584
11
2,853
115
517
632
Acquisitions/divestments of subsidiaries
33
33
Additions
174
13
97
28
53
365
44
4
48
Reversal of cost due to disposals
-12
-13
-182
-48
-58
-313
-10
-22
-31
Foreign exchange differences
1
6
1
3
10
1
1
Internally generated software
93
93
Other
2
-1
-17
-15
-4
-3
Acquisition costs
as at 31 December
941
209
570
607
565
11
2,902
150
623
773
Accumulated depreciation/
amortisation as at 1 January
-547
-160
-308
-546
-256
-1,817
-408
-408
Acquisitions/divestments of subsidiaries
-7
-7
Depreciation/amortisation
-16
-14
-36
-81
-147
-13
-13
Depreciation of assets subject to
operating lease
-86
-86
Reversal of depreciation/amortisation
due to disposals
10
9
135
45
21
219
22
22
Foreign exchange differences
-1
-3
-1
-1
-6
-1
-1
Other
-4
1
1
20
18
3
3
Accumulated depreciation/
amortisation as at 31 December
-557
-165
-263
-537
-297
-1
-1,819
-404
-404
Accumulated impairments as
at 1 January
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
2
4
2
37
45
10
10
Foreign exchange differences
-1
-1
Other
-2
-2
Accumulated impairments
as at 31 December
-5
-1
-7
-2
-14
-105
-10
-116
Total as at 31 December
379
44
306
70
260
8
1,068
44
209
253
The fair value of land and buildings held for own use is estimated at EUR 198 million at 31 December 2024 (2023:
EUR\u00a0199 million). Of this fair value, 100% is based on external valuations performed in 2017 to 2023. There are some
properties that have a lower fair value than the recorded carrying value. No impairment is recorded because these
properties are considered corporate assets. The value in use for the cash generating units within ABN AMRO Group is
sufficient to cover the total value of all these assets.
\"\"
The building at Foppingadreef in Amsterdam is being reconstructed to make it an example with regard
to\u00a0sustainability and circularity. Until 31 December 2024, a total of EUR 238 million was capitalised as part of the asset
under construction (2023: EUR 70 million). In 2024, additional design aspects were added to the original contract. As
at 31\u00a0December 2024, the amount of contractual commitments relating to the refurbishment amounted
to\u00a0EUR\u00a0298\u00a0million (2023: EUR 430 million), subject to price indexation based on the BDB Index. The project is
scheduled to be completed in 2027.
2023
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
726
209
801
638
497
11
2,883
142
438
580
Additions
63
12
98
35
138
346
9
9
Reversal of cost due to disposals
-50
-21
-255
-47
-38
-412
-4
-4
Foreign exchange differences
-1
5
-2
-2
Internally generated software
75
75
Other
38
9
2
-12
36
-27
-28
Acquisition costs
as at 31 December
777
208
649
626
584
11
2,853
115
517
632
Accumulated depreciation/
amortisation as at 1 January
-530
-165
-369
-554
-205
-1,824
-398
-398
Depreciation/amortisation
-16
-14
-40
-85
-155
-14
-14
Depreciation of assets subject to
operating lease
-108
-108
Reversal of depreciation/amortisation
due to disposals
33
20
172
46
21
292
4
4
Foreign exchange differences
1
-2
2
Other
-34
-1
1
12
-22
Accumulated depreciation/
amortisation as at 31 December
-547
-160
-308
-546
-256
-1,817
-408
-408
Accumulated impairments as
at 1 January
-5
-5
-5
-4
-51
-1
-70
-64
-10
-74
Increase of impairments charged to the
income statement
-1
-1
-1
-3
-79
-79
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
1
1
8
10
Foreign exchange differences
1
1
Other
1
1
28
28
Accumulated impairments
as at 31 December
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Total as at 31 December
225
44
338
78
285
9
978
99
99
Valuation of goodwill
31 December 2024
31 December 2023
(in millions)
Segment
Method used
for recoverable
amount
Discount
rate
Long-term
growth
rate
Impairment
charges
Goodwill
Goodwill
Entity
Bux
Wealth
Management
Value in use
13.5%
2.0%
44
Total goodwill and impairment charges
44
ABN AMRO performed its annual impairment test in the last quarter of 2024. The factors considered by ABN AMRO
when reviewing for indicators of impairment include the relationship between its market capitalisation and its book
value. The outcome of the impairment test performed is that no impairment needs to be recognised.
(in millions)
2024
2023
Depreciation on tangible assets
Land and buildings held for own use
16
16
Leasehold improvements
14
14
Equipment
36
40
Right of use assets
81
85
Amortisation on intangible assets
Purchased software
5
7
Internally developed software
6
3
Other intangible assets
2
4
Impairment losses on tangible assets
Land and buildings held for own use (incl. held for sale)
1
Right of use assets
1
Other
1
Impairment losses on intangible assets
Goodwill
79
Total depreciation, amortisation and impairment losses
160
251
30\u00a0 Provisions
Accounting policy for provisions
A provision is recognised in the balance sheet when ABN AMRO has a legal or constructive obligation as a result
of a past event, and it is more likely than not that an outflow of economic benefits will be required to settle
the\u00a0obligation, 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. In cases where ABN AMRO expects
disclosure of legal proceedings on a case-by-case basis to seriously prejudice its position, it only discloses
the\u00a0general nature of the dispute.
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\u00a0implement 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\u00a0payment. Expected credit loss allowances of loan commitments and financial guarantees are recognised as
provisions under IFRS 9.
(in millions)
31 December 2024
31 December 2023
Legal provisions
150
273
Credit commitments provisions
97
120
Restructuring provision
45
57
Provision for pension commitments
76
76
Other staff provision
181
134
Insurance fund liabilities
7
7
Other provisions
58
75
Total provisions
612
742
Legal provisions
Variable interest rates for consumer loans
On 3 March 2021, the Kifid Appeals Committee confirmed a ruling of the Kifid Disputes Committee about
the\u00a0recalculation of the variable interest charged to a specific client on a revolving credit. In short, Kifid ruled that
ABN\u00a0AMRO 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 505 million for the interest to be compensated and
the\u00a0costs incurred in carrying out the scheme. To date, EUR 470 million of this provision has been used, so
the\u00a0remaining provision as at 31 December 2024 was EUR 35 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\u00a0compensation 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 provisions
AML remediation programme
ABN AMRO is progressing with the enhancement to its internal processes and systems to effectively contribute
to\u00a0the\u00a0prevention of financial economic crime. ABN AMRO has closed the AML client file remediations for key parts
of\u00a0the business, and are awaiting the observations from the supervisor on others. Work continues to increase
the\u00a0effectiveness and sustainability of our measures to meet regulatory requirements. Currently, the main attention
goes to the effectiveness of our monitoring processes and the quality of our client due diligence. ABN AMRO is
in\u00a0regular dialogue with the Dutch Central Bank, which is\u00a0 regularly informed, continues to monitor progress and
provides observations. DNB has recently identified shortcomings in our event-driven review processes. These
shortcomings relate to updating of client files, for example due to changes in a client\u2019s circumstances. DNB has
indicated that these findings may lead to enforcement measures. A potential financial impact cannot be reliably
estimated, and no provision has been recorded.
(in millions)
Legal
provisions
Credit
commitments
Restructuring
provision
Provision
for pension
commitments
Other
staff
provision
Insurance
fund
liabilities
Other
Total
At 1 January 2023
447
154
105
75
128
8
128
1,044
Increase of provisions
89
86
14
22
210
Reversal of unused provisions
-41
-129
-22
-9
-32
-233
Utilised during the year
-231
-40
-51
-321
Transfer between stages
18
18
Foreign exchange differences
2
-1
1
Other
9
-10
1
6
8
9
23
At 31 December 2023
273
120
57
76
134
7
75
742
Increase of provisions
124
97
52
36
3
312
Reversal of unused provisions
-55
-75
-9
-6
-9
-153
Utilised during the year
-178
-48
-13
-239
Transfer between stages
2
2
Foreign exchange differences
8
8
Other
-14
-55
-8
11
5
2
-58
At 31 December 2024
150
97
45
76
181
7
58
612
", "dimensions": { "concept": "ifrs-full:DisclosureOfAccountingJudgementsAndEstimatesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-13": { "value": "
Accounting policy for measuring allowances
for expected credit losses (ECL)
Audited
The IFRS 9 impairment requirements are applicable
to financial assets measured at amortised cost or fair
value through other comprehensive income (FVOCI),
loan commitments, lease receivables and contract
assets and financial guarantee contracts. At each
reporting date, these financial instruments are
classified into one of three risk stages, depending on
current credit quality, or as purchased or originated
credit impaired (POCI).
POCI assets, which are credit impaired at initial
recognition, are accounted for at fair value
(i.e.\u00a0net\u00a0of\u00a0the initial lifetime ECLs) and do not carry
an\u00a0impairment allowance. Instead, a credit-adjusted
effective interest rate (EIR), which is calculated using
expected cash flows including initial lifetime ECLs,
is\u00a0applied to the amortised cost. Subsequently,
the\u00a0cumulative changes in lifetime ECLs since initial
recognition, which are discounted at
the\u00a0credit\u2011adjusted effective interest rate, are
recognised in the profit or loss statement as
an\u00a0impairment gain or loss, and presented under
impairment charges on financial instruments.
Once\u00a0a\u00a0financial 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 quality\u00a0
Audited
Change in credit quality since initial recognition
Stage 1
Stage 2
Stage 3
Performing
(Initial recognition)
Credit quality deteriorated
(Assets with significant increase in
credit risk since initial recognition)
Default = Impaired
(Credit impaired assets)
Recognition of ECL
12 month ECL
Lifetime ECL
Lifetime ECL
Interest income
Effective interest on
gross carrying amount
Effective interest on
gross carrying amount
Effective interest on amortised
cost (gross carrying amount less
loss allowance)
Classification in stage 2
We use quantitative and qualitative stage triggers
to\u00a0determine whether a financial instrument should be
classified as stage 1 or stage 2.
Quantitative stage triggers
The key quantitative metric that determines when
a\u00a0financial instrument is transferred from stage 1
to\u00a0stage 2 is the deterioration in the lifetime
probability of default (LPD) from the date
of\u00a0origination to the reporting date, based on internal
data. The LPD represents the likelihood that
a\u00a0counterparty will default during the lifetime
of\u00a0the\u00a0financial 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\u00a0relative difference between the remaining lifetime
PD at reporting (LPDR) and the remaining lifetime PD at
origination (LPDO) as LPDD = LPDR/LPDO. If the\u00a0LPD
deterioration of an exposure is above a\u00a0predefined
threshold, the LPD is considered to be significantly
deteriorated. The exposure is then transferred to stage\u00a02
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\u00a01.
When determining the\u00a0thresholds, 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\u00a0December 2024. The table
provides ranges because each product class uses
multiple ECL models, and thresholds are determined for
each ECL model.
Range of lifetime PD deterioration
thresholds\u00a0\u00a0
Audited
Product class
Range
Consumer lending
1.8x-5.2x
Residential mortgages
1.5x-2.1x
Corporate loans
1.3x-5.8x
Qualitative stage triggers
The bank transfers a financial instrument from stage 1
to stage 2 if the instrument meets any of the following
qualitative triggers:
\u2022 forborne status of a borrower
\u2022 watch status of a borrower. ABN AMRO assigns
the\u00a0watch status to counterparties with an increased
credit risk. This process comprises intensive
monitoring, early detection of deterioration
in\u00a0the\u00a0credit portfolio and appropriate follow-up
measures
\u2022 a delinquency-based regulatory backstop is
in\u00a0place, such that the credit risk of financial assets
that are more than 30 days past due will be
assumed to have significantly increased
Reclassification to stage 1
As a general rule, favourable changes in credit risk
are recognised consistently with unfavourable
changes, and a financial instrument is transferred
back to stage 1 if quantitative or qualitative triggers
are no longer met. In some cases, a probation period
applies:
\u2022 Forborne financial instruments are transferred
back from stage 2 to stage 1 only after
a\u00a0probation 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 3
A transfer to stage 3 will always be the result of
the\u00a0default of a financial instrument. The definition
of default for IFRS 9 is aligned with the regulatory
capital definition. 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\u00a0the\u00a0bank or
\u2022 the bank considers the borrower to be unlikely
to\u00a0meet its contractual obligations (unlikely
to\u00a0pay, or UTP)
The materiality of a financial obligation past due
is\u00a0assessed against an absolute and a relative
threshold, in line with regulatory standards.
To\u00a0determine unlikeliness to pay, the bank has
specified 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\u00a0UTP indications should result in a default
classification).
The mandatory triggers include the reporting of
a\u00a0forborne exposure under probation as
non\u2011performing for being 30 days past due or owing
to an additional forbearance measure being applied.
As a result, the definitions of non-performing and
default are materially aligned.
Reclassification to stage 2
The default classification for non-forborne
exposures ends when the default triggers no longer
apply and a probation or cure period of at least
three months has passed since the default trigger
was last applied. For forborne exposures,
a\u00a0twelve\u2011month 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\u00a0the credit quality is factual and permanent
(including, for example, no remaining past due
amounts).
Asset stages\u00a0\u00a0
Audited
Asset in scope?
YES
Purchased or originated credit impaired (POCI)?
NO
YES
Default trigger hit?
NO
YES
Lifetime PD significantly deteriorated?
NO
YES
Watch list
Forbearance (but not impaired)
NO
YES
Days past due
0-30
>30
Stage 1
Stage 2
Stage 3
Stage POCI
Calculation method
ABN AMRO recognises loss allowances based on
the\u00a0Expected 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\u00a0all expected cash shortfalls over the remaining life
of the financial instrument for both on- and
off\u2011balance 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\u00a02 and 3) for financial instruments that have
similar credit risk characteristics (e.g. residential
mortgages, consumer loans and SME loans); these
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\u00a0quantify the Probability of Loss (PL), Loss Given
Loss (LGL) and Exposure at Loss (EAL) for
the\u00a0purpose of calculating the collective 12-month
ECL and LECL for these financial instruments.
Lifetime expected credit loss
ABN AMRO defines the lifetime of credit as
the\u00a0maximum contractual period during which
the\u00a0bank is exposed to credit risk; we do not apply
a\u00a0longer period, even if that longer period is
consistent\u00a0with business practice. For some contracts,
such as overdraft facilities or credit cards, no end
date\u00a0is specified or amounts can be contractually
withdrawn by the lender at short notice. In these
cases, ABN\u00a0AMRO uses behavioural maturity models
that rely on historical client behaviour to determine
future expected exposures.
Forward-looking information
For expected credit loss calculations, ABN AMRO
uses\u00a0three different scenarios of future economic
developments: a baseline (or most likely) scenario,
a\u00a0negative scenario and a positive scenario. The three
scenarios are incorporated into the expected credit
loss calculation and risk stage determination
in\u00a0a\u00a0probability-weighted manner.
In order to\u00a0incorporate the latest economic outlook,
the\u00a0scenarios and their weights are reviewed
each\u00a0quarter and adjusted if necessary. Details
of\u00a0the\u00a0scenarios and their weights used in\u00a0the\u00a0reporting
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\u00a0assumed 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
them. This external benchmarking exercise is a standard
input to\u00a0the\u00a0Scenario Booklet that is presented to the
bank\u2019s Scenario and Stress Testing Committee for
approval. Group Economics also develops a negative
and a\u00a0positive scenario. These scenarios are designed
to\u00a0give 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 above institutions and other relevant
developments.
Management overlays and other adjustments
Where necessary to reflect credit risk dynamics not
captured by our models, management judgement is
applied via a management overlay or other IFRS\u00a09
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 by the Impairment and
Provision Committee (IPC). The main types
of\u00a0management overlays that ABN AMRO
distinguishes are: post-model adjustments
(adjustments to model outcomes), adjustments
in\u00a0the\u00a0weightings 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\u00a0same internal approval process.
Climate and environmental risks in ECL\u00a0
ESRS
In this developing discipline we are working
to\u00a0incorporate CER risk explicitly into ECL models.
Following our roadmap, 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.
For identifiable events with no or insufficient
provisioning, ECL-related management overlays can
be taken. We have taken two CER related overlays:
one for the potential impact the Dutch government\u2019s
nitrogen reducing measures will have on our clients
which is related to environmental transition risk
(EUR\u00a029 million), and another for climate transition
risk (EUR 19 million). Given the combination
of\u00a0macroeconomic scenarios and these management
overlays, we consider the bank adequately
provisioned for climate and environmental risks. For
more details on these overlays, please see Individual
and collective loan impairment allowances and
management overlays in the Credit risk review
section.
Cured financial assets
When a credit impaired financial asset cures,
the\u00a0interest 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
Under IFRS 9, \u2018write-off\u2019 refers to the process
of\u00a0recognising that a financial asset, or a portion of it,
is uncollectible and should be removed from
an\u00a0entity\u2019s balance sheet. This typically happens
when there is no reasonable expectation
of\u00a0recovering the asset, indicating that the entity has
exhausted all practical recovery efforts.
\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\u00a0default.
Such loans are written off after all the necessary
procedures have been completed and the amount
of\u00a0the loss has been determined. Subsequent
recoveries of amounts previously written off are
credited to impairment charges on financial
instruments in the income statement.
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for property and equipment
Property 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\u00a0impairment. 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\u00a0following 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\u00a0circumstances. Capitalised leasehold improvements are depreciated in a manner that takes into account
the\u00a0term and renewal conditions of the related lease.
Accounting policy for impairment of non-financial assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-12": { "value": "
Accounting policy for measuring allowances
for expected credit losses (ECL)
Audited
The IFRS 9 impairment requirements are applicable
to financial assets measured at amortised cost or fair
value through other comprehensive income (FVOCI),
loan commitments, lease receivables and contract
assets and financial guarantee contracts. At each
reporting date, these financial instruments are
classified into one of three risk stages, depending on
current credit quality, or as purchased or originated
credit impaired (POCI).
POCI assets, which are credit impaired at initial
recognition, are accounted for at fair value
(i.e.\u00a0net\u00a0of\u00a0the initial lifetime ECLs) and do not carry
an\u00a0impairment allowance. Instead, a credit-adjusted
effective interest rate (EIR), which is calculated using
expected cash flows including initial lifetime ECLs,
is\u00a0applied to the amortised cost. Subsequently,
the\u00a0cumulative changes in lifetime ECLs since initial
recognition, which are discounted at
the\u00a0credit\u2011adjusted effective interest rate, are
recognised in the profit or loss statement as
an\u00a0impairment gain or loss, and presented under
impairment charges on financial instruments.
Once\u00a0a\u00a0financial 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 quality\u00a0
Audited
Change in credit quality since initial recognition
Stage 1
Stage 2
Stage 3
Performing
(Initial recognition)
Credit quality deteriorated
(Assets with significant increase in
credit risk since initial recognition)
Default = Impaired
(Credit impaired assets)
Recognition of ECL
12 month ECL
Lifetime ECL
Lifetime ECL
Interest income
Effective interest on
gross carrying amount
Effective interest on
gross carrying amount
Effective interest on amortised
cost (gross carrying amount less
loss allowance)
Classification in stage 2
We use quantitative and qualitative stage triggers
to\u00a0determine whether a financial instrument should be
classified as stage 1 or stage 2.
Quantitative stage triggers
The key quantitative metric that determines when
a\u00a0financial instrument is transferred from stage 1
to\u00a0stage 2 is the deterioration in the lifetime
probability of default (LPD) from the date
of\u00a0origination to the reporting date, based on internal
data. The LPD represents the likelihood that
a\u00a0counterparty will default during the lifetime
of\u00a0the\u00a0financial 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\u00a0relative difference between the remaining lifetime
PD at reporting (LPDR) and the remaining lifetime PD at
origination (LPDO) as LPDD = LPDR/LPDO. If the\u00a0LPD
deterioration of an exposure is above a\u00a0predefined
threshold, the LPD is considered to be significantly
deteriorated. The exposure is then transferred to stage\u00a02
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\u00a01.
When determining the\u00a0thresholds, 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\u00a0December 2024. The table
provides ranges because each product class uses
multiple ECL models, and thresholds are determined for
each ECL model.
Range of lifetime PD deterioration
thresholds\u00a0\u00a0
Audited
Product class
Range
Consumer lending
1.8x-5.2x
Residential mortgages
1.5x-2.1x
Corporate loans
1.3x-5.8x
Qualitative stage triggers
The bank transfers a financial instrument from stage 1
to stage 2 if the instrument meets any of the following
qualitative triggers:
\u2022 forborne status of a borrower
\u2022 watch status of a borrower. ABN AMRO assigns
the\u00a0watch status to counterparties with an increased
credit risk. This process comprises intensive
monitoring, early detection of deterioration
in\u00a0the\u00a0credit portfolio and appropriate follow-up
measures
\u2022 a delinquency-based regulatory backstop is
in\u00a0place, such that the credit risk of financial assets
that are more than 30 days past due will be
assumed to have significantly increased
Reclassification to stage 1
As a general rule, favourable changes in credit risk
are recognised consistently with unfavourable
changes, and a financial instrument is transferred
back to stage 1 if quantitative or qualitative triggers
are no longer met. In some cases, a probation period
applies:
\u2022 Forborne financial instruments are transferred
back from stage 2 to stage 1 only after
a\u00a0probation 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 3
A transfer to stage 3 will always be the result of
the\u00a0default of a financial instrument. The definition
of default for IFRS 9 is aligned with the regulatory
capital definition. 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\u00a0the\u00a0bank or
\u2022 the bank considers the borrower to be unlikely
to\u00a0meet its contractual obligations (unlikely
to\u00a0pay, or UTP)
The materiality of a financial obligation past due
is\u00a0assessed against an absolute and a relative
threshold, in line with regulatory standards.
To\u00a0determine unlikeliness to pay, the bank has
specified 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\u00a0UTP indications should result in a default
classification).
The mandatory triggers include the reporting of
a\u00a0forborne exposure under probation as
non\u2011performing for being 30 days past due or owing
to an additional forbearance measure being applied.
As a result, the definitions of non-performing and
default are materially aligned.
Reclassification to stage 2
The default classification for non-forborne
exposures ends when the default triggers no longer
apply and a probation or cure period of at least
three months has passed since the default trigger
was last applied. For forborne exposures,
a\u00a0twelve\u2011month 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\u00a0the credit quality is factual and permanent
(including, for example, no remaining past due
amounts).
Asset stages\u00a0\u00a0
Audited
Asset in scope?
YES
Purchased or originated credit impaired (POCI)?
NO
YES
Default trigger hit?
NO
YES
Lifetime PD significantly deteriorated?
NO
YES
Watch list
Forbearance (but not impaired)
NO
YES
Days past due
0-30
>30
Stage 1
Stage 2
Stage 3
Stage POCI
Calculation method
ABN AMRO recognises loss allowances based on
the\u00a0Expected 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\u00a0all expected cash shortfalls over the remaining life
of the financial instrument for both on- and
off\u2011balance 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\u00a02 and 3) for financial instruments that have
similar credit risk characteristics (e.g. residential
mortgages, consumer loans and SME loans); these
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\u00a0quantify the Probability of Loss (PL), Loss Given
Loss (LGL) and Exposure at Loss (EAL) for
the\u00a0purpose of calculating the collective 12-month
ECL and LECL for these financial instruments.
Lifetime expected credit loss
ABN AMRO defines the lifetime of credit as
the\u00a0maximum contractual period during which
the\u00a0bank is exposed to credit risk; we do not apply
a\u00a0longer period, even if that longer period is
consistent\u00a0with business practice. For some contracts,
such as overdraft facilities or credit cards, no end
date\u00a0is specified or amounts can be contractually
withdrawn by the lender at short notice. In these
cases, ABN\u00a0AMRO uses behavioural maturity models
that rely on historical client behaviour to determine
future expected exposures.
Forward-looking information
For expected credit loss calculations, ABN AMRO
uses\u00a0three different scenarios of future economic
developments: a baseline (or most likely) scenario,
a\u00a0negative scenario and a positive scenario. The three
scenarios are incorporated into the expected credit
loss calculation and risk stage determination
in\u00a0a\u00a0probability-weighted manner.
In order to\u00a0incorporate the latest economic outlook,
the\u00a0scenarios and their weights are reviewed
each\u00a0quarter and adjusted if necessary. Details
of\u00a0the\u00a0scenarios and their weights used in\u00a0the\u00a0reporting
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\u00a0assumed 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
them. This external benchmarking exercise is a standard
input to\u00a0the\u00a0Scenario Booklet that is presented to the
bank\u2019s Scenario and Stress Testing Committee for
approval. Group Economics also develops a negative
and a\u00a0positive scenario. These scenarios are designed
to\u00a0give 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 above institutions and other relevant
developments.
Management overlays and other adjustments
Where necessary to reflect credit risk dynamics not
captured by our models, management judgement is
applied via a management overlay or other IFRS\u00a09
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 by the Impairment and
Provision Committee (IPC). The main types
of\u00a0management overlays that ABN AMRO
distinguishes are: post-model adjustments
(adjustments to model outcomes), adjustments
in\u00a0the\u00a0weightings 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\u00a0same internal approval process.
Climate and environmental risks in ECL\u00a0
ESRS
In this developing discipline we are working
to\u00a0incorporate CER risk explicitly into ECL models.
Following our roadmap, 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.
For identifiable events with no or insufficient
provisioning, ECL-related management overlays can
be taken. We have taken two CER related overlays:
one for the potential impact the Dutch government\u2019s
nitrogen reducing measures will have on our clients
which is related to environmental transition risk
(EUR\u00a029 million), and another for climate transition
risk (EUR 19 million). Given the combination
of\u00a0macroeconomic scenarios and these management
overlays, we consider the bank adequately
provisioned for climate and environmental risks. For
more details on these overlays, please see Individual
and collective loan impairment allowances and
management overlays in the Credit risk review
section.
Cured financial assets
When a credit impaired financial asset cures,
the\u00a0interest 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
Under IFRS 9, \u2018write-off\u2019 refers to the process
of\u00a0recognising that a financial asset, or a portion of it,
is uncollectible and should be removed from
an\u00a0entity\u2019s balance sheet. This typically happens
when there is no reasonable expectation
of\u00a0recovering the asset, indicating that the entity has
exhausted all practical recovery efforts.
\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\u00a0default.
Such loans are written off after all the necessary
procedures have been completed and the amount
of\u00a0the loss has been determined. Subsequent
recoveries of amounts previously written off are
credited to impairment charges on financial
instruments in the income statement.
Industry concentration\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross carrying
amount 4, 5
Percentage
of total
Gross carrying
amount 4, 5
Percentage
of total
Loans and advances banks
2,053
0.8%
2,327
0.9%
Agriculture, forestry and fishing
6,659
2.6%
6,928
2.7%
Mining and quarrying
1,576
0.6%
1,729
0.7%
Manufacturing
6,565
2.6%
6,699
2.6%
Electricity, gas, steam and air conditioning supply
2,241
0.9%
2,107
0.8%
Water supply; sewerage, waste management and remediation
activities
664
0.3%
702
0.3%
Construction
2,952
1.2%
3,623
1.4%
Wholesale and retail trade; repair of motor vehicles and
motorcycles
7,975
3.1%
8,778
3.4%
Transport and storage
8,749
3.4%
8,833
3.5%
Real estate activities
11,052
4.3%
11,067
4.3%
Accommodation and food service activities
1,733
0.7%
1,834
0.7%
Information and communication
4,851
1.9%
5,324
2.1%
Financial and insurance activities\u00b9
17,890
7.0%
18,683
7.3%
Professional, scientific & technical activities
2,024
0.8%
1,999
0.8%
Administrative & support service activities
5,358
2.1%
4,804
1.9%
Human health services & social work activities
2,630
1.0%
2,788
1.1%
Other sectors\u00b2
909
0.4%
886
0.3%
Total corporate loans
83,827
32.7%
86,784
34.0%
Private individuals (residential mortgages and consumer loans)
163,783
63.9%
159,458
62.5%
Other loans\u00b3
6,489
2.5%
6,497
2.5%
Total non-industry classification
170,273
66.5%
165,955
65.1%
Total loans and advances customers
254,100
99.2%
252,739
99.1%
Total loans and advances
256,153
100%
255,066
100%
1. Financial and insurance activities include asset managers, credit card companies and providers of personal financial services and securities and brokers.
2. Other include loans to Public administration & defence, compulsory social security, Education, Arts, entertainment & recreation, Activities of households as employers,
Activities of extraterritorial organisations & bodies and Other services.
3. Other loans include loans to Government and official institutions and default fund contributions for our clearing clients.
4. Excluding loans at fair value through P&L.
5. Excluding fair value adjustments from hedge accounting.
In comparison with 2023, total corporate loans declined
by EUR 3.0 billion, reducing the share of corporate
loans in total loans and advances to customers
to\u00a032.7% (2023: 34.0%). Portfolio composition by
industry remained stable: the top five industries in terms
of exposures were in the financial sector, followed by
real estate, transport and storage, wholesale and retail
trade and agriculture, which was the same as in 2023.
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. In
the\u00a0exposure table, non-material industry clusters are
aggregated under Other. Industry concentration limits
are established within the bank\u2019s risk appetite, with
the\u00a0thresholds for concentrations being based on
relative risk, the importance of the industry to the Dutch
economy and expert opinion.
Management of forborne, past due and
credit impaired loans\u00a0\u00a0
Audited
Credit risk reporting scope
Although all financial assets on our balance sheet are
subject to some form of credit risk, by far the largest
part is in loans and advances. To provide a meaningful
view of the credit risk in our lending book, the figures
presented in this section therefore relate to loans and
advances. Any credit risk outside the reported scope are
mentioned in the notes below the table. All figures are
reported gross of loan impairment allowances and
exclude fair value adjustments. The following table
provides a comparison between the gross carrying
amounts presented in this section and the consolidated
balance sheet.
Total loans and advances customers\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross
carrying
amount\u00b3
Fair value
adjustment
from
hedge
accounting
Less: loan
impairment
allowance
Less:
amortisation
and
depreciation
Carrying
amount
Gross
carrying
amount\u00b3
Fair value
adjustment
from
hedge
accounting
Less: loan
impairment
allowance
Less:
amortisation
and
depreciation
Carrying
amount
Loans and advances
banks
2,053
4
2,049
2,327
3
2,324
Residential mortgages
156,209
-4,686
133
151,390
151,078
-6,005
198
144,875
Consumer loans\u00b9
7,575
130
7,445
8,380
147
8,233
Corporate loans\u00b9
83,827
102
1,100
82,829
86,784
96
1,254
85,626
Other loans and advances
customers\u00b9
6,489
2
6,487
6,497
3
6,494
Total loans and
advances customers\u00b9
254,100
-4,584
1,364
248,152
252,739
-5,909
1,602
245,228
Total loans and
advances\u00b9
256,153
-4,584
1,368
250,201
255,066
-5,909
1,605
247,551
Other
138,184
-981
133
2,224
134,845
134,409
-1,640
187
2,224
130,358
Total assets
394,336
-5,565
1,501
2,224
385,047
389,474
-7,549
1,792
2,224
377,909
Loans and advances
customers\u00b9
254,100
-4,584
1,364
248,152
252,739
-5,909
1,602
245,228
Consumer loans at
fair value through P&L\u00b2
600
600
648
648
Corporate loans at
fair value through P&L
30
30
59
59
Total loans and
advances customers
254,730
-4,584
1,364
248,782
253,446
-5,909
1,602
245,935
1. 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 resulted
from interest rate swaps made to protect against
changes in the fair value of fixed-rate assets due
to\u00a0changes in market interest rates. The fair value
adjustment for mortgages decreased as a result
of\u00a0lower market interest rates.
Forborne exposures
Clients in (or potentially in) financial difficulty and
whose contracts have been amended in ways that are
regarded as concessions on the part of the bank are
accounted 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 assets\u00a0\u00a0
Audited
31 December 2024
Gross
carrying
amount\u00b2
Performing assets
Total per-
forming
forborne
assets
Non-performing assets
Total
non-per-
forming
forborne
assets
Total
forborne
assets
For-
bear-
ance
ratio
(in millions)
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Loans and advances banks
2,053
0.0%
Residential mortgages
156,209
513
10
523
508
14
521
1,045
0.7%
Consumer loans\u00b9
7,575
20
45
3
68
9
25
12
46
114
1.5%
Corporate loans\u00b9
83,827
660
1,336
210
2,207
175
1,387
163
1,725
3,932
4.7%
Other loans and advances
customers\u00b9
6,489
1
1
1
0.0%
Total loans and advances
customers\u00b9
254,100
1,193
1,391
214
2,798
692
1,426
177
2,294
5,092
2.0%
Total loans and advances\u00b9
256,153
1,193
1,391
214
2,798
692
1,426
177
2,294
5,092
2.0%
Loans at FV through P&L
630
1
2
6
1
6
8
1.3%
Total loans and advances
256,783
1,194
1,392
214
2,799
698
1,426
177
2,301
5,100
2.0%
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
31 December 2023
Gross
carrying
amount\u00b2
Performing assets
Total per-
forming
forborne
assets
Non-performing assets
Total
non-per-
forming
forborne
assets
Total
forborne
assets
For-
bear-
ance
ratio
(in millions)
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Tem-
porary
modifi-
cation
Perma-
nent
modifi-
cation
Refi-
nancing
Loans and advances banks
2,327
0.0%
Residential mortgages
151,078
516
14
531
506
10
1
517
1,048
0.7%
Consumer loans\u00b9
8,380
20
27
47
11
40
6
56
103
1.2%
Corporate loans\u00b9
86,784
564
1,548
370
2,482
294
1,303
288
1,884
4,367
5.0%
Other loans and advances
customers\u00b9
6,497
2
2
2
0.0%
Total loans and advances
customers\u00b9
252,739
1,101
1,589
371
3,060
810
1,352
296
2,459
5,519
2.2%
Total loans and advances\u00b9
255,066
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. Excluding fair value adjustments from hedge accounting.
The forbearance ratio improved to 2.0%
(31\u00a0December\u00a02023: 2.2%), mainly because permanent
forbearance measures relating to some corporate loans
ended. Approximately 37% of the forborne exposures is
now subject to a temporary measure
(31\u00a0December\u00a02023: 35%).
Past due not classified as stage 3\u00a0\u00a0
Audited
31 December 2024
Days past due
(in millions)
Gross
carrying
amount\u00b2
Assets not
classified as
stage 3 or POCI
\u2264\u00a030 days
>\u00a030 days &
\u2264 90 days
> 90 days\u00b3
Total past due,
but not stage 3
or POCI
Past due
ratio
Loans and advances\u00a0banks
2,053
2,053
0.0%
Residential mortgages
156,209
154,290
1,195
26
3
1,224
0.8%
Consumer\u00a0loans\u00b9
7,575
7,353
356
16
20
392
5.2%
Corporate loans\u00b9
83,827
80,717
570
200
2
772
0.9%
Other loans and advances customers\u00b9
6,489
6,483
0.0%
Total\u00a0loans and advances customers\u00b9
254,100
248,842
2,122
242
25
2,389
0.9%
Total\u00a0loans and advances\u00b9
256,153
250,895
2,122
242
25
2,389
0.9%
1. Excluding loans at fair value through P&L.
2. Excluding 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 2023
Days past due
(in millions)
Gross
carrying
amount\u00b2
Assets not
classified as
stage 3 or POCI
\u2264\u00a030 days
>\u00a030 days &
\u2264 90 days
> 90 days\u00b3
Total past due,
but not stage 3
or POCI
Past due
ratio
Loans and advances\u00a0banks
2,327
2,327
0.0%
Residential mortgages
151,078
149,786
1,204
6
2
1,211
0.8%
Consumer\u00a0loans\u00b9
8,380
8,125
90
17
37
143
1.7%
Corporate loans\u00b9
86,784
83,631
359
205
76
640
0.7%
Other loans and advances customers\u00b9
6,497
6,489
4
4
0.1%
Total\u00a0loans and advances customers\u00b9
252,739
248,031
1,657
227
114
1,999
0.8%
Total\u00a0loans and advances\u00b9
255,066
250,358
1,657
227
114
1,999
0.8%
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Materiality thresholds are applied for counterparties transferring to stage 3. Below these thresholds, amounts are reported on > 90 days past due.
Past due exposures
When a counterparty is past due or exceeds its credit
limit, all loans and advances (total gross carrying
amount) in the related credit arrangement are
considered to be past due. The absolute and relative
materiality thresholds used for determining a defaulted
status do not apply for the purposes of classification as
past due. Below these thresholds, arrears of more than
90 days are reported as past due.
Total arrears rose to EUR 2.4 billion or 0.9% of the total
loans and advances compared to 31 December 2023.
Increases were mainly in the short term buckets
(<=30\u00a0days) of consumer and corporate loans.
The\u00a0increase in consumer loans in arrears was triggered
by data quality improvements, and does not reflect
an\u00a0increase in the risk profile.
Coverage and stage ratios\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross
carrying
amount\u00b2
Allowances
for credit
losses\u00b3
Coverage
ratio
Stage
ratio
Gross
carrying
amount\u00b2
Allowances
for credit
losses\u00b3
Coverage
ratio
Stage
ratio
Stage 1
Loans and advances banks
2,016
4
0.2%
98.2%
2,290
3
0.1%
98.4%
Residential mortgages
138,172
36
0.0%
88.5%
138,671
24
0.0%
91.8%
Consumer loans\u00b9
6,866
12
0.2%
90.6%
7,658
18
0.2%
91.4%
Corporate loans\u00b9
72,227
119
0.2%
86.2%
73,324
192
0.3%
84.5%
Other loans and advances customers\u00b9
6,478
0.0%
99.8%
6,475
0.0%
99.7%
Total loans and advances customers\u00b9
223,743
167
0.1%
88.1%
226,128
234
0.1%
89.5%
Stage 2
Loans and advances banks
37
0.0%
1.8%
37
0.0%
1.6%
Residential mortgages
16,118
42
0.3%
10.3%
11,115
49
0.4%
7.4%
Consumer loans\u00b9
487
15
3.1%
6.4%
467
11
2.4%
5.6%
Corporate loans\u00b9
8,490
170
2.0%
10.1%
10,308
228
2.2%
11.9%
Other loans and advances customers\u00b9
5
1.1%
0.1%
14
1
7.9%
0.2%
Total loans and advances customers\u00b9
25,100
226
0.9%
9.9%
21,903
289
1.3%
8.7%
Stage 3 and POCI
Loans and advances banks
Residential mortgages
1,919
55
2.9%
1.2%
1,292
125
9.7%
0.9%
Consumer loans\u00b9
222
102
46.1%
2.9%
255
118
46.3%
3.0%
Corporate loans\u00b9
3,110
811
26.1%
3.7%
3,152
833
26.4%
3.6%
Other loans and advances customers\u00b9
6
2
27.1%
0.1%
8
2
27.1%
0.1%
Total loans and advances customers\u00b9
5,258
971
18.5%
2.1%
4,707
1,079
22.9%
1.9%
Total of stages 1, 2, 3 and POCI
Total loans and advances banks
2,053
4
0.2%
2,327
3
0.1%
Residential mortgages
156,209
133
0.1%
151,078
198
0.1%
Consumer loans\u00b9
7,575
130
1.7%
8,380
147
1.8%
Corporate loans\u00b9
83,827
1,100
1.3%
86,784
1,254
1.4%
Other loans and advances customers\u00b9
6,489
2
0.0%
6,497
3
0.1%
Total loans and advances customers\u00b9
254,100
1,364
0.5%
252,739
1,602
0.6%
Total loans and advances\u00b9
256,153
1,368
0.5%
255,066
1,605
0.6%
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 2024: EUR 1 million; 31 December 2023: EUR 1 million).
Portfolio developments in combination with lower
allowances for credit losses at Corporate Banking
resulted in a decrease in the stage 2 ratio and the stage
2 coverage ratio. Stage 3 ratio increased slightly, while
stage 3 coverage ratio showed a slight decline.
For mortgages, stage 2 and stage 3 ratio in 2024
increased to 10.3% and 1.2% respectively
(31\u00a0December 2023: 7.4% and 0.9%). The stage 2 and
3 coverage ratios 2 and 3 of mortgages decreased
to\u00a00.3% and 2.9% respectively (31 December 2023:
0.4% and 9.7%). IFRS 9 model changes in the third
quarter led to a decrease in the stage 3 coverage ratio.
In the fourth quarter, methodology changes were
implemented to better reflect the credit risk
characteristics of interest-only mortgages and
the\u00a0anticipated impact of a new mortgages model. For
interest-only mortgages, this resulted in a significant
increase from stage 1 to stage 2, and for the anticipated
impact of a new mortgages model to stage 3.
An\u00a0additional impact on the stage 2 and 3 coverage
ratios was a consequence of improvements in the Dutch
housing market outlook.
Purchased or Originated Credit Impaired (POCI)
At 31 December 2024, loans classified as POCI
amounted to EUR 7 million. Due to the immateriality
ofthe amount, this is included in the amount shown for
stage 3 throughout this report.
Exposure and impairment flows
This section provides more details on the exposure and
impairment flows underlying the change in coverage
and stage ratios shown in the previous section.
Total loans and advances\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Closing balance of the previous year
228,418
21,940
4,707
255,066
229,084
23,954
5,175
258,212
Impact adopting IFRS 17
-1,061
-103
-83
-1,247
Balance at 1 January
228,418
21,940
4,707
255,066
228,023
23,851
5,091
256,965
Transfer to stage 1
8,704
-8,644
-59
8,542
-8,417
-125
Transfer to stage 2
-15,361
16,025
-664
-11,135
12,130
-996
Transfer to stage 3
-1,468
-1,186
2,654
-1,131
-1,116
2,247
Additional drawdowns and partial
repayments
-16,518
1,265
-142
-15,394
-11,950
199
-8
-11,759
Originated or purchased
42,922
42,922
37,428
37,428
Matured or repaid
-20,472
-4,170
-876
-25,518
-20,909
-4,609
-1,198
-26,715
Write-offs
-350
-350
-334
-334
Foreign exchange
1,017
50
21
1,088
-484
-92
-18
-594
Other movements
-1,483
-144
-34
-1,660
33
-7
48
74
Balance at 31 December
225,759
25,136
5,258
256,153
228,418
21,940
4,707
255,066
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Total loans and advances increased marginally
compared to 31 December 2023. This was mainly due
to an increase in mortgages, which was mostly offset by
a decrease in corporate and consumer loans.
There was a significant transfer from stage 1 to stage 2
and 3, largely due to the implementation
of\u00a0methodology changes to better reflect the credit risk
characteristics of interest-only mortgages and
the\u00a0anticipated impact of a new mortgage model.
There was a significant decrease in other movements,
which was mainly due to a loan portfolio being
reclassified to assets held for sale.
Exposure flows per product class are presented
in\u00a0the\u00a0section Additional risk, funding & capital
disclosures.
Loan impairment charges and allowances\u00a0\u00a0
Audited
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Balance at 31 December 2023
3
198
147
1,254
3
1,605
109
Transfer to stage 1
-4
-4
-10
-18
Transfer to stage 2
6
23
29
2
Transfer to stage 3
16
29
137
181
Remeasurements\u00b9
-73
-15
-16
-2
-105
22
Changes in risk parameters
1
3
-11
-7
Originated or purchased
4
3
33
1
41
5
Matured or repaid
-14
-6
-60
-79
-7
Impairment charges (releases) on loans
and advances
-64
11
96
-2
41
22
Write-offs
-2
-31
-317
-350
Unwind discount / unearned interest accrued
1
3
22
1
27
Foreign exchange and other movements
-1
45
45
-34
Balance at 31 December 2024
4
133
130
1,100
2
1,368
96
2024
Impairment charges (releases) on loans and
advances
-64
11
96
-2
41
22
Recoveries and other charges (releases)
-11
-25
-48
-83
Total impairment charges for the period\u00b2
-75
-13
48
-2
-42
22
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage.
2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2024: EUR 1 million.
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Balance at 31 December 2022
8
153
277
1,590
5
2,034
51
Impact adopting IFRS 17
-100
-100
Balance at 1 January 2023
8
153
177
1,590
5
1,934
51
Transfer to stage 1
-4
-5
-20
-28
-1
Transfer to stage 2
7
-1
-14
-9
2
Transfer to stage 3
24
30
133
2
188
17
Remeasurements\u00b9
-5
35
-15
-112
-4
-101
47
Changes in risk parameters
3
6
-35
-26
-4
Originated or purchased
4
3
32
39
8
Matured or repaid
-17
-8
-54
-79
-9
Impairment charges (releases) on loans
and advances
-5
51
10
-71
-3
-17
60
Write-offs
-1
-58
-274
-334
Unwind discount / unearned interest accrued
2
3
29
1
34
Foreign exchange and other movements
-7
15
-20
-12
-1
Balance at 31 December 2023
3
198
147
1,254
3
1,605
109
2023
Impairment charges (releases) on loans and
advances
-5
51
10
-71
-3
-17
60
Recoveries and other charges (releases)
-14
-29
-67
-111
-90
Total impairment charges for the period\u00b2
-5
37
-19
-139
-3
-128
-30
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million.
Loan impairment charges and allowances per stage\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Closing balance of the previous year
237
289
1,079
1,605
316
396
1,322
2,034
Impact adopting IFRS 17
-6
-19
-75
-100
Balance at 1 January
237
289
1,079
1,605
310
376
1,247
1,934
Transfer to stage 1
61
-70
-9
-18
109
-128
-10
-28
Transfer to stage 2
-32
104
-43
29
-41
90
-58
-9
Transfer to stage 3
-6
-29
216
181
-15
-59
261
188
Remeasurements\u00b9
-106
-46
46
-105
-125
44
-20
-101
Changes in risk parameters
-5
-4
2
-7
-31
-1
6
-26
Originated or purchased
41
41
39
39
Matured or repaid
-18
-24
-38
-79
-11
-16
-53
-79
Impairment charges (releases) on loans
and advances
-65
-68
174
41
-75
-69
126
-17
Write-offs
-350
-350
-334
-334
Unwind discount / unearned interest accrued
27
27
34
34
Foreign exchange and other movements
-2
6
41
45
2
-18
4
-12
Balance at 31 December
170
226
971
1,368
237
289
1,079
1,605
Impairment charges (releases) on loans
and advances
-65
-68
174
41
-75
-69
126
-17
Recoveries and other charges (releases)
-83
-83
-111
-111
Total impairment charges for the period
-65
-68
91
-42
-75
-69
16
-128
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
A release of EUR 21 million (a EUR 42 million release on
balance and a EUR 22 million charge off balance)
in\u00a0impairments was recorded for 2024 (2023: a release
of EUR 158 million, of which EUR 30 million
off\u2011balance).\u00a0 Impairment releases were primarily
related to\u00a0residential mortgages somewhat offset by
impairment charges in corporate loans.
For residential mortgages, releases of EUR 75 million
were recorded in 2024, compared to charges of
EUR\u00a037\u00a0million in 2023. This was mainly caused by
the\u00a0impact of the updated IFRS 9 model for mortgages,
including updated and enhanced data, which led
to\u00a0lower impairment levels from the third quarter
of\u00a02024. Besides that, the decrease was mostly due
to\u00a0lower loss given default rates driven by increased
collateral values. The decrease in total impairments was
partly offset by an increase in management overlays
of\u00a0EUR 2 million.
For corporate loans, charges of EUR 48 million were
recorded in 2024, primarily due to an increase
in\u00a0individual files, which is also reflected in the
off\u2011balance items. In 2023, there was a release of
EUR\u00a0139 million. In 2024, we recorded an increase
in\u00a0collective impairments (mostly in stage 3) due
to\u00a0the\u00a0anticipated impact of a new model for corporate
portfolios. This decrease in total impairments for
corporate loans was mainly driven by a decrease
in\u00a0management overlays of EUR 121 million, which was
largely due to the decommissioning of the management
overlay for geopolitical and market sensitivity
(geopolitical risk).
20\u00a0 Loans and advances banks
Accounting policy for loans and advances banks and customers
Loans and advances banks, and loans and advances customers, are held in a \u2018hold to collect\u2019 business model.
Loans and advances for which the contractual cash flows are solely payments of principal and interest (SPPI) are
measured at amortised cost, i.e. fair value at initial recognition, adjusted for repayment and amortisation
of\u00a0coupon, 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 section in the Risk, funding &
capital chapter (Accounting policy for measuring allowances for credit losses).
21\u00a0 Loans and advances customers
Accounting policy for loans and advances customers
The accounting policy for loans and advances customers is included in Note 20 - Loans and advances banks.
Please refer to Note 1 - Accounting policies in the Consolidated Annual Financial Statements and to the Credit
risk management section of the Risk, funding & capital chapter (Accounting policy for measuring allowances for
credit losses).
\"\"
(in millions)
31 December 2024
31 December 2023
Residential mortgages (excluding fair value adjustment)
156,209
151,078
Fair value adjustment from hedge accounting on residential mortgages
-4,686
-6,005
Residential mortgages, gross
151,523
145,073
Less: loan impairment allowances - residential mortgage loans
133
198
Residential mortgages
151,390
144,875
Consumer loans at amortised cost, gross
7,575
8,380
Less: loan impairment allowances - consumer loans
130
147
Consumer loans at amortised cost
7,445
8,233
Consumer loans at fair value through P&L
600
648
Corporate loans (excluding fair value adjustment)
76,679
78,387
Fair value adjustment from hedge accounting on corporate loans
102
96
Financial lease receivables
3,822
4,169
Factoring
3,326
4,227
Corporate loans at amortised cost, gross
83,929
86,880
Less: loan impairment allowances - corporate loans
1,100
1,254
Corporate loans at amortised cost
82,829
85,626
Corporate loans at fair value through P&L
30
59
Government and official institutions
298
455
Other loans
6,191
6,043
Other loans and advances customers, gross
6,489
6,497
Less: loan impairment allowances - other
2
3
Other loans and advances customers
6,487
6,494
Total loans and advances customers
248,782
245,935
For information on loan impairment allowances, please refer to the Credit risk review section in the Risk, funding &
capital chapter.
", "dimensions": { "concept": "ifrs-full:DisclosureOfLoansAndAdvancesToCustomersExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-11": { "value": "
Accounting policy for measuring allowances
for expected credit losses (ECL)
Audited
The IFRS 9 impairment requirements are applicable
to financial assets measured at amortised cost or fair
value through other comprehensive income (FVOCI),
loan commitments, lease receivables and contract
assets and financial guarantee contracts. At each
reporting date, these financial instruments are
classified into one of three risk stages, depending on
current credit quality, or as purchased or originated
credit impaired (POCI).
POCI assets, which are credit impaired at initial
recognition, are accounted for at fair value
(i.e.\u00a0net\u00a0of\u00a0the initial lifetime ECLs) and do not carry
an\u00a0impairment allowance. Instead, a credit-adjusted
effective interest rate (EIR), which is calculated using
expected cash flows including initial lifetime ECLs,
is\u00a0applied to the amortised cost. Subsequently,
the\u00a0cumulative changes in lifetime ECLs since initial
recognition, which are discounted at
the\u00a0credit\u2011adjusted effective interest rate, are
recognised in the profit or loss statement as
an\u00a0impairment gain or loss, and presented under
impairment charges on financial instruments.
Once\u00a0a\u00a0financial 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 quality\u00a0
Audited
Change in credit quality since initial recognition
Stage 1
Stage 2
Stage 3
Performing
(Initial recognition)
Credit quality deteriorated
(Assets with significant increase in
credit risk since initial recognition)
Default = Impaired
(Credit impaired assets)
Recognition of ECL
12 month ECL
Lifetime ECL
Lifetime ECL
Interest income
Effective interest on
gross carrying amount
Effective interest on
gross carrying amount
Effective interest on amortised
cost (gross carrying amount less
loss allowance)
Classification in stage 2
We use quantitative and qualitative stage triggers
to\u00a0determine whether a financial instrument should be
classified as stage 1 or stage 2.
Quantitative stage triggers
The key quantitative metric that determines when
a\u00a0financial instrument is transferred from stage 1
to\u00a0stage 2 is the deterioration in the lifetime
probability of default (LPD) from the date
of\u00a0origination to the reporting date, based on internal
data. The LPD represents the likelihood that
a\u00a0counterparty will default during the lifetime
of\u00a0the\u00a0financial 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\u00a0relative difference between the remaining lifetime
PD at reporting (LPDR) and the remaining lifetime PD at
origination (LPDO) as LPDD = LPDR/LPDO. If the\u00a0LPD
deterioration of an exposure is above a\u00a0predefined
threshold, the LPD is considered to be significantly
deteriorated. The exposure is then transferred to stage\u00a02
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\u00a01.
When determining the\u00a0thresholds, 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\u00a0December 2024. The table
provides ranges because each product class uses
multiple ECL models, and thresholds are determined for
each ECL model.
Range of lifetime PD deterioration
thresholds\u00a0\u00a0
Audited
Product class
Range
Consumer lending
1.8x-5.2x
Residential mortgages
1.5x-2.1x
Corporate loans
1.3x-5.8x
Qualitative stage triggers
The bank transfers a financial instrument from stage 1
to stage 2 if the instrument meets any of the following
qualitative triggers:
\u2022 forborne status of a borrower
\u2022 watch status of a borrower. ABN AMRO assigns
the\u00a0watch status to counterparties with an increased
credit risk. This process comprises intensive
monitoring, early detection of deterioration
in\u00a0the\u00a0credit portfolio and appropriate follow-up
measures
\u2022 a delinquency-based regulatory backstop is
in\u00a0place, such that the credit risk of financial assets
that are more than 30 days past due will be
assumed to have significantly increased
Reclassification to stage 1
As a general rule, favourable changes in credit risk
are recognised consistently with unfavourable
changes, and a financial instrument is transferred
back to stage 1 if quantitative or qualitative triggers
are no longer met. In some cases, a probation period
applies:
\u2022 Forborne financial instruments are transferred
back from stage 2 to stage 1 only after
a\u00a0probation 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 3
A transfer to stage 3 will always be the result of
the\u00a0default of a financial instrument. The definition
of default for IFRS 9 is aligned with the regulatory
capital definition. 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\u00a0the\u00a0bank or
\u2022 the bank considers the borrower to be unlikely
to\u00a0meet its contractual obligations (unlikely
to\u00a0pay, or UTP)
The materiality of a financial obligation past due
is\u00a0assessed against an absolute and a relative
threshold, in line with regulatory standards.
To\u00a0determine unlikeliness to pay, the bank has
specified 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\u00a0UTP indications should result in a default
classification).
The mandatory triggers include the reporting of
a\u00a0forborne exposure under probation as
non\u2011performing for being 30 days past due or owing
to an additional forbearance measure being applied.
As a result, the definitions of non-performing and
default are materially aligned.
Reclassification to stage 2
The default classification for non-forborne
exposures ends when the default triggers no longer
apply and a probation or cure period of at least
three months has passed since the default trigger
was last applied. For forborne exposures,
a\u00a0twelve\u2011month 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\u00a0the credit quality is factual and permanent
(including, for example, no remaining past due
amounts).
Asset stages\u00a0\u00a0
Audited
Asset in scope?
YES
Purchased or originated credit impaired (POCI)?
NO
YES
Default trigger hit?
NO
YES
Lifetime PD significantly deteriorated?
NO
YES
Watch list
Forbearance (but not impaired)
NO
YES
Days past due
0-30
>30
Stage 1
Stage 2
Stage 3
Stage POCI
Calculation method
ABN AMRO recognises loss allowances based on
the\u00a0Expected 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\u00a0all expected cash shortfalls over the remaining life
of the financial instrument for both on- and
off\u2011balance 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\u00a02 and 3) for financial instruments that have
similar credit risk characteristics (e.g. residential
mortgages, consumer loans and SME loans); these
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\u00a0quantify the Probability of Loss (PL), Loss Given
Loss (LGL) and Exposure at Loss (EAL) for
the\u00a0purpose of calculating the collective 12-month
ECL and LECL for these financial instruments.
Lifetime expected credit loss
ABN AMRO defines the lifetime of credit as
the\u00a0maximum contractual period during which
the\u00a0bank is exposed to credit risk; we do not apply
a\u00a0longer period, even if that longer period is
consistent\u00a0with business practice. For some contracts,
such as overdraft facilities or credit cards, no end
date\u00a0is specified or amounts can be contractually
withdrawn by the lender at short notice. In these
cases, ABN\u00a0AMRO uses behavioural maturity models
that rely on historical client behaviour to determine
future expected exposures.
Forward-looking information
For expected credit loss calculations, ABN AMRO
uses\u00a0three different scenarios of future economic
developments: a baseline (or most likely) scenario,
a\u00a0negative scenario and a positive scenario. The three
scenarios are incorporated into the expected credit
loss calculation and risk stage determination
in\u00a0a\u00a0probability-weighted manner.
In order to\u00a0incorporate the latest economic outlook,
the\u00a0scenarios and their weights are reviewed
each\u00a0quarter and adjusted if necessary. Details
of\u00a0the\u00a0scenarios and their weights used in\u00a0the\u00a0reporting
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\u00a0assumed 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
them. This external benchmarking exercise is a standard
input to\u00a0the\u00a0Scenario Booklet that is presented to the
bank\u2019s Scenario and Stress Testing Committee for
approval. Group Economics also develops a negative
and a\u00a0positive scenario. These scenarios are designed
to\u00a0give 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 above institutions and other relevant
developments.
Management overlays and other adjustments
Where necessary to reflect credit risk dynamics not
captured by our models, management judgement is
applied via a management overlay or other IFRS\u00a09
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 by the Impairment and
Provision Committee (IPC). The main types
of\u00a0management overlays that ABN AMRO
distinguishes are: post-model adjustments
(adjustments to model outcomes), adjustments
in\u00a0the\u00a0weightings 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\u00a0same internal approval process.
Climate and environmental risks in ECL\u00a0
ESRS
In this developing discipline we are working
to\u00a0incorporate CER risk explicitly into ECL models.
Following our roadmap, 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.
For identifiable events with no or insufficient
provisioning, ECL-related management overlays can
be taken. We have taken two CER related overlays:
one for the potential impact the Dutch government\u2019s
nitrogen reducing measures will have on our clients
which is related to environmental transition risk
(EUR\u00a029 million), and another for climate transition
risk (EUR 19 million). Given the combination
of\u00a0macroeconomic scenarios and these management
overlays, we consider the bank adequately
provisioned for climate and environmental risks. For
more details on these overlays, please see Individual
and collective loan impairment allowances and
management overlays in the Credit risk review
section.
Cured financial assets
When a credit impaired financial asset cures,
the\u00a0interest 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
Under IFRS 9, \u2018write-off\u2019 refers to the process
of\u00a0recognising that a financial asset, or a portion of it,
is uncollectible and should be removed from
an\u00a0entity\u2019s balance sheet. This typically happens
when there is no reasonable expectation
of\u00a0recovering the asset, indicating that the entity has
exhausted all practical recovery efforts.
\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\u00a0default.
Such loans are written off after all the necessary
procedures have been completed and the amount
of\u00a0the loss has been determined. Subsequent
recoveries of amounts previously written off are
credited to impairment charges on financial
instruments in the income statement.
Accounting policy for offsetting financial
assets and liabilities \u00a0
Audited
Financial assets and liabilities are offset, and the net
amount is reported on the EU IFRS balance sheet, if
there is a legally enforceable right to offset
the\u00a0recognised 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
the\u00a0balances meet the applicable criteria.
Accounting policy for enforceable master
netting agreements or similar
instruments\u00a0\u00a0
Audited
Enforceable master netting arrangements take into
account all agreements containing conditions that
allow offsetting in the event of default. In addition,
agreements are enforceable if the bank has a legally
enforceable right to offset and no ability and/or
intention to realise the asset and settle the liability
simultaneously. These arrangements include
derivative clearing agreements, global master
repurchase agreements and global master securities
lending agreements.
1\u00a0 \u00a0 Accounting policies
The notes to the Consolidated Annual Financial Statements, including the audited information in the Risk, funding & capital
chapter, are an integral part of these Annual Financial Statements. This section describes ABN AMRO Bank\u2019s material
accounting policies and critical accounting estimates or judgements relating to the Annual Financial Statements. If
an\u00a0accounting policy or a critical accounting estimate relates to a specific note, it is included in the relevant note.
Material accounting policies
Basis of consolidation
The Consolidated Annual Financial Statements of ABN AMRO Bank N.V. include the financial statements of the parent
company and the entities it controls, thus incorporating the assets, liabilities, revenues and expenses
of\u00a0ABN\u00a0AMRO\u00a0Bank N.V. and its subsidiaries. Non-controlling interests (held by third parties) in the equity and results
of\u00a0group 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 currency
ABN AMRO applies IAS 21 The Effects of Changes in Foreign Exchange Rates. Transactions in foreign currencies are
translated into euros at the rate prevailing on the transaction date. Foreign currency balances of monetary items are
translated into euros at period-end exchange rates. Exchange gains and losses on such balances are recognised
in\u00a0the\u00a0income statement.
The Consolidated Annual Financial Statements are stated in euros, which is the presentation and functional currency
of\u00a0ABN AMRO. The bank\u2019s foreign operations may have different functional currencies. The functional currency is
the\u00a0currency 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\u00a0rate 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 liabilities
Classification and measurement of financial assets
ABN AMRO classifies financial assets based on the business model in which they are held in accordance with IFRS 9.
The business model is determined at portfolio level. Portfolios are based on how ABN AMRO manages financial assets
in order to achieve a particular business objective. The business model assessment is based on the level of sales, risk
management, performance evaluation and management compensation. Derecognition is used as a condition
to\u00a0determine 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\u00a0principal and interest (SPPI). Contractual cash flows that are SPPI are consistent with a basic lending arrangement
in\u00a0which 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\u00a0SPPI 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 chapter for our accounting policies relating to the measurement of expected
credit losses on financial instruments measured at amortised cost and FVOCI.
Classification of assets and liabilities held for trading
A financial asset or financial liability is classified as 'held for trading' if it is:
\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\u00a0a\u00a0recent 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 liabilities
Financial liabilities are initially recognised at their fair value minus transaction costs that are directly attributable
to\u00a0the\u00a0acquisition 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\u00a0credit risk of such liabilities is presented as liability own credit risk reserve in equity.
Financial liabilities are never reclassified after initial recognition.
Recognition and derecognition
Traded instruments are recognised on the trade date, which is defined as the date on which ABN AMRO commits
to\u00a0purchase 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\u00a0contractual 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\u00a0substantial 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\u00a0the\u00a0income 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\u00a0exchange 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\u00a0extinguishment of the original financial liability and recognition of a new financial liability. The difference between
the former amortised cost and the consideration paid is recognised in the income statement.
Client clearing
As a general clearing member, ABN AMRO provides clearing and settlement services to its clients for, among other
things, exchange-traded derivatives.
In its capacity as a clearing member, ABN AMRO guarantees the fulfilment of obligations towards central counterparty
clearing houses (CCPs) of clients\u2019 transactions. ABN AMRO is not liable to clients for the non-performance of the CCP.
In the event of a client defaulting, ABN AMRO has the legal obligation to settle all the client\u2019s positions with
the\u00a0relevant 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\u00a0CCPs, possible future outflows of resources for new clearing transactions are considered close to zero.
ABN AMRO does not reflect the exchange-traded derivatives cleared on behalf of clients in its financial statements.
Under normal circumstances, the guarantee has no fair value and is not recognised in the financial statements. Any
loss recognised in the event of non-performance of a client is in line with our contingent liabilities policy.
Offsetting
The bank offsets financial assets and liabilities and the net amount reported in the statement of financial position if it is
legally entitled to set off the recognised amounts and intends to settle on a net basis, or to realise the asset and settle
the liability simultaneously.
Statement of cash flows
For the purposes of the statement of cash flows, cash and cash equivalents comprise cash in hand, freely available
balances with central banks and other banks, and net balances on current accounts with other banks with a maturity
of\u00a0less than three months from the date of acquisition. The statement of cash flows, based on the indirect method
of\u00a0calculating 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\u00a0borrowing and repayment of long-term funds are treated as financing activities. Cash flows arising from foreign
currency transactions are translated into euros using the exchange rates at the date of the cash flows.
Government grants
Government grants are recognised in the income statement on a systematic basis over the periods that the related
expenses, which the grants are intended to compensate, are recognised. In the case of an income-related grant,
the\u00a0grant is deducted from the related expense.
Levies and other regulatory charges
ABN AMRO recognises a liability arising from levies and similar charges when it becomes legally enforceable (i.e. when
the obligating event arises).
2\u00a0 \u00a0 Segment reporting
Accounting policy for segment reporting
ABN AMRO\u2019s segment reporting is in accordance with IFRS 8 Operating Segments and consistent with
the\u00a0internal 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\u00a0performance measure.
4\u00a0 \u00a0 Net interest income
Accounting policy for net interest income
Interest 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\u00a0expected 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\u00a0net 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\u00a0 \u00a0 Net fee and commission income
Accounting policy for net fee and commission income
ABN AMRO applies IFRS 15 when recognising revenue from contracts with clients, all of which is included in net
fee and commission income. After identifying contracts and their performance obligations, revenue is
recognised as an amount that reflects the consideration to which the bank expects to be entitled in exchange for
transferring promised services to clients. The transaction price is allocated to each performance obligation.
Revenue is measured at the fair value of the consideration received, taking into account discounts and rebates.
The amount of revenue recognised is discounted to the present value of 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\u00a0 \u00a0 Net income from other operating activities
Accounting policy for other operating income
Other operating income includes all other banking activities such as operating lease activities as lessor and
results on the disposal of assets. It also includes the change in fair value of derivatives used for risk management
purposes that do not meet the requirements for hedge accounting, ineffectiveness of hedging programmes, fair
value changes relating to assets and liabilities measured at fair value through profit or loss, and changes
in\u00a0the\u00a0value of derivatives related to such instruments. Dividend income from non-trading equity investments is
recognised when entitlement is established. Income from operating lease activities is presented separately from
the depreciation expense of the related assets.
7\u00a0 \u00a0 Net trading income
Accounting policy for net trading income
In accordance with IFRS 9, trading positions are held at fair value, and net trading income includes gains and
losses arising from changes in the fair value of such financial assets and liabilities. The latter comprises gains and
losses from trading financial assets and liabilities, interest income and expenses related to trading financial
assets and liabilities, and dividends received from trading instruments. Dividend income and dividends from
trading instruments are recognised at the dividend announcement date. Net trading income also includes
changes in fair value arising from changes in counterparty credit spreads (CVA) and changes in own credit
spreads (DVA) where these 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\u00a0 \u00a0 Net gains/(losses) on derecognition of financial assets measured at amortised cost
Accounting policy derecognition of financial assets
The net gains/(losses) on derecognition of financial assets measured at amortised cost includes gains and losses
recognised on the sale or derecognition of these financial assets, calculated as the difference between the
carrying amount (which is the amortised cost adjusted for the loss allowance) and the proceeds received.
9\u00a0 \u00a0 Personnel expenses
Accounting policy for personnel expenses
Salaries and wages, social security charges and other salary-related costs are recognised over the period
in\u00a0which 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\u00a0 General and administrative expenses
Accounting policy for general and administrative expenses
Costs are recognised in the period in which services have been provided and to which the payment relates.
11\u00a0 Income tax expense, tax assets and tax liabilities
Accounting policy for income tax expense, tax assets and tax liabilities
Income tax expense consists of current and deferred tax. Income tax is recognised in the income statement and
in\u00a0the 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\u00a0deferred 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.
Most of the jurisdictions in which ABN AMRO operates introduced Pillar Two legislation in 2023. ABN AMRO expects
to\u00a0be able to make use of (transitional) safe harbour rules in most jurisdictions. The only exceptions expected are
Hong\u00a0Kong and Singapore, for which an amount of EUR 5 million top-up tax was accrued and disclosed as part
of\u00a0current tax expenses in 2024.
13\u00a0 Cash and balances at central banks
Accounting policy for cash and balances at central banks
Cash and balances at central banks are held at amortised cost. This item includes cash on hand and available
demand deposits with central banks in countries in which the bank has a presence. Mandatory reserve deposits
are disclosed in Note 20 - Loans and advances banks.
14\u00a0 Financial assets and liabilities held for trading
Accounting policy for financial assets and liabilities held for trading
In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or
loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement.
15\u00a0 Derivatives
Accounting policy for derivatives
A derivative is a financial instrument or other contract within the scope of IFRS 9 with all three of the following
characteristics:
\u2022 its value changes in response to the change in a specified interest rate, financial instrument price, commodity
price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided
in\u00a0the case of a non-financial variable that the variable is not specific to a party to the contract (sometimes
called the \u2018underlying\u2019)
\u2022 it requires no initial net investment or an initial net investment that is smaller than would be required for other
types of contracts that would be expected to have a similar response to changes in market factors
\u2022 it is settled at a future date
Derivatives are recorded at fair value.
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\u00a0the statement of financial position in either 2024 or 2023.
16\u00a0 Hedge accounting
Accounting policy for hedge accounting
ABN AMRO enters into various derivative and non-derivative instrument transactions with external parties
to\u00a0hedge risks on assets, liabilities, highly probable forecasted transactions 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\u00a0non-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\u00a0asset, a liability, or a net investment in a foreign operation that (a) exposes the entity to the risk of changes
in\u00a0fair 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 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 Union
As permitted by IFRS 9 paragraph 7.2.21, ABN AMRO has elected to continue applying the requirements of IAS 39
as endorsed by the European Union instead of applying the hedge accounting requirements of IFRS 9.
The\u00a0EU\u2011endorsed version of IAS 39 provides relief from certain hedge accounting requirements when compared
to\u00a0the 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\u00a0over\u2011hedging. This relief is applied in the macro fair value hedge.
Fair value hedges
ABN AMRO applies fair value hedge accounting on individual hedged items (micro fair value hedging), as well as
on a portfolio of hedged items (macro fair value hedging). Where a derivative financial instrument hedges
the\u00a0exposure 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\u00a0the\u00a0hedging instrument are different from the changes in the fair value of the hedged item. When a fair value
hedge of interest rate risk is terminated, any value adjustment to the carrying amount of the hedged item is
amortised to profit or loss over the original designated hedging period, or taken directly to income if the hedged
item is derecognised.
\"\"
Micro fair value hedge accounting
Hedging instruments designated in individual fair value hedge relationships principally consist of interest rate
swaps, interest rate options and cross-currency interest rate swaps that are used to protect against changes
in\u00a0the\u00a0fair 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
\u2022 potential differences in maturities of the interest rate swap and the loans or notes
Macro fair value hedge accounting
ABN AMRO manages the interest rate risk arising from fixed-rate mortgages by entering into interest rate swaps.
The exposure from this portfolio changes frequently 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\u2011designated 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\u00a0interest 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\u00a0the\u00a0mortgages. The recognised fair value changes in the mortgages partially offset the changes in fair value
of\u00a0the 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\u00a0the\u00a0extent 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 hedges
ABN AMRO applies cash flow hedge accounting to a portfolio of future cash flows on banking book assets and
liabilities \u2013 the hedged items \u2013 and a portfolio of interest rate swaps \u2013 the hedging instruments. The hedge
relationship is reviewed on a monthly basis and the hedging instruments and hedged items are de-designated or
re-designated, if necessary, to maintain an effective hedge accounting relationship.\u00a0
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\u00a0other operating income. When a cash flow hedging instrument or hedge relationship is terminated but
the\u00a0hedged transaction is still expected to occur, the accumulated gains or losses continue to be recognised
in\u00a0other comprehensive income and are transferred to the income statement when the hedged transaction affects
profit or loss.\u00a0
The gains or losses are included in the same line item as the hedged transaction. In the exceptional case that
the\u00a0hedged 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\u00a0different 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\u00a0the\u00a0designation. Back-testing is performed on the interest rate risk models. Historical data are used to review
the assumptions applied.
\"\"
Hedges of net investments in foreign operations
ABN AMRO may enter into foreign currency derivatives and currency borrowings to hedge various net
investments in foreign operations. For such hedges, currency translation differences arising on translation
of\u00a0the\u00a0currency 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.\u00a0
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.\u00a0
Hedges not qualifying for hedge accounting
The fair value changes of derivative transactions used to hedge against economic risk exposures that do not
qualify for hedge accounting, or for which it is not cost-beneficial to apply hedge accounting, are recognised
directly in profit or loss.
17\u00a0 Financial investments
Accounting policy for financial investments
Financial investments include financial instruments measured at fair value through other comprehensive income
(FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL).
Accounting policy for financial instruments measured at fair value through other
comprehensive income
Unrealised gains and losses on FVOCI assets are recognised directly in other comprehensive income, net
of\u00a0applicable 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\u00a0the income statement. The impairment loss resulting from the ECL on FVOCI debt instruments is recognised
in\u00a0the 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\u00a0AMRO\u2019s impairment assessment and measurement approach for FVOCI debt instruments is set
out in the Credit risk management section of the Risk, funding & capital management chapter. Fair value changes
in equity instruments that are irrevocably designated as FVOCI upon initial recognition are recognised in other
comprehensive income and not subsequently reclassified to the income statement.
Accounting policy for financial instruments measured at fair value through profit and loss
Financial investments can be designated at FVTPL if doing so eliminates or significantly reduces a measurement
or recognition inconsistency (an accounting mismatch). ABN AMRO also has financial instruments that are
mandatorily measured at fair value because they do not meet the SPPI test.
18\u00a0 Securities financing
Accounting policy for securities financing
Securities financing is measured at amortised cost. Securities financing consists of securities borrowing and
lending and sale and repurchase transactions. Securities borrowing and securities lending transactions are
generally entered into on a collateralised basis, with securities usually advanced or received as collateral.
The\u00a0transfer 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\u00a0banks or customers). The market value of the securities borrowed or lent is monitored on a daily basis, and
the\u00a0collateral 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\u00a0underlying 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\u00a0 Fair value of financial instruments carried at fair value
Accounting policy for fair value of financial instruments
The fair value is defined as the price that would be received when selling an asset or paid when transferring
a\u00a0liability 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\u00a0the\u00a0pricing 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\u00a0arrive at a fair value are as follows:
\u2022 Bid-ask adjustments. If the model calculates a mid-market price, it is adjusted to take into account the relevant
bid-offer spread.
\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\u00a0AMRO\u2019s creditworthiness respectively.
\u2022 Liquidity adjustments. ABN AMRO uses different techniques to determine the price or input parameters
of\u00a0the\u00a0pricing model dependent on the liquidity in the market.
\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\u00a0 Loans and advances banks
Accounting policy for loans and advances banks and customers
Loans and advances banks, and loans and advances customers, are held in a \u2018hold to collect\u2019 business model.
Loans and advances for which the contractual cash flows are solely payments of principal and interest (SPPI) are
measured at amortised cost, i.e. fair value at initial recognition, adjusted for repayment and amortisation
of\u00a0coupon, 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 section in the Risk, funding &
capital chapter (Accounting policy for measuring allowances for credit losses).
21\u00a0 Loans and advances customers
Accounting policy for loans and advances customers
The accounting policy for loans and advances customers is included in Note 20 - Loans and advances banks.
Please refer to Note 1 - Accounting policies in the Consolidated Annual Financial Statements and to the Credit
risk management section of the Risk, funding & capital chapter (Accounting policy for measuring allowances for
credit losses).
22\u00a0 Fair value of financial instruments not carried at fair value
Accounting policy for fair value of financial instruments not carried at fair value
The categorisation and valuation of financial instruments not carried at fair value is determined in accordance
with the accounting policies set out in Note 19 - Fair value of financial instruments carried at fair value.
23\u00a0 Group structure
Accounting policy for business combinations
ABN AMRO accounts for business combinations using the acquisition method when control is transferred
to\u00a0the\u00a0bank. 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\u00a0connection 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\u00a0stages, 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 subsidiaries
ABN AMRO\u2019s subsidiaries are those entities which it directly or indirectly controls. Control over an entity is
evidenced by ABN AMRO\u2019s ability to exercise its power in order to affect the variable returns that it is exposed
to\u00a0through 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\u00a0controls 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\u00a0the 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\u00a0AMRO 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\u00a0the 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\u00a0which 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 ventures
Associates are those entities in which ABN AMRO has significant influence on, but no control or joint control
over, the operating and financial policies. Significant influence is generally presumed when ABN AMRO holds
between 20% and 50% of the voting rights. Potential voting rights that are currently exercisable are considered
in assessing whether ABN AMRO has significant influence. Among other factors, representation on the board
of\u00a0directors, participation in the policy-making process and material transactions between the entity and
the\u00a0investee are considered when determining significant influence.
\"\"
A joint venture is an investment in which two or more parties have contractually agreed to share control over
the\u00a0investment. 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\u00a0the 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\u00a0the\u00a0extent 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\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for property and equipment
Property 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\u00a0impairment. 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\u00a0following 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\u00a0circumstances. Capitalised leasehold improvements are depreciated in a manner that takes into account
the\u00a0term 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 assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
\"\"
Accounting policy for leases
Lessor accounting
Where ABN AMRO acts as lessor, a distinction is made between operating and finance leases. Leases where
the\u00a0bank 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 accounting
All leases, except for low-value leases and leases with a duration of less than one year, are recognised on
the\u00a0balance 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\u00a0the 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\u00a0the\u00a0sum 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, a change in lease payments
due to a change in an index or 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\u00a0separate 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\u00a0the 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\u00a0tangible 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 transactions
In a sale and leaseback transaction, the seller/lessee transfers an underlying asset to the buyer/lessor and leases
that asset back from the buyer/lessor.
Seller/lessee accounting
If the bank is involved in a sale and leaseback transaction as a seller/lessee, the accounting policy described
below is from the perspective of a seller/lessee. To determine how to account for a sale and leaseback
transaction, the bank first considers whether the initial transfer of the underlying asset from the seller/lessee
to\u00a0the 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\u00a0leaseback is measured based on the proportion of the previous carrying amount of the asset that relates
to\u00a0the 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\u00a0residual 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\u00a0the\u00a0sale-and-leaseback transaction. If this does not equal the fair value of the underlying asset, or if
the\u00a0payments for the lease are not at market rates, the bank makes adjustments to recognise the sale proceeds
at the fair value.
Any below-market terms are recognised as a prepayment of lease payments and any above-market terms are
recognised as additional financing provided by the buyer/lessor to the seller/lessee.
Accounting policy for intangible assets
Goodwill
Goodwill is capitalised and stated at cost, being the excess of the consideration paid over the fair value
of\u00a0ABN\u00a0AMRO\u2019s share of the acquired entity\u2019s net identifiable assets at the acquisition date, less any accumulated
impairment losses. For the purpose of calculating goodwill, the fair values of acquired assets, liabilities and
contingent liabilities are determined by reference to market values or by discounting expected future cash flows
to present value. Goodwill is not amortised, but is reviewed annually for impairment, or more frequently if there
are indications that impairment may have occurred. In the test, the carrying amount of goodwill is compared
with the higher of the fair value less costs to sell and the value in use, being the present value of the cash flows
discounted at a pre-tax discount rate that reflects the risk of the cash-generating unit to which the goodwill
relates. Impairment losses are recognised in the income statement as depreciation and amortisation expense
and are irreversible.
Software and other intangible assets
The accounting policy for software and other intangible assets is determined by IAS 38 Intangible assets.
Software is amortised over a period of three years, unless it is classified as core application software, which is
amortised over its estimated useful life, set at a maximum of seven years. For own-developed software, only
the\u00a0development 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\u00a0 Non-current assets and disposal groups held for sale
Accounting policy for non-current assets and disposal groups held for sale
Non-current assets and/or businesses are classified as held for sale if their carrying amount is to be recovered
principally by selling them within 12 months, rather than through ongoing use. Assets held for sale (other than
financial instruments) are not depreciated and are measured at the lower of their carrying amount and fair value,
less costs to sell. Assets and liabilities of a business held for sale are presented separately in the consolidated
statement of financial position.
27\u00a0 Due to banks
Accounting policy for due to banks and due to customers
Amounts due to banks and customers are held at amortised cost. That is, at fair value upon initial recognition,
adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate
of\u00a0the instrument.
28\u00a0 Due to customers
Accounting policy for due to customers
The accounting policy for amounts due to customers is set out in Note 27 - Due to banks.
29\u00a0 Issued debt and subordinated liabilities
Accounting policy for issued debt and subordinated liabilities
Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate
method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be
measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce
an\u00a0accounting mismatch, are managed on the basis of their fair value or include terms that qualify as
an\u00a0embedded 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\u00a0substance 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\u00a0credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt
measured at fair value through profit or loss is valued at market prices.
Fair value changes are calculated based on a yield curve generated from observed external pricing for funding
and quoted CDS spreads
30\u00a0 Provisions
Accounting policy for provisions
A provision is recognised in the balance sheet when ABN AMRO has a legal or constructive obligation as a result
of a past event, and it is more likely than not that an outflow of economic benefits will be required to settle
the\u00a0obligation, 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. In cases where ABN AMRO expects
disclosure of legal proceedings on a case-by-case basis to seriously prejudice its position, it only discloses
the\u00a0general nature of the dispute.
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\u00a0implement 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\u00a0payment. Expected credit loss allowances of loan commitments and financial guarantees are recognised as
provisions under IFRS 9.
31\u00a0 Pension and other employee benefits
Accounting policy for pension and other employee benefits
ABN AMRO sponsors a number of pension schemes in the Netherlands and abroad. These schemes are mainly
defined contribution plans. The majority of the beneficiaries of the plans are located in the Netherlands.
Defined contribution plans
For defined contribution plans, ABN AMRO pays annual contributions determined by a fixed method and has no
legal or constructive obligation to pay any further contributions. Contributions are recognised directly
in\u00a0the\u00a0income statement in the year to which they relate. Actuarial and investment risk are for the account
of\u00a0the\u00a0participants in the plan.
Defined benefit plans
For defined benefit plans, the net obligation of each plan is the difference between the present value
of\u00a0the\u00a0defined 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
\u2022 curtailments or plan amendments
Differences between pension costs and pension contributions payable are accounted for as provisions or
prepayments.
Remeasurement
Remeasurements of the net defined benefit liability (asset) are actuarial gains and losses resulting from changes
in actuarial assumptions and experience adjustments (i.e. unexpectedly high or low rates of employee turnover).
They are recognised in other comprehensive income and are not recycled to profit or loss in later periods.
The\u00a0actual return on the pension plan\u2019s assets is determined after deduction of the costs of managing the assets
and any tax payable by the pension plan itself.
Other employee benefits
Some group companies provide post-retirement benefits to their retirees, such as long-term service benefits and
discounts on banking products. Entitlement to these benefits is usually conditional on the employee remaining
in\u00a0service 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\u00a0 Equity
Share capital and other components of equity
Ordinary shares
As at 31 December 2024, all shares in the capital of ABN AMRO Bank N.V. were held by two foundations: NLFI
and STAK AAB.
Compound financial instruments
Components of compound financial instruments (liability and equity parts) are classified in their respective areas
of the statement of financial position.
Currency translation reserve
The currency translation reserve represents cumulative gains and losses on the translation of our net investment
in foreign operations, net of the effect of hedging.
Fair value reserve
Under IFRS 9, the fair value reserve includes the gains and losses, net of tax, resulting from a change in the fair
value of debt instruments measured at FVOCI. When the instruments are sold or otherwise disposed of,
the\u00a0related cumulative gain or loss recognised in equity is recycled to the income statement.
Cash flow hedging reserve
The cash flow hedging reserve comprises the effective portion of the cumulative net change in the fair value
of\u00a0cash 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 reserve
Under IFRS 9, the changes in fair value attributable to changes in the own credit risk of financial liabilities
designated at FVTPL are presented in other comprehensive income. The cumulative amount of changes in fair
value attributable to credit risk of such liabilities is presented as liability own credit risk reserve in equity.
Other reserves
Other reserves mainly comprise retained earnings and profit for the period.
Dividends
Dividends on ordinary shares classified as equity are recognised as a distribution of equity in the period in which
they are approved by shareholders.
Capital securities
Undated, deeply subordinated, resettable, callable capital securities are classified as additional tier 1 (AT1)
capital, under total equity. ABN AMRO Bank has the European Central Bank\u2019s permission to carry out limited
repurchases from investors and to sell back in the market.
34\u00a0 Transferred, pledged, encumbered and restricted assets
Accounting policy for transferred, pledged and encumbered assets
Transferred 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\u00a0obligation 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 the latter is
based on the legal terms such as title transfer while the former is based on economic principles.
35\u00a0 Commitments and contingent liabilities
Accounting policy for off-balance sheet items
Commitments
Loan commitments that allow for draw-down of a loan within the timeframe generally established by regulation
or convention in the marketplace are not recognised as derivative financial instruments. Acceptances comprise
undertakings by ABN AMRO to pay bills of exchange drawn on clients. ABN AMRO expects most acceptances
to\u00a0be settled simultaneously with the reimbursement from clients. Acceptances are not recognised
in\u00a0the\u00a0balance sheet and are disclosed as commitments.
Financial guarantee contracts
A financial guarantee contract requires the issuer to make specified payments to reimburse the holder for a loss
it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt
instrument. Initial recognition of financial guarantee contracts is at their fair value. Subsequent measurement is
at the higher of the amount of the expected credit loss and the amount initially recognised, less \u2013 when
appropriate \u2013 the cumulative amount of income recognised in the income statement.
Contingent liabilities
Contingent liabilities are possible obligations whose existence will be confirmed only by uncertain future events,
and present obligations where the transfer of economic resources is uncertain or cannot be reliably measured.
Contingent liabilities are not recognised in the balance sheet, but disclosed if the likelihood of an outflow
of\u00a0economic 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\u00a0 Share-based payment
Accounting policy for share-based payment
Identified 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\u00a0accordance 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\u00a0requesting 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 years 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\u00a0remaining 20% vests in four equal tranches in the second, third, fourth and fifth year following
the\u00a0performance 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.
", "dimensions": { "concept": "ifrs-full:DisclosureOfMaterialAccountingPolicyInformationExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-9": { "value": "
Accounting policy for measuring allowances
for expected credit losses (ECL)
Audited
The IFRS 9 impairment requirements are applicable
to financial assets measured at amortised cost or fair
value through other comprehensive income (FVOCI),
loan commitments, lease receivables and contract
assets and financial guarantee contracts. At each
reporting date, these financial instruments are
classified into one of three risk stages, depending on
current credit quality, or as purchased or originated
credit impaired (POCI).
POCI assets, which are credit impaired at initial
recognition, are accounted for at fair value
(i.e.\u00a0net\u00a0of\u00a0the initial lifetime ECLs) and do not carry
an\u00a0impairment allowance. Instead, a credit-adjusted
effective interest rate (EIR), which is calculated using
expected cash flows including initial lifetime ECLs,
is\u00a0applied to the amortised cost. Subsequently,
the\u00a0cumulative changes in lifetime ECLs since initial
recognition, which are discounted at
the\u00a0credit\u2011adjusted effective interest rate, are
recognised in the profit or loss statement as
an\u00a0impairment gain or loss, and presented under
impairment charges on financial instruments.
Once\u00a0a\u00a0financial 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 quality\u00a0
Audited
Change in credit quality since initial recognition
Stage 1
Stage 2
Stage 3
Performing
(Initial recognition)
Credit quality deteriorated
(Assets with significant increase in
credit risk since initial recognition)
Default = Impaired
(Credit impaired assets)
Recognition of ECL
12 month ECL
Lifetime ECL
Lifetime ECL
Interest income
Effective interest on
gross carrying amount
Effective interest on
gross carrying amount
Effective interest on amortised
cost (gross carrying amount less
loss allowance)
Classification in stage 2
We use quantitative and qualitative stage triggers
to\u00a0determine whether a financial instrument should be
classified as stage 1 or stage 2.
Quantitative stage triggers
The key quantitative metric that determines when
a\u00a0financial instrument is transferred from stage 1
to\u00a0stage 2 is the deterioration in the lifetime
probability of default (LPD) from the date
of\u00a0origination to the reporting date, based on internal
data. The LPD represents the likelihood that
a\u00a0counterparty will default during the lifetime
of\u00a0the\u00a0financial 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\u00a0relative difference between the remaining lifetime
PD at reporting (LPDR) and the remaining lifetime PD at
origination (LPDO) as LPDD = LPDR/LPDO. If the\u00a0LPD
deterioration of an exposure is above a\u00a0predefined
threshold, the LPD is considered to be significantly
deteriorated. The exposure is then transferred to stage\u00a02
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\u00a01.
When determining the\u00a0thresholds, 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\u00a0December 2024. The table
provides ranges because each product class uses
multiple ECL models, and thresholds are determined for
each ECL model.
Range of lifetime PD deterioration
thresholds\u00a0\u00a0
Audited
Product class
Range
Consumer lending
1.8x-5.2x
Residential mortgages
1.5x-2.1x
Corporate loans
1.3x-5.8x
Qualitative stage triggers
The bank transfers a financial instrument from stage 1
to stage 2 if the instrument meets any of the following
qualitative triggers:
\u2022 forborne status of a borrower
\u2022 watch status of a borrower. ABN AMRO assigns
the\u00a0watch status to counterparties with an increased
credit risk. This process comprises intensive
monitoring, early detection of deterioration
in\u00a0the\u00a0credit portfolio and appropriate follow-up
measures
\u2022 a delinquency-based regulatory backstop is
in\u00a0place, such that the credit risk of financial assets
that are more than 30 days past due will be
assumed to have significantly increased
Reclassification to stage 1
As a general rule, favourable changes in credit risk
are recognised consistently with unfavourable
changes, and a financial instrument is transferred
back to stage 1 if quantitative or qualitative triggers
are no longer met. In some cases, a probation period
applies:
\u2022 Forborne financial instruments are transferred
back from stage 2 to stage 1 only after
a\u00a0probation 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 3
A transfer to stage 3 will always be the result of
the\u00a0default of a financial instrument. The definition
of default for IFRS 9 is aligned with the regulatory
capital definition. 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\u00a0the\u00a0bank or
\u2022 the bank considers the borrower to be unlikely
to\u00a0meet its contractual obligations (unlikely
to\u00a0pay, or UTP)
The materiality of a financial obligation past due
is\u00a0assessed against an absolute and a relative
threshold, in line with regulatory standards.
To\u00a0determine unlikeliness to pay, the bank has
specified 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\u00a0UTP indications should result in a default
classification).
The mandatory triggers include the reporting of
a\u00a0forborne exposure under probation as
non\u2011performing for being 30 days past due or owing
to an additional forbearance measure being applied.
As a result, the definitions of non-performing and
default are materially aligned.
Reclassification to stage 2
The default classification for non-forborne
exposures ends when the default triggers no longer
apply and a probation or cure period of at least
three months has passed since the default trigger
was last applied. For forborne exposures,
a\u00a0twelve\u2011month 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\u00a0the credit quality is factual and permanent
(including, for example, no remaining past due
amounts).
Asset stages\u00a0\u00a0
Audited
Asset in scope?
YES
Purchased or originated credit impaired (POCI)?
NO
YES
Default trigger hit?
NO
YES
Lifetime PD significantly deteriorated?
NO
YES
Watch list
Forbearance (but not impaired)
NO
YES
Days past due
0-30
>30
Stage 1
Stage 2
Stage 3
Stage POCI
Calculation method
ABN AMRO recognises loss allowances based on
the\u00a0Expected 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\u00a0all expected cash shortfalls over the remaining life
of the financial instrument for both on- and
off\u2011balance 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\u00a02 and 3) for financial instruments that have
similar credit risk characteristics (e.g. residential
mortgages, consumer loans and SME loans); these
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\u00a0quantify the Probability of Loss (PL), Loss Given
Loss (LGL) and Exposure at Loss (EAL) for
the\u00a0purpose of calculating the collective 12-month
ECL and LECL for these financial instruments.
Lifetime expected credit loss
ABN AMRO defines the lifetime of credit as
the\u00a0maximum contractual period during which
the\u00a0bank is exposed to credit risk; we do not apply
a\u00a0longer period, even if that longer period is
consistent\u00a0with business practice. For some contracts,
such as overdraft facilities or credit cards, no end
date\u00a0is specified or amounts can be contractually
withdrawn by the lender at short notice. In these
cases, ABN\u00a0AMRO uses behavioural maturity models
that rely on historical client behaviour to determine
future expected exposures.
Forward-looking information
For expected credit loss calculations, ABN AMRO
uses\u00a0three different scenarios of future economic
developments: a baseline (or most likely) scenario,
a\u00a0negative scenario and a positive scenario. The three
scenarios are incorporated into the expected credit
loss calculation and risk stage determination
in\u00a0a\u00a0probability-weighted manner.
In order to\u00a0incorporate the latest economic outlook,
the\u00a0scenarios and their weights are reviewed
each\u00a0quarter and adjusted if necessary. Details
of\u00a0the\u00a0scenarios and their weights used in\u00a0the\u00a0reporting
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\u00a0assumed 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
them. This external benchmarking exercise is a standard
input to\u00a0the\u00a0Scenario Booklet that is presented to the
bank\u2019s Scenario and Stress Testing Committee for
approval. Group Economics also develops a negative
and a\u00a0positive scenario. These scenarios are designed
to\u00a0give 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 above institutions and other relevant
developments.
Management overlays and other adjustments
Where necessary to reflect credit risk dynamics not
captured by our models, management judgement is
applied via a management overlay or other IFRS\u00a09
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 by the Impairment and
Provision Committee (IPC). The main types
of\u00a0management overlays that ABN AMRO
distinguishes are: post-model adjustments
(adjustments to model outcomes), adjustments
in\u00a0the\u00a0weightings 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\u00a0same internal approval process.
Climate and environmental risks in ECL\u00a0
ESRS
In this developing discipline we are working
to\u00a0incorporate CER risk explicitly into ECL models.
Following our roadmap, 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.
For identifiable events with no or insufficient
provisioning, ECL-related management overlays can
be taken. We have taken two CER related overlays:
one for the potential impact the Dutch government\u2019s
nitrogen reducing measures will have on our clients
which is related to environmental transition risk
(EUR\u00a029 million), and another for climate transition
risk (EUR 19 million). Given the combination
of\u00a0macroeconomic scenarios and these management
overlays, we consider the bank adequately
provisioned for climate and environmental risks. For
more details on these overlays, please see Individual
and collective loan impairment allowances and
management overlays in the Credit risk review
section.
Cured financial assets
When a credit impaired financial asset cures,
the\u00a0interest 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
Under IFRS 9, \u2018write-off\u2019 refers to the process
of\u00a0recognising that a financial asset, or a portion of it,
is uncollectible and should be removed from
an\u00a0entity\u2019s balance sheet. This typically happens
when there is no reasonable expectation
of\u00a0recovering the asset, indicating that the entity has
exhausted all practical recovery efforts.
\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\u00a0default.
Such loans are written off after all the necessary
procedures have been completed and the amount
of\u00a0the loss has been determined. Subsequent
recoveries of amounts previously written off are
credited to impairment charges on financial
instruments in the income statement.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfFinancialAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-8": { "value": "
Accounting policy for measuring allowances
for expected credit losses (ECL)
Audited
The IFRS 9 impairment requirements are applicable
to financial assets measured at amortised cost or fair
value through other comprehensive income (FVOCI),
loan commitments, lease receivables and contract
assets and financial guarantee contracts. At each
reporting date, these financial instruments are
classified into one of three risk stages, depending on
current credit quality, or as purchased or originated
credit impaired (POCI).
POCI assets, which are credit impaired at initial
recognition, are accounted for at fair value
(i.e.\u00a0net\u00a0of\u00a0the initial lifetime ECLs) and do not carry
an\u00a0impairment allowance. Instead, a credit-adjusted
effective interest rate (EIR), which is calculated using
expected cash flows including initial lifetime ECLs,
is\u00a0applied to the amortised cost. Subsequently,
the\u00a0cumulative changes in lifetime ECLs since initial
recognition, which are discounted at
the\u00a0credit\u2011adjusted effective interest rate, are
recognised in the profit or loss statement as
an\u00a0impairment gain or loss, and presented under
impairment charges on financial instruments.
Once\u00a0a\u00a0financial 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 quality\u00a0
Audited
Change in credit quality since initial recognition
Stage 1
Stage 2
Stage 3
Performing
(Initial recognition)
Credit quality deteriorated
(Assets with significant increase in
credit risk since initial recognition)
Default = Impaired
(Credit impaired assets)
Recognition of ECL
12 month ECL
Lifetime ECL
Lifetime ECL
Interest income
Effective interest on
gross carrying amount
Effective interest on
gross carrying amount
Effective interest on amortised
cost (gross carrying amount less
loss allowance)
Classification in stage 2
We use quantitative and qualitative stage triggers
to\u00a0determine whether a financial instrument should be
classified as stage 1 or stage 2.
Quantitative stage triggers
The key quantitative metric that determines when
a\u00a0financial instrument is transferred from stage 1
to\u00a0stage 2 is the deterioration in the lifetime
probability of default (LPD) from the date
of\u00a0origination to the reporting date, based on internal
data. The LPD represents the likelihood that
a\u00a0counterparty will default during the lifetime
of\u00a0the\u00a0financial 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\u00a0relative difference between the remaining lifetime
PD at reporting (LPDR) and the remaining lifetime PD at
origination (LPDO) as LPDD = LPDR/LPDO. If the\u00a0LPD
deterioration of an exposure is above a\u00a0predefined
threshold, the LPD is considered to be significantly
deteriorated. The exposure is then transferred to stage\u00a02
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\u00a01.
When determining the\u00a0thresholds, 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\u00a0December 2024. The table
provides ranges because each product class uses
multiple ECL models, and thresholds are determined for
each ECL model.
Range of lifetime PD deterioration
thresholds\u00a0\u00a0
Audited
Product class
Range
Consumer lending
1.8x-5.2x
Residential mortgages
1.5x-2.1x
Corporate loans
1.3x-5.8x
Qualitative stage triggers
The bank transfers a financial instrument from stage 1
to stage 2 if the instrument meets any of the following
qualitative triggers:
\u2022 forborne status of a borrower
\u2022 watch status of a borrower. ABN AMRO assigns
the\u00a0watch status to counterparties with an increased
credit risk. This process comprises intensive
monitoring, early detection of deterioration
in\u00a0the\u00a0credit portfolio and appropriate follow-up
measures
\u2022 a delinquency-based regulatory backstop is
in\u00a0place, such that the credit risk of financial assets
that are more than 30 days past due will be
assumed to have significantly increased
Reclassification to stage 1
As a general rule, favourable changes in credit risk
are recognised consistently with unfavourable
changes, and a financial instrument is transferred
back to stage 1 if quantitative or qualitative triggers
are no longer met. In some cases, a probation period
applies:
\u2022 Forborne financial instruments are transferred
back from stage 2 to stage 1 only after
a\u00a0probation 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 3
A transfer to stage 3 will always be the result of
the\u00a0default of a financial instrument. The definition
of default for IFRS 9 is aligned with the regulatory
capital definition. 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\u00a0the\u00a0bank or
\u2022 the bank considers the borrower to be unlikely
to\u00a0meet its contractual obligations (unlikely
to\u00a0pay, or UTP)
The materiality of a financial obligation past due
is\u00a0assessed against an absolute and a relative
threshold, in line with regulatory standards.
To\u00a0determine unlikeliness to pay, the bank has
specified 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\u00a0UTP indications should result in a default
classification).
The mandatory triggers include the reporting of
a\u00a0forborne exposure under probation as
non\u2011performing for being 30 days past due or owing
to an additional forbearance measure being applied.
As a result, the definitions of non-performing and
default are materially aligned.
Reclassification to stage 2
The default classification for non-forborne
exposures ends when the default triggers no longer
apply and a probation or cure period of at least
three months has passed since the default trigger
was last applied. For forborne exposures,
a\u00a0twelve\u2011month 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\u00a0the credit quality is factual and permanent
(including, for example, no remaining past due
amounts).
Asset stages\u00a0\u00a0
Audited
Asset in scope?
YES
Purchased or originated credit impaired (POCI)?
NO
YES
Default trigger hit?
NO
YES
Lifetime PD significantly deteriorated?
NO
YES
Watch list
Forbearance (but not impaired)
NO
YES
Days past due
0-30
>30
Stage 1
Stage 2
Stage 3
Stage POCI
Calculation method
ABN AMRO recognises loss allowances based on
the\u00a0Expected 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\u00a0all expected cash shortfalls over the remaining life
of the financial instrument for both on- and
off\u2011balance 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\u00a02 and 3) for financial instruments that have
similar credit risk characteristics (e.g. residential
mortgages, consumer loans and SME loans); these
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\u00a0quantify the Probability of Loss (PL), Loss Given
Loss (LGL) and Exposure at Loss (EAL) for
the\u00a0purpose of calculating the collective 12-month
ECL and LECL for these financial instruments.
Lifetime expected credit loss
ABN AMRO defines the lifetime of credit as
the\u00a0maximum contractual period during which
the\u00a0bank is exposed to credit risk; we do not apply
a\u00a0longer period, even if that longer period is
consistent\u00a0with business practice. For some contracts,
such as overdraft facilities or credit cards, no end
date\u00a0is specified or amounts can be contractually
withdrawn by the lender at short notice. In these
cases, ABN\u00a0AMRO uses behavioural maturity models
that rely on historical client behaviour to determine
future expected exposures.
Forward-looking information
For expected credit loss calculations, ABN AMRO
uses\u00a0three different scenarios of future economic
developments: a baseline (or most likely) scenario,
a\u00a0negative scenario and a positive scenario. The three
scenarios are incorporated into the expected credit
loss calculation and risk stage determination
in\u00a0a\u00a0probability-weighted manner.
In order to\u00a0incorporate the latest economic outlook,
the\u00a0scenarios and their weights are reviewed
each\u00a0quarter and adjusted if necessary. Details
of\u00a0the\u00a0scenarios and their weights used in\u00a0the\u00a0reporting
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\u00a0assumed 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
them. This external benchmarking exercise is a standard
input to\u00a0the\u00a0Scenario Booklet that is presented to the
bank\u2019s Scenario and Stress Testing Committee for
approval. Group Economics also develops a negative
and a\u00a0positive scenario. These scenarios are designed
to\u00a0give 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 above institutions and other relevant
developments.
Management overlays and other adjustments
Where necessary to reflect credit risk dynamics not
captured by our models, management judgement is
applied via a management overlay or other IFRS\u00a09
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 by the Impairment and
Provision Committee (IPC). The main types
of\u00a0management overlays that ABN AMRO
distinguishes are: post-model adjustments
(adjustments to model outcomes), adjustments
in\u00a0the\u00a0weightings 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\u00a0same internal approval process.
Climate and environmental risks in ECL\u00a0
ESRS
In this developing discipline we are working
to\u00a0incorporate CER risk explicitly into ECL models.
Following our roadmap, 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.
For identifiable events with no or insufficient
provisioning, ECL-related management overlays can
be taken. We have taken two CER related overlays:
one for the potential impact the Dutch government\u2019s
nitrogen reducing measures will have on our clients
which is related to environmental transition risk
(EUR\u00a029 million), and another for climate transition
risk (EUR 19 million). Given the combination
of\u00a0macroeconomic scenarios and these management
overlays, we consider the bank adequately
provisioned for climate and environmental risks. For
more details on these overlays, please see Individual
and collective loan impairment allowances and
management overlays in the Credit risk review
section.
Cured financial assets
When a credit impaired financial asset cures,
the\u00a0interest 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
Under IFRS 9, \u2018write-off\u2019 refers to the process
of\u00a0recognising that a financial asset, or a portion of it,
is uncollectible and should be removed from
an\u00a0entity\u2019s balance sheet. This typically happens
when there is no reasonable expectation
of\u00a0recovering the asset, indicating that the entity has
exhausted all practical recovery efforts.
\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\u00a0default.
Such loans are written off after all the necessary
procedures have been completed and the amount
of\u00a0the loss has been determined. Subsequent
recoveries of amounts previously written off are
credited to impairment charges on financial
instruments in the income statement.
Accounting policy for offsetting financial
assets and liabilities \u00a0
Audited
Financial assets and liabilities are offset, and the net
amount is reported on the EU IFRS balance sheet, if
there is a legally enforceable right to offset
the\u00a0recognised 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
the\u00a0balances meet the applicable criteria.
Accounting policy for enforceable master
netting agreements or similar
instruments\u00a0\u00a0
Audited
Enforceable master netting arrangements take into
account all agreements containing conditions that
allow offsetting in the event of default. In addition,
agreements are enforceable if the bank has a legally
enforceable right to offset and no ability and/or
intention to realise the asset and settle the liability
simultaneously. These arrangements include
derivative clearing agreements, global master
repurchase agreements and global master securities
lending agreements.
1\u00a0 \u00a0 Accounting policies
Financial assets and liabilities
Classification and measurement of financial assets
ABN AMRO classifies financial assets based on the business model in which they are held in accordance with IFRS 9.
The business model is determined at portfolio level. Portfolios are based on how ABN AMRO manages financial assets
in order to achieve a particular business objective. The business model assessment is based on the level of sales, risk
management, performance evaluation and management compensation. Derecognition is used as a condition
to\u00a0determine 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\u00a0principal and interest (SPPI). Contractual cash flows that are SPPI are consistent with a basic lending arrangement
in\u00a0which 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\u00a0SPPI 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 chapter for our accounting policies relating to the measurement of expected
credit losses on financial instruments measured at amortised cost and FVOCI.
Classification of assets and liabilities held for trading
A financial asset or financial liability is classified as 'held for trading' if it is:
\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\u00a0a\u00a0recent 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 derecognition
Traded instruments are recognised on the trade date, which is defined as the date on which ABN AMRO commits
to\u00a0purchase 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\u00a0contractual 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\u00a0substantial 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\u00a0the\u00a0income 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.
Offsetting
The bank offsets financial assets and liabilities and the net amount reported in the statement of financial position if it is
legally entitled to set off the recognised amounts and intends to settle on a net basis, or to realise the asset and settle
the liability simultaneously.
8\u00a0 \u00a0 Net gains/(losses) on derecognition of financial assets measured at amortised cost
Accounting policy derecognition of financial assets
The net gains/(losses) on derecognition of financial assets measured at amortised cost includes gains and losses
recognised on the sale or derecognition of these financial assets, calculated as the difference between the
carrying amount (which is the amortised cost adjusted for the loss allowance) and the proceeds received.
13\u00a0 Cash and balances at central banks
Accounting policy for cash and balances at central banks
Cash and balances at central banks are held at amortised cost. This item includes cash on hand and available
demand deposits with central banks in countries in which the bank has a presence. Mandatory reserve deposits
are disclosed in Note 20 - Loans and advances banks.
14\u00a0 Financial assets and liabilities held for trading
Accounting policy for financial assets and liabilities held for trading
In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or
loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement.
15\u00a0 Derivatives
Accounting policy for derivatives
A derivative is a financial instrument or other contract within the scope of IFRS 9 with all three of the following
characteristics:
\u2022 its value changes in response to the change in a specified interest rate, financial instrument price, commodity
price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided
in\u00a0the case of a non-financial variable that the variable is not specific to a party to the contract (sometimes
called the \u2018underlying\u2019)
\u2022 it requires no initial net investment or an initial net investment that is smaller than would be required for other
types of contracts that would be expected to have a similar response to changes in market factors
\u2022 it is settled at a future date
Derivatives are recorded at fair value.
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\u00a0the statement of financial position in either 2024 or 2023.
17\u00a0 Financial investments
Accounting policy for financial investments
Financial investments include financial instruments measured at fair value through other comprehensive income
(FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL).
Accounting policy for financial instruments measured at fair value through other
comprehensive income
Unrealised gains and losses on FVOCI assets are recognised directly in other comprehensive income, net
of\u00a0applicable 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\u00a0the income statement. The impairment loss resulting from the ECL on FVOCI debt instruments is recognised
in\u00a0the 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\u00a0AMRO\u2019s impairment assessment and measurement approach for FVOCI debt instruments is set
out in the Credit risk management section of the Risk, funding & capital management chapter. Fair value changes
in equity instruments that are irrevocably designated as FVOCI upon initial recognition are recognised in other
comprehensive income and not subsequently reclassified to the income statement.
Accounting policy for financial instruments measured at fair value through profit and loss
Financial investments can be designated at FVTPL if doing so eliminates or significantly reduces a measurement
or recognition inconsistency (an accounting mismatch). ABN AMRO also has financial instruments that are
mandatorily measured at fair value because they do not meet the SPPI test.
18\u00a0 Securities financing
Accounting policy for securities financing
Securities financing is measured at amortised cost. Securities financing consists of securities borrowing and
lending and sale and repurchase transactions. Securities borrowing and securities lending transactions are
generally entered into on a collateralised basis, with securities usually advanced or received as collateral.
The\u00a0transfer 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\u00a0banks or customers). The market value of the securities borrowed or lent is monitored on a daily basis, and
the\u00a0collateral 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\u00a0underlying 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\u00a0 Fair value of financial instruments carried at fair value
Accounting policy for fair value of financial instruments
The fair value is defined as the price that would be received when selling an asset or paid when transferring
a\u00a0liability 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\u00a0the\u00a0pricing 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\u00a0arrive at a fair value are as follows:
\u2022 Bid-ask adjustments. If the model calculates a mid-market price, it is adjusted to take into account the relevant
bid-offer spread.
\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\u00a0AMRO\u2019s creditworthiness respectively.
\u2022 Liquidity adjustments. ABN AMRO uses different techniques to determine the price or input parameters
of\u00a0the\u00a0pricing model dependent on the liquidity in the market.
\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\u00a0 Loans and advances banks
Accounting policy for loans and advances banks and customers
Loans and advances banks, and loans and advances customers, are held in a \u2018hold to collect\u2019 business model.
Loans and advances for which the contractual cash flows are solely payments of principal and interest (SPPI) are
measured at amortised cost, i.e. fair value at initial recognition, adjusted for repayment and amortisation
of\u00a0coupon, 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 section in the Risk, funding &
capital chapter (Accounting policy for measuring allowances for credit losses).
21\u00a0 Loans and advances customers
Accounting policy for loans and advances customers
The accounting policy for loans and advances customers is included in Note 20 - Loans and advances banks.
Please refer to Note 1 - Accounting policies in the Consolidated Annual Financial Statements and to the Credit
risk management section of the Risk, funding & capital chapter (Accounting policy for measuring allowances for
credit losses).
22\u00a0 Fair value of financial instruments not carried at fair value
Accounting policy for fair value of financial instruments not carried at fair value
The categorisation and valuation of financial instruments not carried at fair value is determined in accordance
with the accounting policies set out in Note 19 - Fair value of financial instruments carried at fair value.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-7": { "value": "
Accounting policy for measuring allowances
for expected credit losses (ECL)
Audited
The IFRS 9 impairment requirements are applicable
to financial assets measured at amortised cost or fair
value through other comprehensive income (FVOCI),
loan commitments, lease receivables and contract
assets and financial guarantee contracts. At each
reporting date, these financial instruments are
classified into one of three risk stages, depending on
current credit quality, or as purchased or originated
credit impaired (POCI).
POCI assets, which are credit impaired at initial
recognition, are accounted for at fair value
(i.e.\u00a0net\u00a0of\u00a0the initial lifetime ECLs) and do not carry
an\u00a0impairment allowance. Instead, a credit-adjusted
effective interest rate (EIR), which is calculated using
expected cash flows including initial lifetime ECLs,
is\u00a0applied to the amortised cost. Subsequently,
the\u00a0cumulative changes in lifetime ECLs since initial
recognition, which are discounted at
the\u00a0credit\u2011adjusted effective interest rate, are
recognised in the profit or loss statement as
an\u00a0impairment gain or loss, and presented under
impairment charges on financial instruments.
Once\u00a0a\u00a0financial 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 quality\u00a0
Audited
Change in credit quality since initial recognition
Stage 1
Stage 2
Stage 3
Performing
(Initial recognition)
Credit quality deteriorated
(Assets with significant increase in
credit risk since initial recognition)
Default = Impaired
(Credit impaired assets)
Recognition of ECL
12 month ECL
Lifetime ECL
Lifetime ECL
Interest income
Effective interest on
gross carrying amount
Effective interest on
gross carrying amount
Effective interest on amortised
cost (gross carrying amount less
loss allowance)
Classification in stage 2
We use quantitative and qualitative stage triggers
to\u00a0determine whether a financial instrument should be
classified as stage 1 or stage 2.
Quantitative stage triggers
The key quantitative metric that determines when
a\u00a0financial instrument is transferred from stage 1
to\u00a0stage 2 is the deterioration in the lifetime
probability of default (LPD) from the date
of\u00a0origination to the reporting date, based on internal
data. The LPD represents the likelihood that
a\u00a0counterparty will default during the lifetime
of\u00a0the\u00a0financial 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\u00a0relative difference between the remaining lifetime
PD at reporting (LPDR) and the remaining lifetime PD at
origination (LPDO) as LPDD = LPDR/LPDO. If the\u00a0LPD
deterioration of an exposure is above a\u00a0predefined
threshold, the LPD is considered to be significantly
deteriorated. The exposure is then transferred to stage\u00a02
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\u00a01.
When determining the\u00a0thresholds, 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\u00a0December 2024. The table
provides ranges because each product class uses
multiple ECL models, and thresholds are determined for
each ECL model.
Range of lifetime PD deterioration
thresholds\u00a0\u00a0
Audited
Product class
Range
Consumer lending
1.8x-5.2x
Residential mortgages
1.5x-2.1x
Corporate loans
1.3x-5.8x
Qualitative stage triggers
The bank transfers a financial instrument from stage 1
to stage 2 if the instrument meets any of the following
qualitative triggers:
\u2022 forborne status of a borrower
\u2022 watch status of a borrower. ABN AMRO assigns
the\u00a0watch status to counterparties with an increased
credit risk. This process comprises intensive
monitoring, early detection of deterioration
in\u00a0the\u00a0credit portfolio and appropriate follow-up
measures
\u2022 a delinquency-based regulatory backstop is
in\u00a0place, such that the credit risk of financial assets
that are more than 30 days past due will be
assumed to have significantly increased
Reclassification to stage 1
As a general rule, favourable changes in credit risk
are recognised consistently with unfavourable
changes, and a financial instrument is transferred
back to stage 1 if quantitative or qualitative triggers
are no longer met. In some cases, a probation period
applies:
\u2022 Forborne financial instruments are transferred
back from stage 2 to stage 1 only after
a\u00a0probation 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 3
A transfer to stage 3 will always be the result of
the\u00a0default of a financial instrument. The definition
of default for IFRS 9 is aligned with the regulatory
capital definition. 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\u00a0the\u00a0bank or
\u2022 the bank considers the borrower to be unlikely
to\u00a0meet its contractual obligations (unlikely
to\u00a0pay, or UTP)
The materiality of a financial obligation past due
is\u00a0assessed against an absolute and a relative
threshold, in line with regulatory standards.
To\u00a0determine unlikeliness to pay, the bank has
specified 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\u00a0UTP indications should result in a default
classification).
The mandatory triggers include the reporting of
a\u00a0forborne exposure under probation as
non\u2011performing for being 30 days past due or owing
to an additional forbearance measure being applied.
As a result, the definitions of non-performing and
default are materially aligned.
Reclassification to stage 2
The default classification for non-forborne
exposures ends when the default triggers no longer
apply and a probation or cure period of at least
three months has passed since the default trigger
was last applied. For forborne exposures,
a\u00a0twelve\u2011month 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\u00a0the credit quality is factual and permanent
(including, for example, no remaining past due
amounts).
Asset stages\u00a0\u00a0
Audited
Asset in scope?
YES
Purchased or originated credit impaired (POCI)?
NO
YES
Default trigger hit?
NO
YES
Lifetime PD significantly deteriorated?
NO
YES
Watch list
Forbearance (but not impaired)
NO
YES
Days past due
0-30
>30
Stage 1
Stage 2
Stage 3
Stage POCI
Calculation method
ABN AMRO recognises loss allowances based on
the\u00a0Expected 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\u00a0all expected cash shortfalls over the remaining life
of the financial instrument for both on- and
off\u2011balance 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\u00a02 and 3) for financial instruments that have
similar credit risk characteristics (e.g. residential
mortgages, consumer loans and SME loans); these
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\u00a0quantify the Probability of Loss (PL), Loss Given
Loss (LGL) and Exposure at Loss (EAL) for
the\u00a0purpose of calculating the collective 12-month
ECL and LECL for these financial instruments.
Lifetime expected credit loss
ABN AMRO defines the lifetime of credit as
the\u00a0maximum contractual period during which
the\u00a0bank is exposed to credit risk; we do not apply
a\u00a0longer period, even if that longer period is
consistent\u00a0with business practice. For some contracts,
such as overdraft facilities or credit cards, no end
date\u00a0is specified or amounts can be contractually
withdrawn by the lender at short notice. In these
cases, ABN\u00a0AMRO uses behavioural maturity models
that rely on historical client behaviour to determine
future expected exposures.
Forward-looking information
For expected credit loss calculations, ABN AMRO
uses\u00a0three different scenarios of future economic
developments: a baseline (or most likely) scenario,
a\u00a0negative scenario and a positive scenario. The three
scenarios are incorporated into the expected credit
loss calculation and risk stage determination
in\u00a0a\u00a0probability-weighted manner.
In order to\u00a0incorporate the latest economic outlook,
the\u00a0scenarios and their weights are reviewed
each\u00a0quarter and adjusted if necessary. Details
of\u00a0the\u00a0scenarios and their weights used in\u00a0the\u00a0reporting
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\u00a0assumed 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
them. This external benchmarking exercise is a standard
input to\u00a0the\u00a0Scenario Booklet that is presented to the
bank\u2019s Scenario and Stress Testing Committee for
approval. Group Economics also develops a negative
and a\u00a0positive scenario. These scenarios are designed
to\u00a0give 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 above institutions and other relevant
developments.
Management overlays and other adjustments
Where necessary to reflect credit risk dynamics not
captured by our models, management judgement is
applied via a management overlay or other IFRS\u00a09
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 by the Impairment and
Provision Committee (IPC). The main types
of\u00a0management overlays that ABN AMRO
distinguishes are: post-model adjustments
(adjustments to model outcomes), adjustments
in\u00a0the\u00a0weightings 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\u00a0same internal approval process.
Climate and environmental risks in ECL\u00a0
ESRS
In this developing discipline we are working
to\u00a0incorporate CER risk explicitly into ECL models.
Following our roadmap, 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.
For identifiable events with no or insufficient
provisioning, ECL-related management overlays can
be taken. We have taken two CER related overlays:
one for the potential impact the Dutch government\u2019s
nitrogen reducing measures will have on our clients
which is related to environmental transition risk
(EUR\u00a029 million), and another for climate transition
risk (EUR 19 million). Given the combination
of\u00a0macroeconomic scenarios and these management
overlays, we consider the bank adequately
provisioned for climate and environmental risks. For
more details on these overlays, please see Individual
and collective loan impairment allowances and
management overlays in the Credit risk review
section.
Cured financial assets
When a credit impaired financial asset cures,
the\u00a0interest 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
Under IFRS 9, \u2018write-off\u2019 refers to the process
of\u00a0recognising that a financial asset, or a portion of it,
is uncollectible and should be removed from
an\u00a0entity\u2019s balance sheet. This typically happens
when there is no reasonable expectation
of\u00a0recovering the asset, indicating that the entity has
exhausted all practical recovery efforts.
\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\u00a0default.
Such loans are written off after all the necessary
procedures have been completed and the amount
of\u00a0the loss has been determined. Subsequent
recoveries of amounts previously written off are
credited to impairment charges on financial
instruments in the income statement.
Accounting policy for offsetting financial
assets and liabilities \u00a0
Audited
Financial assets and liabilities are offset, and the net
amount is reported on the EU IFRS balance sheet, if
there is a legally enforceable right to offset
the\u00a0recognised 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
the\u00a0balances meet the applicable criteria.
Accounting policy for enforceable master
netting agreements or similar
instruments\u00a0\u00a0
Audited
Enforceable master netting arrangements take into
account all agreements containing conditions that
allow offsetting in the event of default. In addition,
agreements are enforceable if the bank has a legally
enforceable right to offset and no ability and/or
intention to realise the asset and settle the liability
simultaneously. These arrangements include
derivative clearing agreements, global master
repurchase agreements and global master securities
lending agreements.
Financial assets and liabilities
Classification and measurement of financial assets
ABN AMRO classifies financial assets based on the business model in which they are held in accordance with IFRS 9.
The business model is determined at portfolio level. Portfolios are based on how ABN AMRO manages financial assets
in order to achieve a particular business objective. The business model assessment is based on the level of sales, risk
management, performance evaluation and management compensation. Derecognition is used as a condition
to\u00a0determine 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\u00a0principal and interest (SPPI). Contractual cash flows that are SPPI are consistent with a basic lending arrangement
in\u00a0which 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\u00a0SPPI 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 chapter for our accounting policies relating to the measurement of expected
credit losses on financial instruments measured at amortised cost and FVOCI.
Classification of assets and liabilities held for trading
A financial asset or financial liability is classified as 'held for trading' if it is:
\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\u00a0a\u00a0recent 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 liabilities
Financial liabilities are initially recognised at their fair value minus transaction costs that are directly attributable
to\u00a0the\u00a0acquisition 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\u00a0credit risk of such liabilities is presented as liability own credit risk reserve in equity.
Financial liabilities are never reclassified after initial recognition.
Recognition and derecognition
Traded instruments are recognised on the trade date, which is defined as the date on which ABN AMRO commits
to\u00a0purchase 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\u00a0contractual 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\u00a0substantial 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\u00a0the\u00a0income 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\u00a0exchange 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\u00a0extinguishment of the original financial liability and recognition of a new financial liability. The difference between
the former amortised cost and the consideration paid is recognised in the income statement.
Offsetting
The bank offsets financial assets and liabilities and the net amount reported in the statement of financial position if it is
legally entitled to set off the recognised amounts and intends to settle on a net basis, or to realise the asset and settle
the liability simultaneously.
4\u00a0 \u00a0 Net interest income
Accounting policy for net interest income
Interest 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\u00a0expected 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\u00a0net 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\u00a0 \u00a0 Net trading income
Accounting policy for net trading income
In accordance with IFRS 9, trading positions are held at fair value, and net trading income includes gains and
losses arising from changes in the fair value of such financial assets and liabilities. The latter comprises gains and
losses from trading financial assets and liabilities, interest income and expenses related to trading financial
assets and liabilities, and dividends received from trading instruments. Dividend income and dividends from
trading instruments are recognised at the dividend announcement date. Net trading income also includes
changes in fair value arising from changes in counterparty credit spreads (CVA) and changes in own credit
spreads (DVA) where these 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\u00a0 \u00a0 Net gains/(losses) on derecognition of financial assets measured at amortised cost
Accounting policy derecognition of financial assets
The net gains/(losses) on derecognition of financial assets measured at amortised cost includes gains and losses
recognised on the sale or derecognition of these financial assets, calculated as the difference between the
carrying amount (which is the amortised cost adjusted for the loss allowance) and the proceeds received.
13\u00a0 Cash and balances at central banks
Accounting policy for cash and balances at central banks
Cash and balances at central banks are held at amortised cost. This item includes cash on hand and available
demand deposits with central banks in countries in which the bank has a presence. Mandatory reserve deposits
are disclosed in Note 20 - Loans and advances banks.
14\u00a0 Financial assets and liabilities held for trading
Accounting policy for financial assets and liabilities held for trading
In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or
loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement.
15\u00a0 Derivatives
Accounting policy for derivatives
A derivative is a financial instrument or other contract within the scope of IFRS 9 with all three of the following
characteristics:
\u2022 its value changes in response to the change in a specified interest rate, financial instrument price, commodity
price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided
in\u00a0the case of a non-financial variable that the variable is not specific to a party to the contract (sometimes
called the \u2018underlying\u2019)
\u2022 it requires no initial net investment or an initial net investment that is smaller than would be required for other
types of contracts that would be expected to have a similar response to changes in market factors
\u2022 it is settled at a future date
Derivatives are recorded at fair value.
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\u00a0the statement of financial position in either 2024 or 2023.
16\u00a0 Hedge accounting
Accounting policy for hedge accounting
ABN AMRO enters into various derivative and non-derivative instrument transactions with external parties
to\u00a0hedge risks on assets, liabilities, highly probable forecasted transactions 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\u00a0non-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\u00a0asset, a liability, or a net investment in a foreign operation that (a) exposes the entity to the risk of changes
in\u00a0fair 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 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 Union
As permitted by IFRS 9 paragraph 7.2.21, ABN AMRO has elected to continue applying the requirements of IAS 39
as endorsed by the European Union instead of applying the hedge accounting requirements of IFRS 9.
The\u00a0EU\u2011endorsed version of IAS 39 provides relief from certain hedge accounting requirements when compared
to\u00a0the 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\u00a0over\u2011hedging. This relief is applied in the macro fair value hedge.
Fair value hedges
ABN AMRO applies fair value hedge accounting on individual hedged items (micro fair value hedging), as well as
on a portfolio of hedged items (macro fair value hedging). Where a derivative financial instrument hedges
the\u00a0exposure 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\u00a0the\u00a0hedging instrument are different from the changes in the fair value of the hedged item. When a fair value
hedge of interest rate risk is terminated, any value adjustment to the carrying amount of the hedged item is
amortised to profit or loss over the original designated hedging period, or taken directly to income if the hedged
item is derecognised.
\"\"
Micro fair value hedge accounting
Hedging instruments designated in individual fair value hedge relationships principally consist of interest rate
swaps, interest rate options and cross-currency interest rate swaps that are used to protect against changes
in\u00a0the\u00a0fair 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
\u2022 potential differences in maturities of the interest rate swap and the loans or notes
Macro fair value hedge accounting
ABN AMRO manages the interest rate risk arising from fixed-rate mortgages by entering into interest rate swaps.
The exposure from this portfolio changes frequently 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\u2011designated 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\u00a0interest 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\u00a0the\u00a0mortgages. The recognised fair value changes in the mortgages partially offset the changes in fair value
of\u00a0the 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\u00a0the\u00a0extent 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 hedges
ABN AMRO applies cash flow hedge accounting to a portfolio of future cash flows on banking book assets and
liabilities \u2013 the hedged items \u2013 and a portfolio of interest rate swaps \u2013 the hedging instruments. The hedge
relationship is reviewed on a monthly basis and the hedging instruments and hedged items are de-designated or
re-designated, if necessary, to maintain an effective hedge accounting relationship.\u00a0
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\u00a0other operating income. When a cash flow hedging instrument or hedge relationship is terminated but
the\u00a0hedged transaction is still expected to occur, the accumulated gains or losses continue to be recognised
in\u00a0other comprehensive income and are transferred to the income statement when the hedged transaction affects
profit or loss.\u00a0
The gains or losses are included in the same line item as the hedged transaction. In the exceptional case that
the\u00a0hedged 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\u00a0different 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\u00a0the\u00a0designation. Back-testing is performed on the interest rate risk models. Historical data are used to review
the assumptions applied.
\"\"
Hedges of net investments in foreign operations
ABN AMRO may enter into foreign currency derivatives and currency borrowings to hedge various net
investments in foreign operations. For such hedges, currency translation differences arising on translation
of\u00a0the\u00a0currency 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.\u00a0
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.\u00a0
Hedges not qualifying for hedge accounting
The fair value changes of derivative transactions used to hedge against economic risk exposures that do not
qualify for hedge accounting, or for which it is not cost-beneficial to apply hedge accounting, are recognised
directly in profit or loss.
17\u00a0 Financial investments
Accounting policy for financial investments
Financial investments include financial instruments measured at fair value through other comprehensive income
(FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL).
Accounting policy for financial instruments measured at fair value through other
comprehensive income
Unrealised gains and losses on FVOCI assets are recognised directly in other comprehensive income, net
of\u00a0applicable 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\u00a0the income statement. The impairment loss resulting from the ECL on FVOCI debt instruments is recognised
in\u00a0the 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\u00a0AMRO\u2019s impairment assessment and measurement approach for FVOCI debt instruments is set
out in the Credit risk management section of the Risk, funding & capital management chapter. Fair value changes
in equity instruments that are irrevocably designated as FVOCI upon initial recognition are recognised in other
comprehensive income and not subsequently reclassified to the income statement.
Accounting policy for financial instruments measured at fair value through profit and loss
Financial investments can be designated at FVTPL if doing so eliminates or significantly reduces a measurement
or recognition inconsistency (an accounting mismatch). ABN AMRO also has financial instruments that are
mandatorily measured at fair value because they do not meet the SPPI test.
18\u00a0 Securities financing
Accounting policy for securities financing
Securities financing is measured at amortised cost. Securities financing consists of securities borrowing and
lending and sale and repurchase transactions. Securities borrowing and securities lending transactions are
generally entered into on a collateralised basis, with securities usually advanced or received as collateral.
The\u00a0transfer 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\u00a0banks or customers). The market value of the securities borrowed or lent is monitored on a daily basis, and
the\u00a0collateral 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\u00a0underlying 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\u00a0 Fair value of financial instruments carried at fair value
Accounting policy for fair value of financial instruments
The fair value is defined as the price that would be received when selling an asset or paid when transferring
a\u00a0liability 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\u00a0the\u00a0pricing 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\u00a0arrive at a fair value are as follows:
\u2022 Bid-ask adjustments. If the model calculates a mid-market price, it is adjusted to take into account the relevant
bid-offer spread.
\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\u00a0AMRO\u2019s creditworthiness respectively.
\u2022 Liquidity adjustments. ABN AMRO uses different techniques to determine the price or input parameters
of\u00a0the\u00a0pricing model dependent on the liquidity in the market.
\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\u00a0 Loans and advances banks
Accounting policy for loans and advances banks and customers
Loans and advances banks, and loans and advances customers, are held in a \u2018hold to collect\u2019 business model.
Loans and advances for which the contractual cash flows are solely payments of principal and interest (SPPI) are
measured at amortised cost, i.e. fair value at initial recognition, adjusted for repayment and amortisation
of\u00a0coupon, 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 section in the Risk, funding &
capital chapter (Accounting policy for measuring allowances for credit losses).
21\u00a0 Loans and advances customers
Accounting policy for loans and advances customers
The accounting policy for loans and advances customers is included in Note 20 - Loans and advances banks.
Please refer to Note 1 - Accounting policies in the Consolidated Annual Financial Statements and to the Credit
risk management section of the Risk, funding & capital chapter (Accounting policy for measuring allowances for
credit losses).
22\u00a0 Fair value of financial instruments not carried at fair value
Accounting policy for fair value of financial instruments not carried at fair value
The categorisation and valuation of financial instruments not carried at fair value is determined in accordance
with the accounting policies set out in Note 19 - Fair value of financial instruments carried at fair value.
27\u00a0 Due to banks
Accounting policy for due to banks and due to customers
Amounts due to banks and customers are held at amortised cost. That is, at fair value upon initial recognition,
adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate
of\u00a0the instrument.
28\u00a0 Due to customers
Accounting policy for due to customers
The accounting policy for amounts due to customers is set out in Note 27 - Due to banks.
29\u00a0 Issued debt and subordinated liabilities
Accounting policy for issued debt and subordinated liabilities
Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate
method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be
measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce
an\u00a0accounting mismatch, are managed on the basis of their fair value or include terms that qualify as
an\u00a0embedded 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\u00a0substance 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\u00a0credit 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
34\u00a0 Transferred, pledged, encumbered and restricted assets
Accounting policy for transferred, pledged and encumbered assets
Transferred 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\u00a0obligation 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 the latter is
based on the legal terms such as title transfer while the former is based on economic principles.
35\u00a0 Commitments and contingent liabilities
Accounting policy for off-balance sheet items
Financial guarantee contracts
A financial guarantee contract requires the issuer to make specified payments to reimburse the holder for a loss
it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt
instrument. Initial recognition of financial guarantee contracts is at their fair value. Subsequent measurement is
at the higher of the amount of the expected credit loss and the amount initially recognised, less \u2013 when
appropriate \u2013 the cumulative amount of income recognised in the income statement.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-6": { "value": "
Accounting policy for measuring allowances
for expected credit losses (ECL)
Audited
The IFRS 9 impairment requirements are applicable
to financial assets measured at amortised cost or fair
value through other comprehensive income (FVOCI),
loan commitments, lease receivables and contract
assets and financial guarantee contracts. At each
reporting date, these financial instruments are
classified into one of three risk stages, depending on
current credit quality, or as purchased or originated
credit impaired (POCI).
POCI assets, which are credit impaired at initial
recognition, are accounted for at fair value
(i.e.\u00a0net\u00a0of\u00a0the initial lifetime ECLs) and do not carry
an\u00a0impairment allowance. Instead, a credit-adjusted
effective interest rate (EIR), which is calculated using
expected cash flows including initial lifetime ECLs,
is\u00a0applied to the amortised cost. Subsequently,
the\u00a0cumulative changes in lifetime ECLs since initial
recognition, which are discounted at
the\u00a0credit\u2011adjusted effective interest rate, are
recognised in the profit or loss statement as
an\u00a0impairment gain or loss, and presented under
impairment charges on financial instruments.
Once\u00a0a\u00a0financial 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 quality\u00a0
Audited
Change in credit quality since initial recognition
Stage 1
Stage 2
Stage 3
Performing
(Initial recognition)
Credit quality deteriorated
(Assets with significant increase in
credit risk since initial recognition)
Default = Impaired
(Credit impaired assets)
Recognition of ECL
12 month ECL
Lifetime ECL
Lifetime ECL
Interest income
Effective interest on
gross carrying amount
Effective interest on
gross carrying amount
Effective interest on amortised
cost (gross carrying amount less
loss allowance)
Classification in stage 2
We use quantitative and qualitative stage triggers
to\u00a0determine whether a financial instrument should be
classified as stage 1 or stage 2.
Quantitative stage triggers
The key quantitative metric that determines when
a\u00a0financial instrument is transferred from stage 1
to\u00a0stage 2 is the deterioration in the lifetime
probability of default (LPD) from the date
of\u00a0origination to the reporting date, based on internal
data. The LPD represents the likelihood that
a\u00a0counterparty will default during the lifetime
of\u00a0the\u00a0financial 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\u00a0relative difference between the remaining lifetime
PD at reporting (LPDR) and the remaining lifetime PD at
origination (LPDO) as LPDD = LPDR/LPDO. If the\u00a0LPD
deterioration of an exposure is above a\u00a0predefined
threshold, the LPD is considered to be significantly
deteriorated. The exposure is then transferred to stage\u00a02
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\u00a01.
When determining the\u00a0thresholds, 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\u00a0December 2024. The table
provides ranges because each product class uses
multiple ECL models, and thresholds are determined for
each ECL model.
Range of lifetime PD deterioration
thresholds\u00a0\u00a0
Audited
Product class
Range
Consumer lending
1.8x-5.2x
Residential mortgages
1.5x-2.1x
Corporate loans
1.3x-5.8x
Qualitative stage triggers
The bank transfers a financial instrument from stage 1
to stage 2 if the instrument meets any of the following
qualitative triggers:
\u2022 forborne status of a borrower
\u2022 watch status of a borrower. ABN AMRO assigns
the\u00a0watch status to counterparties with an increased
credit risk. This process comprises intensive
monitoring, early detection of deterioration
in\u00a0the\u00a0credit portfolio and appropriate follow-up
measures
\u2022 a delinquency-based regulatory backstop is
in\u00a0place, such that the credit risk of financial assets
that are more than 30 days past due will be
assumed to have significantly increased
Reclassification to stage 1
As a general rule, favourable changes in credit risk
are recognised consistently with unfavourable
changes, and a financial instrument is transferred
back to stage 1 if quantitative or qualitative triggers
are no longer met. In some cases, a probation period
applies:
\u2022 Forborne financial instruments are transferred
back from stage 2 to stage 1 only after
a\u00a0probation 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 3
A transfer to stage 3 will always be the result of
the\u00a0default of a financial instrument. The definition
of default for IFRS 9 is aligned with the regulatory
capital definition. 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\u00a0the\u00a0bank or
\u2022 the bank considers the borrower to be unlikely
to\u00a0meet its contractual obligations (unlikely
to\u00a0pay, or UTP)
The materiality of a financial obligation past due
is\u00a0assessed against an absolute and a relative
threshold, in line with regulatory standards.
To\u00a0determine unlikeliness to pay, the bank has
specified 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\u00a0UTP indications should result in a default
classification).
The mandatory triggers include the reporting of
a\u00a0forborne exposure under probation as
non\u2011performing for being 30 days past due or owing
to an additional forbearance measure being applied.
As a result, the definitions of non-performing and
default are materially aligned.
Reclassification to stage 2
The default classification for non-forborne
exposures ends when the default triggers no longer
apply and a probation or cure period of at least
three months has passed since the default trigger
was last applied. For forborne exposures,
a\u00a0twelve\u2011month 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\u00a0the credit quality is factual and permanent
(including, for example, no remaining past due
amounts).
Asset stages\u00a0\u00a0
Audited
Asset in scope?
YES
Purchased or originated credit impaired (POCI)?
NO
YES
Default trigger hit?
NO
YES
Lifetime PD significantly deteriorated?
NO
YES
Watch list
Forbearance (but not impaired)
NO
YES
Days past due
0-30
>30
Stage 1
Stage 2
Stage 3
Stage POCI
Calculation method
ABN AMRO recognises loss allowances based on
the\u00a0Expected 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\u00a0all expected cash shortfalls over the remaining life
of the financial instrument for both on- and
off\u2011balance 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\u00a02 and 3) for financial instruments that have
similar credit risk characteristics (e.g. residential
mortgages, consumer loans and SME loans); these
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\u00a0quantify the Probability of Loss (PL), Loss Given
Loss (LGL) and Exposure at Loss (EAL) for
the\u00a0purpose of calculating the collective 12-month
ECL and LECL for these financial instruments.
Lifetime expected credit loss
ABN AMRO defines the lifetime of credit as
the\u00a0maximum contractual period during which
the\u00a0bank is exposed to credit risk; we do not apply
a\u00a0longer period, even if that longer period is
consistent\u00a0with business practice. For some contracts,
such as overdraft facilities or credit cards, no end
date\u00a0is specified or amounts can be contractually
withdrawn by the lender at short notice. In these
cases, ABN\u00a0AMRO uses behavioural maturity models
that rely on historical client behaviour to determine
future expected exposures.
Forward-looking information
For expected credit loss calculations, ABN AMRO
uses\u00a0three different scenarios of future economic
developments: a baseline (or most likely) scenario,
a\u00a0negative scenario and a positive scenario. The three
scenarios are incorporated into the expected credit
loss calculation and risk stage determination
in\u00a0a\u00a0probability-weighted manner.
In order to\u00a0incorporate the latest economic outlook,
the\u00a0scenarios and their weights are reviewed
each\u00a0quarter and adjusted if necessary. Details
of\u00a0the\u00a0scenarios and their weights used in\u00a0the\u00a0reporting
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\u00a0assumed 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
them. This external benchmarking exercise is a standard
input to\u00a0the\u00a0Scenario Booklet that is presented to the
bank\u2019s Scenario and Stress Testing Committee for
approval. Group Economics also develops a negative
and a\u00a0positive scenario. These scenarios are designed
to\u00a0give 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 above institutions and other relevant
developments.
Management overlays and other adjustments
Where necessary to reflect credit risk dynamics not
captured by our models, management judgement is
applied via a management overlay or other IFRS\u00a09
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 by the Impairment and
Provision Committee (IPC). The main types
of\u00a0management overlays that ABN AMRO
distinguishes are: post-model adjustments
(adjustments to model outcomes), adjustments
in\u00a0the\u00a0weightings 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\u00a0same internal approval process.
Climate and environmental risks in ECL\u00a0
ESRS
In this developing discipline we are working
to\u00a0incorporate CER risk explicitly into ECL models.
Following our roadmap, 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.
For identifiable events with no or insufficient
provisioning, ECL-related management overlays can
be taken. We have taken two CER related overlays:
one for the potential impact the Dutch government\u2019s
nitrogen reducing measures will have on our clients
which is related to environmental transition risk
(EUR\u00a029 million), and another for climate transition
risk (EUR 19 million). Given the combination
of\u00a0macroeconomic scenarios and these management
overlays, we consider the bank adequately
provisioned for climate and environmental risks. For
more details on these overlays, please see Individual
and collective loan impairment allowances and
management overlays in the Credit risk review
section.
Cured financial assets
When a credit impaired financial asset cures,
the\u00a0interest 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
Under IFRS 9, \u2018write-off\u2019 refers to the process
of\u00a0recognising that a financial asset, or a portion of it,
is uncollectible and should be removed from
an\u00a0entity\u2019s balance sheet. This typically happens
when there is no reasonable expectation
of\u00a0recovering the asset, indicating that the entity has
exhausted all practical recovery efforts.
\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\u00a0default.
Such loans are written off after all the necessary
procedures have been completed and the amount
of\u00a0the 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 loans\u00a0\u00a0
Audited
Credit risk reporting scope
Although all financial assets on our balance sheet are
subject to some form of credit risk, by far the largest
part is in loans and advances. To provide a meaningful
view of the credit risk in our lending book, the figures
presented in this section therefore relate to loans and
advances. Any credit risk outside the reported scope are
mentioned in the notes below the table. All figures are
reported gross of loan impairment allowances and
exclude fair value adjustments. The following table
provides a comparison between the gross carrying
amounts presented in this section and the consolidated
balance sheet.
Total loans and advances customers\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross
carrying
amount\u00b3
Fair value
adjustment
from
hedge
accounting
Less: loan
impairment
allowance
Less:
amortisation
and
depreciation
Carrying
amount
Gross
carrying
amount\u00b3
Fair value
adjustment
from
hedge
accounting
Less: loan
impairment
allowance
Less:
amortisation
and
depreciation
Carrying
amount
Loans and advances
banks
2,053
4
2,049
2,327
3
2,324
Residential mortgages
156,209
-4,686
133
151,390
151,078
-6,005
198
144,875
Consumer loans\u00b9
7,575
130
7,445
8,380
147
8,233
Corporate loans\u00b9
83,827
102
1,100
82,829
86,784
96
1,254
85,626
Other loans and advances
customers\u00b9
6,489
2
6,487
6,497
3
6,494
Total loans and
advances customers\u00b9
254,100
-4,584
1,364
248,152
252,739
-5,909
1,602
245,228
Total loans and
advances\u00b9
256,153
-4,584
1,368
250,201
255,066
-5,909
1,605
247,551
Other
138,184
-981
133
2,224
134,845
134,409
-1,640
187
2,224
130,358
Total assets
394,336
-5,565
1,501
2,224
385,047
389,474
-7,549
1,792
2,224
377,909
Loans and advances
customers\u00b9
254,100
-4,584
1,364
248,152
252,739
-5,909
1,602
245,228
Consumer loans at
fair value through P&L\u00b2
600
600
648
648
Corporate loans at
fair value through P&L
30
30
59
59
Total loans and
advances customers
254,730
-4,584
1,364
248,782
253,446
-5,909
1,602
245,935
1. 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 resulted
from interest rate swaps made to protect against
changes in the fair value of fixed-rate assets due
to\u00a0changes in market interest rates. The fair value
adjustment for mortgages decreased as a result
of\u00a0lower market interest rates.
Coverage and stage ratios\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross
carrying
amount\u00b2
Allowances
for credit
losses\u00b3
Coverage
ratio
Stage
ratio
Gross
carrying
amount\u00b2
Allowances
for credit
losses\u00b3
Coverage
ratio
Stage
ratio
Stage 1
Loans and advances banks
2,016
4
0.2%
98.2%
2,290
3
0.1%
98.4%
Residential mortgages
138,172
36
0.0%
88.5%
138,671
24
0.0%
91.8%
Consumer loans\u00b9
6,866
12
0.2%
90.6%
7,658
18
0.2%
91.4%
Corporate loans\u00b9
72,227
119
0.2%
86.2%
73,324
192
0.3%
84.5%
Other loans and advances customers\u00b9
6,478
0.0%
99.8%
6,475
0.0%
99.7%
Total loans and advances customers\u00b9
223,743
167
0.1%
88.1%
226,128
234
0.1%
89.5%
Stage 2
Loans and advances banks
37
0.0%
1.8%
37
0.0%
1.6%
Residential mortgages
16,118
42
0.3%
10.3%
11,115
49
0.4%
7.4%
Consumer loans\u00b9
487
15
3.1%
6.4%
467
11
2.4%
5.6%
Corporate loans\u00b9
8,490
170
2.0%
10.1%
10,308
228
2.2%
11.9%
Other loans and advances customers\u00b9
5
1.1%
0.1%
14
1
7.9%
0.2%
Total loans and advances customers\u00b9
25,100
226
0.9%
9.9%
21,903
289
1.3%
8.7%
Stage 3 and POCI
Loans and advances banks
Residential mortgages
1,919
55
2.9%
1.2%
1,292
125
9.7%
0.9%
Consumer loans\u00b9
222
102
46.1%
2.9%
255
118
46.3%
3.0%
Corporate loans\u00b9
3,110
811
26.1%
3.7%
3,152
833
26.4%
3.6%
Other loans and advances customers\u00b9
6
2
27.1%
0.1%
8
2
27.1%
0.1%
Total loans and advances customers\u00b9
5,258
971
18.5%
2.1%
4,707
1,079
22.9%
1.9%
Total of stages 1, 2, 3 and POCI
Total loans and advances banks
2,053
4
0.2%
2,327
3
0.1%
Residential mortgages
156,209
133
0.1%
151,078
198
0.1%
Consumer loans\u00b9
7,575
130
1.7%
8,380
147
1.8%
Corporate loans\u00b9
83,827
1,100
1.3%
86,784
1,254
1.4%
Other loans and advances customers\u00b9
6,489
2
0.0%
6,497
3
0.1%
Total loans and advances customers\u00b9
254,100
1,364
0.5%
252,739
1,602
0.6%
Total loans and advances\u00b9
256,153
1,368
0.5%
255,066
1,605
0.6%
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 2024: EUR 1 million; 31 December 2023: EUR 1 million).
Portfolio developments in combination with lower
allowances for credit losses at Corporate Banking
resulted in a decrease in the stage 2 ratio and the stage
2 coverage ratio. Stage 3 ratio increased slightly, while
stage 3 coverage ratio showed a slight decline.
For mortgages, stage 2 and stage 3 ratio in 2024
increased to 10.3% and 1.2% respectively
(31\u00a0December 2023: 7.4% and 0.9%). The stage 2 and
3 coverage ratios 2 and 3 of mortgages decreased
to\u00a00.3% and 2.9% respectively (31 December 2023:
0.4% and 9.7%). IFRS 9 model changes in the third
quarter led to a decrease in the stage 3 coverage ratio.
In the fourth quarter, methodology changes were
implemented to better reflect the credit risk
characteristics of interest-only mortgages and
the\u00a0anticipated impact of a new mortgages model. For
interest-only mortgages, this resulted in a significant
increase from stage 1 to stage 2, and for the anticipated
impact of a new mortgages model to stage 3.
An\u00a0additional impact on the stage 2 and 3 coverage
ratios was a consequence of improvements in the Dutch
housing market outlook.
Purchased or Originated Credit Impaired (POCI)
At 31 December 2024, loans classified as POCI
amounted to EUR 7 million. Due to the immateriality
ofthe amount, this is included in the amount shown for
stage 3 throughout this report.
Exposure and impairment flows
This section provides more details on the exposure and
impairment flows underlying the change in coverage
and stage ratios shown in the previous section.
Total loans and advances\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Closing balance of the previous year
228,418
21,940
4,707
255,066
229,084
23,954
5,175
258,212
Impact adopting IFRS 17
-1,061
-103
-83
-1,247
Balance at 1 January
228,418
21,940
4,707
255,066
228,023
23,851
5,091
256,965
Transfer to stage 1
8,704
-8,644
-59
8,542
-8,417
-125
Transfer to stage 2
-15,361
16,025
-664
-11,135
12,130
-996
Transfer to stage 3
-1,468
-1,186
2,654
-1,131
-1,116
2,247
Additional drawdowns and partial
repayments
-16,518
1,265
-142
-15,394
-11,950
199
-8
-11,759
Originated or purchased
42,922
42,922
37,428
37,428
Matured or repaid
-20,472
-4,170
-876
-25,518
-20,909
-4,609
-1,198
-26,715
Write-offs
-350
-350
-334
-334
Foreign exchange
1,017
50
21
1,088
-484
-92
-18
-594
Other movements
-1,483
-144
-34
-1,660
33
-7
48
74
Balance at 31 December
225,759
25,136
5,258
256,153
228,418
21,940
4,707
255,066
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Total loans and advances increased marginally
compared to 31 December 2023. This was mainly due
to an increase in mortgages, which was mostly offset by
a decrease in corporate and consumer loans.
There was a significant transfer from stage 1 to stage 2
and 3, largely due to the implementation
of\u00a0methodology changes to better reflect the credit risk
characteristics of interest-only mortgages and
the\u00a0anticipated impact of a new mortgage model.
There was a significant decrease in other movements,
which was mainly due to a loan portfolio being
reclassified to assets held for sale.
Exposure flows per product class are presented
in\u00a0the\u00a0section Additional risk, funding & capital
disclosures.
Loan impairment charges and allowances\u00a0\u00a0
Audited
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Balance at 31 December 2023
3
198
147
1,254
3
1,605
109
Transfer to stage 1
-4
-4
-10
-18
Transfer to stage 2
6
23
29
2
Transfer to stage 3
16
29
137
181
Remeasurements\u00b9
-73
-15
-16
-2
-105
22
Changes in risk parameters
1
3
-11
-7
Originated or purchased
4
3
33
1
41
5
Matured or repaid
-14
-6
-60
-79
-7
Impairment charges (releases) on loans
and advances
-64
11
96
-2
41
22
Write-offs
-2
-31
-317
-350
Unwind discount / unearned interest accrued
1
3
22
1
27
Foreign exchange and other movements
-1
45
45
-34
Balance at 31 December 2024
4
133
130
1,100
2
1,368
96
2024
Impairment charges (releases) on loans and
advances
-64
11
96
-2
41
22
Recoveries and other charges (releases)
-11
-25
-48
-83
Total impairment charges for the period\u00b2
-75
-13
48
-2
-42
22
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage.
2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2024: EUR 1 million.
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Balance at 31 December 2022
8
153
277
1,590
5
2,034
51
Impact adopting IFRS 17
-100
-100
Balance at 1 January 2023
8
153
177
1,590
5
1,934
51
Transfer to stage 1
-4
-5
-20
-28
-1
Transfer to stage 2
7
-1
-14
-9
2
Transfer to stage 3
24
30
133
2
188
17
Remeasurements\u00b9
-5
35
-15
-112
-4
-101
47
Changes in risk parameters
3
6
-35
-26
-4
Originated or purchased
4
3
32
39
8
Matured or repaid
-17
-8
-54
-79
-9
Impairment charges (releases) on loans
and advances
-5
51
10
-71
-3
-17
60
Write-offs
-1
-58
-274
-334
Unwind discount / unearned interest accrued
2
3
29
1
34
Foreign exchange and other movements
-7
15
-20
-12
-1
Balance at 31 December 2023
3
198
147
1,254
3
1,605
109
2023
Impairment charges (releases) on loans and
advances
-5
51
10
-71
-3
-17
60
Recoveries and other charges (releases)
-14
-29
-67
-111
-90
Total impairment charges for the period\u00b2
-5
37
-19
-139
-3
-128
-30
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million.
Loan impairment charges and allowances per stage\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Closing balance of the previous year
237
289
1,079
1,605
316
396
1,322
2,034
Impact adopting IFRS 17
-6
-19
-75
-100
Balance at 1 January
237
289
1,079
1,605
310
376
1,247
1,934
Transfer to stage 1
61
-70
-9
-18
109
-128
-10
-28
Transfer to stage 2
-32
104
-43
29
-41
90
-58
-9
Transfer to stage 3
-6
-29
216
181
-15
-59
261
188
Remeasurements\u00b9
-106
-46
46
-105
-125
44
-20
-101
Changes in risk parameters
-5
-4
2
-7
-31
-1
6
-26
Originated or purchased
41
41
39
39
Matured or repaid
-18
-24
-38
-79
-11
-16
-53
-79
Impairment charges (releases) on loans
and advances
-65
-68
174
41
-75
-69
126
-17
Write-offs
-350
-350
-334
-334
Unwind discount / unearned interest accrued
27
27
34
34
Foreign exchange and other movements
-2
6
41
45
2
-18
4
-12
Balance at 31 December
170
226
971
1,368
237
289
1,079
1,605
Impairment charges (releases) on loans
and advances
-65
-68
174
41
-75
-69
126
-17
Recoveries and other charges (releases)
-83
-83
-111
-111
Total impairment charges for the period
-65
-68
91
-42
-75
-69
16
-128
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
A release of EUR 21 million (a EUR 42 million release on
balance and a EUR 22 million charge off balance)
in\u00a0impairments was recorded for 2024 (2023: a release
of EUR 158 million, of which EUR 30 million
off\u2011balance).\u00a0 Impairment releases were primarily
related to\u00a0residential mortgages somewhat offset by
impairment charges in corporate loans.
For residential mortgages, releases of EUR 75 million
were recorded in 2024, compared to charges of
EUR\u00a037\u00a0million in 2023. This was mainly caused by
the\u00a0impact of the updated IFRS 9 model for mortgages,
including updated and enhanced data, which led
to\u00a0lower impairment levels from the third quarter
of\u00a02024. Besides that, the decrease was mostly due
to\u00a0lower loss given default rates driven by increased
collateral values. The decrease in total impairments was
partly offset by an increase in management overlays
of\u00a0EUR 2 million.
For corporate loans, charges of EUR 48 million were
recorded in 2024, primarily due to an increase
in\u00a0individual files, which is also reflected in the
off\u2011balance items. In 2023, there was a release of
EUR\u00a0139 million. In 2024, we recorded an increase
in\u00a0collective impairments (mostly in stage 3) due
to\u00a0the\u00a0anticipated impact of a new model for corporate
portfolios. This decrease in total impairments for
corporate loans was mainly driven by a decrease
in\u00a0management overlays of EUR 121 million, which was
largely due to the decommissioning of the management
overlay for geopolitical and market sensitivity
(geopolitical risk).
Individual and collective loan impairment allowances and management overlays\u00a0\u00a0
Audited
31 December 2024
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Individual impairments
Stage 3\u00b9
42
600
2
643
80
Total individual impairments
42
600
2
643
80
Collective impairments
Stage 1
4
36
12
119
170
6
Stage 2
42
15
170
226
10
Stage 3\u00b9
55
60
212
327
Total collective impairments
4
133
88
500
724
16
- of which management overlay
85
56
140
Total impairments
4
133
130
1,100
2
1,368
96
Carrying amount of loans, determined to be impaired,
before deducting any assessed impairment allowance
1,919
222
3,110
6
5,258
1. Including POCI.
31 December 2023
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Individual impairments
Stage 3\u00b9
52
695
2
750
78
Total individual impairments
52
695
2
750
78
Collective impairments
Stage 1
3
24
18
192
237
16
Stage 2
49
11
228
1
289
12
Stage 3\u00b9
125
66
138
329
3
Total collective impairments
3
198
95
558
1
855
31
- of which management overlay
83
177
260
Total impairments
3
198
147
1,254
3
1,605
109
Carrying amount of loans, determined to be impaired,
before deducting any assessed impairment allowance
1,292
255
3,152
8
4,707
1. Including POCI.
Total collective impairments amounted to
EUR\u00a0724\u00a0million at year end 2024 (31 December 2023:
EUR\u00a0855\u00a0million). These impairments included expected
credit losses (ECL) as calculated by our IFRS 9 models
and the management overlays we recorded. The ECL
calculations take into account a probability weighted
average of three economic scenarios. As the ECL model
outcomes do not always reflect the current economic
environment and circumstances, additional
management overlays are applied to incorporate novel
risks not fully captured by the model.
During 2024, management overlays decreased to
a\u00a0total of EUR 140 million (31 December 2023:
EUR\u00a0260 million). Some of the management overlays
were recorded for risks in corporate loans portfolios,
where the impairments decreased from
EUR\u00a0177\u00a0million to EUR 56 million. In 2024,
the\u00a0management overlays changed mainly due to:
\u2022 Discontinuation of the management overlay for
geopolitical and market sensitivity (geopolitical risk).
In\u00a0combination with the changed macroeconomic
scenario weights, revised forecasts for macroeconomic
variables, and credit risk assessments at both
the\u00a0sectorial and individual levels, we captured
the\u00a0current geopolitical risks in our modelled loan
impairment calculations. The decommissioning
resulted in a release of EUR 86 million.
\u2022 The existing overlays, which cover potential additional
risk costs relating to the wind-down of portfolios,
decreased over the year by EUR 23 million.
\u2022 The overlays that are in place for climate transition
risk decreased by EUR 6 million to EUR 19 million,
based on the updated materiality impact assessment.
\u2022 The overlay that is in place for the potential impact
of\u00a0the government\u2019s nitrogen reducing measures on
clients in livestock farming businesses
in\u00a0the\u00a0Netherlands decreased slightly from
EUR\u00a035\u00a0million to EUR 29 million.
Some of the management overlays were recorded for
risks in mortgage loans, where the impairments
increased from EUR 83 million to EUR 85 million
in\u00a02024. The management overlay framework for our
mortgages portfolio was revised in the third quarter,
following the update of the IFRS 9 model for
mortgages. The methodology for interest-only
mortgages was updated to include, among others,
a\u00a0new component that was introduced to capture the
possible impact of a significant decrease in
loan\u2011to\u2011value upon default and an adjustment in
the\u00a0calculation of refinancing risk. In the fourth quarter,
stage 2 ratio increased due to these methodology
changes, which were implemented to better reflect
the\u00a0credit risk characteristics of the mortgages overlays.
All management overlays represent best estimates
of\u00a0the risks involved. The underlying reasoning and
calculations are documented and discussed and
approved by the Impairments and Provisioning
Committee (IPC).
Loan impairment charges and allowances \u2013 residential mortgages\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Balance at 1 January
24
49
125
198
21
57
75
153
Transfer to stage 1
19
-20
-3
-4
14
-18
-1
-4
Transfer to stage 2
-2
37
-29
6
-2
28
-19
7
Transfer to stage 3
-1
-5
21
16
-1
-5
30
24
Remeasurements\u00b9
-8
-17
-48
-73
-13
-6
54
35
Changes in risk parameters
1
1
-1
1
4
-1
3
Originated or purchased
4
4
4
4
Matured or repaid
-2
-3
-9
-14
-1
-6
-10
-17
Impairment charges (releases) on loans
and advances
12
-7
-69
-64
4
-7
54
51
Write-offs
-2
-2
-1
-1
Unwind discount / unearned interest accrued
1
1
2
2
Foreign exchange and other movements
1
-1
-2
-4
-7
Balance at 31 December
36
42
55
133
24
49
125
198
Impairment charges (releases) on loans and
advances
12
-7
-69
-64
4
-7
54
51
Recoveries and other charges (releases)
-11
-11
-14
-14
Total impairment charges for the period
12
-7
-80
-75
4
-7
39
37
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 consumer loans\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Closing balance of the previous year
18
11
118
147
30
36
211
277
Impact adopting IFRS 17
-6
-19
-75
-100
Balance at 1 January
18
11
118
147
25
16
136
177
Transfer to stage 1
4
-3
-4
-4
7
-7
-4
-5
Transfer to stage 2
-1
8
-6
-3
8
-6
-1
Transfer to stage 3
-2
31
29
-3
-2
35
30
Remeasurements\u00b9
-9
1
-6
-15
-11
-4
-15
Changes in risk parameters
-1
3
3
6
6
Originated or purchased
3
3
3
3
Matured or repaid
-1
-5
-6
-2
-1
-6
-8
Impairment charges (releases) on loans
and advances
-5
4
12
11
-9
-6
26
10
Write-offs
-31
-31
-58
-58
Unwind discount / unearned interest accrued
3
3
3
3
Foreign exchange and other movements
-1
2
1
11
15
Balance at 31 December
12
15
102
130
18
11
118
147
Impairment charges (releases) on loans and
advances
-5
4
12
11
-9
-6
26
10
Recoveries and other charges (releases)
-25
-25
-29
-29
Total impairment charges for the period
-5
4
-12
-13
-9
-6
-4
-19
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 corporate loans\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Balance at 1 January
192
228
833
1,254
256
301
1,033
1,590
Transfer to stage 1
39
-47
-1
-10
88
-103
-5
-20
Transfer to stage 2
-29
59
-8
23
-36
55
-33
-14
Transfer to stage 3
-5
-23
164
137
-10
-51
194
133
Remeasurements\u00b9
-89
-29
102
-16
-96
54
-71
-112
Changes in risk parameters
-6
-5
-11
-34
-1
-35
Originated or purchased
33
33
32
32
Matured or repaid
-15
-20
-25
-60
-9
-9
-37
-54
Impairment charges (releases) on loans
and advances
-72
-64
232
96
-65
-55
49
-71
Write-offs
-317
-317
-274
-274
Unwind discount / unearned interest accrued
22
22
29
29
Foreign exchange and other movements
-2
6
40
45
1
-17
-3
-20
Balance at 31 December
119
170
811
1,100
192
228
833
1,254
Impairment charges (releases) on loans and
advances
-72
-64
232
96
-65
-55
49
-71
Recoveries and other charges (releases)
-48
-48
-67
-67
Total impairment charges for the period
-72
-64
184
48
-65
-55
-19
-139
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 off-balance\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b3
Total\u00b3
Stage 1
Stage 2
Stage 3\u00b3
Total\u00b3
Balance at 1 January
16
12
81
109
25
16
10
51
Transfer to stage 1
2
-2
4
-5
-1
Transfer to stage 2
-2
4
2
-4
5
2
Transfer to stage 3
17
17
Remeasurements\u00b9
-10
-1
33
22
-7
-1
55
47
Changes in risk parameters
-4
-4
Originated or purchased
5
5
8
8
Matured or repaid
-4
-2
-7
-7
-2
-9
Impairment charges (releases)
-10
-1
33
22
-10
-3
72
60
Foreign exchange and other movements
1
-1
-34
-34
1
-1
-1
-1
Balance at 31 December
6
10
80
96
16
12
81
109
Impairment charges (releases) on off-balance
-10
-1
33
22
-10
-3
72
60
Other charges (releases)\u00b2
-90
-90
Total impairment charges for the period
-10
-1
33
22
-10
-3
-18
-30
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. In 2023, 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 judgements
In preparing the financial statements, management needs to exercise its judgement in the process of applying
ABN\u00a0AMRO\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\u00a0make 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 chapter
\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\u00a0 Income tax expense, tax assets and tax liabilities
Accounting policy for income tax expense, tax assets and tax liabilities
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\u00a0deferred tax asset to be recovered. Deferred tax assets and liabilities are offset only when there is both a legal
right to offset and an intention to settle on a net basis.
(in millions)
2024
2023
Recognised in income statement:
Current tax expenses for the current period
947
915
Pillar Two tax expense
5
Adjustments recognised in the period for current tax of prior periods
9
-90
Total current tax expense
961
825
Deferred tax arising from the current period
43
41
Impact of changes in tax rates on deferred taxes
-1
Deferred tax arising from the write-down or reversal of a write-down of a deferred tax asset
21
-85
Deferred tax prior period
-6
80
Previously unrecognised tax losses, tax credits and\u00a0 temporary differences reducing deferred tax expense
-6
-13
Total deferred tax expense
52
22
Total income tax expense
1,013
847
\"\"
Due to the sale of the Gustav Mahlerlaan building in 2021, ABN AMRO was able to make use of a reinvestment
reserve. This resulted in a lower current tax expense offset by a higher deferred tax expense included in 2023.
Tax assets and liabilities
The most significant temporary differences arose from the revaluation of certain financial assets and liabilities,
including derivative contracts, allowances for loan impairment and investments. The following table summarises
the\u00a0tax position.
31 December 2024
31 December 2023
(in millions)
Assets
Liabilities
Assets
Liabilities
Current tax
51
395
49
159
Deferred tax
275
278
Total tax assets and liabilities
326
395
327
159
\"\"
The significant components and annual movements in deferred tax assets and deferred tax liabilities are shown
in\u00a0the\u00a0following tables.
(in millions)
As at
31 December
2023
Income
statement
OCI
Equity
Other
As at
31 December
2024
- of which
deferred
tax asset
- of which
deferred
tax liability
Assets and liabilities held for trading,
derivatives and financial investments
115
-6
51
159
175
16
Property and equipment (excluding leases) and
intangible assets
25
-20
-5
-1
20
21
Loans
12
-1
10
11
1
Leases
32
-4
28
93
65
Pensions and other (post-)employment benefits
8
1
9
9
Provisions
23
4
1
1
29
29
Tax losses carried forward
88
-42
3
50
50
Other
-25
19
-1
-8
57
65
Deferred tax assets (+) and liabilities (-)
278
-52
51
-2
275
442
167
Offsetting deferred tax assets and liabilities
167
167
Net deferred tax assets (+) and liabilities (-)
275
(in millions)
As at
31 December
2022
Income
statement
OCI
Equity
Other
As at
31 December
2023
- of which
deferred
tax asset
- of which
deferred
tax liability
Assets and liabilities held for trading,
derivatives and financial investments
315
-3
-198
115
124
9
Property and equipment (excluding leases) and
intangible assets
23
2
25
27
2
Loans
12
-1
12
12
Leases
38
-6
32
102
70
Pensions and other (post-)employment benefits
9
-1
8
8
Provisions
20
6
3
1
-6
23
23
Tax losses carried forward
40
50
-2
88
88
Other
39
-69
6
-25
64
89
Deferred tax assets (+) and liabilities (-)
497
-22
-195
1
-2
278
448
170
Offsetting deferred tax assets and liabilities
170
170
Net deferred tax assets (+) and liabilities (-)
278
Deferred tax assets
Deferred tax assets are recognised to the extent that it is probable that future taxable profits will allow the deferred
tax asset to be recovered. Recognition is based on estimates of taxable income by jurisdiction in which ABN AMRO
operates and the period over which the deferred tax assets will be recoverable. In the event that actual results differ
from these estimates in future periods, changes to the recognition of deferred tax assets could be required and these
could impact our financial position and net profit. No deferred income taxes have been recognised on undistributed
earnings of ABN AMRO\u2019s subsidiaries, branches and interests in joint ventures.
Unrecognised tax assets
Certain amounts of deferred tax assets are not recognised because future taxable profits are not considered probable.
Deferred tax assets for an amount of EUR 29 million (31 December 2023: EUR 14 million) have not been recognised
in\u00a0respect of deductible temporary differences of EUR 112 million (31 December 2023: EUR 55 million). In addition,
deferred tax assets for an amount of EUR 46 million (31 December 2023: EUR 47 million) have not been recognised
in\u00a0respect of tax losses of EUR 233 million (31 December 2023: EUR 242 million).
Tax credits and unrecognised tax credits
ABN AMRO did not have any carry-forward tax credits on 31 December 2024.
17\u00a0 Financial investments
Accounting policy for financial investments
Financial investments include financial instruments measured at fair value through other comprehensive income
(FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL).
Accounting policy for financial instruments measured at fair value through other
comprehensive income
Unrealised gains and losses on FVOCI assets are recognised directly in other comprehensive income, net
of\u00a0applicable 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\u00a0the income statement. The impairment loss resulting from the ECL on FVOCI debt instruments is recognised
in\u00a0the 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\u00a0AMRO\u2019s impairment assessment and measurement approach for FVOCI debt instruments is set
out in the Credit risk management section of 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 2024
31 December 2023
Financial investments
Debt securities held at fair value through other comprehensive income
46,196
40,663
Held at fair value through profit or loss
977
838
Total financial investments
47,173
41,501
Debt securities held at fair value through other comprehensive income consist mainly of government bonds.
\"\"
Financial investments measured at fair value through other comprehensive income
(in millions)
31 December 2024
31 December 2023
Interest-earning securities
Dutch government
3,261
2,642
US Treasury and US government
7,140
6,861
Other OECD government
19,143
15,761
Non-OECD government
170
150
International bonds issued by the European Union
3,319
2,962
European Stability Mechanism
2,441
2,349
Mortgage- and other asset-backed securities
5,288
5,046
Financial institutions
5,404
3,477
Non-financial institutions
29
1,414
Total investments held at fair value through other comprehensive income
46,196
40,663
Government bonds by country of origin
31 December 2024
31 December 2023
(in millions)
Accumulated unrealised
gains/(losses) and
fair value hedges
gains/(losses)
Impairments
Fair
value
Accumulated unrealised
gains/(losses) and
fair value hedges
gains/(losses)
Impairments
Fair
value
Dutch national government
-61
-1
3,261
-23
2,642
USA national government
-267
7,140
-265
6,861
German national government
-118
5,315
-161
4,924
French national government
-61
2,025
-77
1,781
Belgian national government
-152
2,791
-164
-1
2,861
Austrian national government
-34
1,658
-11
1,774
Finnish national government
-50
1,496
-20
1,040
Luxembourg national government
-19
305
-22
245
Canadian national government
-45
1,186
-64
1,142
Japanese national government
-1
2,426
568
Polish national government
34
330
35
330
Spanish national government
4
615
-9
268
United Kingdom national government
-11
170
9
183
Danish national government
-22
341
-10
183
Italian national government
-29
382
-42
370
Irish national government
2
92
3
94
Portuguese national government
10
Brazilian national government
100
82
Singapore national government
70
68
European Union bonds
(excl. European Financial Stability Facility)
-523
3,319
-530
2,962
Total government bonds
-1,354
-1
33,034
-1,351
-1
28,377
Critical accounting estimates and judgements
Interest-bearing debt securities classified as FVOCI investments are assessed at each reporting date to establish
whether there are any expected credit losses. ABN AMRO has developed models to determine such credit losses.
These are explained in more detail in the Risk, funding & capital chapter. Impairment charges on FVOCI instruments
are recorded in (un)realised gains/(losses) fair value through OCI in the statement of comprehensive income.
19\u00a0 Fair value of financial instruments carried at fair value
Accounting policy for fair value of financial instruments
The fair value is defined as the price that would be received when selling an asset or paid when transferring
a\u00a0liability 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\u00a0the\u00a0pricing 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\u00a0arrive at a fair value are as follows:
\u2022 Bid-ask adjustments. If the model calculates a mid-market price, it is adjusted to take into account the relevant
bid-offer spread.
\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\u00a0AMRO\u2019s creditworthiness respectively.
\u2022 Liquidity adjustments. ABN AMRO uses different techniques to determine the price or input parameters
of\u00a0the\u00a0pricing model dependent on the liquidity in the market.
\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 framework
ABN AMRO has in place designated controls and processes to determine the fair value of financial instruments.
A\u00a0process 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\u00a0ensure 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\u00a0the\u00a0fair 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\u00a0valuations 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\u00a0model documentation, testing and review, depending on the complexity of the model and the size of our exposure
to the model.
Valuation techniques
A number of methodologies are used to determine the fair value of financial instruments for which observable prices
in active markets for identical instruments are not available. Values between and beyond available data points are
obtained by interpolation and/or extrapolation. When valuation techniques are used, the fair value can be significantly
impacted by the choice of 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 derivatives
This category includes interest rate swaps, cross-currency swaps, options and forward rate agreements. These
products are valued by estimating future cash flows and discounting these cash flows, using appropriate interest rate
curves. The exception is interest option contracts, which are valued using market standard option pricing models.
The\u00a0inputs 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 contracts
Foreign exchange contracts include foreign exchange forward contracts, foreign exchange options and foreign
exchange swaps. The majority of the foreign exchange contracts at ABN AMRO are traded as over-the-counter
derivatives. These instruments are valued using foreign currency exchange rates. There are observable markets 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 securities
Government 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 securities
Corporate 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 instruments
Equity 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 loss
Loans and advances at fair value through profit or loss consist primarily of contracts with corporate clients where
the\u00a0contractual cash flows do not meet the SPPI requirements or are held in a business model with the objective
of\u00a0generating cash flows from sales. The return on the contracts with embedded derivatives is based on the price
of\u00a0underlying commodity contracts or loans with a floating interest rate. Discounted cash flow models are used
to\u00a0value these contracts. The main inputs are interest rate curves, quoted commodity prices, liquidity spreads and
credit spreads. The instruments are classified as level 2. If adjustments to interest rate curves, liquidity spreads and
credit spreads are based on significant unobservable inputs, the instruments are classified as level 3.
Issued debt
Issued debt securities are valued using discounted cash flow models, based on current interest rate curves that
incorporate observable inputs. These instruments are classified as level 2. When there are no, or only limited, publicly
quoted prices available for these instruments and unobservable inputs have a significant effect on the fair value
calculation, these instruments are classified as level 3.
ABN AMRO refines and modifies its valuation techniques as markets and products develop and as 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\u00a0different estimates of the fair value at the reporting date.
Fair value hierarchy
ABN AMRO analyses financial instruments held at fair value in the three categories described below.
Level 1 financial instruments are those that are valued using unadjusted 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\u00a0valuation 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\u00a0instrument\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 for determining the fair values of financial instruments
carried at fair value.
31 December 2024
31 December 2023
(in millions)
Quoted
market
prices
in active
markets
Valuation
techniques
- observable
inputs
Valuation
techniques
- significant
unobservable
inputs
Total fair
value
Quoted
market
prices
in active
markets
Valuation
techniques
- observable
inputs
Valuation
techniques
- significant
unobservable
inputs
Total fair
value
Assets
Government debt securities
1,119
51
1,169
341
341
Corporate debt securities
743
503
1,246
780
240
1,019
Equity securities
2
2
1
1
Other financial assets held for trading
87
87
10
10
Financial assets held for trading
1,863
640
2,503
1,121
250
1,371
Interest rate derivatives
5
3,116
20
3,140
4
3,606
15
3,625
Foreign exchange contracts
1,203
2
1,206
765
12
776
Other derivatives
1
1
2
2
Derivatives
5
4,320
22
4,347
4
4,372
26
4,403
Equity instruments
133
47
797
977
130
52
656
838
Financial investments at fair value
through profit or loss
133
47
797
977
130
52
656
838
Government debt securities
35,145
330
35,475
30,396
330
30,726
Corporate debt securities
5,432
5,432
4,890
1
4,891
Other debt securities
5,288
5,288
5,046
5,046
Financial assets held at fair value
through other comprehensive
income
45,866
330
46,196
40,332
1
330
40,663
Loans and advances at fair value through
profit or loss
30
600
630
31
676
707
Total financial assets
47,866
5,037
1,750
54,653
41,587
4,706
1,689
47,982
Liabilities
Short positions in government debt
securities
346
172
518
303
303
Corporate debt securities
313
208
522
376
135
511
Equity securities
7
7
Other financial liabilities held for trading
123
123
96
96
Financial liabilities held for trading
660
503
1,163
686
231
917
Interest rate derivatives
3
1,688
1
1,692
1
2,297
2,298
Foreign exchange contracts
803
803
553
553
Other derivatives
4
4
5
5
Derivatives
3
2,495
1
2,499
1
2,855
2,856
Issued debt
205
205
222
222
Total financial liabilities
663
3,203
1
3,867
687
3,308
3,994
Transfers between fair value hierarchies
There were no material transfers between the fair value hierarchies.
\"\"
Movements in level 3 financial instruments measured at fair value
The following table shows a reconciliation of the opening and closing amounts of level 3 financial assets that are
recorded at fair value.
Assets
Liabilities
(in millions)
Derivatives
Financial
investments at
fair value through
profit or loss
Financial assets
held
at fair value
through
other
comprehensive
income
Loans and
advances at
fair value
through
profit or loss
Derivatives
Balance at 1 January 2023
46
481
358
30
Change in accounting policy
982
Purchases
145
Sales
-2
-243
Issuance
24
Redemptions
-12
-38
-175
Gains/(losses) recorded in profit and loss 1
6
1
1
Unrealised gains/(losses) 2
1
52
10
59
Transfer between levels
-21
Other movements
-14
-2
Balance at 31 December 2023
26
656
330
676
Purchases
86
Sales
-3
-35
Issuance
42
Redemptions
-14
-157
Gains/(losses) recorded in profit and loss\u00b9
1
-5
Unrealised gains/(losses)\u00b2
-3
89
-1
59
Transfer between levels
-2
1
Other movements
-17
19
Balance at 31 December 2024
22
797
330
600
1
1. Included in other operating income.
2. Unrealised gains/(losses) on derivatives held for trading are included in net trading income, on instruments measured at FVTPL in other operating income and on instruments
measured at FVOCI in other comprehensive income.
Level 3 sensitivity information
Interest-earning securities - government bonds
ABN AMRO has a position in a Polish bond, denominated in euros (see Note 17 - Financial investments, and part
of\u00a0Other 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 shares
Equities measured at fair value through profit and loss and classified as level 3 mainly comprise private equity
investments. Private equity shares are measured at fair value, applying two calculation techniques:
\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 to 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\u00a0the 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 cannot be applied for the NAV calculation based on the quarterly
performance.
Derivatives
ABN AMRO applies a credit valuation adjustment (CVA) that reflects counterparty credit risk in the fair value
measurement of uncollateralised and partially collateralised OTC derivatives. For counterparties that do not have
an\u00a0observable 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\u00a0the\u00a0following table of level 3 sensitivity information, is generated internally and is therefore an unobservable input.
Loans and advances \u2013 Equity release mortgages
ABN 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 historical bandwidth observed for
prepayment rates.
Loans and advances - Other
ABN AMRO offers personal loans that feature a waiver on a portion of the outstanding debt upon the decease
of\u00a0the\u00a0client. 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 for expected credit losses.
31 December 2024
Valuation
technique
Unobservable
data
Carrying
value
Possible alternative
assumptions
Unobservable
data range
Unobservable
data base
(in millions)
Applying
minimum
Applying
maximum
Applying
minimum
Applying
maximum
Equity shares
Private equity
valuation
EBITDA
multiples
141
-14
14
Equity shares
Private equity
valuation
Net asset
value
657
-66
66
Interest-earning securities -
government bonds
Discounted
cash flow
Liquidity and
credit spread
330
-13
19
38bps
157bps
110bps
Loans and advances -
Equity release mortgages
Discounted
cash flow
Prepayment
rate
458
-6
9
2.4%
4.9%
3.6%
Loans and advances -
Other
Discounted
cash flow
Credit
spread
142
-4
7
Derivatives held for trading -
assets/liabilities (net)
Discounted
cash flow
Probability
of default
22
-2
6
100.0%
24.0%
31 December 2023
Valuation
technique
Unobservable
data
Carrying
value
Possible alternative
assumptions
Unobservable
data range
Unobservable
data base
(in millions)
Applying
minimum
Applying
maximum
Applying
minimum
Applying
maximum
Equity shares
Private equity
valuation
EBITDA
multiples
136
-14
14
Equity shares
Private equity
valuation
Net asset
value
519
-52
52
Interest-earning securities -
government bonds
Discounted
cash flow
Liquidity and
credit spread
330
-11
28
4bps
139bps
101bps
Loans and advances -
Equity release mortgages
Discounted
cash flow
Prepayment
rate
398
-9
9
1.9%
3.2%
2.5%
Loans and advances -
Other
Discounted
cash flow
Credit
spread
250
-7
11
Derivatives held for trading -
assets/liabilities (net)
Discounted
cash flow
Probability
of default
26
-3
4
0.0%
100.0%
12.7%
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for impairment of non-financial assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
Accounting policy for intangible assets
Goodwill
Goodwill is capitalised and stated at cost, being the excess of the consideration paid over the fair value
of\u00a0ABN\u00a0AMRO\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 2024
31 December 2023
Land and buildings held for own use
379
225
Leasehold improvements
44
44
Plant & equipment under operating lease
306
338
Equipment
70
78
Right of use assets
260
285
Other
8
9
Total property and equipment
1,068
978
The right of use assets consist primarily of real estate.
\"\"
(in millions)
31 December 2024
31 December 2023
Goodwill
44
Purchased software
5
10
Internally developed software
188
81
Other
15
8
Total goodwill and other intangible assets
253
99
2024
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
777
208
649
626
584
11
2,853
115
517
632
Acquisitions/divestments of subsidiaries
33
33
Additions
174
13
97
28
53
365
44
4
48
Reversal of cost due to disposals
-12
-13
-182
-48
-58
-313
-10
-22
-31
Foreign exchange differences
1
6
1
3
10
1
1
Internally generated software
93
93
Other
2
-1
-17
-15
-4
-3
Acquisition costs
as at 31 December
941
209
570
607
565
11
2,902
150
623
773
Accumulated depreciation/
amortisation as at 1 January
-547
-160
-308
-546
-256
-1,817
-408
-408
Acquisitions/divestments of subsidiaries
-7
-7
Depreciation/amortisation
-16
-14
-36
-81
-147
-13
-13
Depreciation of assets subject to
operating lease
-86
-86
Reversal of depreciation/amortisation
due to disposals
10
9
135
45
21
219
22
22
Foreign exchange differences
-1
-3
-1
-1
-6
-1
-1
Other
-4
1
1
20
18
3
3
Accumulated depreciation/
amortisation as at 31 December
-557
-165
-263
-537
-297
-1
-1,819
-404
-404
Accumulated impairments as
at 1 January
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
2
4
2
37
45
10
10
Foreign exchange differences
-1
-1
Other
-2
-2
Accumulated impairments
as at 31 December
-5
-1
-7
-2
-14
-105
-10
-116
Total as at 31 December
379
44
306
70
260
8
1,068
44
209
253
The fair value of land and buildings held for own use is estimated at EUR 198 million at 31 December 2024 (2023:
EUR\u00a0199 million). Of this fair value, 100% is based on external valuations performed in 2017 to 2023. There are some
properties that have a lower fair value than the recorded carrying value. No impairment is recorded because these
properties are considered corporate assets. The value in use for the cash generating units within ABN AMRO Group is
sufficient to cover the total value of all these assets.
\"\"
The building at Foppingadreef in Amsterdam is being reconstructed to make it an example with regard
to\u00a0sustainability and circularity. Until 31 December 2024, a total of EUR 238 million was capitalised as part of the asset
under construction (2023: EUR 70 million). In 2024, additional design aspects were added to the original contract. As
at 31\u00a0December 2024, the amount of contractual commitments relating to the refurbishment amounted
to\u00a0EUR\u00a0298\u00a0million (2023: EUR 430 million), subject to price indexation based on the BDB Index. The project is
scheduled to be completed in 2027.
2023
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
726
209
801
638
497
11
2,883
142
438
580
Additions
63
12
98
35
138
346
9
9
Reversal of cost due to disposals
-50
-21
-255
-47
-38
-412
-4
-4
Foreign exchange differences
-1
5
-2
-2
Internally generated software
75
75
Other
38
9
2
-12
36
-27
-28
Acquisition costs
as at 31 December
777
208
649
626
584
11
2,853
115
517
632
Accumulated depreciation/
amortisation as at 1 January
-530
-165
-369
-554
-205
-1,824
-398
-398
Depreciation/amortisation
-16
-14
-40
-85
-155
-14
-14
Depreciation of assets subject to
operating lease
-108
-108
Reversal of depreciation/amortisation
due to disposals
33
20
172
46
21
292
4
4
Foreign exchange differences
1
-2
2
Other
-34
-1
1
12
-22
Accumulated depreciation/
amortisation as at 31 December
-547
-160
-308
-546
-256
-1,817
-408
-408
Accumulated impairments as
at 1 January
-5
-5
-5
-4
-51
-1
-70
-64
-10
-74
Increase of impairments charged to the
income statement
-1
-1
-1
-3
-79
-79
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
1
1
8
10
Foreign exchange differences
1
1
Other
1
1
28
28
Accumulated impairments
as at 31 December
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Total as at 31 December
225
44
338
78
285
9
978
99
99
Valuation of goodwill
31 December 2024
31 December 2023
(in millions)
Segment
Method used
for recoverable
amount
Discount
rate
Long-term
growth
rate
Impairment
charges
Goodwill
Goodwill
Entity
Bux
Wealth
Management
Value in use
13.5%
2.0%
44
Total goodwill and impairment charges
44
ABN AMRO performed its annual impairment test in the last quarter of 2024. The factors considered by ABN AMRO
when reviewing for indicators of impairment include the relationship between its market capitalisation and its book
value. The outcome of the impairment test performed is that no impairment needs to be recognised.
(in millions)
2024
2023
Depreciation on tangible assets
Land and buildings held for own use
16
16
Leasehold improvements
14
14
Equipment
36
40
Right of use assets
81
85
Amortisation on intangible assets
Purchased software
5
7
Internally developed software
6
3
Other intangible assets
2
4
Impairment losses on tangible assets
Land and buildings held for own use (incl. held for sale)
1
Right of use assets
1
Other
1
Impairment losses on intangible assets
Goodwill
79
Total depreciation, amortisation and impairment losses
160
251
30\u00a0 Provisions
Accounting policy for provisions
A provision is recognised in the balance sheet when ABN AMRO has a legal or constructive obligation as a result
of a past event, and it is more likely than not that an outflow of economic benefits will be required to settle
the\u00a0obligation, 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. In cases where ABN AMRO expects
disclosure of legal proceedings on a case-by-case basis to seriously prejudice its position, it only discloses
the\u00a0general nature of the dispute.
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\u00a0implement 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\u00a0payment. Expected credit loss allowances of loan commitments and financial guarantees are recognised as
provisions under IFRS 9.
(in millions)
31 December 2024
31 December 2023
Legal provisions
150
273
Credit commitments provisions
97
120
Restructuring provision
45
57
Provision for pension commitments
76
76
Other staff provision
181
134
Insurance fund liabilities
7
7
Other provisions
58
75
Total provisions
612
742
Legal provisions
Variable interest rates for consumer loans
On 3 March 2021, the Kifid Appeals Committee confirmed a ruling of the Kifid Disputes Committee about
the\u00a0recalculation of the variable interest charged to a specific client on a revolving credit. In short, Kifid ruled that
ABN\u00a0AMRO 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 505 million for the interest to be compensated and
the\u00a0costs incurred in carrying out the scheme. To date, EUR 470 million of this provision has been used, so
the\u00a0remaining provision as at 31 December 2024 was EUR 35 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\u00a0compensation 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 provisions
AML remediation programme
ABN AMRO is progressing with the enhancement to its internal processes and systems to effectively contribute
to\u00a0the\u00a0prevention of financial economic crime. ABN AMRO has closed the AML client file remediations for key parts
of\u00a0the business, and are awaiting the observations from the supervisor on others. Work continues to increase
the\u00a0effectiveness and sustainability of our measures to meet regulatory requirements. Currently, the main attention
goes to the effectiveness of our monitoring processes and the quality of our client due diligence. ABN AMRO is
in\u00a0regular dialogue with the Dutch Central Bank, which is\u00a0 regularly informed, continues to monitor progress and
provides observations. DNB has recently identified shortcomings in our event-driven review processes. These
shortcomings relate to updating of client files, for example due to changes in a client\u2019s circumstances. DNB has
indicated that these findings may lead to enforcement measures. A potential financial impact cannot be reliably
estimated, and no provision has been recorded.
(in millions)
Legal
provisions
Credit
commitments
Restructuring
provision
Provision
for pension
commitments
Other
staff
provision
Insurance
fund
liabilities
Other
Total
At 1 January 2023
447
154
105
75
128
8
128
1,044
Increase of provisions
89
86
14
22
210
Reversal of unused provisions
-41
-129
-22
-9
-32
-233
Utilised during the year
-231
-40
-51
-321
Transfer between stages
18
18
Foreign exchange differences
2
-1
1
Other
9
-10
1
6
8
9
23
At 31 December 2023
273
120
57
76
134
7
75
742
Increase of provisions
124
97
52
36
3
312
Reversal of unused provisions
-55
-75
-9
-6
-9
-153
Utilised during the year
-178
-48
-13
-239
Transfer between stages
2
2
Foreign exchange differences
8
8
Other
-14
-55
-8
11
5
2
-58
At 31 December 2024
150
97
45
76
181
7
58
612
", "dimensions": { "concept": "ifrs-full:DisclosureOfAssetsAndLiabilitiesWithSignificantRiskOfMaterialAdjustmentExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-5": { "value": "
Accounting policy for measuring allowances
for expected credit losses (ECL)
Audited
The IFRS 9 impairment requirements are applicable
to financial assets measured at amortised cost or fair
value through other comprehensive income (FVOCI),
loan commitments, lease receivables and contract
assets and financial guarantee contracts. At each
reporting date, these financial instruments are
classified into one of three risk stages, depending on
current credit quality, or as purchased or originated
credit impaired (POCI).
POCI assets, which are credit impaired at initial
recognition, are accounted for at fair value
(i.e.\u00a0net\u00a0of\u00a0the initial lifetime ECLs) and do not carry
an\u00a0impairment allowance. Instead, a credit-adjusted
effective interest rate (EIR), which is calculated using
expected cash flows including initial lifetime ECLs,
is\u00a0applied to the amortised cost. Subsequently,
the\u00a0cumulative changes in lifetime ECLs since initial
recognition, which are discounted at
the\u00a0credit\u2011adjusted effective interest rate, are
recognised in the profit or loss statement as
an\u00a0impairment gain or loss, and presented under
impairment charges on financial instruments.
Once\u00a0a\u00a0financial 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 quality\u00a0
Audited
Change in credit quality since initial recognition
Stage 1
Stage 2
Stage 3
Performing
(Initial recognition)
Credit quality deteriorated
(Assets with significant increase in
credit risk since initial recognition)
Default = Impaired
(Credit impaired assets)
Recognition of ECL
12 month ECL
Lifetime ECL
Lifetime ECL
Interest income
Effective interest on
gross carrying amount
Effective interest on
gross carrying amount
Effective interest on amortised
cost (gross carrying amount less
loss allowance)
Classification in stage 2
We use quantitative and qualitative stage triggers
to\u00a0determine whether a financial instrument should be
classified as stage 1 or stage 2.
Quantitative stage triggers
The key quantitative metric that determines when
a\u00a0financial instrument is transferred from stage 1
to\u00a0stage 2 is the deterioration in the lifetime
probability of default (LPD) from the date
of\u00a0origination to the reporting date, based on internal
data. The LPD represents the likelihood that
a\u00a0counterparty will default during the lifetime
of\u00a0the\u00a0financial 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\u00a0relative difference between the remaining lifetime
PD at reporting (LPDR) and the remaining lifetime PD at
origination (LPDO) as LPDD = LPDR/LPDO. If the\u00a0LPD
deterioration of an exposure is above a\u00a0predefined
threshold, the LPD is considered to be significantly
deteriorated. The exposure is then transferred to stage\u00a02
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\u00a01.
When determining the\u00a0thresholds, 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\u00a0December 2024. The table
provides ranges because each product class uses
multiple ECL models, and thresholds are determined for
each ECL model.
Range of lifetime PD deterioration
thresholds\u00a0\u00a0
Audited
Product class
Range
Consumer lending
1.8x-5.2x
Residential mortgages
1.5x-2.1x
Corporate loans
1.3x-5.8x
Qualitative stage triggers
The bank transfers a financial instrument from stage 1
to stage 2 if the instrument meets any of the following
qualitative triggers:
\u2022 forborne status of a borrower
\u2022 watch status of a borrower. ABN AMRO assigns
the\u00a0watch status to counterparties with an increased
credit risk. This process comprises intensive
monitoring, early detection of deterioration
in\u00a0the\u00a0credit portfolio and appropriate follow-up
measures
\u2022 a delinquency-based regulatory backstop is
in\u00a0place, such that the credit risk of financial assets
that are more than 30 days past due will be
assumed to have significantly increased
Reclassification to stage 1
As a general rule, favourable changes in credit risk
are recognised consistently with unfavourable
changes, and a financial instrument is transferred
back to stage 1 if quantitative or qualitative triggers
are no longer met. In some cases, a probation period
applies:
\u2022 Forborne financial instruments are transferred
back from stage 2 to stage 1 only after
a\u00a0probation 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 3
A transfer to stage 3 will always be the result of
the\u00a0default of a financial instrument. The definition
of default for IFRS 9 is aligned with the regulatory
capital definition. 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\u00a0the\u00a0bank or
\u2022 the bank considers the borrower to be unlikely
to\u00a0meet its contractual obligations (unlikely
to\u00a0pay, or UTP)
The materiality of a financial obligation past due
is\u00a0assessed against an absolute and a relative
threshold, in line with regulatory standards.
To\u00a0determine unlikeliness to pay, the bank has
specified 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\u00a0UTP indications should result in a default
classification).
The mandatory triggers include the reporting of
a\u00a0forborne exposure under probation as
non\u2011performing for being 30 days past due or owing
to an additional forbearance measure being applied.
As a result, the definitions of non-performing and
default are materially aligned.
Reclassification to stage 2
The default classification for non-forborne
exposures ends when the default triggers no longer
apply and a probation or cure period of at least
three months has passed since the default trigger
was last applied. For forborne exposures,
a\u00a0twelve\u2011month 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\u00a0the credit quality is factual and permanent
(including, for example, no remaining past due
amounts).
Asset stages\u00a0\u00a0
Audited
Asset in scope?
YES
Purchased or originated credit impaired (POCI)?
NO
YES
Default trigger hit?
NO
YES
Lifetime PD significantly deteriorated?
NO
YES
Watch list
Forbearance (but not impaired)
NO
YES
Days past due
0-30
>30
Stage 1
Stage 2
Stage 3
Stage POCI
Calculation method
ABN AMRO recognises loss allowances based on
the\u00a0Expected 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\u00a0all expected cash shortfalls over the remaining life
of the financial instrument for both on- and
off\u2011balance 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\u00a02 and 3) for financial instruments that have
similar credit risk characteristics (e.g. residential
mortgages, consumer loans and SME loans); these
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\u00a0quantify the Probability of Loss (PL), Loss Given
Loss (LGL) and Exposure at Loss (EAL) for
the\u00a0purpose of calculating the collective 12-month
ECL and LECL for these financial instruments.
Lifetime expected credit loss
ABN AMRO defines the lifetime of credit as
the\u00a0maximum contractual period during which
the\u00a0bank is exposed to credit risk; we do not apply
a\u00a0longer period, even if that longer period is
consistent\u00a0with business practice. For some contracts,
such as overdraft facilities or credit cards, no end
date\u00a0is specified or amounts can be contractually
withdrawn by the lender at short notice. In these
cases, ABN\u00a0AMRO uses behavioural maturity models
that rely on historical client behaviour to determine
future expected exposures.
Forward-looking information
For expected credit loss calculations, ABN AMRO
uses\u00a0three different scenarios of future economic
developments: a baseline (or most likely) scenario,
a\u00a0negative scenario and a positive scenario. The three
scenarios are incorporated into the expected credit
loss calculation and risk stage determination
in\u00a0a\u00a0probability-weighted manner.
In order to\u00a0incorporate the latest economic outlook,
the\u00a0scenarios and their weights are reviewed
each\u00a0quarter and adjusted if necessary. Details
of\u00a0the\u00a0scenarios and their weights used in\u00a0the\u00a0reporting
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\u00a0assumed 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
them. This external benchmarking exercise is a standard
input to\u00a0the\u00a0Scenario Booklet that is presented to the
bank\u2019s Scenario and Stress Testing Committee for
approval. Group Economics also develops a negative
and a\u00a0positive scenario. These scenarios are designed
to\u00a0give 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 above institutions and other relevant
developments.
Management overlays and other adjustments
Where necessary to reflect credit risk dynamics not
captured by our models, management judgement is
applied via a management overlay or other IFRS\u00a09
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 by the Impairment and
Provision Committee (IPC). The main types
of\u00a0management overlays that ABN AMRO
distinguishes are: post-model adjustments
(adjustments to model outcomes), adjustments
in\u00a0the\u00a0weightings 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\u00a0same internal approval process.
Climate and environmental risks in ECL\u00a0
ESRS
In this developing discipline we are working
to\u00a0incorporate CER risk explicitly into ECL models.
Following our roadmap, 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.
For identifiable events with no or insufficient
provisioning, ECL-related management overlays can
be taken. We have taken two CER related overlays:
one for the potential impact the Dutch government\u2019s
nitrogen reducing measures will have on our clients
which is related to environmental transition risk
(EUR\u00a029 million), and another for climate transition
risk (EUR 19 million). Given the combination
of\u00a0macroeconomic scenarios and these management
overlays, we consider the bank adequately
provisioned for climate and environmental risks. For
more details on these overlays, please see Individual
and collective loan impairment allowances and
management overlays in the Credit risk review
section.
Cured financial assets
When a credit impaired financial asset cures,
the\u00a0interest 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
Under IFRS 9, \u2018write-off\u2019 refers to the process
of\u00a0recognising that a financial asset, or a portion of it,
is uncollectible and should be removed from
an\u00a0entity\u2019s balance sheet. This typically happens
when there is no reasonable expectation
of\u00a0recovering the asset, indicating that the entity has
exhausted all practical recovery efforts.
\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\u00a0default.
Such loans are written off after all the necessary
procedures have been completed and the amount
of\u00a0the 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 loans\u00a0\u00a0
Audited
Credit risk reporting scope
Although all financial assets on our balance sheet are
subject to some form of credit risk, by far the largest
part is in loans and advances. To provide a meaningful
view of the credit risk in our lending book, the figures
presented in this section therefore relate to loans and
advances. Any credit risk outside the reported scope are
mentioned in the notes below the table. All figures are
reported gross of loan impairment allowances and
exclude fair value adjustments. The following table
provides a comparison between the gross carrying
amounts presented in this section and the consolidated
balance sheet.
Total loans and advances customers\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross
carrying
amount\u00b3
Fair value
adjustment
from
hedge
accounting
Less: loan
impairment
allowance
Less:
amortisation
and
depreciation
Carrying
amount
Gross
carrying
amount\u00b3
Fair value
adjustment
from
hedge
accounting
Less: loan
impairment
allowance
Less:
amortisation
and
depreciation
Carrying
amount
Loans and advances
banks
2,053
4
2,049
2,327
3
2,324
Residential mortgages
156,209
-4,686
133
151,390
151,078
-6,005
198
144,875
Consumer loans\u00b9
7,575
130
7,445
8,380
147
8,233
Corporate loans\u00b9
83,827
102
1,100
82,829
86,784
96
1,254
85,626
Other loans and advances
customers\u00b9
6,489
2
6,487
6,497
3
6,494
Total loans and
advances customers\u00b9
254,100
-4,584
1,364
248,152
252,739
-5,909
1,602
245,228
Total loans and
advances\u00b9
256,153
-4,584
1,368
250,201
255,066
-5,909
1,605
247,551
Other
138,184
-981
133
2,224
134,845
134,409
-1,640
187
2,224
130,358
Total assets
394,336
-5,565
1,501
2,224
385,047
389,474
-7,549
1,792
2,224
377,909
Loans and advances
customers\u00b9
254,100
-4,584
1,364
248,152
252,739
-5,909
1,602
245,228
Consumer loans at
fair value through P&L\u00b2
600
600
648
648
Corporate loans at
fair value through P&L
30
30
59
59
Total loans and
advances customers
254,730
-4,584
1,364
248,782
253,446
-5,909
1,602
245,935
1. 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 resulted
from interest rate swaps made to protect against
changes in the fair value of fixed-rate assets due
to\u00a0changes in market interest rates. The fair value
adjustment for mortgages decreased as a result
of\u00a0lower market interest rates.
Coverage and stage ratios\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
Gross
carrying
amount\u00b2
Allowances
for credit
losses\u00b3
Coverage
ratio
Stage
ratio
Gross
carrying
amount\u00b2
Allowances
for credit
losses\u00b3
Coverage
ratio
Stage
ratio
Stage 1
Loans and advances banks
2,016
4
0.2%
98.2%
2,290
3
0.1%
98.4%
Residential mortgages
138,172
36
0.0%
88.5%
138,671
24
0.0%
91.8%
Consumer loans\u00b9
6,866
12
0.2%
90.6%
7,658
18
0.2%
91.4%
Corporate loans\u00b9
72,227
119
0.2%
86.2%
73,324
192
0.3%
84.5%
Other loans and advances customers\u00b9
6,478
0.0%
99.8%
6,475
0.0%
99.7%
Total loans and advances customers\u00b9
223,743
167
0.1%
88.1%
226,128
234
0.1%
89.5%
Stage 2
Loans and advances banks
37
0.0%
1.8%
37
0.0%
1.6%
Residential mortgages
16,118
42
0.3%
10.3%
11,115
49
0.4%
7.4%
Consumer loans\u00b9
487
15
3.1%
6.4%
467
11
2.4%
5.6%
Corporate loans\u00b9
8,490
170
2.0%
10.1%
10,308
228
2.2%
11.9%
Other loans and advances customers\u00b9
5
1.1%
0.1%
14
1
7.9%
0.2%
Total loans and advances customers\u00b9
25,100
226
0.9%
9.9%
21,903
289
1.3%
8.7%
Stage 3 and POCI
Loans and advances banks
Residential mortgages
1,919
55
2.9%
1.2%
1,292
125
9.7%
0.9%
Consumer loans\u00b9
222
102
46.1%
2.9%
255
118
46.3%
3.0%
Corporate loans\u00b9
3,110
811
26.1%
3.7%
3,152
833
26.4%
3.6%
Other loans and advances customers\u00b9
6
2
27.1%
0.1%
8
2
27.1%
0.1%
Total loans and advances customers\u00b9
5,258
971
18.5%
2.1%
4,707
1,079
22.9%
1.9%
Total of stages 1, 2, 3 and POCI
Total loans and advances banks
2,053
4
0.2%
2,327
3
0.1%
Residential mortgages
156,209
133
0.1%
151,078
198
0.1%
Consumer loans\u00b9
7,575
130
1.7%
8,380
147
1.8%
Corporate loans\u00b9
83,827
1,100
1.3%
86,784
1,254
1.4%
Other loans and advances customers\u00b9
6,489
2
0.0%
6,497
3
0.1%
Total loans and advances customers\u00b9
254,100
1,364
0.5%
252,739
1,602
0.6%
Total loans and advances\u00b9
256,153
1,368
0.5%
255,066
1,605
0.6%
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 2024: EUR 1 million; 31 December 2023: EUR 1 million).
Portfolio developments in combination with lower
allowances for credit losses at Corporate Banking
resulted in a decrease in the stage 2 ratio and the stage
2 coverage ratio. Stage 3 ratio increased slightly, while
stage 3 coverage ratio showed a slight decline.
For mortgages, stage 2 and stage 3 ratio in 2024
increased to 10.3% and 1.2% respectively
(31\u00a0December 2023: 7.4% and 0.9%). The stage 2 and
3 coverage ratios 2 and 3 of mortgages decreased
to\u00a00.3% and 2.9% respectively (31 December 2023:
0.4% and 9.7%). IFRS 9 model changes in the third
quarter led to a decrease in the stage 3 coverage ratio.
In the fourth quarter, methodology changes were
implemented to better reflect the credit risk
characteristics of interest-only mortgages and
the\u00a0anticipated impact of a new mortgages model. For
interest-only mortgages, this resulted in a significant
increase from stage 1 to stage 2, and for the anticipated
impact of a new mortgages model to stage 3.
An\u00a0additional impact on the stage 2 and 3 coverage
ratios was a consequence of improvements in the Dutch
housing market outlook.
Purchased or Originated Credit Impaired (POCI)
At 31 December 2024, loans classified as POCI
amounted to EUR 7 million. Due to the immateriality
ofthe amount, this is included in the amount shown for
stage 3 throughout this report.
Exposure and impairment flows
This section provides more details on the exposure and
impairment flows underlying the change in coverage
and stage ratios shown in the previous section.
Total loans and advances\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Stage 1 1, 2
Stage 2 1, 2
Stage 3 1, 2, 3
Total 1, 2, 3
Closing balance of the previous year
228,418
21,940
4,707
255,066
229,084
23,954
5,175
258,212
Impact adopting IFRS 17
-1,061
-103
-83
-1,247
Balance at 1 January
228,418
21,940
4,707
255,066
228,023
23,851
5,091
256,965
Transfer to stage 1
8,704
-8,644
-59
8,542
-8,417
-125
Transfer to stage 2
-15,361
16,025
-664
-11,135
12,130
-996
Transfer to stage 3
-1,468
-1,186
2,654
-1,131
-1,116
2,247
Additional drawdowns and partial
repayments
-16,518
1,265
-142
-15,394
-11,950
199
-8
-11,759
Originated or purchased
42,922
42,922
37,428
37,428
Matured or repaid
-20,472
-4,170
-876
-25,518
-20,909
-4,609
-1,198
-26,715
Write-offs
-350
-350
-334
-334
Foreign exchange
1,017
50
21
1,088
-484
-92
-18
-594
Other movements
-1,483
-144
-34
-1,660
33
-7
48
74
Balance at 31 December
225,759
25,136
5,258
256,153
228,418
21,940
4,707
255,066
1. Excluding loans at fair value through P&L.
2. Excluding fair value adjustments from hedge accounting.
3. Including POCI.
Total loans and advances increased marginally
compared to 31 December 2023. This was mainly due
to an increase in mortgages, which was mostly offset by
a decrease in corporate and consumer loans.
There was a significant transfer from stage 1 to stage 2
and 3, largely due to the implementation
of\u00a0methodology changes to better reflect the credit risk
characteristics of interest-only mortgages and
the\u00a0anticipated impact of a new mortgage model.
There was a significant decrease in other movements,
which was mainly due to a loan portfolio being
reclassified to assets held for sale.
Exposure flows per product class are presented
in\u00a0the\u00a0section Additional risk, funding & capital
disclosures.
Loan impairment charges and allowances\u00a0\u00a0
Audited
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Balance at 31 December 2023
3
198
147
1,254
3
1,605
109
Transfer to stage 1
-4
-4
-10
-18
Transfer to stage 2
6
23
29
2
Transfer to stage 3
16
29
137
181
Remeasurements\u00b9
-73
-15
-16
-2
-105
22
Changes in risk parameters
1
3
-11
-7
Originated or purchased
4
3
33
1
41
5
Matured or repaid
-14
-6
-60
-79
-7
Impairment charges (releases) on loans
and advances
-64
11
96
-2
41
22
Write-offs
-2
-31
-317
-350
Unwind discount / unearned interest accrued
1
3
22
1
27
Foreign exchange and other movements
-1
45
45
-34
Balance at 31 December 2024
4
133
130
1,100
2
1,368
96
2024
Impairment charges (releases) on loans and
advances
-64
11
96
-2
41
22
Recoveries and other charges (releases)
-11
-25
-48
-83
Total impairment charges for the period\u00b2
-75
-13
48
-2
-42
22
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage.
2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2024: EUR 1 million.
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Balance at 31 December 2022
8
153
277
1,590
5
2,034
51
Impact adopting IFRS 17
-100
-100
Balance at 1 January 2023
8
153
177
1,590
5
1,934
51
Transfer to stage 1
-4
-5
-20
-28
-1
Transfer to stage 2
7
-1
-14
-9
2
Transfer to stage 3
24
30
133
2
188
17
Remeasurements\u00b9
-5
35
-15
-112
-4
-101
47
Changes in risk parameters
3
6
-35
-26
-4
Originated or purchased
4
3
32
39
8
Matured or repaid
-17
-8
-54
-79
-9
Impairment charges (releases) on loans
and advances
-5
51
10
-71
-3
-17
60
Write-offs
-1
-58
-274
-334
Unwind discount / unearned interest accrued
2
3
29
1
34
Foreign exchange and other movements
-7
15
-20
-12
-1
Balance at 31 December 2023
3
198
147
1,254
3
1,605
109
2023
Impairment charges (releases) on loans and
advances
-5
51
10
-71
-3
-17
60
Recoveries and other charges (releases)
-14
-29
-67
-111
-90
Total impairment charges for the period\u00b2
-5
37
-19
-139
-3
-128
-30
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million.
Loan impairment charges and allowances per stage\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Closing balance of the previous year
237
289
1,079
1,605
316
396
1,322
2,034
Impact adopting IFRS 17
-6
-19
-75
-100
Balance at 1 January
237
289
1,079
1,605
310
376
1,247
1,934
Transfer to stage 1
61
-70
-9
-18
109
-128
-10
-28
Transfer to stage 2
-32
104
-43
29
-41
90
-58
-9
Transfer to stage 3
-6
-29
216
181
-15
-59
261
188
Remeasurements\u00b9
-106
-46
46
-105
-125
44
-20
-101
Changes in risk parameters
-5
-4
2
-7
-31
-1
6
-26
Originated or purchased
41
41
39
39
Matured or repaid
-18
-24
-38
-79
-11
-16
-53
-79
Impairment charges (releases) on loans
and advances
-65
-68
174
41
-75
-69
126
-17
Write-offs
-350
-350
-334
-334
Unwind discount / unearned interest accrued
27
27
34
34
Foreign exchange and other movements
-2
6
41
45
2
-18
4
-12
Balance at 31 December
170
226
971
1,368
237
289
1,079
1,605
Impairment charges (releases) on loans
and advances
-65
-68
174
41
-75
-69
126
-17
Recoveries and other charges (releases)
-83
-83
-111
-111
Total impairment charges for the period
-65
-68
91
-42
-75
-69
16
-128
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
A release of EUR 21 million (a EUR 42 million release on
balance and a EUR 22 million charge off balance)
in\u00a0impairments was recorded for 2024 (2023: a release
of EUR 158 million, of which EUR 30 million
off\u2011balance).\u00a0 Impairment releases were primarily
related to\u00a0residential mortgages somewhat offset by
impairment charges in corporate loans.
For residential mortgages, releases of EUR 75 million
were recorded in 2024, compared to charges of
EUR\u00a037\u00a0million in 2023. This was mainly caused by
the\u00a0impact of the updated IFRS 9 model for mortgages,
including updated and enhanced data, which led
to\u00a0lower impairment levels from the third quarter
of\u00a02024. Besides that, the decrease was mostly due
to\u00a0lower loss given default rates driven by increased
collateral values. The decrease in total impairments was
partly offset by an increase in management overlays
of\u00a0EUR 2 million.
For corporate loans, charges of EUR 48 million were
recorded in 2024, primarily due to an increase
in\u00a0individual files, which is also reflected in the
off\u2011balance items. In 2023, there was a release of
EUR\u00a0139 million. In 2024, we recorded an increase
in\u00a0collective impairments (mostly in stage 3) due
to\u00a0the\u00a0anticipated impact of a new model for corporate
portfolios. This decrease in total impairments for
corporate loans was mainly driven by a decrease
in\u00a0management overlays of EUR 121 million, which was
largely due to the decommissioning of the management
overlay for geopolitical and market sensitivity
(geopolitical risk).
Individual and collective loan impairment allowances and management overlays\u00a0\u00a0
Audited
31 December 2024
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Individual impairments
Stage 3\u00b9
42
600
2
643
80
Total individual impairments
42
600
2
643
80
Collective impairments
Stage 1
4
36
12
119
170
6
Stage 2
42
15
170
226
10
Stage 3\u00b9
55
60
212
327
Total collective impairments
4
133
88
500
724
16
- of which management overlay
85
56
140
Total impairments
4
133
130
1,100
2
1,368
96
Carrying amount of loans, determined to be impaired,
before deducting any assessed impairment allowance
1,919
222
3,110
6
5,258
1. Including POCI.
31 December 2023
(in millions)
Banks
Residential
mortgages
Consumer
loans
Corporate
loans
Other
loans
Total loans
and advances
Off-balance
Individual impairments
Stage 3\u00b9
52
695
2
750
78
Total individual impairments
52
695
2
750
78
Collective impairments
Stage 1
3
24
18
192
237
16
Stage 2
49
11
228
1
289
12
Stage 3\u00b9
125
66
138
329
3
Total collective impairments
3
198
95
558
1
855
31
- of which management overlay
83
177
260
Total impairments
3
198
147
1,254
3
1,605
109
Carrying amount of loans, determined to be impaired,
before deducting any assessed impairment allowance
1,292
255
3,152
8
4,707
1. Including POCI.
Total collective impairments amounted to
EUR\u00a0724\u00a0million at year end 2024 (31 December 2023:
EUR\u00a0855\u00a0million). These impairments included expected
credit losses (ECL) as calculated by our IFRS 9 models
and the management overlays we recorded. The ECL
calculations take into account a probability weighted
average of three economic scenarios. As the ECL model
outcomes do not always reflect the current economic
environment and circumstances, additional
management overlays are applied to incorporate novel
risks not fully captured by the model.
During 2024, management overlays decreased to
a\u00a0total of EUR 140 million (31 December 2023:
EUR\u00a0260 million). Some of the management overlays
were recorded for risks in corporate loans portfolios,
where the impairments decreased from
EUR\u00a0177\u00a0million to EUR 56 million. In 2024,
the\u00a0management overlays changed mainly due to:
\u2022 Discontinuation of the management overlay for
geopolitical and market sensitivity (geopolitical risk).
In\u00a0combination with the changed macroeconomic
scenario weights, revised forecasts for macroeconomic
variables, and credit risk assessments at both
the\u00a0sectorial and individual levels, we captured
the\u00a0current geopolitical risks in our modelled loan
impairment calculations. The decommissioning
resulted in a release of EUR 86 million.
\u2022 The existing overlays, which cover potential additional
risk costs relating to the wind-down of portfolios,
decreased over the year by EUR 23 million.
\u2022 The overlays that are in place for climate transition
risk decreased by EUR 6 million to EUR 19 million,
based on the updated materiality impact assessment.
\u2022 The overlay that is in place for the potential impact
of\u00a0the government\u2019s nitrogen reducing measures on
clients in livestock farming businesses
in\u00a0the\u00a0Netherlands decreased slightly from
EUR\u00a035\u00a0million to EUR 29 million.
Some of the management overlays were recorded for
risks in mortgage loans, where the impairments
increased from EUR 83 million to EUR 85 million
in\u00a02024. The management overlay framework for our
mortgages portfolio was revised in the third quarter,
following the update of the IFRS 9 model for
mortgages. The methodology for interest-only
mortgages was updated to include, among others,
a\u00a0new component that was introduced to capture the
possible impact of a significant decrease in
loan\u2011to\u2011value upon default and an adjustment in
the\u00a0calculation of refinancing risk. In the fourth quarter,
stage 2 ratio increased due to these methodology
changes, which were implemented to better reflect
the\u00a0credit risk characteristics of the mortgages overlays.
All management overlays represent best estimates
of\u00a0the risks involved. The underlying reasoning and
calculations are documented and discussed and
approved by the Impairments and Provisioning
Committee (IPC).
Loan impairment charges and allowances \u2013 residential mortgages\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Balance at 1 January
24
49
125
198
21
57
75
153
Transfer to stage 1
19
-20
-3
-4
14
-18
-1
-4
Transfer to stage 2
-2
37
-29
6
-2
28
-19
7
Transfer to stage 3
-1
-5
21
16
-1
-5
30
24
Remeasurements\u00b9
-8
-17
-48
-73
-13
-6
54
35
Changes in risk parameters
1
1
-1
1
4
-1
3
Originated or purchased
4
4
4
4
Matured or repaid
-2
-3
-9
-14
-1
-6
-10
-17
Impairment charges (releases) on loans
and advances
12
-7
-69
-64
4
-7
54
51
Write-offs
-2
-2
-1
-1
Unwind discount / unearned interest accrued
1
1
2
2
Foreign exchange and other movements
1
-1
-2
-4
-7
Balance at 31 December
36
42
55
133
24
49
125
198
Impairment charges (releases) on loans and
advances
12
-7
-69
-64
4
-7
54
51
Recoveries and other charges (releases)
-11
-11
-14
-14
Total impairment charges for the period
12
-7
-80
-75
4
-7
39
37
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 consumer loans\u00a0\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Closing balance of the previous year
18
11
118
147
30
36
211
277
Impact adopting IFRS 17
-6
-19
-75
-100
Balance at 1 January
18
11
118
147
25
16
136
177
Transfer to stage 1
4
-3
-4
-4
7
-7
-4
-5
Transfer to stage 2
-1
8
-6
-3
8
-6
-1
Transfer to stage 3
-2
31
29
-3
-2
35
30
Remeasurements\u00b9
-9
1
-6
-15
-11
-4
-15
Changes in risk parameters
-1
3
3
6
6
Originated or purchased
3
3
3
3
Matured or repaid
-1
-5
-6
-2
-1
-6
-8
Impairment charges (releases) on loans
and advances
-5
4
12
11
-9
-6
26
10
Write-offs
-31
-31
-58
-58
Unwind discount / unearned interest accrued
3
3
3
3
Foreign exchange and other movements
-1
2
1
11
15
Balance at 31 December
12
15
102
130
18
11
118
147
Impairment charges (releases) on loans and
advances
-5
4
12
11
-9
-6
26
10
Recoveries and other charges (releases)
-25
-25
-29
-29
Total impairment charges for the period
-5
4
-12
-13
-9
-6
-4
-19
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 corporate loans\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Stage 1
Stage 2
Stage 3\u00b2
Total\u00b2
Balance at 1 January
192
228
833
1,254
256
301
1,033
1,590
Transfer to stage 1
39
-47
-1
-10
88
-103
-5
-20
Transfer to stage 2
-29
59
-8
23
-36
55
-33
-14
Transfer to stage 3
-5
-23
164
137
-10
-51
194
133
Remeasurements\u00b9
-89
-29
102
-16
-96
54
-71
-112
Changes in risk parameters
-6
-5
-11
-34
-1
-35
Originated or purchased
33
33
32
32
Matured or repaid
-15
-20
-25
-60
-9
-9
-37
-54
Impairment charges (releases) on loans
and advances
-72
-64
232
96
-65
-55
49
-71
Write-offs
-317
-317
-274
-274
Unwind discount / unearned interest accrued
22
22
29
29
Foreign exchange and other movements
-2
6
40
45
1
-17
-3
-20
Balance at 31 December
119
170
811
1,100
192
228
833
1,254
Impairment charges (releases) on loans and
advances
-72
-64
232
96
-65
-55
49
-71
Recoveries and other charges (releases)
-48
-48
-67
-67
Total impairment charges for the period
-72
-64
184
48
-65
-55
-19
-139
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. Including POCI.
Loan impairment charges and allowances \u2013 off-balance\u00a0
Audited
2024
2023
(in millions)
Stage 1
Stage 2
Stage 3\u00b3
Total\u00b3
Stage 1
Stage 2
Stage 3\u00b3
Total\u00b3
Balance at 1 January
16
12
81
109
25
16
10
51
Transfer to stage 1
2
-2
4
-5
-1
Transfer to stage 2
-2
4
2
-4
5
2
Transfer to stage 3
17
17
Remeasurements\u00b9
-10
-1
33
22
-7
-1
55
47
Changes in risk parameters
-4
-4
Originated or purchased
5
5
8
8
Matured or repaid
-4
-2
-7
-7
-2
-9
Impairment charges (releases)
-10
-1
33
22
-10
-3
72
60
Foreign exchange and other movements
1
-1
-34
-34
1
-1
-1
-1
Balance at 31 December
6
10
80
96
16
12
81
109
Impairment charges (releases) on off-balance
-10
-1
33
22
-10
-3
72
60
Other charges (releases)\u00b2
-90
-90
Total impairment charges for the period
-10
-1
33
22
-10
-3
-18
-30
1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in
the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023.
2. In 2023, these charges (releases) relate to the off-balance sheet items that do not fall within the scope of IFRS 9 and for which stage information is not applicable.
3. Including POCI.
", "dimensions": { "concept": "ifrs-full:DisclosureOfAllowanceForCreditLossesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-10": { "value": "Accounting policy for measuring allowances for expected credit losses (ECL) Audited The IFRS 9 impairment requirements are applicable to financial assets measured at amortised cost or fair value through other comprehensive income (FVOCI), loan commitments, lease receivables and contract assets and financial guarantee contracts. At each reporting date, these financial instruments are classified into one of three risk stages, depending on current credit quality, or as purchased or originated credit impaired (POCI).POCI assets, which are credit impaired at initial recognition, are accounted for at fair value (i.e.\u00a0net\u00a0of\u00a0the initial lifetime ECLs) and do not carry an\u00a0impairment allowance. Instead, a credit-adjusted effective interest rate (EIR), which is calculated using expected cash flows including initial lifetime ECLs, is\u00a0applied to the amortised cost. Subsequently, the\u00a0cumulative changes in lifetime ECLs since initial recognition, which are discounted at the\u00a0credit\u2011adjusted effective interest rate, are recognised in the profit or loss statement as an\u00a0impairment gain or loss, and presented under impairment charges on financial instruments. Once\u00a0a\u00a0financial 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 quality\u00a0 Audited Change in credit quality since initial recognition Stage 1 Stage 2 Stage 3 Performing (Initial recognition) Credit quality deteriorated (Assets with significant increase in credit risk since initial recognition) Default = Impaired (Credit impaired assets)Recognition of ECL 12 month ECL Lifetime ECL Lifetime ECL Interest income Effective interest on gross carrying amount Effective interest on gross carrying amount Effective interest on amortised cost (gross carrying amount less loss allowance) Classification in stage 2We use quantitative and qualitative stage triggers to\u00a0determine whether a financial instrument should be classified as stage 1 or stage 2.Quantitative stage triggersThe key quantitative metric that determines when a\u00a0financial instrument is transferred from stage 1 to\u00a0stage 2 is the deterioration in the lifetime probability of default (LPD) from the date of\u00a0origination to the reporting date, based on internal data. The LPD represents the likelihood that a\u00a0counterparty will default during the lifetime of\u00a0the\u00a0financial 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 economyThe lifetime PD deterioration (LPDD) measures the\u00a0relative difference between the remaining lifetime PD at reporting (LPDR) and the remaining lifetime PD at origination (LPDO) as LPDD = LPDR/LPDO. If the\u00a0LPD deterioration of an exposure is above a\u00a0predefined threshold, the LPD is considered to be significantly deteriorated. The exposure is then transferred to stage\u00a02 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\u00a01. When determining the\u00a0thresholds, 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\u00a0December 2024. The table provides ranges because each product class uses multiple ECL models, and thresholds are determined for each ECL model.Range of lifetime PD deterioration thresholds\u00a0\u00a0Audited Product class Range Consumer lending 1.8x-5.2x Residential mortgages 1.5x-2.1x Corporate loans 1.3x-5.8x Qualitative stage triggersThe bank transfers a financial instrument from stage 1 to stage 2 if the instrument meets any of the following qualitative triggers:\u2022 forborne status of a borrower\u2022 watch status of a borrower. ABN AMRO assigns the\u00a0watch status to counterparties with an increased credit risk. This process comprises intensive monitoring, early detection of deterioration in\u00a0the\u00a0credit portfolio and appropriate follow-up measures\u2022 a delinquency-based regulatory backstop is in\u00a0place, such that the credit risk of financial assets that are more than 30 days past due will be assumed to have significantly increasedReclassification 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\u00a0probation 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\u00a0default of a financial instrument. The definition of default for IFRS 9 is aligned with the regulatory capital definition. 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\u00a0the\u00a0bank or\u2022 the bank considers the borrower to be unlikely to\u00a0meet its contractual obligations (unlikely to\u00a0pay, or UTP)The materiality of a financial obligation past due is\u00a0assessed against an absolute and a relative threshold, in line with regulatory standards. To\u00a0determine unlikeliness to pay, the bank has specified 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\u00a0UTP indications should result in a default classification).The mandatory triggers include the reporting of a\u00a0forborne exposure under probation as non\u2011performing 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 or cure period of at least three months has passed since the default triggerwas last applied. For forborne exposures, a\u00a0twelve\u2011month 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\u00a0the credit quality is factual and permanent (including, for example, no remaining past due amounts).Asset stages\u00a0\u00a0Audited Asset in scope? YES Purchased or originated credit impaired (POCI)? NO YES Default trigger hit? NO YES Lifetime PD significantly deteriorated? NO YES Watch list Forbearance (but not impaired) NO YES Days past due 0-30 >30 Stage 1 Stage 2 Stage 3 Stage POCI Calculation methodABN AMRO recognises loss allowances based on the\u00a0Expected 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\u00a0all expected cash shortfalls over the remaining life of the financial instrument for both on- and off\u2011balance 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\u00a02 and 3) for financial instruments that have similar credit risk characteristics (e.g. residential mortgages, consumer loans and SME loans); these 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\u00a0quantify the Probability of Loss (PL), Loss Given Loss (LGL) and Exposure at Loss (EAL) for the\u00a0purpose 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\u00a0maximum contractual period during which the\u00a0bank is exposed to credit risk; we do not apply a\u00a0longer period, even if that longer period is consistent\u00a0with business practice. For some contracts, such as overdraft facilities or credit cards, no end date\u00a0is specified or amounts can be contractually withdrawn by the lender at short notice. In these cases, ABN\u00a0AMRO 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\u00a0three different scenarios of future economic developments: a baseline (or most likely) scenario, a\u00a0negative scenario and a positive scenario. The three scenarios are incorporated into the expected credit loss calculation and risk stage determination in\u00a0a\u00a0probability-weighted manner. In order to\u00a0incorporate the latest economic outlook, the\u00a0scenarios and their weights are reviewed each\u00a0quarter and adjusted if necessary. Details of\u00a0the\u00a0scenarios and their weights used in\u00a0the\u00a0reporting 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\u00a0assumed 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 them. This external benchmarking exercise is a standard input to\u00a0the\u00a0Scenario Booklet that is presented to the bank\u2019s Scenario and Stress Testing Committee for approval. Group Economics also develops a negative and a\u00a0positive scenario. These scenarios are designed to\u00a0give 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 above institutions and other relevant developments.Management overlays and other adjustmentsWhere necessary to reflect credit risk dynamics not captured by our models, management judgement is applied via a management overlay or other IFRS\u00a09 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 by the Impairment and Provision Committee (IPC). The main types of\u00a0management overlays that ABN AMRO distinguishes are: post-model adjustments (adjustments to model outcomes), adjustments in\u00a0the\u00a0weightings 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\u00a0same internal approval process.Climate and environmental risks in ECL\u00a0 ESRS In this developing discipline we are working to\u00a0incorporate CER risk explicitly into ECL models. Following our roadmap, 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.For identifiable events with no or insufficient provisioning, ECL-related management overlays can be taken. We have taken two CER related overlays: one for the potential impact the Dutch government\u2019s nitrogen reducing measures will have on our clients which is related to environmental transition risk (EUR\u00a029 million), and another for climate transition risk (EUR 19 million). Given the combination of\u00a0macroeconomic scenarios and these management overlays, we consider the bank adequately provisioned for climate and environmental risks. For more details on these overlays, please see Individual and collective loan impairment allowances and management overlays in the Credit risk review section.Cured financial assetsWhen a credit impaired financial asset cures, the\u00a0interest 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-offUnder IFRS 9, \u2018write-off\u2019 refers to the process of\u00a0recognising that a financial asset, or a portion of it, is uncollectible and should be removed from an\u00a0entity\u2019s balance sheet. This typically happens when there is no reasonable expectation of\u00a0recovering the asset, indicating that the entity has exhausted all practical recovery efforts.\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\u00a0default.Such loans are written off after all the necessary procedures have been completed and the amount of\u00a0the 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 loans\u00a0\u00a0Audited Credit 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 in the notes below the table. All figures are reported gross of loan impairment allowances and exclude fair value adjustments. The following table provides a comparison between the gross carrying amounts presented in this section and the consolidated balance sheet.Total loans and advances customers\u00a0\u00a0Audited 31 December 2024 31 December 2023 (in millions) Gross carrying amount\u00b3 Fair value adjustment from hedgeaccounting Less: loan impairment allowanceLess: amortisationand depreciation Carrying amount Gross carrying amount\u00b3 Fair value adjustment from hedgeaccounting Less: loan impairment allowanceLess: amortisationand depreciation Carrying amount Loans and advances banks 2,053 4 2,049 2,327 3 2,324 Residential mortgages 156,209 -4,686 133 151,390 151,078 -6,005 198 144,875 Consumer loans\u00b9 7,575 130 7,445 8,380 147 8,233 Corporate loans\u00b9 83,827 102 1,100 82,829 86,784 96 1,254 85,626 Other loans and advances customers\u00b9 6,489 2 6,487 6,497 3 6,494 Total loans and advances customers\u00b9 254,100 -4,584 1,364 248,152 252,739 -5,909 1,602 245,228 Total loans and advances\u00b9 256,153 -4,584 1,368 250,201 255,066 -5,909 1,605 247,551 Other 138,184 -981 133 2,224 134,845 134,409 -1,640 187 2,224 130,358 Total assets 394,336 -5,565 1,501 2,224 385,047 389,474 -7,549 1,792 2,224 377,909 Loans and advances customers\u00b9 254,100 -4,584 1,364 248,152 252,739 -5,909 1,602 245,228 Consumer loans at fair value through P&L\u00b2 600 600 648 648 Corporate loans at fair value through P&L 30 30 59 59 Total loans and advances customers 254,730 -4,584 1,364 248,782 253,446 -5,909 1,602 245,935 1. 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 resulted from interest rate swaps made to protect against changes in the fair value of fixed-rate assets due to\u00a0changes in market interest rates. The fair value adjustment for mortgages decreased as a result of\u00a0lower market interest rates.Coverage and stage ratios\u00a0\u00a0Audited 31 December 2024 31 December 2023 (in millions) Gross carrying amount\u00b2 Allowances for credit losses\u00b3 Coverage ratio Stage ratioGross carrying amount\u00b2 Allowances for credit losses\u00b3 Coverage ratio Stage ratioStage 1 Loans and advances banks 2,016 4 0.2%98.2%2,290 3 0.1%98.4%Residential mortgages 138,172 36 0.0%88.5%138,671 24 0.0%91.8%Consumer loans\u00b9 6,866 12 0.2%90.6%7,658 18 0.2%91.4%Corporate loans\u00b9 72,227 119 0.2%86.2%73,324 192 0.3%84.5%Other loans and advances customers\u00b9 6,478 0.0%99.8%6,475 0.0%99.7%Total loans and advances customers\u00b9 223,743 167 0.1%88.1%226,128 234 0.1%89.5%Stage 2 Loans and advances banks 37 0.0%1.8%37 0.0%1.6%Residential mortgages 16,118 42 0.3%10.3%11,115 49 0.4%7.4%Consumer loans\u00b9 487 15 3.1%6.4%467 11 2.4%5.6%Corporate loans\u00b9 8,490 170 2.0%10.1%10,308 228 2.2%11.9%Other loans and advances customers\u00b9 5 1.1%0.1%14 1 7.9%0.2%Total loans and advances customers\u00b9 25,100 226 0.9%9.9%21,903 289 1.3%8.7%Stage 3 and POCI Loans and advances banks Residential mortgages 1,919 55 2.9%1.2%1,292 125 9.7%0.9%Consumer loans\u00b9 222 102 46.1%2.9%255 118 46.3%3.0%Corporate loans\u00b9 3,110 811 26.1%3.7%3,152 833 26.4%3.6%Other loans and advances customers\u00b9 6 2 27.1%0.1%8 2 27.1%0.1%Total loans and advances customers\u00b9 5,258 971 18.5%2.1%4,707 1,079 22.9%1.9%Total of stages 1, 2, 3 and POCI Total loans and advances banks 2,053 4 0.2%2,327 3 0.1%Residential mortgages 156,209 133 0.1%151,078 198 0.1%Consumer loans\u00b9 7,575 130 1.7%8,380 147 1.8%Corporate loans\u00b9 83,827 1,100 1.3%86,784 1,254 1.4%Other loans and advances customers\u00b9 6,489 2 0.0%6,497 3 0.1%Total loans and advances customers\u00b9 254,100 1,364 0.5%252,739 1,602 0.6%Total loans and advances\u00b9 256,153 1,368 0.5%255,066 1,605 0.6%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 2024: EUR 1 million; 31 December 2023: EUR 1 million). Portfolio developments in combination with lower allowances for credit losses at Corporate Banking resulted in a decrease in the stage 2 ratio and the stage 2 coverage ratio. Stage 3 ratio increased slightly, while stage 3 coverage ratio showed a slight decline. For mortgages, stage 2 and stage 3 ratio in 2024 increased to 10.3% and 1.2% respectively (31\u00a0December 2023: 7.4% and 0.9%). The stage 2 and 3 coverage ratios 2 and 3 of mortgages decreased to\u00a00.3% and 2.9% respectively (31 December 2023: 0.4% and 9.7%). IFRS 9 model changes in the third quarter led to a decrease in the stage 3 coverage ratio. In the fourth quarter, methodology changes were implemented to better reflect the credit risk characteristics of interest-only mortgages and the\u00a0anticipated impact of a new mortgages model. For interest-only mortgages, this resulted in a significant increase from stage 1 to stage 2, and for the anticipated impact of a new mortgages model to stage 3. An\u00a0additional impact on the stage 2 and 3 coverage ratios was a consequence of improvements in the Dutch housing market outlook.Purchased or Originated Credit Impaired (POCI) At 31 December 2024, loans classified as POCI amounted to EUR 7 million. Due to the immateriality ofthe 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 advances\u00a0\u00a0Audited 2024 2023 (in millions) Stage 1 1, 2 Stage 2 1, 2 Stage 3 1, 2, 3 Total 1, 2, 3 Stage 1 1, 2 Stage 2 1, 2 Stage 3 1, 2, 3 Total 1, 2, 3 Closing balance of the previous year 228,418 21,940 4,707 255,066 229,084 23,954 5,175 258,212 Impact adopting IFRS 17 -1,061 -103 -83 -1,247 Balance at 1 January 228,418 21,940 4,707 255,066 228,023 23,851 5,091 256,965 Transfer to stage 1 8,704 -8,644 -59 8,542 -8,417 -125 Transfer to stage 2 -15,361 16,025 -664 -11,135 12,130 -996 Transfer to stage 3 -1,468 -1,186 2,654 -1,131 -1,116 2,247 Additional drawdowns and partial repayments -16,518 1,265 -142 -15,394 -11,950 199 -8 -11,759 Originated or purchased 42,922 42,922 37,428 37,428 Matured or repaid -20,472 -4,170 -876 -25,518 -20,909 -4,609 -1,198 -26,715 Write-offs -350 -350 -334 -334 Foreign exchange 1,017 50 21 1,088 -484 -92 -18 -594 Other movements -1,483 -144 -34 -1,660 33 -7 48 74 Balance at 31 December 225,759 25,136 5,258 256,153 228,418 21,940 4,707 255,066 1. Excluding loans at fair value through P&L. 2. Excluding fair value adjustments from hedge accounting. 3. Including POCI. Total loans and advances increased marginally compared to 31 December 2023. This was mainly due to an increase in mortgages, which was mostly offset by a decrease in corporate and consumer loans. There was a significant transfer from stage 1 to stage 2 and 3, largely due to the implementation of\u00a0methodology changes to better reflect the credit risk characteristics of interest-only mortgages and the\u00a0anticipated impact of a new mortgage model. There was a significant decrease in other movements, which was mainly due to a loan portfolio being reclassified to assets held for sale.Exposure flows per product class are presented in\u00a0the\u00a0section Additional risk, funding & capital disclosures. Loan impairment charges and allowances\u00a0\u00a0Audited (in millions) Banks Residential mortgages Consumer loans Corporate loans Other loans Total loans and advances Off-balance Balance at 31 December 2023 3 198 147 1,254 3 1,605 109 Transfer to stage 1 -4 -4 -10 -18 Transfer to stage 2 6 23 29 2 Transfer to stage 3 16 29 137 181 Remeasurements\u00b9 -73 -15 -16 -2 -105 22 Changes in risk parameters 1 3 -11 -7 Originated or purchased 4 3 33 1 41 5 Matured or repaid -14 -6 -60 -79 -7 Impairment charges (releases) on loans and advances-64 11 96 -2 41 22 Write-offs -2 -31 -317 -350 Unwind discount / unearned interest accrued 1 3 22 1 27 Foreign exchange and other movements -1 45 45 -34 Balance at 31 December 2024 4 133 130 1,100 2 1,368 96 2024 Impairment charges (releases) on loans and advances -64 11 96 -2 41 22 Recoveries and other charges (releases) -11 -25 -48 -83 Total impairment charges for the period\u00b2 -75 -13 48 -2 -42 22 1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage. 2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2024: EUR 1 million. (in millions) Banks Residential mortgages Consumer loans Corporate loans Other loans Total loans and advances Off-balance Balance at 31 December 2022 8 153 277 1,590 5 2,034 51 Impact adopting IFRS 17 -100 -100 Balance at 1 January 2023 8 153 177 1,590 5 1,934 51 Transfer to stage 1 -4 -5 -20 -28 -1 Transfer to stage 2 7 -1 -14 -9 2 Transfer to stage 3 24 30 133 2 188 17 Remeasurements\u00b9 -5 35 -15 -112 -4 -101 47 Changes in risk parameters 3 6 -35 -26 -4 Originated or purchased 4 3 32 39 8 Matured or repaid -17 -8 -54 -79 -9 Impairment charges (releases) on loans and advances-5 51 10 -71 -3 -17 60 Write-offs -1 -58 -274 -334 Unwind discount / unearned interest accrued 2 3 29 1 34 Foreign exchange and other movements -7 15 -20 -12 -1 Balance at 31 December 2023 3 198 147 1,254 3 1,605 109 2023 Impairment charges (releases) on loans and advances -5 51 10 -71 -3 -17 60 Recoveries and other charges (releases) -14 -29 -67 -111 -90 Total impairment charges for the period\u00b2 -5 37 -19 -139 -3 -128 -30 1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023. 2. The impairment charges for the period excludes charges (releases) for financial investments held at FVOCI 31 December 2023: EUR 0 million. Loan impairment charges and allowances per stage\u00a0\u00a0Audited 2024 2023 (in millions) Stage 1 Stage 2 Stage 3\u00b2 Total\u00b2 Stage 1 Stage 2 Stage 3\u00b2 Total\u00b2 Closing balance of the previous year 237 289 1,079 1,605 316 396 1,322 2,034 Impact adopting IFRS 17 -6 -19 -75 -100 Balance at 1 January 237 289 1,079 1,605 310 376 1,247 1,934 Transfer to stage 1 61 -70 -9 -18 109 -128 -10 -28 Transfer to stage 2 -32 104 -43 29 -41 90 -58 -9 Transfer to stage 3 -6 -29 216 181 -15 -59 261 188 Remeasurements\u00b9 -106 -46 46 -105 -125 44 -20 -101 Changes in risk parameters -5 -4 2 -7 -31 -1 6 -26 Originated or purchased 41 41 39 39 Matured or repaid -18 -24 -38 -79 -11 -16 -53 -79 Impairment charges (releases) on loans and advances -65 -68 174 41 -75 -69 126 -17 Write-offs -350 -350 -334 -334 Unwind discount / unearned interest accrued 27 27 34 34 Foreign exchange and other movements -2 6 41 45 2 -18 4 -12 Balance at 31 December 170 226 971 1,368 237 289 1,079 1,605 Impairment charges (releases) on loans and advances -65 -68 174 41 -75 -69 126 -17 Recoveries and other charges (releases) -83 -83 -111 -111 Total impairment charges for the period -65 -68 91 -42 -75 -69 16 -128 1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023. 2. Including POCI. A release of EUR 21 million (a EUR 42 million release on balance and a EUR 22 million charge off balance) in\u00a0impairments was recorded for 2024 (2023: a release of EUR 158 million, of which EUR 30 million off\u2011balance).\u00a0 Impairment releases were primarily related to\u00a0residential mortgages somewhat offset by impairment charges in corporate loans.For residential mortgages, releases of EUR 75 million were recorded in 2024, compared to charges of EUR\u00a037\u00a0million in 2023. This was mainly caused by the\u00a0impact of the updated IFRS 9 model for mortgages, including updated and enhanced data, which led to\u00a0lower impairment levels from the third quarter of\u00a02024. Besides that, the decrease was mostly due to\u00a0lower loss given default rates driven by increased collateral values. The decrease in total impairments was partly offset by an increase in management overlays of\u00a0EUR 2 million.For corporate loans, charges of EUR 48 million were recorded in 2024, primarily due to an increase in\u00a0individual files, which is also reflected in the off\u2011balance items. In 2023, there was a release of EUR\u00a0139 million. In 2024, we recorded an increase in\u00a0collective impairments (mostly in stage 3) due to\u00a0the\u00a0anticipated impact of a new model for corporate portfolios. This decrease in total impairments for corporate loans was mainly driven by a decrease in\u00a0management overlays of EUR 121 million, which was largely due to the decommissioning of the management overlay for geopolitical and market sensitivity (geopolitical risk).Individual and collective loan impairment allowances and management overlays\u00a0\u00a0Audited 31 December 2024 (in millions) Banks Residential mortgages Consumer loans Corporate loans Other loans Total loans and advances Off-balance Individual impairments Stage 3\u00b9 42 600 2 643 80 Total individual impairments 42 600 2 643 80 Collective impairments Stage 1 4 36 12 119 170 6 Stage 2 42 15 170 226 10 Stage 3\u00b9 55 60 212 327 Total collective impairments 4 133 88 500 724 16 - of which management overlay 85 56 140 Total impairments 4 133 130 1,100 2 1,368 96 Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance1,919 222 3,110 6 5,258 1. Including POCI. 31 December 2023 (in millions) Banks Residential mortgages Consumer loans Corporate loans Other loans Total loans and advances Off-balance Individual impairments Stage 3\u00b9 52 695 2 750 78 Total individual impairments 52 695 2 750 78 Collective impairments Stage 1 3 24 18 192 237 16 Stage 2 49 11 228 1 289 12 Stage 3\u00b9 125 66 138 329 3 Total collective impairments 3 198 95 558 1 855 31 - of which management overlay 83 177 260 Total impairments 3 198 147 1,254 3 1,605 109 Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance1,292 255 3,152 8 4,707 1. Including POCI. Total collective impairments amounted to EUR\u00a0724\u00a0million at year end 2024 (31 December 2023: EUR\u00a0855\u00a0million). These impairments included expected credit losses (ECL) as calculated by our IFRS 9 models and the management overlays we recorded. The ECL calculations take into account a probability weighted average of three economic scenarios. As the ECL model outcomes do not always reflect the current economic environment and circumstances, additional management overlays are applied to incorporate novel risks not fully captured by the model. During 2024, management overlays decreased to a\u00a0total of EUR 140 million (31 December 2023: EUR\u00a0260 million). Some of the management overlays were recorded for risks in corporate loans portfolios, where the impairments decreased from EUR\u00a0177\u00a0million to EUR 56 million. In 2024, the\u00a0management overlays changed mainly due to: \u2022 Discontinuation of the management overlay for geopolitical and market sensitivity (geopolitical risk). In\u00a0combination with the changed macroeconomic scenario weights, revised forecasts for macroeconomic variables, and credit risk assessments at both the\u00a0sectorial and individual levels, we captured the\u00a0current geopolitical risks in our modelled loan impairment calculations. The decommissioning resulted in a release of EUR 86 million. \u2022 The existing overlays, which cover potential additional risk costs relating to the wind-down of portfolios, decreased over the year by EUR 23 million.\u2022 The overlays that are in place for climate transition risk decreased by EUR 6 million to EUR 19 million, based on the updated materiality impact assessment.\u2022 The overlay that is in place for the potential impact of\u00a0the government\u2019s nitrogen reducing measures on clients in livestock farming businesses in\u00a0the\u00a0Netherlands decreased slightly from EUR\u00a035\u00a0million to EUR 29 million.Some of the management overlays were recorded for risks in mortgage loans, where the impairments increased from EUR 83 million to EUR 85 million in\u00a02024. The management overlay framework for our mortgages portfolio was revised in the third quarter, following the update of the IFRS 9 model for mortgages. The methodology for interest-only mortgages was updated to include, among others, a\u00a0new component that was introduced to capture the possible impact of a significant decrease in loan\u2011to\u2011value upon default and an adjustment in the\u00a0calculation of refinancing risk. In the fourth quarter, stage 2 ratio increased due to these methodology changes, which were implemented to better reflect the\u00a0credit risk characteristics of the mortgages overlays.All management overlays represent best estimates of\u00a0the risks involved. The underlying reasoning and calculations are documented and discussed and approved by the Impairments and Provisioning Committee (IPC).Loan impairment charges and allowances \u2013 residential mortgages\u00a0\u00a0Audited 2024 2023 (in millions) Stage 1 Stage 2 Stage 3\u00b2 Total\u00b2 Stage 1 Stage 2 Stage 3\u00b2 Total\u00b2 Balance at 1 January 24 49 125 198 21 57 75 153 Transfer to stage 1 19 -20 -3 -4 14 -18 -1 -4 Transfer to stage 2 -2 37 -29 6 -2 28 -19 7 Transfer to stage 3 -1 -5 21 16 -1 -5 30 24 Remeasurements\u00b9 -8 -17 -48 -73 -13 -6 54 35 Changes in risk parameters 1 1 -1 1 4 -1 3 Originated or purchased 4 4 4 4 Matured or repaid -2 -3 -9 -14 -1 -6 -10 -17 Impairment charges (releases) on loans and advances 12 -7 -69 -64 4 -7 54 51 Write-offs -2 -2 -1 -1 Unwind discount / unearned interest accrued 1 1 2 2 Foreign exchange and other movements 1 -1 -2 -4 -7 Balance at 31 December 36 42 55 133 24 49 125 198 Impairment charges (releases) on loans and advances 12 -7 -69 -64 4 -7 54 51 Recoveries and other charges (releases) -11 -11 -14 -14 Total impairment charges for the period 12 -7 -80 -75 4 -7 39 37 1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023. 2. Including POCI. Loan impairment charges and allowances \u2013 consumer loans\u00a0\u00a0Audited 2024 2023 (in millions) Stage 1 Stage 2 Stage 3\u00b2 Total\u00b2 Stage 1 Stage 2 Stage 3\u00b2 Total\u00b2 Closing balance of the previous year 18 11 118 147 30 36 211 277 Impact adopting IFRS 17 -6 -19 -75 -100 Balance at 1 January 18 11 118 147 25 16 136 177 Transfer to stage 1 4 -3 -4 -4 7 -7 -4 -5 Transfer to stage 2 -1 8 -6 -3 8 -6 -1 Transfer to stage 3 -2 31 29 -3 -2 35 30 Remeasurements\u00b9 -9 1 -6 -15 -11 -4 -15 Changes in risk parameters -1 3 3 6 6 Originated or purchased 3 3 3 3 Matured or repaid -1 -5 -6 -2 -1 -6 -8 Impairment charges (releases) on loans and advances -5 4 12 11 -9 -6 26 10 Write-offs -31 -31 -58 -58 Unwind discount / unearned interest accrued 3 3 3 3 Foreign exchange and other movements -1 2 1 11 15 Balance at 31 December 12 15 102 130 18 11 118 147 Impairment charges (releases) on loans and advances -5 4 12 11 -9 -6 26 10 Recoveries and other charges (releases) -25 -25 -29 -29 Total impairment charges for the period -5 4 -12 -13 -9 -6 -4 -19 1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023. 2. Including POCI. Loan impairment charges and allowances \u2013 corporate loans\u00a0 Audited 2024 2023 (in millions) Stage 1 Stage 2 Stage 3\u00b2 Total\u00b2 Stage 1 Stage 2 Stage 3\u00b2 Total\u00b2 Balance at 1 January 192 228 833 1,254 256 301 1,033 1,590 Transfer to stage 1 39 -47 -1 -10 88 -103 -5 -20 Transfer to stage 2 -29 59 -8 23 -36 55 -33 -14 Transfer to stage 3 -5 -23 164 137 -10 -51 194 133 Remeasurements\u00b9 -89 -29 102 -16 -96 54 -71 -112 Changes in risk parameters -6 -5 -11 -34 -1 -35 Originated or purchased 33 33 32 32 Matured or repaid -15 -20 -25 -60 -9 -9 -37 -54 Impairment charges (releases) on loans and advances -72 -64 232 96 -65 -55 49 -71 Write-offs -317 -317 -274 -274 Unwind discount / unearned interest accrued 22 22 29 29 Foreign exchange and other movements -2 6 40 45 1 -17 -3 -20 Balance at 31 December 119 170 811 1,100 192 228 833 1,254 Impairment charges (releases) on loans and advances -72 -64 232 96 -65 -55 49 -71 Recoveries and other charges (releases) -48 -48 -67 -67 Total impairment charges for the period -72 -64 184 48 -65 -55 -19 -139 1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023. 2. Including POCI. Loan impairment charges and allowances \u2013 off-balance\u00a0 Audited 2024 2023 (in millions) Stage 1 Stage 2 Stage 3\u00b3 Total\u00b3 Stage 1 Stage 2 Stage 3\u00b3 Total\u00b3 Balance at 1 January 16 12 81 109 25 16 10 51 Transfer to stage 1 2 -2 4 -5 -1 Transfer to stage 2 -2 4 2 -4 5 2 Transfer to stage 3 17 17 Remeasurements\u00b9 -10 -1 33 22 -7 -1 55 47 Changes in risk parameters -4 -4 Originated or purchased 5 5 8 8 Matured or repaid -4 -2 -7 -7 -2 -9 Impairment charges (releases) -10 -1 33 22 -10 -3 72 60 Foreign exchange and other movements 1 -1 -34 -34 1 -1 -1 -1 Balance at 31 December 6 10 80 96 16 12 81 109 Impairment charges (releases) on off-balance -10 -1 33 22 -10 -3 72 60 Other charges (releases)\u00b2 -90 -90 Total impairment charges for the period -10 -1 33 22 -10 -3 -18 -30 1. Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage but also affected due to reclassification to IFRS 17 in 2023. 2. In 2023, 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\u00a0 \u00a0 Accounting policiesCritical accounting estimates and judgementsIn preparing the financial statements, management needs to exercise its judgement in the process of applying ABN\u00a0AMRO\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\u00a0make 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 chapter\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 3011\u00a0 Income tax expense, tax assets and tax liabilitiesAccounting policy for income tax expense, tax assets and tax liabilities 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\u00a0deferred tax asset to be recovered. Deferred tax assets and liabilities are offset only when there is both a legal right to offset and an intention to settle on a net basis.(in millions) 2024 2023 Recognised in income statement: Current tax expenses for the current period 947 915 Pillar Two tax expense 5 Adjustments recognised in the period for current tax of prior periods 9 -90 Total current tax expense 961 825 Deferred tax arising from the current period 43 41 Impact of changes in tax rates on deferred taxes -1 Deferred tax arising from the write-down or reversal of a write-down of a deferred tax asset 21 -85 Deferred tax prior period -6 80 Previously unrecognised tax losses, tax credits and\u00a0 temporary differences reducing deferred tax expense -6 -13 Total deferred tax expense 52 22 Total income tax expense 1,013 847 Due to the sale of the Gustav Mahlerlaan building in 2021, ABN AMRO was able to make use of a reinvestment reserve. This resulted in a lower current tax expense offset by a higher deferred tax expense included in 2023.Tax assets and liabilitiesThe most significant temporary differences arose from the revaluation of certain financial assets and liabilities, including derivative contracts, allowances for loan impairment and investments. The following table summarises the\u00a0tax position. 31 December 2024 31 December 2023 (in millions) Assets Liabilities Assets Liabilities Current tax 51 395 49 159 Deferred tax 275 278 Total tax assets and liabilities 326 395 327 159 The significant components and annual movements in deferred tax assets and deferred tax liabilities are shown in\u00a0the\u00a0following tables.(in millions) As at 31 December 2023 Income statement OCI Equity Other As at 31 December 2024 - of which deferred tax asset - of which deferred tax liability Assets and liabilities held for trading, derivatives and financial investments 115 -6 51 159 175 16 Property and equipment (excluding leases) and intangible assets 25 -20 -5 -1 20 21 Loans 12 -1 10 11 1 Leases 32 -4 28 93 65 Pensions and other (post-)employment benefits 8 1 9 9 Provisions 23 4 1 1 29 29 Tax losses carried forward 88 -42 3 50 50 Other -25 19 -1 -8 57 65 Deferred tax assets (+) and liabilities (-) 278 -52 51 -2 275 442 167 Offsetting deferred tax assets and liabilities 167 167 Net deferred tax assets (+) and liabilities (-) 275 (in millions) As at 31 December 2022 Income statement OCI Equity Other As at 31 December 2023 - of which deferred tax asset - of which deferred tax liability Assets and liabilities held for trading, derivatives and financial investments 315 -3 -198 115 124 9 Property and equipment (excluding leases) and intangible assets 23 2 25 27 2 Loans 12 -1 12 12 Leases 38 -6 32 102 70 Pensions and other (post-)employment benefits 9 -1 8 8 Provisions 20 6 3 1 -6 23 23 Tax losses carried forward 40 50 -2 88 88 Other 39 -69 6 -25 64 89 Deferred tax assets (+) and liabilities (-) 497 -22 -195 1 -2 278 448 170 Offsetting deferred tax assets and liabilities 170 170 Net deferred tax assets (+) and liabilities (-) 278 Deferred 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 by jurisdiction in which ABN AMRO operates and the period over which the deferred tax assets will be recoverable. In the event that actual results differ from these estimates in future periods, changes to the recognition of deferred tax assets could be required and these could impact our financial position and net profit. No deferred income taxes have been recognised on undistributed earnings of ABN AMRO\u2019s subsidiaries, branches and interests in joint ventures.Unrecognised tax assetsCertain amounts of deferred tax assets are not recognised because future taxable profits are not considered probable. Deferred tax assets for an amount of EUR 29 million (31 December 2023: EUR 14 million) have not been recognised in\u00a0respect of deductible temporary differences of EUR 112 million (31 December 2023: EUR 55 million). In addition, deferred tax assets for an amount of EUR 46 million (31 December 2023: EUR 47 million) have not been recognised in\u00a0respect of tax losses of EUR 233 million (31 December 2023: EUR 242 million).Tax credits and unrecognised tax creditsABN AMRO did not have any carry-forward tax credits on 31 December 2024.17\u00a0 Financial investmentsAccounting policy for financial investments Financial investments include financial instruments measured at fair value through other comprehensive income (FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL).Accounting policy for financial instruments measured at fair value through other comprehensive incomeUnrealised gains and losses on FVOCI assets are recognised directly in other comprehensive income, net of\u00a0applicable 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\u00a0the income statement. The impairment loss resulting from the ECL on FVOCI debt instruments is recognised in\u00a0the 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\u00a0AMRO\u2019s impairment assessment and measurement approach for FVOCI debt instruments is set out in the Credit risk management section of 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 2024 31 December 2023 Financial investments Debt securities held at fair value through other comprehensive income 46,196 40,663 Held at fair value through profit or loss 977 838 Total financial investments 47,173 41,501 Debt securities held at fair value through other comprehensive income consist mainly of government bonds.Financial investments measured at fair value through other comprehensive income(in millions) 31 December 2024 31 December 2023 Interest-earning securities Dutch government 3,261 2,642 US Treasury and US government 7,140 6,861 Other OECD government 19,143 15,761 Non-OECD government 170 150 International bonds issued by the European Union 3,319 2,962 European Stability Mechanism 2,441 2,349 Mortgage- and other asset-backed securities 5,288 5,046 Financial institutions 5,404 3,477 Non-financial institutions 29 1,414 Total investments held at fair value through other comprehensive income 46,196 40,663 Government bonds by country of origin31 December 2024 31 December 2023 (in millions) Accumulated unrealised gains/(losses) and fair value hedges gains/(losses) Impairments Fair value Accumulated unrealised gains/(losses) and fair value hedges gains/(losses) Impairments Fair value Dutch national government -61 -1 3,261 -23 2,642 USA national government -267 7,140 -265 6,861 German national government -118 5,315 -161 4,924 French national government -61 2,025 -77 1,781 Belgian national government -152 2,791 -164 -1 2,861 Austrian national government -34 1,658 -11 1,774 Finnish national government -50 1,496 -20 1,040 Luxembourg national government -19 305 -22 245 Canadian national government -45 1,186 -64 1,142 Japanese national government -1 2,426 568 Polish national government 34 330 35 330 Spanish national government 4 615 -9 268 United Kingdom national government -11 170 9 183 Danish national government -22 341 -10 183 Italian national government -29 382 -42 370 Irish national government 2 92 3 94 Portuguese national government 10 Brazilian national government 100 82 Singapore national government 70 68 European Union bonds (excl. European Financial Stability Facility) -523 3,319 -530 2,962 Total government bonds -1,354 -1 33,034 -1,351 -1 28,377 Critical 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 chapter. Impairment charges on FVOCI instruments are recorded in (un)realised gains/(losses) fair value through OCI in the statement of comprehensive income.19\u00a0 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\u00a0liability 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\u00a0the\u00a0pricing 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\u00a0arrive at a fair value are as follows:\u2022 Bid-ask adjustments. If the model calculates a mid-market price, it is adjusted to take into account the relevant bid-offer spread.\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\u00a0AMRO\u2019s creditworthiness respectively.\u2022 Liquidity adjustments. ABN AMRO uses different techniques to determine the price or input parameters of\u00a0the\u00a0pricing model dependent on the liquidity in the market.\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\u00a0process 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\u00a0ensure 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\u00a0the\u00a0fair 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\u00a0valuations 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\u00a0model 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\u00a0inputs 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\u00a0contractual cash flows do not meet the SPPI requirements or are held in a business model with the objective of\u00a0generating cash flows from sales. The return on the contracts with embedded derivatives is based on the price of\u00a0underlying commodity contracts or loans with a floating interest rate. Discounted cash flow models are used to\u00a0value 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\u00a0different 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\u00a0valuation 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\u00a0instrument\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 for determining the fair values of financial instruments carried at fair value.31 December 2024 31 December 2023 (in millions) Quoted market prices in active markets Valuation techniques - observable inputs Valuation techniques - significant unobservable inputs Total fair value Quoted market prices in active markets Valuation techniques - observable inputs Valuation techniques - significant unobservable inputs Total fair value Assets Government debt securities 1,119 51 1,169 341 341 Corporate debt securities 743 503 1,246 780 240 1,019 Equity securities 2 2 1 1 Other financial assets held for trading 87 87 10 10 Financial assets held for trading 1,863 640 2,503 1,121 250 1,371 Interest rate derivatives 5 3,116 20 3,140 4 3,606 15 3,625 Foreign exchange contracts 1,203 2 1,206 765 12 776 Other derivatives 1 1 2 2 Derivatives 5 4,320 22 4,347 4 4,372 26 4,403 Equity instruments 133 47 797 977 130 52 656 838 Financial investments at fair value through profit or loss 133 47 797 977 130 52 656 838 Government debt securities 35,145 330 35,475 30,396 330 30,726 Corporate debt securities 5,432 5,432 4,890 1 4,891 Other debt securities 5,288 5,288 5,046 5,046 Financial assets held at fair value through other comprehensive income 45,866 330 46,196 40,332 1 330 40,663 Loans and advances at fair value through profit or loss 30 600 630 31 676 707 Total financial assets 47,866 5,037 1,750 54,653 41,587 4,706 1,689 47,982 Liabilities Short positions in government debt securities 346 172 518 303 303 Corporate debt securities 313 208 522 376 135 511 Equity securities 7 7 Other financial liabilities held for trading 123 123 96 96 Financial liabilities held for trading 660 503 1,163 686 231 917 Interest rate derivatives 3 1,688 1 1,692 1 2,297 2,298 Foreign exchange contracts 803 803 553 553 Other derivatives 4 4 5 5 Derivatives 3 2,495 1 2,499 1 2,855 2,856 Issued debt 205 205 222 222 Total financial liabilities 663 3,203 1 3,867 687 3,308 3,994 Transfers 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 Liabilities (in millions) Derivatives Financial investments at fair value through profit or loss Financial assets held at fair value through other comprehensiveincome Loans and advances at fair value through profit or loss Derivatives Balance at 1 January 2023 46 481 358 30 Change in accounting policy 982 Purchases 145 Sales -2 -243 Issuance 24 Redemptions -12 -38 -175 Gains/(losses) recorded in profit and loss 1 6 1 1 Unrealised gains/(losses) 21 52 10 59 Transfer between levels -21 Other movements -14 -2 Balance at 31 December 2023 26 656 330 676 Purchases 86 Sales -3 -35 Issuance 42 Redemptions -14 -157 Gains/(losses) recorded in profit and loss\u00b9 1 -5 Unrealised gains/(losses)\u00b2 -3 89 -1 59 Transfer between levels -2 1 Other movements -17 19 Balance at 31 December 2024 22 797 330 600 1 1. Included in other operating income. 2. Unrealised gains/(losses) on derivatives held for trading are included in net trading income, on instruments measured at FVTPL in other operating income and on instruments measured at FVOCI in other comprehensive income.Level 3 sensitivity informationInterest-earning securities - government bondsABN AMRO has a position in a Polish bond, denominated in euros (see Note 17 - Financial investments, and part of\u00a0Other 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 to 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\u00a0the 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 cannot be applied for the NAV calculation based on the quarterly performance.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\u00a0observable 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\u00a0the\u00a0following 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 historical bandwidth observed for 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\u00a0the\u00a0client. 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 for expected credit losses.31 December 2024 Valuation technique Unobservable data Carrying value Possible alternative assumptions Unobservable data range Unobservable data base (in millions) Applying minimum Applying maximum Applying minimum Applying maximum Equity shares Private equity valuation EBITDA multiples 141 -14 14 Equity shares Private equity valuation Net asset value 657 -66 66 Interest-earning securities - government bonds Discounted cash flow Liquidity and credit spread 330 -13 19 38bps 157bps 110bps Loans and advances - Equity release mortgages Discounted cash flow Prepayment rate 458 -6 9 2.4%4.9%3.6%Loans and advances - Other Discounted cash flow Credit spread 142 -4 7 Derivatives held for trading - assets/liabilities (net) Discounted cash flow Probability of default 22 -2 6 100.0%24.0%31 December 2023 Valuation technique Unobservable data Carrying value Possible alternative assumptions Unobservable data range Unobservable data base (in millions) Applying minimum Applying maximum Applying minimum Applying maximum Equity shares Private equity valuation EBITDA multiples 136 -14 14 Equity shares Private equity valuation Net asset value 519 -52 52 Interest-earning securities - government bonds Discounted cash flow Liquidity and credit spread 330 -11 28 4bps 139bps 101bps Loans and advances - Equity release mortgages Discounted cash flow Prepayment rate 398 -9 9 1.9%3.2%2.5%Loans and advances - Other Discounted cash flow Credit spread 250 -7 11 Derivatives held for trading - assets/liabilities (net) Discounted cash flow Probability of default 26 -3 4 0.0%100.0%12.7%24\u00a0 Property and equipment, leases, goodwill and other intangible assetsAccounting policy for impairment of non-financial assets At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets, equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for impairment.For impairment testing, assets are grouped together into the smallest group of assets that generates cash inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating units. Goodwill arising from a business combination is allocated to cash-generating units or groups of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit to\u00a0which the corporate assets are allocated.Impairment losses are recognised in the income statement as a component of depreciation and amortisation expense. 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\u00a0the 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. Accounting policy for intangible assets Goodwill Goodwill is capitalised and stated at cost, being the excess of the consideration paid over the fair value of\u00a0ABN\u00a0AMRO\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 2024 31 December 2023 Land and buildings held for own use 379 225 Leasehold improvements 44 44 Plant & equipment under operating lease 306 338 Equipment 70 78 Right of use assets 260 285 Other 8 9 Total property and equipment 1,068 978 The right of use assets consist primarily of real estate.(in millions) 31 December 2024 31 December 2023 Goodwill 44 Purchased software 5 10 Internally developed software 188 81 Other 15 8 Total goodwill and other intangible assets 253 99 2024 (in millions) Land and buildings held for own use Leasehold improve- ments Plant & equipment under ope- rating lease Equip- ment Right of use assets Other property and equipment Total property and equipment Good- will Other intangible assets Total goodwill and other intangible assets Acquisition costs as at 1 January 777 208 649 626 584 11 2,853 115 517 632 Acquisitions/divestments of subsidiaries 33 33 Additions 174 13 97 28 53 365 44 4 48 Reversal of cost due to disposals -12 -13 -182 -48 -58 -313 -10 -22 -31 Foreign exchange differences 1 6 1 3 10 1 1 Internally generated software 93 93 Other 2 -1 -17 -15 -4 -3 Acquisition costs as at 31 December 941 209 570 607 565 11 2,902 150 623 773 Accumulated depreciation/ amortisation as at 1 January -547 -160 -308 -546 -256 -1,817 -408 -408 Acquisitions/divestments of subsidiaries -7 -7 Depreciation/amortisation -16 -14 -36 -81 -147 -13 -13 Depreciation of assets subject to operating lease -86 -86 Reversal of depreciation/amortisation due to disposals 10 9 135 45 21 219 22 22 Foreign exchange differences -1 -3 -1 -1 -6 -1 -1 Other -4 1 1 20 18 3 3 Accumulated depreciation/ amortisation as at 31 December -557 -165 -263 -537 -297 -1 -1,819 -404 -404 Accumulated impairments as at 1 January -5 -4 -3 -2 -43 -2 -59 -115 -10 -125 Impairments on assets subject to operating lease 2 2 Reversal of impairments due to disposals 2 4 2 37 45 10 10 Foreign exchange differences -1 -1 Other -2 -2 Accumulated impairments as at 31 December -5 -1 -7 -2 -14 -105 -10 -116 Total as at 31 December 379 44 306 70 260 8 1,068 44 209 253 The fair value of land and buildings held for own use is estimated at EUR 198 million at 31 December 2024 (2023: EUR\u00a0199 million). Of this fair value, 100% is based on external valuations performed in 2017 to 2023. There are some properties that have a lower fair value than the recorded carrying value. No impairment is recorded because these properties are considered corporate assets. The value in use for the cash generating units within ABN AMRO Group is sufficient to cover the total value of all these assets.The building at Foppingadreef in Amsterdam is being reconstructed to make it an example with regard to\u00a0sustainability and circularity. Until 31 December 2024, a total of EUR 238 million was capitalised as part of the asset under construction (2023: EUR 70 million). In 2024, additional design aspects were added to the original contract. As at 31\u00a0December 2024, the amount of contractual commitments relating to the refurbishment amounted to\u00a0EUR\u00a0298\u00a0million (2023: EUR 430 million), subject to price indexation based on the BDB Index. The project is scheduled to be completed in 2027.2023 (in millions) Land and buildings held for own use Leasehold improve- ments Plant & equipment under ope- rating lease Equip- ment Right of use assets Other property and equipment Total property and equipment Good- will Other intangible assets Total goodwill and other intangible assets Acquisition costs as at 1 January 726 209 801 638 497 11 2,883 142 438 580 Additions 63 12 98 35 138 346 9 9 Reversal of cost due to disposals -50 -21 -255 -47 -38 -412 -4 -4 Foreign exchange differences -1 5 -2 -2 Internally generated software 75 75 Other 38 9 2 -12 36 -27 -28 Acquisition costs as at 31 December 777 208 649 626 584 11 2,853 115 517 632 Accumulated depreciation/ amortisation as at 1 January -530 -165 -369 -554 -205 -1,824 -398 -398 Depreciation/amortisation -16 -14 -40 -85 -155 -14 -14 Depreciation of assets subject to operating lease -108 -108 Reversal of depreciation/amortisation due to disposals 33 20 172 46 21 292 4 4 Foreign exchange differences 1 -2 2 Other -34 -1 1 12 -22 Accumulated depreciation/ amortisation as at 31 December -547 -160 -308 -546 -256 -1,817 -408 -408 Accumulated impairments as at 1 January -5 -5 -5 -4 -51 -1 -70 -64 -10 -74 Increase of impairments charged to the income statement-1 -1 -1 -3 -79 -79 Impairments on assets subject to operating lease 2 2 Reversal of impairments due to disposals 1 1 8 10 Foreign exchange differences 1 1 Other 1 1 28 28 Accumulated impairments as at 31 December -5 -4 -3 -2 -43 -2 -59 -115 -10 -125 Total as at 31 December 225 44 338 78 285 9 978 99 99 Valuation of goodwill31 December 2024 31 December 2023 (in millions) Segment Method used for recoverable amount Discount rate Long-term growth rate Impairment charges Goodwill Goodwill Entity Bux Wealth Management Value in use 13.5%2.0%44 Total goodwill and impairment charges 44 ABN AMRO performed its annual impairment test in the last quarter of 2024. The factors considered by ABN AMRO when reviewing for indicators of impairment include the relationship between its market capitalisation and its book value. The outcome of the impairment test performed is that no impairment needs to be recognised.(in millions) 2024 2023 Depreciation on tangible assets Land and buildings held for own use 16 16 Leasehold improvements 14 14 Equipment 36 40 Right of use assets 81 85 Amortisation on intangible assets Purchased software 5 7 Internally developed software 6 3 Other intangible assets 2 4 Impairment losses on tangible assets Land and buildings held for own use (incl. held for sale) 1 Right of use assets 1 Other 1 Impairment losses on intangible assets Goodwill 79 Total depreciation, amortisation and impairment losses 160 251 30\u00a0 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\u00a0obligation, 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. In cases where ABN AMRO expects disclosure of legal proceedings on a case-by-case basis to seriously prejudice its position, it only discloses the\u00a0general nature of the dispute.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\u00a0implement 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\u00a0payment. Expected credit loss allowances of loan commitments and financial guarantees are recognised as provisions under IFRS 9.(in millions) 31 December 2024 31 December 2023 Legal provisions 150 273 Credit commitments provisions 97 120 Restructuring provision 45 57 Provision for pension commitments 76 76 Other staff provision 181 134 Insurance fund liabilities 7 7 Other provisions 58 75 Total provisions 612 742 Legal provisionsVariable interest rates for consumer loansOn 3 March 2021, the Kifid Appeals Committee confirmed a ruling of the Kifid Disputes Committee about the\u00a0recalculation of the variable interest charged to a specific client on a revolving credit. In short, Kifid ruled that ABN\u00a0AMRO 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 505 million for the interest to be compensated and the\u00a0costs incurred in carrying out the scheme. To date, EUR 470 million of this provision has been used, so the\u00a0remaining provision as at 31 December 2024 was EUR 35 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\u00a0compensation 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 is progressing with the enhancement to its internal processes and systems to effectively contribute to\u00a0the\u00a0prevention of financial economic crime. ABN AMRO has closed the AML client file remediations for key parts of\u00a0the business, and are awaiting the observations from the supervisor on others. Work continues to increase the\u00a0effectiveness and sustainability of our measures to meet regulatory requirements. Currently, the main attention goes to the effectiveness of our monitoring processes and the quality of our client due diligence. ABN AMRO is in\u00a0regular dialogue with the Dutch Central Bank, which is\u00a0 regularly informed, continues to monitor progress and provides observations. DNB has recently identified shortcomings in our event-driven review processes. These shortcomings relate to updating of client files, for example due to changes in a client\u2019s circumstances. DNB has indicated that these findings may lead to enforcement measures. A potential financial impact cannot be reliably estimated, and no provision has been recorded.(in millions) Legal provisionsCredit commitmentsRestructuring provision Provision for pension commitmentsOther staffprovision Insurance fund liabilities Other Total At 1 January 2023 447 154 105 75 128 8 128 1,044 Increase of provisions 89 86 14 22 210 Reversal of unused provisions -41 -129 -22 -9 -32 -233 Utilised during the year -231 -40 -51 -321 Transfer between stages 18 18 Foreign exchange differences 2 -1 1 Other 9 -10 1 6 8 9 23 At 31 December 2023 273 120 57 76 134 7 75 742 Increase of provisions 124 97 52 36 3 312 Reversal of unused provisions -55 -75 -9 -6 -9 -153 Utilised during the year -178 -48 -13 -239 Transfer between stages 2 2 Foreign exchange differences 8 8 Other -14 -55 -8 11 5 2 -58 At 31 December 2024 150 97 45 76 181 7 58 612 ", "dimensions": { "concept": "ifrs-full:ExplanationOfAssumptionAboutFutureWithSignificantRiskOfResultingInMaterialAdjustments", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-17": { "value": "
Accounting policy for offsetting financial
assets and liabilities \u00a0
Audited
Financial assets and liabilities are offset, and the net
amount is reported on the EU IFRS balance sheet, if
there is a legally enforceable right to offset
the\u00a0recognised 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
the\u00a0balances meet the applicable criteria.
1\u00a0 \u00a0 Accounting policies
Financial assets and liabilities
Offsetting
The bank offsets financial assets and liabilities and the net amount reported in the statement of financial position if it is
legally entitled to set off the recognised amounts and intends to settle on a net basis, or to realise the asset and settle
the liability simultaneously.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForOffsettingOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-16": { "value": "
Accounting policy for offsetting financial
assets and liabilities \u00a0
Audited
Financial assets and liabilities are offset, and the net
amount is reported on the EU IFRS balance sheet, if
there is a legally enforceable right to offset
the\u00a0recognised 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
the\u00a0balances meet the applicable criteria.
Accounting policy for enforceable master
netting agreements or similar
instruments\u00a0\u00a0
Audited
Enforceable master netting arrangements take into
account all agreements containing conditions that
allow offsetting in the event of default. In addition,
agreements are enforceable if the bank has a legally
enforceable right to offset and no ability and/or
intention to realise the asset and settle the liability
simultaneously. These arrangements include
derivative clearing agreements, global master
repurchase agreements and global master securities
lending agreements.
1\u00a0 \u00a0 Accounting policies
Financial assets and liabilities
Classification of assets and liabilities held for trading
A 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\u00a0a\u00a0recent 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 liabilities
Financial liabilities are initially recognised at their fair value minus transaction costs that are directly attributable
to\u00a0the\u00a0acquisition 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\u00a0credit risk of such liabilities is presented as liability own credit risk reserve in equity.
Financial liabilities are never reclassified after initial recognition.
Recognition and derecognition
Financial liabilities are derecognised when the liability has been settled, has expired or has been extinguished.
An\u00a0exchange 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\u00a0extinguishment of the original financial liability and recognition of a new financial liability. The difference between
the former amortised cost and the consideration paid is recognised in the income statement.
Offsetting
The bank offsets financial assets and liabilities and the net amount reported in the statement of financial position if it is
legally entitled to set off the recognised amounts and intends to settle on a net basis, or to realise the asset and settle
the liability simultaneously.
14\u00a0 Financial assets and liabilities held for trading
Accounting policy for financial assets and liabilities held for trading
In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or
loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement.
15\u00a0 Derivatives
Accounting policy for derivatives
A derivative is a financial instrument or other contract within the scope of IFRS 9 with all three of the following
characteristics:
\u2022 its value changes in response to the change in a specified interest rate, financial instrument price, commodity
price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided
in\u00a0the case of a non-financial variable that the variable is not specific to a party to the contract (sometimes
called the \u2018underlying\u2019)
\u2022 it requires no initial net investment or an initial net investment that is smaller than would be required for other
types of contracts that would be expected to have a similar response to changes in market factors
\u2022 it is settled at a future date
Derivatives are recorded at fair value.
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\u00a0the statement of financial position in either 2024 or 2023.
18\u00a0 Securities financing
Accounting policy for securities financing
Securities financing is measured at amortised cost. Securities financing consists of securities borrowing and
lending and sale and repurchase transactions. Securities borrowing and securities lending transactions are
generally entered into on a collateralised basis, with securities usually advanced or received as collateral.
The\u00a0transfer 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\u00a0banks or customers). The market value of the securities borrowed or lent is monitored on a daily basis, and
the\u00a0collateral 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\u00a0underlying 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\u00a0 Fair value of financial instruments carried at fair value
Accounting policy for fair value of financial instruments
The fair value is defined as the price that would be received when selling an asset or paid when transferring
a\u00a0liability 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\u00a0the\u00a0pricing 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\u00a0arrive at a fair value are as follows:
\u2022 Bid-ask adjustments. If the model calculates a mid-market price, it is adjusted to take into account the relevant
bid-offer spread.
\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\u00a0AMRO\u2019s creditworthiness respectively.
\u2022 Liquidity adjustments. ABN AMRO uses different techniques to determine the price or input parameters
of\u00a0the\u00a0pricing model dependent on the liquidity in the market.
\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\u00a0 Fair value of financial instruments not carried at fair value
Accounting policy for fair value of financial instruments not carried at fair value
The categorisation and valuation of financial instruments not carried at fair value is determined in accordance
with the accounting policies set out in Note 19 - Fair value of financial instruments carried at fair value.
27\u00a0 Due to banks
Accounting policy for due to banks and due to customers
Amounts due to banks and customers are held at amortised cost. That is, at fair value upon initial recognition,
adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate
of\u00a0the instrument.
28\u00a0 Due to customers
Accounting policy for due to customers
The accounting policy for amounts due to customers is set out in Note 27 - Due to banks.
29\u00a0 Issued debt and subordinated liabilities
Accounting policy for issued debt and subordinated liabilities
Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate
method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be
measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce
an\u00a0accounting mismatch, are managed on the basis of their fair value or include terms that qualify as
an\u00a0embedded 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\u00a0substance 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\u00a0credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt
measured at fair value through profit or loss is valued at market prices.
Fair value changes are calculated based on a yield curve generated from observed external pricing for funding
and quoted CDS spreads
35\u00a0 Commitments and contingent liabilities
Financial guarantee contracts
A financial guarantee contract requires the issuer to make specified payments to reimburse the holder for a loss
it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt
instrument. Initial recognition of financial guarantee contracts is at their fair value. Subsequent measurement is
at the higher of the amount of the expected credit loss and the amount initially recognised, less \u2013 when
appropriate \u2013 the cumulative amount of income recognised in the income statement.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialLiabilitiesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-18": { "value": "
Credit risk mitigation\u00a0\u00a0
Audited
Collateral reporting is based on the net collateral value
(NCV). The NCV represents the amount expected to be
recovered from the collateral pledged to the bank if
the\u00a0client defaults. Where necessary, certain discounts
are applied. The NCV is approached by an average
recovery rate observed for the specific type of collateral
and, where applicable, by applying haircuts, for
example in the event of currency mismatches. Surplus
collateral is the amount of over-collateralisation,
calculated on an individual basis. A surplus is not
included for guarantees, as the debtor cannot be held
liable for more than the maximum debt.
Financial assets: offsetting, netting, collateral and guarantees\u00a0\u00a0
Audited
31 December 2024
Offset in the statement of financial
position
Not offset in the statement of financial position
Net
exposure5
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet
netting with
gross
liabilities
Carrying
amount\u00b2
Master
netting
agree-
ment\u00b3
Financial
instru-
ments
collateral
Property
& equip-
ment
Other
collateral
and guar-
antees
Total risk
mitigation
- of which
surplus
collateral 4
Financial assets
held for trading
2,503
2,503
2,503
Derivatives
4,347
4,347
3,176
639
3,815
103
635
Financial investments
47,173
47,173
47,173
Securities financing
32,192
5,203
26,989
847
32,348
33,195
6,452
246
Interest-bearing deposits
1,169
1,169
16
16
1,153
Loans and advances
707
707
527
728
1,255
721
173
Other
174
174
174
Total loans and advances
banks
2,049
2,049
543
728
1,271
721
1,500
Residential mortgages
156,076
156,076
2,695
325,975
372
329,041
176,542
3,577
Consumer loans
7,446
1
7,445
2,866
3,958
48
6,873
2,928
3,501
Corporate loans
83,433
705
82,727
1,759
30,917
54,489
3,303
90,468
37,508
29,767
Other loans and advances
customers
6,491
4
6,487
49
31
80
10
6,417
Fair value adjustment from
hedge accounting
-4,584
-4,584
-4,584
Total loans and advances
customers\u00b9
248,863
711
248,152
1,808
36,478
384,453
3,723
426,463
216,988
38,677
Loans at fair value through P&L
630
630
1,715
1,715
1,252
167
Total loans and advances
customers
249,493
711
248,782
1,808
36,478
386,168
3,723
428,178
218,239
38,843
Other assets
4,652
4,652
7
584
1,163
1,754
584
3,482
Total\u00a0on-balance sheet
subject to netting and
pledged agreements
342,409
5,914
336,496
6,380
70,777
386,168
4,887
468,212
226,099
94,383
Assets not subject to netting
and pledged agreements
48,551
48,551
48,551
Total assets
390,960
5,914
385,047
6,380
70,777
386,168
4,887
468,212
226,099
142,934
Total\u00a0off-balance sheet
97,348
97,348
1,952
11,547
845
14,344
5,478
88,482
Total on- and off-balance
sheet
488,308
5,914
482,394
6,380
72,729
397,715
5,732
482,556
231,577
231,415
1. Excluding loans at fair value through P&L.
2. Carrying amount includes loan impairment allowances where applicable.
3. Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these
agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.
4. Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.
5. Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.
31 December 2023
Offset in the statement of financial
position
Not offset in the statement of financial position
Net
exposure5
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet
netting with
gross
liabilities
Carrying
amount\u00b2
Master
netting
agree-
ment\u00b3
Financial
instru-
ments
collateral
Property
& equip-
ment
Other
collateral
and guar-
antees
Total risk
mitigation
- of which
surplus
collateral 4
Financial assets
held for trading
1,371
1,371
1,371
Derivatives
4,403
4,403
3,151
3,151
1,252
Financial investments
41,501
41,501
41,501
Securities financing
29,876
8,374
21,503
1,130
29,213
30,343
9,279
438
Interest-bearing deposits
1,729
328
1,401
39
39
1,362
Loans and advances
729
729
490
489
980
487
236
Other
194
194
194
Total loans and advances
banks
2,651
328
2,324
529
489
1,019
487
1,792
Residential mortgages
150,880
150,880
2,567
271,233
613
274,413
128,748
5,216
Consumer loans
8,233
8,233
3,444
4,501
55
8,000
2,874
3,107
Corporate loans
86,413
883
85,530
1,812
36,311
52,909
3,717
94,749
39,523
30,304
Other loans and advances
customers
6,494
6,494
203
36
5
244
15
6,264
Fair value adjustment from
hedge accounting
-5,909
-5,909
-5,909
Total loans and advances
customers\u00b9
246,111
883
245,228
2,015
42,322
328,679
4,390
377,406
171,159
38,981
Loans at fair value through P&L
707
707
1,385
1,385
988
309
Total loans and advances
customers
246,818
883
245,935
2,015
42,322
330,064
4,390
378,791
172,147
39,290
Other assets
4,295
4,295
17
460
1,121
1,597
460
3,158
Total\u00a0on-balance sheet
subject to netting and
pledged agreements
330,916
9,584
321,331
6,843
72,484
330,064
5,510
414,901
182,373
88,803
Assets not subject to netting
and pledged agreements
56,578
56,578
56,578
Total assets
387,493
9,584
377,909
6,843
72,484
330,064
5,510
414,901
182,373
145,381
Total\u00a0off-balance sheet
91,967
91,967
2,640
10,739
807
14,186
4,963
82,745
Total on- and off-balance
sheet
479,461
9,584
469,876
6,843
75,124
340,803
6,317
429,087
187,336
228,126
1. Excluding loans at fair value through P&L.
2. Carrying amount includes loan impairment allowances where applicable.
3. Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these
agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.
4. Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.
5. Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.
Total risk mitigation increased mainly due to an increase
in property and equipment for residential mortgages,
mainly due to rising house prices. As a result, surplus
collateral increased as well. For consumer loans, total
risk mitigation declined, mainly due to the declining
carrying amount. Financial instruments collateral
decreased, resulting in lower total risk mitigation for
corporate loans. This decline was partly the result of
a\u00a0decline in exposure, and for the other part it mostly
effected surplus collateral. The net exposure therefore
remained relatively stable. The decline in surplus
exposure occurred mostly with, and was due to,
changing client positions. The total net exposure
of\u00a0loans and advances to customers decreased slightly
to EUR 38.8 billion in 2024 (31 December 2023:
EUR\u00a039.3 billion), mainly as a result of the decreasing
net exposure on residential mortgages due to rising
collateral values, partly offset by an increase in net
exposure on fair value adjustment from hedge
accounting due to declining interest rates.
Financial assets: offsetting, netting, collateral
and guarantees for credit-impaired
assets\u00a0\u00a0
Audited
Collateral and guarantees for credit-impaired assets
(stage 3 and POCI) represent credit risk mitigation
based on the net collateral value (NCV) for clients
in\u00a0default. The carrying amount includes expected
credit loss allowances, based on
the\u00a0probability\u2011weighted 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\u2011programme 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 taking into account
collateral pledged to the bank.
31 December 2024
Offset in the statement
of financial position
Not offset in the statement
of financial position
Net
exposure4
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet
netting
with gross
liabilities
Carrying
amount\u00b9
Master
netting
agree-
ment\u00b2
Financial
instru-
ments
collateral
Property
& equip-
ment
Other
collateral
and gua-
rantees
Total risk
mitigation
- of which
surplus
collateral\u00b3
Loans and advances banks
Residential mortgages
1,863
1,863
13
3,333
1
3,348
1,483
-1
Consumer loans
120
120
18
62
80
27
66
Corporate loans
2,299
2,299
774
1,768
230
2,773
825
351
Other loans and advances
customers
5
5
5
Total\u00a0loans and advances
\u00a0customers
4,287
4,287
805
5,163
232
6,201
2,335
421
Total loans and advances
4,287
4,287
805
5,163
232
6,201
2,335
421
1. 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.
31 December 2023
Offset in the statement
of financial position
Not offset in the statement
of financial position
Net
exposure4
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet
netting
with gross
liabilities
Carrying
amount\u00b9
Master
netting
agree-
ment\u00b2
Financial
instru-
ments
collateral
Property
& equip-
ment
Other
collateral
and gua-
rantees
Total risk
mitigation
- of which
surplus
collateral\u00b3
Loans and advances banks
Residential mortgages
1,167
1,167
11
2,015
2
2,028
862
1
Consumer loans
137
137
11
67
4
82
23
78
Corporate loans
2,319
2,319
762
1,674
156
2,592
711
438
Other loans and advances
customers
6
6
5
5
1
Total\u00a0loans and advances
\u00a0customers
3,629
3,629
784
3,756
167
4,707
1,596
518
Total loans and advances
3,629
3,629
784
3,756
167
4,707
1,596
518
1. 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 increase in the stage 3 carrying amount
(including POCI) to EUR 4.3 billion (31 December 2023:\u00a0
EUR 3.6 billion), total risk mitigation increased
to\u00a0EUR\u00a06.2 billion in 2024 (31 December 2023:
EUR\u00a04.7\u00a0billion). This increase was mainly observed in
residential mortgages and, to a lesser extent, corporate
loans. The increase in residential mortgages collateral
was caused by an increase in residential real estate
values. The carrying amount of the stage 3 portfolio
(including POCI) increased, but the total risk mitigation
increased more, so net exposure decreased by
EUR\u00a097\u00a0million to EUR 421 million at
31\u00a0December\u00a02024.
During 2024, ABN AMRO obtained property and
equipment by taking possession of collateral held as
security for loans and advances. The total amount
of\u00a0such assets held on 31 December 2024 amounted
to\u00a0EUR 4 million (2023: EUR 4 million). ABN AMRO does
not intend to use these assets in its operations and will
pursue timely and orderly realisation of the collateral.
Financial liabilities: offsetting, netting, collateral and guarantees\u00a0\u00a0
Audited
31 December 2024
Offset in the statement
of financial position
Not offset in the statement
of financial position
Net
exposure\u00b3
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less:
balance-
sheet netting
with gross
assets
Carrying
amount
Master
netting
agree-
ment\u00b9
Financial
instru-
ments
collateral
Total risk
mitigation
- of which
surplus
collateral\u00b2
Financial liabilities held for trading
1,163
1,163
1,163
Derivatives
2,499
2,499
1,590
207
1,797
27
729
Securities financing
15,555
5,203
10,352
846
15,792
16,638
6,305
19
Deposits
2,329
2,329
658
658
1,671
Due to banks
2,329
2,329
658
658
1,672
Deposits
254,998
710
254,288
1,589
1,589
252,699
Other borrowings
1,899
1,899
1,698
1,698
200
Due to customers
256,896
710
256,186
3,287
3,287
252,900
Other liabilities
4,247
1
4,247
4,247
Total\u00a0liabilities subject to netting
arrangements
282,689
5,914
276,776
6,380
15,999
22,379
6,332
260,728
Remaining liabilities not subject to netting
82,163
82,163
82,163
Total liabilities
364,852
5,914
358,939
6,380
15,999
22,379
6,332
342,892
1. Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these
agreements. Cash collateral not part of master netting agreements has been reported under the column Financial instruments.
2. Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.
3. Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.
31 December 2023
Offset in the statement
of financial position
Not offset in the statement
of financial position
Net
exposure4
(in millions)
Carrying
amount
before
balance-
sheet
netting
Less: balance-
sheet netting
with gross
assets
Carrying
amount
Master
netting
agree-
ment\u00b2
Financial
instru-
ments
collateral
Total risk
mitigation
- of which
surplus
collateral\u00b3
Financial liabilities held for trading
917
917
917
Derivatives
2,856
2,856
1,994
1,994
861
Securities financing\u00b9
20,084
8,373
11,710
1,130
19,566
20,696
9,313
327
Deposits
5,351
5,351
544
544
4,807
Due to banks
5,352
5,352
544
544
4,808
Deposits
253,831
1,211
252,620
1,424
1,424
251,196
Other borrowings
1,846
1,846
1,750
1,750
96
Due to customers
255,677
1,211
254,466
3,174
3,174
251,292
Other liabilities
5,741
5,741
2
5,743
Total\u00a0liabilities subject to netting
arrangements
290,626
9,584
281,041
6,843
19,566
26,409
9,316
263,948
Remaining liabilities not subject to netting
72,700
72,700
72,700
Total liabilities
363,326
9,584
353,741
6,843
19,566
26,409
9,316
336,648
1. ABN AMRO has performed a detailed review on its classification of items in securities financing line. This resulted in an improvement of the identification of non-cash
collateral. For 2023, this resulted in the balance of financial instruments collateral, which is not offset in the statement of financial position, to increase by EUR 9.5 billion to
EUR 19.6 billion. It was adjusted for comparative purposes.
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.
34\u00a0 Transferred, pledged, encumbered and restricted assets
Accounting policy for transferred, pledged and encumbered assets
Transferred 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\u00a0obligation 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 the latter is
based on the legal terms such as title transfer while the former is based on economic principles.
Securities financing
Securities financing transactions are entered into on a collateralised basis to mitigate the bank\u2019s credit risk exposure.
In\u00a0repurchase agreements and securities lending transactions, the securities are returned to ABN AMRO at maturity.
The\u00a0counterparty in the transactions holds the securities as collateral, but has no recourse to other assets of ABN AMRO.
Pledged and encumbered assets
Pledged and encumbered assets are no longer readily available to 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\u00a0pledged 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 differences apply to ABN AMRO:
\u2022 Encumbered assets exclude retained mortgage-backed securities, unless these have been pledged or are subject
to\u00a0any 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
\"\"
The following table provides an overview of assets pledged as security and encumbered assets.
(in millions)
31 December 2024
31 December 2023
Assets pledged
Cash and balances at central banks
1
Financial assets held for trading
267
6
Financial investments FVOCI
3,180
3,997
Loans and advances banks
- Interest bearing deposits
669
705
Loans and advances customers\u00b9
- Residential mortgages
82,698
86,403
- Commercial loans
6,632
6,907
Total assets pledged as security
93,445
98,020
Differences between pledged and encumbered assets
Loans and advances customers
-38,568
-36,633
Total differences between pledged and encumbered assets
-38,568
-36,633
Total encumbered assets
54,877
61,387
Total assets
385,047
377,909
Total encumbered assets as percentage of total assets
14.3%
16.2%
1. Excluding mainly mortgage-backed securities.
Off-balance sheet collateral held as security for assets
Mainly as part of professional securities transactions, ABN AMRO obtains securities on terms which permit it
to\u00a0repledge 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 2024
31 December 2023
Fair value of securities received which can be sold or repledged
72,196
81,410
- of which: fair value of securities repledged/sold to others
46,541
51,924
ABN 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 assets
Restricted financial assets consist of assets pledged as collateral against an existing or contingent liability and
encumbered assets. Other restrictions impacting on the bank\u2019s ability to use assets include:
\u2022 assets as a result of collateralising repurchase and borrowing agreements (31 December 2024: EUR 27 billion;
31\u00a0December 2023: EUR 21.5 billion)
\u2022 assets held in certain jurisdictions to comply with local liquidity requirements and that are subject to restrictions
in\u00a0terms of their transferability within the group (31 December 2024: EUR 0.4 billion; 31 December 2023:
EUR\u00a00.7\u00a0billion)
\u2022 ABN AMRO Bank N.V. is in general not subject to any significant restrictions that would prevent the transfer
of\u00a0dividends and capital within the group, except for regulated subsidiaries that are required to maintain capital
in\u00a0order to comply with local regulations (31 December 2024: EUR 0.5 billion; 31 December 2023: EUR 0.6 billion)", "dimensions": { "concept": "ifrs-full:DisclosureOfCollateralExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-19": { "value": "
Market risk management for
the\u00a0trading\u00a0book\u00a0\u00a0
Audited
Positions held with trading intent and hedges for
positions held with trading intent must be included
in\u00a0the bank's 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 as
principal in key financial markets where our clients are
active. Market risk in the trading book is the risk
of\u00a0losses in market value due to adverse market
movements. The following market risks are inherent
in\u00a0the trading book:
\u2022 interest rate risk, arising from adverse changes
in\u00a0interest rate risk curves and/or interest rate
volatilities
\u2022 credit spread risk, arising from adverse changes
in\u00a0the\u00a0term 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\u00a0client-focused business strategy and strict risk focus.
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\u00a0subsidiary committee of the Group Risk Committee.
Market risk measurement for
the\u00a0trading\u00a0book\u00a0\u00a0
Audited
ABN AMRO measures and manages market risk
in\u00a0the\u00a0trading book on a daily basis. The key metrics
used are economic capital, regulatory capital,
Value\u2011at\u2011Risk (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 in the Central Trading Risk policy.
Metrics and models are managed, reviewed, assessed
and, if required, adjusted in a similar way as
in\u00a0the\u00a0banking book. Other important tools to ensure
the adequacy of the models, alongside the formal
validation and review of models, are the daily
explanation of risk reporting figures, periodic portfolio
reviews and regular back-testing.
Validation procedure
For all models, including market risk models, we have
a\u00a0model risk policy in place. This policy requires model
assumptions and limitations to be documented and
independently validated by Model Validation. For material
changes, the regulator performs an on-site investigation
before such a model change is applied in production.
Economic capital
The calculation of economic capital for market risk
in\u00a0the trading book is based on the daily VaR, SVaR and
IRC at a 99.9% confidence level.
Stress testing and scenario analysis
Stress testing and scenario analysis are designed
to\u00a0focus 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\u00a0the 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\u00a0holding period is monitored as a measure
of\u00a0the\u00a0positions\u2019 liquidity.
Internal aggregated diversified and
undiversified VaR for all trading positions
Audited
ABN AMRO applies a diversified portfolio VaR approach
that takes into account the fact that returns across risk
factors may offset one another to a certain extent and
consequently reduce risk. As long as these returns are
not perfectly correlated to one another, VaR figures
based on a diversified portfolio approach will be lower
than if the figures are calculated using undiversified
VaR. Undiversified VaR means that the VaR figures
computed for the different risk factors are aggregated
without taking into account any offset across risk
factors, negating the potential for risk reduction.
The\u00a0following graph shows the total one-day VaR at
a\u00a099% confidence level (\u2018VaR diversified\u2019) and
aggregation of the stand-alone risk factors
(\u2018VaR\u00a0undiversified\u2019).
Internal aggregated diversified and undiversified VaR for all trading positions\u00a0\u00a0
Audited
31 December 2024
(in millions)
Foreign
exchange
Interest
rate
Total undiversified
VaR
Diversified
VaR
VaR at last trading day of the period
0.1
5.0
5.2
5.1
Highest VaR
0.4
7.3
7.5
7.3
Lowest VaR
1.3
1.4
1.3
Average VaR
0.1
4.0
4.1
4.0
31 December 2023
VaR at last trading day of the period
0.1
3.0
3.1
3.1
Highest VaR
0.4
8.2
8.3
8.3
Lowest VaR
1.7
1.8
1.7
Average VaR
0.1
3.9
4.0
3.9
Market risk management for
the\u00a0banking\u00a0book\u00a0\u00a0
Audited
ABN AMRO has a detailed risk management framework
in place to identify, measure and control market risk
in\u00a0the banking book. This framework provides assurance
that the banking book activities remain consistent with
the bank\u2019s strategy and strict risk focus. 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\u00a0defence. 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 book
Interest 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
because 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\u00a0predict 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\u00a0manage 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 behaviour
From an interest rate risk perspective, the following
aspects of client behaviour are the most important:
\u2022 client behaviour with respect to early redemption
of\u00a0residential 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\u00a0the\u00a0interest 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\u00a0the\u00a0behavioural 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\u00a0mandated 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 risk
Interest rate risk is measured by net interest income
(NII) at risk, the present value of one basis point (PV01)
and the economic value of equity (EVE) at risk.
To\u00a0ensure a comprehensive approach to risk
management and identify potential weaknesses,
the\u00a0metrics 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 book
Credit spread risk is the risk of losses due to adverse
movements in the credit spread in the balance sheet.
A\u00a0main source is from bonds held for liquidity purposes.
It is measured as the impact on economic value
of\u00a0a\u00a01bp change in spreads to a swap rate.
The\u00a0sensitivity is measured for individual term points, as
well as for a parallel shift of the curve. Additionally, if
funding spreads widen, it costs more to fund assets on
the balance sheet. Unless this increased spread is
passed on to clients by raising client rates, the projected
net interest income will decrease. This risk is measured
using an NII-at-risk approach whereby the funding
spread increases.
Foreign exchange risk
Foreign 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/
Treasury. As a general rule, foreign exchange risk is
hedged by using cross-currency swaps to swap
the\u00a0exposure 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 the euro.
Economic capital
Economic capital for market risk in the banking book is
calculated using a parametric Monte Carlo simulation
model that determines the economic capital needed
to\u00a0absorb losses resulting from adverse movements
in\u00a0interest rates, client behaviour for mortgages and
non-maturing deposits, volatility, credit spreads and
foreign exchange rates.
", "dimensions": { "concept": "ifrs-full:DisclosureOfMarketRiskExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-20": { "value": "
Risk management approach\u00a0\u00a0
Audited
The natural maturity mismatch between our loan book
and funding portfolio requires liquidity risk management.
As we consider maturity transformation to be an integral
part of the business model, we closely monitor our
liquidity position and the resulting risks. We hold a
portfolio of highly liquid assets that can swiftly be
converted into cash in the event of unforeseen market
disruptions, thus allowing us to meet payment and
collateral obligations at all times. Funding and liquidity
risk are 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 management
The 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 various stress scenarios, based on historic stress
events. Market-wide and bank-specific stress
scenarios are defined and analysed. The goal of stress
testing is twofold. Firstly, it helps us to review our risk
management framework, i.e. the liquidity buffer size,
risk appetite and risk limits. Secondly, it allows us
to\u00a0identify ways to reduce outflows in times of crisis.
\u2022 Liquidity Coverage Ratio (LCR): The objective
of\u00a0the\u00a0LCR is to assess the short-term resilience
of\u00a0the\u00a0liquidity position by ensuring sufficient
high\u2011quality 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\u00a0this 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\u2011term
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 management
Contingency risk management aims to ensure that,
in\u00a0the event of a bank-specific or general market stress
event, the bank is able to generate sufficient liquidity
to\u00a0withstand a short- or long-term liquidity crisis.
Contingency risk management entails:
\u2022 Contingency Funding Plan: This plan sets out
the\u00a0guidelines 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 aims to manage the liquidity position
without unnecessarily jeopardising commercial
activities, while limiting excessive funding costs
in\u00a0severe market circumstances.
\u2022 Collateral posting in the event of a rating
downgrade: Credit rating downgrades may result in
increased collateral requirements. We monitor these
potential additional collateral postings in our liquidity
risk management framework. Our collateral capabilities
are set out in our collateral management framework.
\u2022 Collateral posting to guarantee access to critical
Financial Market Infrastructures (FMI): Access
to\u00a0critical FMI is essential for conducting our business
and collateral requirements may increase in times
of\u00a0stress. 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\u00a0substantial 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 composition\u00a0\u00a0
Audited
31 December 2024
31 December 2023
Liquidity
buffer
LCR
eligible
Liquidity
buffer
LCR
eligible
(in billions, liquidity value)
Level 1
Level 2
Level 1
Level 2
Cash & central bank deposits\u00b9
42.3
42.3
51.4
51.4
Government bonds
35.9
34.4
2.1
26.9
27.0
0.5
Supra national & Agency bonds
10.5
10.8
10.1
10.5
Covered bonds
5.9
5.6
5.0
4.6
0.1
Retained covered bonds
17.4
16.1
Other
0.3
0.2
0.2
0.2
Total liquidity buffer
112.2
93.1
2.3
109.7
93.5
0.8
- of which ESG bonds\u00b2
5.1
4.9
4.4
4.5
1. The mandatory cash reserve with the central bank has been deducted from the cash and central bank deposits in the liquidity buffer.
2. ESG bonds are bonds whose proceeds are invested in line with the International Capital Market Association Green Bond Principles, the Social Bond Principles or a
combination of the two. Inclusion of such bonds in our ESG portfolio is subject to the availability of ESG reporting, a thorough project selection process and sound
management of proceeds. To preserve the portfolios\u2019 high quality and liquidity, these bonds must also meet the high quality liquid assets criteria of the European Banking
Authority.
The liquidity buffer increased to EUR 112.2 billion
at\u00a031\u00a0December 2024 (31 December 2023:
EUR\u00a0109.7\u00a0billion) and consisted 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\u00a0
liquidity buffer and the LCR eligible buffer as
the\u00a0internal assessment of the liquidity buffer may
deviate from the LCR definition.
ESG bond holdings increased by 16% in 2024 and
amounted to EUR 5.1 billion in liquidity value at
year\u2011end (31 December 2023: EUR 4.4 billion),
reflecting 7% of total bonds in the liquidity buffer.
Liquidity buffer - currency diversification\u00a0\u00a0
Audited
31 December 2024
31 December 2023
Liquidity value
(in billions)
Percentage
of total
Liquidity value
(in billions)
Percentage
of total
EUR
98.3
87.6%
99.5
90.7%
USD
9.9
8.8%
8.0
7.3%
JPY
2.4
2.2%
0.6
0.5%
GBP
0.2
0.2%
0.2
0.2%
SGD
1.4
1.2%
1.4
1.3%
Total
112.2
100.0%
109.7
100.0%
The above table shows the breakdown per currency
in\u00a0the liquidity buffer. The currency composition reflects
the composition of the balance sheet, which mainly
consists of EUR and USD exposures. The monthly
averages of the liquidity buffer are shown
in\u00a0the\u00a0following table.
Liquidity buffer composition - monthly average\u00a0\u00a0
Audited
(in billions, liquidity value)
2024
2023
Cash & central bank deposits\u00b9
39.0
60.2
Government bonds
31.4
23.3
Supra national & Agency bonds
9.4
8.1
Covered bonds
5.7
3.9
Retained covered bonds
17.6
11.1
Other
2.2
0.8
Total
105.3
107.6
1. 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 breakdown\u00a0\u00a0
Audited
Client deposits are our main source of funding,
complemented by a well-diversified book of wholesale
funding. The following table shows the liability and
equity breakdown for the full balance sheet.
Liability and equity breakdown\u00a0\u00a0
Audited
(in billions)
31 December 2024
31 December 2023
Due to Customers
256.2
254.5
Issued debt & Subordinated liabilities
81.2
71.8
Due to banks
2.3
5.4
Securities financing
10.4
11.7
Equity
26.1
24.2
Other
8.9
10.4
Total
385.0
377.9
Breakdown of client deposits\u00a0\u00a0
Audited
(in billions)
\"17042430254418\"
Available funding instruments\u00a0\u00a0
Audited
A 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\u00a0following table shows a breakdown of total
funding\u00a0instruments.
Overview of funding instruments\u00a0\u00a0
Audited
(in millions)
31 December 2024
31 December 2023
Commercial Paper/Certificates of Deposit
17,922
13,741
Covered bonds
23,921
23,853
Secured funding (long-term)
23,921
23,853
Senior preferred
13,373
12,726
- of which ESG bonds\u00b9
3,947
2,832
Senior non-preferred
19,327
15,907
- of which ESG bonds\u00b9
6,620
6,481
Unsecured funding (long-term)
32,700
28,633
Total issued debt
74,542
66,227
Subordinated liabilities
6,613
5,572
Wholesale funding
81,155
71,800
Other long-term funding 2, 3
723
3,546
Total funding instruments 4
81,879
75,346
- of which matures within one year
29,421
20,481
1. Our Green Bond Framework comprises a set of criteria for the issuance of green bonds, including how we allocate the issue proceeds from green bonds to eligible assets,
and independent assurance on the allocation of proceeds to eligible green assets. Green bonds have been issued since 2015, with a focus on sustainable real estate and
renewable energy, and enable investors to invest in, for example, energy efficiency through residential mortgages.
2. Includes funding obtained apart from our long-term programmes and consists mainly of unsecured funding.
3. Funding with the European Union as counterparty (recorded in due to banks) has been included in other long-term funding. Comparative figures have been adjusted
accordingly.
4. Includes FX effects, fair value adjustments and interest movements.
Total funding instruments increased to EUR 81.9 billion
at 31 December 2024 (31 December 2023:
EUR\u00a075.3\u00a0billion). This was mainly driven by the increase
in commercial paper/certificates of deposit to absorb
regular short-term volatility in the balance sheet,
the\u00a0increase in senior non-preferred funding in order
to\u00a0meet MREL requirements and the increase
in\u00a0subordinated liabilities in order to meet Own Funds
requirements. The increase in total funding instruments
was partly offset by the repayment of EUR 3.0 billion
of\u00a0TLTRO III. Total ESG bonds outstanding increased by
14% in 2024 to EUR 10.6 billion at year-end
(31\u00a0December 2023: EUR 9.3 billion), which is 32%
of\u00a0total unsecured long term funding and 14% of total
issued debt.
Funding issuance in 2024\u00a0
Audited
Total long-term funding raised in 2024 amounted
to\u00a0EUR 7.5 billion. This included EUR 1.3 billion
in\u00a0covered bonds, EUR 2.3 billion in senior preferred
funding, EUR 2.9 billion in senior non-preferred funding,
EUR 0.8 billion in subordinated liabilities and
EUR\u00a00.3\u00a0billion in other funding. In addition,
EUR\u00a01.5\u00a0billion additional tier 1 (AT1) capital
instruments were raised in 2024. These AT1 capital
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\u00a02024\u00a0and\u00a02023\u00a0\u00a0
Audited
(notional amounts at issuance, in billions)
\"17042430255097\"
Long-term wholesale funding in non-euro currencies
increased to 21.3% of total outstanding long-term
wholesale funding, compared with 17.7% at
31\u00a0December 2023. In 2024, the bank raised its
long\u2011term wholesale funding in euros and dollars.
The\u00a0diversification 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 funding\u00a0\u00a0
Audited
(in billions)
\"17042430255469\"
Maturity calendar\u00a0\u00a0
Audited
31 December 2024
(notional amounts, in billions)
2025
2026
2027
2028
2029
2030
2031
2032
2033
2034
\u2265 2035
Total
Covered bonds
0.6
1.6
1.9
0.6
0.4
1.9
3.1
2.3
2.3
0.9
10.8
26.4
Senior preferred
6.5
3.6
1.5
0.3
0.3
0.1
0.9
0.1
13.3
Senior non-preferred
2.0
2.4
3.2
4.2
1.0
1.3
1.8
1.0
2.8
0.1
19.6
Subordinated liabilities
1.4
1.0
1.5
0.8
2.0
6.7
Other long-term funding\u00b9
0.3
0.2
0.3
0.7
Total long-term funding
10.4
8.9
8.3
5.9
1.7
3.5
6.0
4.0
3.3
3.7
10.9
66.7
31 December 2023
2024
2025
2026
2027
2028
2029
2030
2031
2032
2033
\u2265 2034
Total
Total 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
65.2
1. Includes funding obtained apart from our long-term programmes and consists mainly of unsecured funding.
We target a maturity profile where redemptions
of\u00a0funding instruments are well spread over time.
The\u00a0average remaining maturity of outstanding
long\u2011term funding decreased to 5.4 years at year-end
2024 (5.8 years at year-end 2023). The average
remaining maturity of newly issued wholesale funding
increased to 4.8 years at year-end 2024 (up from 3.3
years at year\u2011end 2023). The maturity calendar assumes
redemption on the earliest possible call date or
the\u00a0legal maturity date, which does not mean that
the\u00a0instruments will be called at the earliest possible
call date. Early redemption of subordinated liabilities is
subject to approval by the regulator.
Maturity overview of assets and liabilities\u00a0\u00a0
Audited
The following tables show financial assets and liabilities
arranged by the earliest possible contractual maturity.
Contractual maturity of assets and liabilities\u00a0\u00a0
Audited
31 December 2024
(in millions)
On
demand
Trading
deriva-
tives
Up to
one
month
Between
one and
three
months
Between
three
and six
months
Between
six and
twelve
months
Between
one
and two
years
Between
two
and five
years
More
than five
years
No
maturity
Total
Assets:
Cash and balances at
central banks
44,464
44,464
Financial assets held for trading
85
30
169
176
319
202
663
860
2,503
Derivatives
3,892
27
2
3
2
102
318
4,347
Financial investments
932
2,246
1,115
2,613
3,125
4,959
13,334
17,873
977
47,173
Securities financing
1,584
20,935
3,043
922
505
26,989
Loans and advances banks
788
783
12
3
52
34
225
152
2,049
Loans and advances customers
17,757
7,454
4,497
3,976
7,399
12,562
36,445
158,692
248,782
Other assets
2,513
3,115
906
1,423
23
277
190
292
8,739
Total assets
68,123
3,892
34,590
9,742
9,115
11,426
18,036
50,959
178,188
977
385,047
Liabilities:
Financial liabilities held for trading
85
159
9
64
60
263
523
1,163
Derivatives
2,119
54
3
4
18
36
37
228
2,499
Securities financing
101
9,649
601
10,352
Due to banks
1,128
632
377
78
6
5
2
102
2,329
Due to customers
194,039
38,379
7,202
4,515
3,013
1,091
1,453
6,493
256,186
Issued debt
6,471
7,608
10,988
1,910
7,638
13,449
26,478
74,542
- of which senior secured
51
38
485
1,589
2,988
18,770
23,921
- of which senior unsecured
1,862
5,218
1,401
6,050
10,462
7,707
32,700
- of which other
4,608
7,557
5,732
24
17,922
Subordinated liabilities
4
1,452
935
2,374
1,848
6,613
Other liabilities
3,255
829
494
543
21
102
6
5
5,254
Total liabilities
198,523
2,119
56,103
16,444
16,136
6,484
9,867
17,584
35,677
358,939
Total equity
26,108
26,108
Total liabilities and equity
198,523
2,119
56,103
16,444
16,136
6,484
9,867
17,584
35,677
26,108
385,047
Off-balance sheet liabilities
Committed credit facilities
52,617
52,617
Guarantees and
other commitments
6,638
6,638
Total off-balance sheet
liabilities
59,255
59,255
31 December 2023
(in millions)
On
demand
Trading
deriva-
tives
Up to
one
month
Between
one and
three
months
Between
three
and six
months
Between
six and
twelve
months
Between
one
and two
years
Between
two
and five
years
More
than five
years
No
maturity
Total
Assets:
Cash and balances at
central banks
53,656
53,656
Financial assets held for trading
13
18
57
35
72
178
495
504
1,371
Derivatives
4,038
15
7
1
17
6
62
259
4,403
Financial investments
814
1,188
1,865
2,549
2,104
4,707
12,115
15,320
838
41,501
Securities financing
1,098
18,141
1,265
996
2
21,503
Loans and advances banks
814
561
26
223
22
22
182
473
2,324
Loans and advances customers
8,498
9,836
4,986
3,321
7,834
13,814
34,399
163,246
245,935
Other assets
3,001
2,647
724
63
146
14
534
89
7,218
Total assets
67,895
4,038
32,404
8,931
7,188
10,197
18,741
47,787
179,891
838
377,909
Liabilities:
Financial liabilities held for trading
3
79
22
95
25
89
233
370
917
Derivatives
2,422
39
7
6
2
24
82
274
2,856
Securities financing
301
10,653
753
2
11,710
Due to banks
870
806
180
3,159
45
76
53
163
5,352
Due to customers
203,764
25,275
7,022
5,638
4,382
595
1,665
6,124
254,466
Issued 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 unsecured
1,557
121
31
116
8,294
12,479
5,993
28,590
- of which other
16
4,081
6,761
2,106
732
67
22
13,784
Subordinated liabilities
1,342
3,210
1,020
5,572
Other liabilities
1,987
3,593
426
64
24
538
5
6
6,641
Total liabilities
206,942
2,422
47,614
15,407
11,129
5,493
11,523
20,595
32,617
353,741
Total equity
24,168
24,168
Total liabilities and equity
206,942
2,422
47,614
15,407
11,129
5,493
11,523
20,595
32,617
24,168
377,909
Off-balance sheet liabilities
Committed credit facilities
53,968
53,968
Guarantees and
other commitments
6,289
6,289
Total off-balance sheet
liabilities
60,257
60,257
Maturity based on contractual undiscounted
cash flows\u00a0\u00a0
Audited
The following tables show financial assets and liabilities
arranged by their earliest possible contractual maturity.
31 December 2024
(in millions)
On
demand
Trading
deriva-
tives
Up to
one
month
Between
one and
three
months
Between
three
and six
months
Between
six and
twelve
months
Between
one
and two
years
Between
two
and five
years
More
than five
years
No
maturity
Total
Assets:
Cash and balances at
central banks
44,464
44,464
Financial assets held for trading
85
32
176
191
343
242
722
912
2,702
Derivatives
3,892
96
260
649
1,223
2,300
4,393
4,332
17,146
Financial investments
932
2,286
1,265
2,969
3,738
5,952
14,812
19,203
977
52,134
Securities financing
1,584
20,981
3,070
940
509
27,083
Loans and advances banks
788
815
61
123
259
387
637
491
3,561
Loans and advances customers
17,757
7,824
5,926
7,462
13,783
23,881
58,666
180,604
315,901
Other assets
2,513
3,118
910
1,429
29
284
201
302
8,786
Total undiscounted assets
68,123
3,892
35,152
11,667
13,762
19,884
33,046
79,431
205,844
977
471,778
- of which:
Gross settled derivatives
not held for trading:
Contractual amounts receivable
255
253
149
114
175
355
117
1,418
Contractual amounts payable
140
157
81
73
140
254
76
921
Total undiscounted gross
settled derivatives not held
for trading
115
96
68
41
36
101
41
497
Net settled derivatives not held
for trading
183
128
243
495
1,076
1,636
3,761
Liabilities:
Financial liabilities held for
trading
86
162
16
77
83
301
559
1,285
Derivatives
2,119
138
292
716
1,304
2,171
4,398
4,601
15,739
Securities financing
101
9,670
605
10,376
Due to banks
1,128
635
381
81
11
13
22
122
2,394
Due to customers
194,039
38,431
7,277
4,637
3,169
1,336
1,933
6,967
257,788
Issued debt
6,568
7,954
11,705
3,100
9,534
16,595
29,415
84,870
Subordinated liabilities
18
56
139
1,670
1,260
2,769
2,178
8,090
Other liabilities
3,255
826
486
535
17
101
5
4
5,228
Total liabilities
198,523
2,119
56,371
17,212
17,830
9,349
14,498
26,023
43,846
385,771
- of which:
Gross settled derivatives
not held for trading:
Contractual amounts receivable
109
27
52
52
29
12
19
300
Contractual amounts payable
71
36
32
58
29
10
12
248
Total undiscounted gross
settled derivatives not held
for trading
-38
9
-20
6
-2
-7
-51
Net settled derivatives not held
for trading
180
-153
20
98
39
379
961
1,525
Net liquidity gap
-130,400
1,773
-21,219
-5,545
-4,068
10,535
18,548
53,408
161,998
977
86,007
Off-balance sheet liabilities
Committed credit facilities
52,617
52,617
Guarantees and
other commitments
6,638
6,638
Total off-balance sheet
liabilities
59,255
59,255
31 December 2023
(in millions)
On
demand
Trading
deriva-
tives
Up to
one
month
Between
one and
three
months
Between
three
and six
months
Between
six and
twelve
months
Between
one
and two
years
Between
two
and five
years
More
than five
years
No
maturity
Total
Assets:
Cash and balances at
central banks
53,656
53,656
Financial assets held for trading
13
19
60
42
85
198
522
528
1,468
Derivatives
4,038
53
155
366
683
1,235
2,476
2,524
11,531
Financial investments
814
1,216
1,973
2,799
2,541
5,410
13,141
16,239
838
44,970
Securities financing
1,098
18,179
1,280
1,006
2
21,565
Loans and advances banks
814
604
136
459
398
711
1,415
1,658
6,195
Loans and advances customers
8,498
10,196
6,362
6,679
13,988
24,670
55,972
184,582
310,948
Other assets
3,001
2,647
725
65
149
19
537
90
7,234
Total undiscounted assets
67,895
4,038
32,915
10,692
11,417
17,845
32,243
74,063
205,622
838
457,567
- of which:
Gross settled derivatives
not held for trading:
Contractual amounts receivable
273
100
108
117
211
457
160
1,426
Contractual amounts payable
269
94
131
104
191
383
119
1,289
Total undiscounted gross
settled derivatives not held
for trading
5
6
-23
13
20
75
41
137
Net settled derivatives not held
for trading
160
355
89
282
746
1,554
2,481
5,667
Liabilities:
Financial liabilities held for
trading
3
80
23
98
29
96
243
379
951
Derivatives
2,422
101
234
563
1,047
1,883
3,571
3,682
13,503
Securities financing
301
10,676
758
2
11,737
Due to banks
870
814
205
3,192
55
90
78
188
5,491
Due to customers
203,764
25,308
7,083
5,740
4,497
779
2,016
6,468
255,657
Issued debt
16
7,249
7,273
2,781
2,137
10,615
18,099
27,187
75,356
Subordinated liabilities
12
49
123
233
1,683
3,496
1,211
6,808
Other liabilities
1,987
3,583
417
51
2
535
4
4
6,583
Total 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
618
Contractual amounts payable
150
102
47
30
24
14
15
383
Total undiscounted gross
settled derivatives not held
for trading
-147
-56
-23
-6
3
1
-8
-235
Net settled derivatives not held
for trading
418
-42
121
266
117
211
1,075
2,167
Net liquidity gap
-139,047
1,616
-14,907
-5,352
-1,130
9,843
16,562
46,557
166,503
838
81,482
Off-balance sheet liabilities
Committed credit facilities
53,968
53,968
Guarantees and
other commitments
6,289
6,289
Total off-balance sheet
liabilities
60,257
60,257
Expected maturity based on behavioural
models\u00a0\u00a0
Audited
The following table provides an overview
of\u00a0the\u00a0amounts expected to be settled within twelve
months and after twelve months, based on
the\u00a0behavioural maturity profile.
31 December 2024
31 December 2023
(in millions)
Up to
one year
More than
one year
Total
Up to
one year
More than
one year
Total
Assets
Cash and balances at central banks
44,464
44,464
53,656
53,656
Financial assets held for trading
2,503
2,503
1,371
1,371
Derivatives
3,891
455
4,347
4,038
365
4,403
Financial investments
9,971
37,202
47,173
8,440
33,061
41,501
Securities financing
26,589
400
26,989
20,830
673
21,503
Loans and advances banks
1,510
540
2,049
1,494
829
2,324
Residential mortgages
14,735
136,655
151,390
10,591
134,284
144,875
Consumer loans at amortised cost
2,427
5,018
7,445
2,261
5,972
8,233
Consumer loans at fair value through P&L
196
404
600
178
470
648
Corporate loans at amortised cost
36,022
46,808
82,829
33,731
51,895
85,626
Corporate loans at fair value through P&L
13
17
30
23
36
59
Other loans and advances customers
6,124
363
6,487
5,975
519
6,494
Equity-accounted investments
244
244
333
333
Property and equipment
801
267
1,068
713
264
978
Goodwill and other intangible assets
253
253
99
99
Assets held for sale
1,330
1,330
130
130
Tax assets
326
326
327
327
Other assets
4,911
607
5,518
4,848
503
5,351
Total assets
156,067
228,980
385,047
148,706
229,203
377,909
Liabilities
Financial liabilities held for trading
1,163
1,163
917
917
Derivatives
2,125
374
2,499
2,422
434
2,856
Securities financing
10,256
96
10,352
11,448
262
11,710
Due to banks
2,162
167
2,329
5,008
344
5,352
Current accounts
29,264
63,482
92,746
21,862
78,086
99,948
Demand deposits
12,547
95,462
108,008
5,846
95,097
100,943
Time deposits
46,633
6,900
53,533
45,068
6,660
51,728
Other due to customers
149
1,750
1,899
72
1,775
1,846
Issued debt
26,214
48,328
74,542
17,517
48,711
66,227
Subordinated liabilities
1,446
5,167
6,613
5,572
5,572
Provisions
605
7
612
734
7
742
Tax liabilities
395
395
159
159
Other liabilities
4,239
7
4,247
5,726
15
5,741
Total liabilities
137,199
221,740
358,939
116,779
236,962
353,741
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\u00a0models are based on historically observed client
behaviour and use a combination of internal and
external risk drivers. The models are used for
monitoring the bank\u2019s liquidity mismatch position.
The liquidity risk models are included in the bank\u2019s
model risk management framework. This means that
the models have to follow a regular monitoring and
validation schedule. Approval of the models is given by
the Methodology Acceptance Group (MAG) ALM/T,
based on independent advice from Model Validation.
", "dimensions": { "concept": "ifrs-full:DisclosureOfLiquidityRiskExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-22": { "value": "
Capital instruments\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
ISIN/CUSIP
Maturity date
First possible
call date
Nominal
amount
Carrying
amount
Nominal
amount
Carrying
amount
Tier 1\u00b9
EUR 1,000 million 4.375% per annum
XS2131567138
Perpetual
September 2025
1,000
988
1,000
993
EUR 1,000 million 4.75% per annum
XS1693822634
Perpetual
September 2027
1,000
994
1,000
994
EUR 750 million 6,875% per annum
XS2774944008
Perpetual
September 2031
750
746
EUR 750 million 6,375% per annum
XS2893176862
Perpetual
September 2034
750
746
Total Tier 1 capital instruments
3,500
3,475
2,000
1,987
Tier 2
USD 1,500 million 4.75% per annum
US00080QAF28 /
XS1264600310
July 2025
1,440
1,452
1,357
1,338
USD 1,000 million 4.8% per annum
US0008DAL47 /
XS1392917784
April 2026
960
935
905
860
USD 300 million 5.6% per annum
XS1385037558
April 2031
288
256
271
245
SGD 750 million 5.5% per annum
XS2498035455
October 2032
July 2027
529
537
514
522
EUR 1,000 million 5.125% per annum
XS2558022591
February 2033
November 2027
1,000
1,056
1,000
1,049
USD 1,000 million 3.324% per annum
US00084DAV29 /
XS2415308761
March 2037
December 2031
960
807
905
774
EUR 750 million 5.5% per annum
XS2637967139
September 2033
June 2028
750
782
750
779
EUR 750 million 4.375% per annum
XS2859413341
July 2036
July 2031
750
785
EUR various smaller instruments
2023 - 2025
3
4
4
4
Total Tier 2 capital instruments
6,681
6,613
5,706
5,572
- of which eligible for regulatory
capital:
Basel III, Tier 1 (fully-loaded)
3,500
2,000
Basel III, Tier 2 (fully-loaded)
4,646
4,279
1. 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 2024 totals EUR 21.7 billion (31 December 2023: EUR 21.3 billion).
33\u00a0 Equity
Share capital and other components of equity
Ordinary shares
As at 31 December 2024, all shares in the capital of ABN AMRO Bank N.V. were held by two foundations: NLFI
and STAK AAB.
Capital securities
Undated, deeply subordinated, resettable, callable capital securities are classified as additional tier 1 (AT1)
capital, under total equity. ABN AMRO Bank has the European Central Bank\u2019s permission to carry out limited
repurchases from investors and to sell back in the market.
(in millions)
31 December 2024
31 December 2023
Share capital
833
866
Share premium
11,849
12,192
Accumulated other comprehensive income
-409
-315
Other reserves (incl. retained earnings/profit for the period)
10,358
9,436
AT1 capital securities
3,475
1,987
Equity attributable to owners of the parent company
26,105
24,165
Equity attributable to non-controlling interests
3
3
Total equity
26,108
24,168
At 31 December 2024, the authorised share capital of ABN AMRO Bank N.V. amounted to 2,400,000,000 shares.
The\u00a0authorised 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\u00a0General Meeting. During the financial year, there were no changes in the authorised share capital. The total
number of issued shares at 31 December 2024 was 833,048,566. In 2024, the final dividend for the year 2023 was
paid out at EUR 0.89 per share for a total of EUR 744 million and the 2024 interim dividend was paid out at EUR 0.60
per share for a total of EUR 500 million. For the year 2024, a final dividend has been proposed of EUR 0.75 per share.
During the first half of 2024, ABN AMRO Bank N.V. purchased treasury shares under the buyback programme for
EUR\u00a0500 million, at an average price of EUR 15.37 per share. These treasury shares were cancelled during Q3,
resulting in a reduction in the issued share capital of 32,526,813 shares, with a nominal value of EUR 1.00 each.
The\u00a0amount of the purchase value between EUR 1.00 (the nominal value of the purchased shares) and EUR 11.55
(the\u00a0value of the purchased shares for tax purposes) has been deducted from the share premium reserve. The amount
of the purchase value in excess of EUR 11.55 has been deducted from other reserves.
Securities classified as Additional Tier 1 (AT1) capital are perpetual, junior, resettable securities that are callable and
are considered part of equity. AT1 Capital Security (XS2774944008) with a notional amount of EUR 750 million was
issued on 4\u00a0March 2024 at a fixed rate of 6.875% per annum. The amount raised was EUR 746 million after deduction
of discount. AT1 Capital Security (XS2893176862) with a notional amount of EUR 750 million was issued on
9\u00a0September 2024 at a fixed rate of 6.375% per annum. The amount raised was EUR 746 million after deduction
of\u00a0discount. Payment of interest on the AT1 Capital securities had an impact of EUR 120 million on equity.
The following table shows the equity of the ABN AMRO Bank N.V. and the outstanding and issued share capital.
31 December 2024
31 December 2023
Class A ordinary
shares
Class B ordinary
shares
Class A ordinary
shares
Class B ordinary
shares
Number of shares
Authorised share capital
2,200,000,000
200,000,000
2,200,000,000
200,000,000
Unissued share capital
1,366,951,434
200,000,000
1,334,424,621
200,000,000
Issued share capital
833,048,566
865,575,379
Amount of shares (in EUR)
Authorised share capital
2,200,000,000
200,000,000
2,200,000,000
200,000,000
Unissued share capital
1,366,951,434
200,000,000
1,334,424,621
200,000,000
Issued share capital
833,048,566
865,575,379
Par value
1.00
1.00
1.00
1.00
", "dimensions": { "concept": "ifrs-full:DisclosureOfIssuedCapitalExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-21": { "value": "
Capital instruments\u00a0\u00a0
Audited
31 December 2024
31 December 2023
(in millions)
ISIN/CUSIP
Maturity date
First possible
call date
Nominal
amount
Carrying
amount
Nominal
amount
Carrying
amount
Tier 1\u00b9
EUR 1,000 million 4.375% per annum
XS2131567138
Perpetual
September 2025
1,000
988
1,000
993
EUR 1,000 million 4.75% per annum
XS1693822634
Perpetual
September 2027
1,000
994
1,000
994
EUR 750 million 6,875% per annum
XS2774944008
Perpetual
September 2031
750
746
EUR 750 million 6,375% per annum
XS2893176862
Perpetual
September 2034
750
746
Total Tier 1 capital instruments
3,500
3,475
2,000
1,987
Tier 2
USD 1,500 million 4.75% per annum
US00080QAF28 /
XS1264600310
July 2025
1,440
1,452
1,357
1,338
USD 1,000 million 4.8% per annum
US0008DAL47 /
XS1392917784
April 2026
960
935
905
860
USD 300 million 5.6% per annum
XS1385037558
April 2031
288
256
271
245
SGD 750 million 5.5% per annum
XS2498035455
October 2032
July 2027
529
537
514
522
EUR 1,000 million 5.125% per annum
XS2558022591
February 2033
November 2027
1,000
1,056
1,000
1,049
USD 1,000 million 3.324% per annum
US00084DAV29 /
XS2415308761
March 2037
December 2031
960
807
905
774
EUR 750 million 5.5% per annum
XS2637967139
September 2033
June 2028
750
782
750
779
EUR 750 million 4.375% per annum
XS2859413341
July 2036
July 2031
750
785
EUR various smaller instruments
2023 - 2025
3
4
4
4
Total Tier 2 capital instruments
6,681
6,613
5,706
5,572
- of which eligible for regulatory
capital:
Basel III, Tier 1 (fully-loaded)
3,500
2,000
Basel III, Tier 2 (fully-loaded)
4,646
4,279
1. 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 2024 totals EUR 21.7 billion (31 December 2023: EUR 21.3 billion).
33\u00a0 Equity
Share capital and other components of equity
Ordinary shares
As at 31 December 2024, all shares in the capital of ABN AMRO Bank N.V. were held by two foundations: NLFI
and STAK AAB.
Compound financial instruments
Components of compound financial instruments (liability and equity parts) are classified in their respective areas
of the statement of financial position.
Currency translation reserve
The currency translation reserve represents cumulative gains and losses on the translation of our net investment
in foreign operations, net of the effect of hedging.
Fair value reserve
Under IFRS 9, the fair value reserve includes the gains and losses, net of tax, resulting from a change in the fair
value of debt instruments measured at FVOCI. When the instruments are sold or otherwise disposed of,
the\u00a0related cumulative gain or loss recognised in equity is recycled to the income statement.
Cash flow hedging reserve
The cash flow hedging reserve comprises the effective portion of the cumulative net change in the fair value
of\u00a0cash 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 reserve
Under IFRS 9, the changes in fair value attributable to changes in the own credit risk of financial liabilities
designated at FVTPL are presented in other comprehensive income. The cumulative amount of changes in fair
value attributable to credit risk of such liabilities is presented as liability own credit risk reserve in equity.
Other reserves
Other reserves mainly comprise retained earnings and profit for the period.
Dividends
Dividends on ordinary shares classified as equity are recognised as a distribution of equity in the period in which
they are approved by shareholders.
Capital securities
Undated, deeply subordinated, resettable, callable capital securities are classified as additional tier 1 (AT1)
capital, under total equity. ABN AMRO Bank has the European Central Bank\u2019s permission to carry out limited
repurchases from investors and to sell back in the market.
\"\"
(in millions)
31 December 2024
31 December 2023
Share capital
833
866
Share premium
11,849
12,192
Accumulated other comprehensive income
-409
-315
Other reserves (incl. retained earnings/profit for the period)
10,358
9,436
AT1 capital securities
3,475
1,987
Equity attributable to owners of the parent company
26,105
24,165
Equity attributable to non-controlling interests
3
3
Total equity
26,108
24,168
At 31 December 2024, the authorised share capital of ABN AMRO Bank N.V. amounted to 2,400,000,000 shares.
The\u00a0authorised 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\u00a0General Meeting. During the financial year, there were no changes in the authorised share capital. The total
number of issued shares at 31 December 2024 was 833,048,566. In 2024, the final dividend for the year 2023 was
paid out at EUR 0.89 per share for a total of EUR 744 million and the 2024 interim dividend was paid out at EUR 0.60
per share for a total of EUR 500 million. For the year 2024, a final dividend has been proposed of EUR 0.75 per share.
During the first half of 2024, ABN AMRO Bank N.V. purchased treasury shares under the buyback programme for
EUR\u00a0500 million, at an average price of EUR 15.37 per share. These treasury shares were cancelled during Q3,
resulting in a reduction in the issued share capital of 32,526,813 shares, with a nominal value of EUR 1.00 each.
The\u00a0amount of the purchase value between EUR 1.00 (the nominal value of the purchased shares) and EUR 11.55
(the\u00a0value of the purchased shares for tax purposes) has been deducted from the share premium reserve. The amount
of the purchase value in excess of EUR 11.55 has been deducted from other reserves.
Securities classified as Additional Tier 1 (AT1) capital are perpetual, junior, resettable securities that are callable and
are considered part of equity. AT1 Capital Security (XS2774944008) with a notional amount of EUR 750 million was
issued on 4\u00a0March 2024 at a fixed rate of 6.875% per annum. The amount raised was EUR 746 million after deduction
of discount. AT1 Capital Security (XS2893176862) with a notional amount of EUR 750 million was issued on
9\u00a0September 2024 at a fixed rate of 6.375% per annum. The amount raised was EUR 746 million after deduction
of\u00a0discount. Payment of interest on the AT1 Capital securities had an impact of EUR 120 million on equity.
The following table shows the equity of the ABN AMRO Bank N.V. and the outstanding and issued share capital.
31 December 2024
31 December 2023
Class A ordinary
shares
Class B ordinary
shares
Class A ordinary
shares
Class B ordinary
shares
Number of shares
Authorised share capital
2,200,000,000
200,000,000
2,200,000,000
200,000,000
Unissued share capital
1,366,951,434
200,000,000
1,334,424,621
200,000,000
Issued share capital
833,048,566
865,575,379
Amount of shares (in EUR)
Authorised share capital
2,200,000,000
200,000,000
2,200,000,000
200,000,000
Unissued share capital
1,366,951,434
200,000,000
1,334,424,621
200,000,000
Issued share capital
833,048,566
865,575,379
Par value
1.00
1.00
1.00
1.00
\"\"
Accumulated other comprehensive income is specified in the following table.
(in millions)
Remeasurements
on post-retirement
benefit plans
Currency
translation
reserve
Fair value
reserve
Cash flow
hedge
reserve
Accumulated
share of OCI of
associates and
joint ventures
Liability
own
credit risk
reserve
Total
Balance at 1 January 2023
7
81
26
-946
-7
-3
-842
Net gains/(losses) arising during the period
-10
-46
-174
790
10
2
574
Less: Net realised gains/(losses) included
in income statement
-2
-147
-149
Net gains/(losses) in equity
-10
-44
-174
938
10
2
722
Related income tax
-3
-44
242
1
195
Balance at 31 December 2023
37
-104
-250
3
-2
-315
Net gains/(losses) arising during the period
-7
61
-521
129
-3
2
-340
Less: Net realised gains/(losses) included
in income statement
-194
-194
Net gains/(losses) in equity
-7
61
-521
323
-3
2
-145
Related income tax
-1
-134
83
-51
Balance at 31 December 2024
-5
99
-492
-10
-409
Accumulated other comprehensive income decreased by EUR 94 million, mainly driven by the decrease in the fair
value reserve. This was attributable to the lower valuation of financial investments. The increase of the cash flow
hedge reserve was a result of changes in market value of active swaps and amortisations of discontinued swaps.
", "dimensions": { "concept": "ifrs-full:DisclosureOfShareCapitalReservesAndOtherEquityInterestExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-24": { "value": "
Movements in subordinated liabilities\u00a0\u00a0
Audited
2024
2023
(in millions)
Carrying amount
Carrying amount
Balance as at 1 January
5,572
7,290
Cash flows
Issuance
767
776
Redemption
-21
-2,504
Non-cash changes
Foreign exchange differences
214
-143
Fair value changes hedge accounting
60
143
Other
20
10
Balance as at 31 December
6,613
5,572
29\u00a0 Issued debt and subordinated liabilities
Accounting policy for issued debt and subordinated liabilities
Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate
method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be
measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce
an\u00a0accounting mismatch, are managed on the basis of their fair value or include terms that qualify as
an\u00a0embedded 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\u00a0substance 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\u00a0credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt
measured at fair value through profit or loss is valued at market prices.
Fair value changes are calculated based on a yield curve generated from observed external pricing for funding
and quoted CDS spreads
Subordinated liabilities
The following table shows the subordinated liabilities.
(in millions)
31 December 2024
31 December 2023
Subordinated liabilities
6,613
5,572
2024
2023
(in millions)
Carrying amount
Carrying amount
Balance as at 1 January
5,572
7,290
Cash flows
Issuance
767
776
Redemption
-21
-2,504
Non-cash changes
Foreign exchange differences
214
-143
Fair value changes hedge accounting
60
143
Other
20
10
Balance as at 31 December
6,613
5,572
", "dimensions": { "concept": "ifrs-full:DisclosureOfSubordinatedLiabilitiesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-23": { "value": "
Movements in subordinated liabilities\u00a0\u00a0
Audited
2024
2023
(in millions)
Carrying amount
Carrying amount
Balance as at 1 January
5,572
7,290
Cash flows
Issuance
767
776
Redemption
-21
-2,504
Non-cash changes
Foreign exchange differences
214
-143
Fair value changes hedge accounting
60
143
Other
20
10
Balance as at 31 December
6,613
5,572
18\u00a0 Securities financing
Accounting policy for securities financing
Securities financing is measured at amortised cost. Securities financing consists of securities borrowing and
lending and sale and repurchase transactions. Securities borrowing and securities lending transactions are
generally entered into on a collateralised basis, with securities usually advanced or received as collateral.
The\u00a0transfer 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\u00a0banks or customers). The market value of the securities borrowed or lent is monitored on a daily basis, and
the\u00a0collateral 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\u00a0underlying 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 2024
31 December 2023
(in millions)
Banks
Customers
Total
Banks
Customers
Total
Assets
Reverse repurchase agreements
3,890
16,099
19,988
3,536
11,473
15,009
Securities borrowing transactions
2,834
4,167
7,001
3,075
3,419
6,494
Total
6,723
20,266
26,989
6,611
14,892
21,503
Liabilities
Repurchase agreements
769
9,545
10,315
319
10,453
10,772
Securities lending transactions
37
37
185
753
938
Total
807
9,545
10,352
504
11,206
11,710
Securities financing transactions include balances relating to reverse repurchase activities and cash collateral on
securities borrowed. ABN AMRO controls the credit risk associated with these activities by monitoring counterparty
credit exposure and collateral values on a daily basis, and requiring additional collateral to be deposited with
ABN\u00a0AMRO when deemed necessary.
27\u00a0 Due to banks
Accounting policy for due to banks and due to customers
Amounts due to banks and customers are held at amortised cost. That is, at fair value upon initial recognition,
adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate
of\u00a0the instrument.
(in millions)
31 December 2024
31 December 2023
Current accounts
1,522
1,168
Demand deposits
1
1
Time deposits
320
3,731
Cash collateral on securities lent
485
451
Total due to banks
2,329
5,352
On 26 June 2024, ABN AMRO fully repaid the TLTRO III funding in the amount of EUR 3.0 billion. As at
31\u00a0December\u00a02024, there was no outstanding TLTRO III funding.
28\u00a0 Due to customers
Accounting policy for due to customers
The accounting policy for amounts due to customers is set out in Note 27 - Due to banks.
(in millions)
31 December 2024
31 December 2023
Current accounts
92,746
99,948
Demand deposits
108,008
100,943
Time deposits
53,533
51,728
Other
1,899
1,846
Total due to customers
256,186
254,466
29\u00a0 Issued debt and subordinated liabilities
Accounting policy for issued debt and subordinated liabilities
Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate
method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be
measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce
an\u00a0accounting mismatch, are managed on the basis of their fair value or include terms that qualify as
an\u00a0embedded 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\u00a0substance 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\u00a0credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt
measured at fair value through profit or loss is valued at market prices.
Fair value changes are calculated based on a yield curve generated from observed external pricing for funding
and quoted CDS spreads
The following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding.
Movements in these debt instruments involve a continual process of redemption and issuance of long-term and
short\u2011term funding.
Issued debt
(in millions)
31 December 2024
31 December 2023
Bonds and notes issued
56,416
52,264
Certificates of deposit and commercial paper
17,922
13,741
Total at amortised cost
74,337
66,005
Designated at fair value through profit or loss
205
222
Total issued debt
74,542
66,227
- of which matures within one year
24,999
17,408
2024
2023
(in millions)
Carrying amount
Carrying amount
Balance as at 1 January
66,227
56,259
Cash flows
Issuance
42,885
49,985
Redemption
-36,980
-43,196
Non-cash changes
Foreign exchange differences
909
-96
Fair value changes own credit risk
-2
-2
Fair value changes hedge accounting
902
2,514
Other
601
762
Balance as at 31 December
74,542
66,227
\"\"
The amounts of debt issued and redeemed during the period are shown in the Consolidated statement of cash flows.
Non-cash changes consist mainly of unrealised gains and losses and foreign exchange differences. Further details
of\u00a0the funding programmes are provided in the Funding section of the Risk, funding & capital chapter.
Financial liabilities designated at fair value through profit or loss
(in millions)
31 December 2024
31 December 2023
Cumulative change in fair value of the structured notes attributable to changes in credit risk
1
2
Change during the year in fair value of the structured notes attributable to changes in credit risk
-2
-2
Difference between amount contractually required to pay at maturity and the carrying amount
6
10
The change in fair value of the structured notes attributable to changes in credit risk is determined using the credit
spread implicit in the fair value of similar bonds traded in active markets and issued by ABN AMRO.
Subordinated liabilities
The following table shows the subordinated liabilities.
(in millions)
31 December 2024
31 December 2023
Subordinated liabilities
6,613
5,572
2024
2023
(in millions)
Carrying amount
Carrying amount
Balance as at 1 January
5,572
7,290
Cash flows
Issuance
767
776
Redemption
-21
-2,504
Non-cash changes
Foreign exchange differences
214
-143
Fair value changes hedge accounting
60
143
Other
20
10
Balance as at 31 December
6,613
5,572
32\u00a0 Other liabilities
(in millions)
31 December 2024
31 December 2023
Accrued other expenses
1,010
960
Lease liabilities
382
426
Unsettled securities transactions
799
2,485
Sundry liabilities and other payables
2,056
1,870
Total other liabilities
4,247
5,741
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"scheme:BFXS5XCH7N0Y05NIXW11", "period": "2023-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-383": { "value": "19000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:EffectOfExchangeRateChangesOnCashAndCashEquivalents", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-384": { "value": "-22000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:EffectOfExchangeRateChangesOnCashAndCashEquivalents", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-385": { "value": "45629000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndCashEquivalentsIfDifferentFromStatementOfFinancialPosition", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2025-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-386": { "value": "55054000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndCashEquivalentsIfDifferentFromStatementOfFinancialPosition", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-387": { "value": "10419000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:InterestPaidClassifiedAsOperatingActivities", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-388": { "value": "9812000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:InterestPaidClassifiedAsOperatingActivities", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-389": { "value": "17016000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:InterestReceivedClassifiedAsOperatingActivities", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-390": { "value": "16183000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:InterestReceivedClassifiedAsOperatingActivities", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-391": { "value": "9000000.0", "decimals": -6, "dimensions": { "concept": "abn:DividendsReceivedOtherThanFromAssociatesClassifiedAsOperatingActivities", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-392": { "value": "13000000.0", "decimals": -6, "dimensions": { "concept": "abn:DividendsReceivedOtherThanFromAssociatesClassifiedAsOperatingActivities", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2023-01-01T00:00:00/2024-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-393": { "value": "44464000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndBankBalancesAtCentralBanks", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2025-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-394": { "value": "53656000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndBankBalancesAtCentralBanks", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-395": { "value": "1165000000.0", "decimals": -6, "dimensions": { "concept": "abn:LoansAndAdvancesToBanksMaturityNotLaterThanThreeMonths", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2025-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-396": { "value": "1398000000.0", "decimals": -6, "dimensions": { "concept": "abn:LoansAndAdvancesToBanksMaturityNotLaterThanThreeMonths", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-397": { "value": "45629000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndCashEquivalentsIfDifferentFromStatementOfFinancialPosition", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2025-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-398": { "value": "55054000000.0", "decimals": -6, "dimensions": { "concept": "ifrs-full:CashAndCashEquivalentsIfDifferentFromStatementOfFinancialPosition", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00", "unit": "iso4217:EUR" } }, "f-411": { "value": "
1\u00a0 \u00a0 Accounting policies
Corporate information
ABN AMRO Bank N.V. (referred to as ABN AMRO Bank, ABN AMRO, the bank or the parent company) and its consolidated
entities provide financial services in the Netherlands and abroad (together referred to as the group). ABN\u00a0AMRO Bank is
a\u00a0public 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\u00a0December 2024, all shares in the capital of ABN AMRO Bank N.V. were held by two foundations: NLFI and
STAK\u00a0AAB. NLFI was holding 38.5% in ABN AMRO Bank N.V., of which 38.0% were held directly via ordinary shares
and 0.5% were held indirectly via depositary receipts for shares in ABN AMRO Bank N.V. STAK AAB was holding 62.0%
of the shares in the issued capital of ABN AMRO Bank N.V. Both foundations have issued depositary receipts for shares
in ABN\u00a0AMRO 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\u00a0December 2024 incorporate
financial information of ABN AMRO Bank N.V., as well as that of the bank's controlled entities, interests in associates
and joint ventures. The Annual Financial Statements were prepared by the Executive Board and authorised for issue by
the Supervisory Board and Executive Board on 11 March 2025.
Basis of preparation
The 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\u00a0associates 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\u00a0a\u00a0'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\u00a0the 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": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-410": { "value": "
1\u00a0 \u00a0 Accounting policies
Material accounting policies
Basis of consolidation
The Consolidated Annual Financial Statements of ABN AMRO Bank N.V. include the financial statements of the parent
company and the entities it controls, thus incorporating the assets, liabilities, revenues and expenses
of\u00a0ABN\u00a0AMRO\u00a0Bank N.V. and its subsidiaries. Non-controlling interests (held by third parties) in the equity and results
of\u00a0group 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.
", "dimensions": { "concept": "ifrs-full:DisclosureOfBasisOfConsolidationExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-409": { "value": "
1\u00a0 \u00a0 Accounting policies
Basis of preparation
The 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\u00a0associates 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\u00a0a\u00a0'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\u00a0the nearest million (unless otherwise stated).
\"\"
The financial statements are prepared on a going concern basis.
", "dimensions": { "concept": "ifrs-full:DisclosureOfBasisOfPreparationOfFinancialStatementsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-408": { "value": "
1\u00a0 \u00a0 Accounting policies
Statement of compliance
The Consolidated Annual Financial Statements have been prepared in accordance with International Financial
Reporting Standards (IFRS), as endorsed by the European Union (EU). They also comply with the financial reporting
requirements set out in Title 9 of Book 2 of the Dutch Civil Code, where applicable.
", "dimensions": { "concept": "ifrs-full:StatementOfIFRSCompliance", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-407": { "value": "
1\u00a0 \u00a0 Accounting policies
Financial assets and liabilities
Statement of cash flows
For the purposes of the statement of cash flows, cash and cash equivalents comprise cash in hand, freely available
balances with central banks and other banks, and net balances on current accounts with other banks with a maturity
of\u00a0less than three months from the date of acquisition. The statement of cash flows, based on the indirect method
of\u00a0calculating 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\u00a0borrowing 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\u00a0 Cash and balances at central banks
Accounting policy for cash and balances at central banks
Cash and balances at central banks are held at amortised cost. This item includes cash on hand and available
demand deposits with central banks in countries in which the bank has a presence. Mandatory reserve deposits
are disclosed in Note 20 - Loans and advances banks.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyToDetermineComponentsOfCashAndCashEquivalents", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-406": { "value": "
1\u00a0 \u00a0 Accounting policies
Financial assets and liabilities
Classification and measurement of financial assets
Reclassifications of financial assets are expected to be very infrequent and occur only when ABN AMRO changes its
business model for a certain portfolio of financial assets.
Classification and measurement of financial liabilities
Financial liabilities are never reclassified after initial recognition.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForReclassificationOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-405": { "value": "
1\u00a0 \u00a0 Accounting policies
Basis of preparation
The financial statements are prepared on a going concern basis.
", "dimensions": { "concept": "ifrs-full:DisclosureOfGoingConcernExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-404": { "value": "
1\u00a0 \u00a0 Accounting policies
Financial assets and liabilities
Government grants
Government grants are recognised in the income statement on a systematic basis over the periods that the related
expenses, which the grants are intended to compensate, are recognised. In the case of an income-related grant,
the\u00a0grant is deducted from the related expense.
27\u00a0 Due to banks
On 26 June 2024, ABN AMRO fully repaid the TLTRO III funding in the amount of EUR 3.0 billion. As at
31\u00a0December\u00a02024, there was no outstanding TLTRO III funding.
", "dimensions": { "concept": "ifrs-full:DisclosureOfGovernmentGrantsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-403": { "value": "
1\u00a0 \u00a0 Accounting policies
Financial assets and liabilities
Statement of cash flows
For the purposes of the statement of cash flows, cash and cash equivalents comprise cash in hand, freely available
balances with central banks and other banks, and net balances on current accounts with other banks with a maturity
of\u00a0less than three months from the date of acquisition. The statement of cash flows, based on the indirect method
of\u00a0calculating 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\u00a0borrowing and repayment of long-term funds are treated as financing activities. Cash flows arising from foreign
currency transactions are translated into euros using the exchange rates at the date of the cash flows.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForCashFlowsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-402": { "value": "
1\u00a0 \u00a0 Accounting policies
Financial assets and liabilities
Recognition and derecognition
Traded instruments are recognised on the trade date, which is defined as the date on which ABN AMRO commits
to\u00a0purchase 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\u00a0contractual 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\u00a0substantial 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\u00a0the\u00a0income 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\u00a0exchange 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\u00a0extinguishment 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\u00a0 \u00a0 Net gains/(losses) on derecognition of financial assets measured at amortised cost
Accounting policy derecognition of financial assets
The net gains/(losses) on derecognition of financial assets measured at amortised cost includes gains and losses
recognised on the sale or derecognition of these financial assets, calculated as the difference between the
carrying amount (which is the amortised cost adjusted for the loss allowance) and the proceeds received.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerecognitionOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-401": { "value": "
1\u00a0 \u00a0 Accounting policies
Changes in accounting policies
Amendments to existing standards
The International Accounting Standards Board (IASB) issued a number of amendments to existing standards (and
endorsed by the EU), which became effective for the reporting period beginning 1 January 2024. The standards
amended are:
\u2022 IAS 1 Presentation of Financial Statements
\u2022 IAS 7 Statement of Cash flows and IFRS 7 Financial Instruments: Disclosures: Supplier Finance Arrangements
\u2022 IFRS 16 Leases: Lease liability in a sale and leaseback
The impact of these amendments on the consolidated financial statements are insignificant for ABN AMRO and have
not resulted in major changes to ABN AMRO\u2019s accounting policies.
New standards, amendments and interpretations not yet effective
The IASB has issued the following new standards. These new standards will become effective on 1 January 2027 if
these standards are endorsed by the EU. ABN AMRO will not early adopt these amendments.
IFRS 18 Presentation and Disclosure in Financial statements
In April 2024 the IASB issued IFRS 18, which is set to replace IAS 1 Presentation and Disclosures in Financial
Statements. The main changes introduced by IFRS 18 relate to three areas:
\u2022 Presentation of two new defined subtotals in the statement of profit or loss and consistent classification of income
and expenses in categories. Five categories have been identified in the standard - operating, investing, financing,
income taxes and discontinued operations.
\u2022 Disclosure of information about management-defined performance measures in the notes to the financial
statements.
\u2022 Enhanced requirement for grouping (aggregation and disaggregation) of information.\u00a0
These changes are focused on the statement of profit or loss and relate solely to presentation and disclosure
requirements. The expected impact of these changes on the consolidated financial statements of ABN AMRO is still
being investigated.
IFRS 19 Subsidiaries without Public Accountability
In May 2024 the IASB issued IFRS 19, which specifies disclosure requirements that certain entities are allowed to apply
instead of the disclosure requirements in other IFRS Accounting standards. Given that ABN AMRO is not an entity that
can apply IFRS 19, this new standard does not impact ABN AMRO.
Amendments to existing standards not yet effective
The IASB has issued amendments to several standards, which have not yet been endorsed by the EU and are therefore
not open for early adoption. These amendments are to take effect on or later than 1 January 2025. The standards
amended are:
\u2022 IFRS 9 and IFRS 7 Classification and Measurement of Financial Instruments
\u2022 IAS 21 The Effects of changes in foreign exchange rates: lack of exchangeability
\u2022 Annual Improvements Volume 11
\u2022 Contracts Referencing Nature-dependent Electricity \u2013 Amendments to IFRS 9 and IFRS 7
ABN AMRO is still investigating the impact of these amendments but preliminary results show that no significant
impact is expected.
", "dimensions": { "concept": "ifrs-full:DisclosureOfChangesInAccountingPoliciesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-400": { "value": "
1\u00a0 \u00a0 Accounting policies
Changes in accounting policies
Amendments to existing standards
The International Accounting Standards Board (IASB) issued a number of amendments to existing standards (and
endorsed by the EU), which became effective for the reporting period beginning 1 January 2024. The standards
amended are:
\u2022 IAS 1 Presentation of Financial Statements
\u2022 IAS 7 Statement of Cash flows and IFRS 7 Financial Instruments: Disclosures: Supplier Finance Arrangements
\u2022 IFRS 16 Leases: Lease liability in a sale and leaseback
The impact of these amendments on the consolidated financial statements are insignificant for ABN AMRO and have
not resulted in major changes to ABN AMRO\u2019s accounting policies.
New standards, amendments and interpretations not yet effective
The IASB has issued the following new standards. These new standards will become effective on 1 January 2027 if
these standards are endorsed by the EU. ABN AMRO will not early adopt these amendments.
IFRS 18 Presentation and Disclosure in Financial statements
In April 2024 the IASB issued IFRS 18, which is set to replace IAS 1 Presentation and Disclosures in Financial
Statements. The main changes introduced by IFRS 18 relate to three areas:
\u2022 Presentation of two new defined subtotals in the statement of profit or loss and consistent classification of income
and expenses in categories. Five categories have been identified in the standard - operating, investing, financing,
income taxes and discontinued operations.
\u2022 Disclosure of information about management-defined performance measures in the notes to the financial
statements.
\u2022 Enhanced requirement for grouping (aggregation and disaggregation) of information.\u00a0
These changes are focused on the statement of profit or loss and relate solely to presentation and disclosure
requirements. The expected impact of these changes on the consolidated financial statements of ABN AMRO is still
being investigated.
IFRS 19 Subsidiaries without Public Accountability
In May 2024 the IASB issued IFRS 19, which specifies disclosure requirements that certain entities are allowed to apply
instead of the disclosure requirements in other IFRS Accounting standards. Given that ABN AMRO is not an entity that
can apply IFRS 19, this new standard does not impact ABN AMRO.
Amendments to existing standards not yet effective
The IASB has issued amendments to several standards, which have not yet been endorsed by the EU and are therefore
not open for early adoption. These amendments are to take effect on or later than 1 January 2025. The standards
amended are:
\u2022 IFRS 9 and IFRS 7 Classification and Measurement of Financial Instruments
\u2022 IAS 21 The Effects of changes in foreign exchange rates: lack of exchangeability
\u2022 Annual Improvements Volume 11
\u2022 Contracts Referencing Nature-dependent Electricity \u2013 Amendments to IFRS 9 and IFRS 7
ABN AMRO is still investigating the impact of these amendments but preliminary results show that no significant
impact is expected.
", "dimensions": { "concept": "ifrs-full:DisclosureOfChangesInAccountingPoliciesAccountingEstimatesAndErrorsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-399": { "value": "
1\u00a0 \u00a0 Accounting policies
Foreign currency
ABN AMRO applies IAS 21 The Effects of Changes in Foreign Exchange Rates. Transactions in foreign currencies are
translated into euros at the rate prevailing on the transaction date. Foreign currency balances of monetary items are
translated into euros at period-end exchange rates. Exchange gains and losses on such balances are recognised
in\u00a0the\u00a0income statement.
The Consolidated Annual Financial Statements are stated in euros, which is the presentation and functional currency
of\u00a0ABN AMRO. The bank\u2019s foreign operations may have different functional currencies. The functional currency is
the\u00a0currency 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\u00a0rate 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.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForForeignCurrencyTranslationExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-412": { "value": "
Corporate information
The Consolidated Annual Financial Statements of ABN AMRO Bank for the year ended 31\u00a0December 2024 incorporate
financial information of ABN AMRO Bank N.V., as well as that of the bank's controlled entities, interests in associates
and joint ventures. The Annual Financial Statements were prepared by the Executive Board and authorised for issue by
the Supervisory Board and Executive Board on 11 March 2025.
Authorisation of the Consolidated Annual Financial Statements
11 March 2025
Supervisory Board
T. (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 Vries
Executive Board
Robert Swaak, Chief Executive Officer and Chair
Dan Dorner, Chief Commercial Officer - Corporate Banking and Vice-Chair
Carsten Bittner, Chief Innovation and Technology Officer
Serena Fioravanti, Chief Risk Officer
Choy van der Hooft-Cheong, Chief Commercial Officer - Wealth Management
Ton van Nimwegen, Chief Operations Officer
Ferdinand Vaandrager, Chief Financial Officer
Annerie Vreugdenhil, Chief Commercial Officer - Personal & Business Banking", "dimensions": { "concept": "ifrs-full:DisclosureOfAuthorisationOfFinancialStatementsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-413": { "value": "ABN AMRO Bank N.V.", "dimensions": { "concept": "ifrs-full:NameOfParentEntity", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-414": { "value": "ABN AMRO Bank N.V.", "dimensions": { "concept": "ifrs-full:NameOfReportingEntityOrOtherMeansOfIdentification", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-415": { "value": "the Netherlands and abroad", "dimensions": { "concept": "ifrs-full:PrincipalPlaceOfBusiness", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-416": { "value": "public limited liability company", "dimensions": { "concept": "ifrs-full:LegalFormOfEntity", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-417": { "value": "the Netherlands", "dimensions": { "concept": "ifrs-full:DomicileOfEntity", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-418": { "value": "the Netherlands", "dimensions": { "concept": "ifrs-full:CountryOfIncorporation", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-419": { "value": "Gustav Mahlerlaan 10, 1082 PP Amsterdam, the Netherlands", "dimensions": { "concept": "ifrs-full:AddressOfRegisteredOfficeOfEntity", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-420": { "value": "ABN AMRO provides a broad range of financial services to retail, private and corporate banking clients.", "dimensions": { "concept": "ifrs-full:DescriptionOfNatureOfEntitysOperationsAndPrincipalActivities", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-421": { "value": "
Government grants
Government grants are recognised in the income statement on a systematic basis over the periods that the related
expenses, which the grants are intended to compensate, are recognised. In the case of an income-related grant,
the\u00a0grant is deducted from the related expense.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForGovernmentGrants", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-422": { "value": "
2\u00a0 \u00a0 Segment reporting
Accounting policy for segment reporting
ABN AMRO\u2019s segment reporting is in accordance with IFRS 8 Operating Segments and consistent with
the\u00a0internal 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\u00a0performance measure.
Personal & Business Banking
This client unit serves consumer and business clients with banking and partner offerings, providing the convenience
of\u00a0digital interactions and access to expertise when it matters most.
\"\"
Wealth Management
The Wealth Management client unit delivers outstanding expertise with tailored value propositions for wealthy clients,
focusing on investment advisory, financial planning and real estate financing.
Corporate Banking
This expertise-driven client unit delivers tailored financing, capital structuring and transaction banking solutions for
medium sized and large corporate clients and financial institutions. Corporate Banking also offers Entrepreneur &
Enterprise as a bank-wide service concept for business and wealthy clients, in close collaboration with Wealth
Management.
Group Functions
Group Functions consists of the following support function departments: Finance, Risk Management, Innovation &
Technology, Central Operations Office, 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 2024
2024
(in millions)
Personal &
Business Banking
Wealth
Management
Corporate
Banking
Group
Functions
Total
Income
Net interest income
3,262
932
2,281
29
6,504
Net fee and commission income
603
632
699
-24
1,910
Net income from other operating activities
59
-9
141
34
226
Net trading income
-2
285
283
Share of result in equity-accounted investments
18
13
-19
-3
9
Net gains/(losses) on derecognition of financial assets
measured at amortised cost
-8
-30
-33
-71
Operating income
3,932
1,568
3,358
4
8,861
Expenses
Personnel expenses
500
438
645
1,192
2,776
General and administrative expenses
462
208
396
1,464
2,531
Depreciation, amortisation and impairment losses
of tangible and intangible assets
4
27
22
108
160
Intersegment revenues/expenses
1,485
419
738
-2,642
Operating expenses
2,451
1,092
1,802
122
5,467
Impairment charges on financial instruments
-108
14
74
-2
-21
Total expenses
2,343
1,106
1,877
121
5,446
Profit/(loss) before taxation
1,589
462
1,481
-117
3,415
Income tax expense
419
137
382
74
1,013
Profit/(loss)
1,169
325
1,099
-191
2,403
Attributable to:
Owners of the parent company
1,169
325
1,099
-191
2,403
\"\"
Segment income statement for the year 2023
2023
(in millions)
Personal &
Business Banking
Wealth
Management
Corporate
Banking
Group
Functions
Total
Income
Net interest income
3,251
974
2,211
-158
6,278
Net fee and commission income
555
588
667
-29
1,782
Net income from other operating activities
90
26
252
9
378
Net trading income
-2
215
213
Share of result in equity-accounted investments
13
11
30
-12
41
Net gains/(losses) on derecognition of financial assets
measured at amortised cost
47
1
-7
-116
-75
Operating income
3,955
1,601
3,368
-306
8,618
Expenses
Personnel expenses
472
411
582
1,027
2,492
General and administrative expenses
574
203
416
1,297
2,490
Depreciation, amortisation and impairment losses
of tangible and intangible assets
4
99
29
119
251
Intersegment revenues/expenses
1,448
365
615
-2,428
Operating expenses
2,498
1,079
1,642
15
5,233
Impairment charges on financial instruments
-81
-8
-70
1
-158
Total expenses
2,416
1,071
1,572
16
5,074
Profit/(loss) before taxation
1,538
530
1,796
-321
3,544
Income tax expense
391
157
345
-45
847
Profit/(loss)
1,148
374
1,451
-276
2,697
Attributable to:
Owners of the parent company
1,148
374
1,451
-276
2,697
For the explanation and further details of large incidentals used in the section below, please refer to the Our financial
performance section in the Strategy, value creation & performance chapter.
Total bank
Net interest income increased by EUR 226 million to EUR 6,504 million in 2024, compared with EUR 6,278 million
in\u00a02023. Excluding large incidentals, NII increased by EUR 181 million, mainly driven by higher results at Treasury and
Corporate Banking. Treasury results improved significantly due to the more favourable interest rate environment.
Stronger Corporate Banking results reflect for a large part higher Clearing results. This was partly offset by lower NII
on deposits at Wealth Management reflecting a migration from current account and demand deposits to time
deposits.
Net fee and commission income increased by EUR 128 million to EUR 1,910 million in 2024. This increase was mainly
attributable to higher transaction volumes and increased payment package pricing at Personal & Business Banking.
Next to that, asset management fee income at Wealth Management was higher, benefiting from market performance
during 2024. Lastly, transaction volumes at Clearing were higher due to increased market volatility.
Net income from other operating activities amounted to EUR 226 million in 2024, down from EUR 378 million
in\u00a02023, reflecting a decrease of EUR 152 million. Excluding large incidentals, this decrease amounted
to\u00a0EUR\u00a0128\u00a0million and was mainly attributable to lower results from equity participations revaluations at Corporate
Banking. This was followed by a smaller decrease in Personal Banking. These were\u00a0 offset by more favourable asset
and liability management results at Treasury and higher fair value revaluations on loans.
Net trading income increased by EUR 70 million to EUR 283 million in 2024, compared with EUR 213 million in 2023.
This rise in net trading income was almost entirely driven by stronger Global Markets results and Clearing results at
Corporate Banking.
Share of result in equity-accounted investments came down by EUR 32 million to EUR 9 million in 2024, compared
with EUR 41 million in 2023, driven mainly by lower results at Corporate Banking this year.
\"\"
Net losses on derecognition of financial assets improved slightly by EUR 4 million, resulting in a net loss
of\u00a0EUR\u00a071\u00a0million in 2024, compared with a net loss of EUR 75 million in 2023, related to smaller portfolio sales
in\u00a0both years.
Personnel expenses increased by EUR 284 million to EUR 2,776 million in 2024. Excluding large incidentals,
personnel expenses increased by EUR 262 million. This increase reflects the impact of the new collective labour
agreement (CLA) that came into effect on 1 July 2024 and an increase in internal FTEs throughout the year.
General and administrative expenses increased by EUR 41 million to EUR 2,531 million in 2024, compared with
EUR\u00a02,490 million in 2023. Excluding large incidentals, general and administrative expenses decreased by
EUR\u00a035\u00a0million. This decrease was mainly driven by lower regulatory levies as the Single Resolution Fund and Deposit
Guarantee fund reached their targeted levels in 2024, fairly offset by higher IT related expenses and higher external
staffing costs, partly related to our recent M&A efforts.
Depreciation and amortisation charges came down by EUR 91 million to EUR 160 million in 2024, compared with
EUR 251 million in 2023. This was mainly attributable to the large incidental in 2023. Excluding large incidentals,
the\u00a0decrease amounted to EUR 12 million.
Impairment charges for 2024 were a net release of EUR 21 million (2023: EUR 158 million release). The resulting cost
of risk was 2bps negative compared to 5bps negative in 2023.
Personal & Business Banking
Net interest income increased by EUR 11 million to EUR 3,262 million in 2024, compared with EUR 3,251 million
in\u00a02023. Excluding large incidentals, net interest remained flat.
Net fee and commission income rose by EUR 48 million, reaching EUR 603 million in 2024. The increase was
attributable to higher transaction volumes and increased payment package pricing.
Net income from other operating activities amounted to EUR 59 million in 2024. Compared to the prior year (2023:
EUR 90 million) a decrease was mainly notable in Business Clients, Alfam and ABN AMRO Mortgage Group, only partly
offset by higher fair value revaluations on loans.
Net losses on derecognition of financial assets decreased by EUR 55 million, resulting in a loss of EUR 8 million
in\u00a02024 compared to a EUR 47 million net gain in 2023. The decrease was mainly driven by losses from smaller loan
portfolio sales.
Personnel expenses increased by EUR 28 million to EUR 500 million in 2024, reflecting the CLA impact partly offset
by a slight decline in internal FTEs.
General and administrative expenses decreased by EUR 112 million to EUR 462 million in 2024. Excluding large
incidentals, these expenses decreased by EUR 92 million as mainly regulatory levies were lower, partly offset by
higher IT-related costs.
Impairment charges recorded a release of EUR 108 million for 2024 (2023: release of EUR 81 million) driven by
releases in all 3 stages.
Wealth Management
Net interest income decreased by EUR 42 million to EUR 932 million in 2024, compared with EUR 974 million
in\u00a02023, mainly reflecting lower deposit net interest income as a result of client funds migrating from current accounts
and demand deposits to time deposits.
Net fee and commission income grew by EUR 44 million to EUR 632 million in 2024, due to higher asset
management fee income driven by favourable market conditions.
\"\"
Net income from other operating activities amounted to EUR 9 million in 2024, compared to a EUR 26 million net
gain in 2023. The decrease relates mainly to the sale of our equity stake in a joint venture.
Personnel expenses increased by EUR 27 million to EUR 438 million in 2024, compared with EUR 411 million in 2023.
Both the CLA and the larger number of\u00a0 internal FTEs contributed to the increase.
General and administrative expenses increased by EUR 5 million to EUR 208 million in 2024, mainly due to higher
external staffing expenses that were partly related to our recent M&A efforts. The increase was partly offset by lower
regulatory levies.
Depreciation and amortisation decreased by EUR 72 million to EUR 27 million in 2024, compared with
EUR\u00a099\u00a0million in 2023. Excluding large incidentals, depreciation and amortisation remained flat.
Impairment charges recorded EUR 14 million for 2024 (2023: release of EUR 8 million) equally split between stage 2
and 3 additions.
Corporate Banking
Net interest income increased by EUR 70 million to EUR 2,281 million in 2024, compared with EUR 2,211 million
in\u00a02023, for a major part due to an uplift in Clearing performance.
Net fee and commission income rose by EUR 32 million, reaching EUR 699 million in 2024, mainly due to higher
trading turnover resulting in higher fee income at Clearing.
Net income from other operating activities amounted to EUR 141 million in 2024, down from EUR 252 million
in\u00a02023, reflecting a decrease of EUR 111 million mainly related to lower equity stake revaluations and lower Global
Markets results.
Net trading income grew by EUR 70 million, totalling EUR 285 million in 2024, mainly due to higher results at Global
Markets and Clearing.
Share of result in equity-accounted investments came out EUR 19 million negative in 2024, compared
to\u00a0EUR\u00a030\u00a0million positive in 2023.
Net losses on derecognition of financial assets increased by EUR 23 million, resulting in a net loss of EUR 30 million
in 2024, compared to a net loss of EUR 7 million in 2023.
Personnel expenses increased by EUR 63 million to EUR 645 million in 2024. Excluding large incidentals, personnel
expenses increased by EUR 41 million, reflecting the impact of the CLA and a higher number of internal FTEs.
General and administrative expenses decreased by EUR 20 million, amounting to EUR 396 million in 2024. Excluding
large incidentals, the decrease was EUR 21 million as regulatory levies decreased, partly offset by higher external
staffing costs.
Depreciation and amortisation decreased by EUR 7 million, totalling EUR 22 million in 2024, mainly reflecting
the\u00a0large incidental in 2023.
Impairment charges recorded an addition of EUR 74 million for 2024, reflecting stage 3 charges partly offset by
stage\u00a01 and 2 releases (2023: net release of EUR 70 million).
Group Functions
Net interest income increased by EUR 187 million to EUR 29 million positive in 2024, compared with
EUR\u00a0158\u00a0million\u00a0negative in 2023. Excluding large incidentals, net interest income rose by EUR 158 million, mainly
driven by higher results at Treasury due to the more favourable interest rate environment.
Net fee and commission income improved by EUR 5 million, reaching EUR 24 million negative in 2024 (2023:
EUR\u00a029\u00a0million negative).
\"\"
Net income from other operating activities amounted to EUR 34 million in 2024, up from EUR 9 million in 2023,
reflecting a EUR 25 million increase, mainly due to more favourable asset and liability management results at Treasury.
Net losses on derecognition of financial assets improved by EUR 83 million, totalling EUR 33 million negative
in\u00a02024 (2023: EUR 116 million negative). The increase mainly reflects lower derecognition losses related to smaller
portfolio sales.
Personnel expenses increased by EUR 165 million, amounting to EUR 1,192 million in 2024, mainly due to
an\u00a0increase in internal FTEs combined with the impact of the CLA.
General and administrative expenses saw a rise of EUR 167 million, reaching EUR 1,464 million in 2024. Excluding
large incidentals, general and administrative expenses increased by EUR 73 million, reflecting mainly higher IT-related
expenses and higher external staffing costs.
\"\"
Selected assets and liabilities per segment
31 December 2024
(in millions)
Personal &
Business Banking
Wealth
Management
Corporate
Banking
Group
Functions
Total
Assets
Financial assets held for trading
2,503
2,503
Derivatives
1
3,892
454
4,347
Securities financing
8,773
18,216
26,989
Residential mortgages
149,877
6,199
-4,686
151,390
Consumer loans
3,330
4,312
403
8,045
Corporate loans
7,930
5,698
68,936
296
82,860
Other loans and advances customers
52
6
6,281
148
6,487
Other
2,397
1,610
8,374
90,045
102,426
Total assets
163,586
17,826
99,162
104,473
385,047
Liabilities
Financial liabilities held for trading
1,163
1,163
Derivatives
7
2
2,118
371
2,499
Securities financing
18
10,334
10,352
Current accounts
38,491
13,504
40,669
83
92,746
Demand deposits
78,786
24,570
4,653
108,008
Time deposits
9,258
28,578
8,859
6,838
53,533
Other due to customers
91
1,621
187
1,899
Other
36,953
-48,828
40,062
60,552
88,739
Total liabilities
163,586
17,826
99,162
78,365
358,939
31 December 2023
(in millions)
Personal &
Business Banking
Wealth
Management
Corporate
Banking
Group
Functions
Total
Assets
Financial assets held for trading
1,371
1,371
Derivatives
4,042
360
4,403
Securities financing
8,042
13,461
21,503
Residential mortgages
144,968
5,912
-6,005
144,875
Consumer loans
3,752
4,630
499
8,881
Corporate loans
8,132
5,985
70,960
609
85,685
Other loans and advances customers
52
8
6,285
149
6,494
Other
1,974
3,854
8,354
90,515
104,698
Total assets
158,878
20,389
99,552
99,089
377,909
Liabilities
Financial liabilities held for trading
917
917
Derivatives
7
7
2,415
427
2,856
Securities financing
185
11,525
11,710
Current accounts
41,516
16,785
41,573
73
99,948
Demand deposits
74,558
22,411
3,974
100,943
Time deposits
8,239
27,049
10,719
5,722
51,728
Other due to customers
96
1,711
40
1,846
Other
34,462
-45,863
38,058
57,135
83,792
Total liabilities
158,878
20,389
99,552
74,921
353,741
\"\"
Geographical segments
2024
(in millions)
The
Netherlands
Rest of
Europe
USA
Asia
Rest of
the world
Total
Income
Net interest income
5,936
359
124
62
23
6,504
Net fee and commission income
1,326
338
136
103
7
1,910
Net income from other operating activities
231
18
7
2
-32
226
Net trading income
255
29
283
Share of result in equity-accounted investments
-4
13
9
Net gains/ (losses) on derecognition of financial assets
measured at amortised cost
-73
1
1
-71
Operating income
7,671
728
267
167
28
8,861
Expenses
Personnel expenses
2,283
399
57
21
15
2,776
General and administrative expenses
2,311
170
27
14
9
2,531
Depreciation and amortisation of tangible and intangible
assets
125
28
3
3
1
160
Intersegment revenues/expenses
12
3
2
-5
-13
Operating expenses
4,731
600
90
33
13
5,467
Impairment charges on financial instruments
-47
26
-21
Total expenses
4,685
626
90
33
13
5,446
Profit/(loss) before taxation
2,986
102
178
134
15
3,415
Income tax expense
862
59
70
17
5
1,013
Profit/(loss)
2,124
43
108
118
10
2,403
Attributable to:
Owners of the parent company
2,124
43
108
118
10
2,403
2023
(in millions)
The
Netherlands
Rest of
Europe
USA
Asia
Rest of
the world
Total
Income
Net interest income
5,705
396
88
57
32
6,278
Net fee and commission income
1,226
327
137
85
7
1,782
Net income from other operating activities
319
51
6
2
378
Net trading income
225
-11
213
Share of result in equity-accounted investments
30
11
41
Net gains/ (losses) on derecognition of financial assets
measured at amortised cost
-29
-47
1
-75
Operating income
7,475
785
185
143
31
8,618
Expenses
Personnel expenses
2,010
363
77
28
14
2,492
General and administrative expenses
2,266
172
31
12
9
2,490
Depreciation and amortisation of tangible and intangible
assets
132
113
2
3
1
251
Intersegment revenues/expenses
18
-11
1
5
-14
Operating expenses
4,426
637
111
48
11
5,233
Impairment charges on financial instruments
-59
-18
-81
-158
Total expenses
4,367
618
30
48
11
5,074
Profit/(loss) before taxation
3,108
167
155
94
20
3,544
Income tax expense
818
65
-52
10
6
847
Profit/(loss)
2,290
101
207
85
14
2,697
Attributable to:
Owners of the parent company
2,290
101
207
85
14
2,697
", "dimensions": { "concept": "ifrs-full:DisclosureOfEntitysReportableSegmentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-423": { "value": "
2\u00a0 \u00a0 Segment reporting
Accounting policy for segment reporting
ABN AMRO\u2019s segment reporting is in accordance with IFRS 8 Operating Segments and consistent with
the\u00a0internal 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\u00a0performance measure.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForSegmentReportingExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-426": { "value": "
4\u00a0 \u00a0 Net interest income
Accounting policy for net interest income
Interest 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\u00a0expected 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\u00a0net 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)
2024
2023
Interest income calculated using the effective interest method
16,757
15,849
Other interest and similar income
351
334
Interest income
17,108
16,183
Interest expense calculated using the effective interest method
10,532
9,812
Other interest and similar expense
72
92
Interest expense
10,604
9,904
Net interest income
6,504
6,278
Interest income
(in millions)
2024
2023
Interest income from:
Financial investments at fair value through other comprehensive income
1,028
657
Securities financing
1,495
1,417
Loans and advances banks
1,917
2,350
Loans and advances customers
9,528
8,822
Non-trading derivatives - hedge accounting - Cash flow hedges
208
267
Non-trading derivatives - hedge accounting - Fair value hedges
2,369
2,078
Other
213
258
Interest income calculated using the effective interest method
16,757
15,849
Financial assets at fair value through profit or loss
34
46
Non-trading derivatives - no hedge accounting
55
83
Other
262
205
Other interest and similar income
351
334
Total interest income
17,108
16,183
5\u00a0 \u00a0 Net fee and commission income
Accounting policy for net fee and commission income
ABN AMRO applies IFRS 15 when recognising revenue from contracts with clients, all of which is included in net
fee and commission income. After identifying contracts and their performance obligations, revenue is
recognised as an amount that reflects the consideration to which the bank expects to be entitled in exchange for
transferring promised services to clients. The transaction price is allocated to each performance obligation.
Revenue is measured at the fair value of the consideration received, taking into account discounts and rebates.
The amount of revenue recognised is discounted to the present value of 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\u00a0nature 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\u00a0the 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\u00a0the\u00a0consideration 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\u00a0consideration received in exchange for the goods or services provided by that party.
\"\"
(in millions)
2024
2023
Fee and commission income
2,414
2,281
Fee and commission expense
504
498
Net fee and commission income
1,910
1,782
Fee and commission income
2024
(in millions)
Personal &
Business Banking
Wealth
Management
Corporate
Banking
Group
Functions
Total
Fee and commission income from:
Securities and custodian services
15
54
577
3
649
Payment services
642
39
147
827
Portfolio management and trust fees
48
556
4
608
Guarantees and commitment fees
36
7
56
1
101
Insurance and investment fees
39
45
84
Other service fees
33
18
93
145
Total fee and commission income
813
719
877
5
2,414
Timing fee and commission income
Recognised at a point in time
372
371
843
4
1,590
Recognised over time
440
348
35
1
823
Total fee and commission income
813
719
877
5
2,414
2023
(in millions)
Personal &
Business Banking
Wealth
Management
Corporate
Banking
Group
Functions
Total
Fee and commission income from:
Securities and custodian services
13
58
525
3
599
Payment services
594
34
155
783
Portfolio management and trust fees
46
518
4
567
Guarantees and commitment fees
24
6
87
1
118
Insurance and investment fees
37
40
76
Other service fees
37
14
86
137
Total fee and commission income
750
670
857
4
2,281
Timing fee and commission income
Recognised at a point in time
350
342
794
3
1,489
Recognised over time
401
328
63
1
792
Total fee and commission income
750
670
857
4
2,281
", "dimensions": { "concept": "ifrs-full:DisclosureOfRevenueExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-425": { "value": "
4\u00a0 \u00a0 Net interest income
Accounting policy for net interest income
Interest 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\u00a0expected 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\u00a0net 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)
2024
2023
Interest income calculated using the effective interest method
16,757
15,849
Other interest and similar income
351
334
Interest income
17,108
16,183
Interest expense calculated using the effective interest method
10,532
9,812
Other interest and similar expense
72
92
Interest expense
10,604
9,904
Net interest income
6,504
6,278
Interest income
(in millions)
2024
2023
Interest income from:
Financial investments at fair value through other comprehensive income
1,028
657
Securities financing
1,495
1,417
Loans and advances banks
1,917
2,350
Loans and advances customers
9,528
8,822
Non-trading derivatives - hedge accounting - Cash flow hedges
208
267
Non-trading derivatives - hedge accounting - Fair value hedges
2,369
2,078
Other
213
258
Interest income calculated using the effective interest method
16,757
15,849
Financial assets at fair value through profit or loss
34
46
Non-trading derivatives - no hedge accounting
55
83
Other
262
205
Other interest and similar income
351
334
Total interest income
17,108
16,183
", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestIncomeExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-424": { "value": "
4\u00a0 \u00a0 Net interest income
Accounting policy for net interest income
Interest 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\u00a0expected 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\u00a0net 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)
2024
2023
Interest income calculated using the effective interest method
16,757
15,849
Other interest and similar income
351
334
Interest income
17,108
16,183
Interest expense calculated using the effective interest method
10,532
9,812
Other interest and similar expense
72
92
Interest expense
10,604
9,904
Net interest income
6,504
6,278
Interest income
(in millions)
2024
2023
Interest income from:
Financial investments at fair value through other comprehensive income
1,028
657
Securities financing
1,495
1,417
Loans and advances banks
1,917
2,350
Loans and advances customers
9,528
8,822
Non-trading derivatives - hedge accounting - Cash flow hedges
208
267
Non-trading derivatives - hedge accounting - Fair value hedges
2,369
2,078
Other
213
258
Interest income calculated using the effective interest method
16,757
15,849
Financial assets at fair value through profit or loss
34
46
Non-trading derivatives - no hedge accounting
55
83
Other
262
205
Other interest and similar income
351
334
Total interest income
17,108
16,183
\"\"
Interest expense
(in millions)
2024
2023
Interest expenses from:
Securities financing
896
961
Due to banks
333
524
Due to customers
5,260
4,043
Issued debt
2,139
1,871
Subordinated liabilities
297
282
Non-trading derivatives - hedge accounting - Cash flow hedges
654
1,343
Non-trading derivatives - hedge accounting - Fair value hedges
1,283
1,137
Other
-330
-348
Interest expense calculated using the effective interest method
10,532
9,812
Financial liabilities at fair value through profit or loss
9
9
Non-trading derivatives - no hedge accounting
43
58
Other
20
24
Other interest and similar expense
72
92
Total interest expense
10,604
9,904
", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestIncomeExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-429": { "value": "
4\u00a0 \u00a0 Net interest income
Accounting policy for net interest income
Interest 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\u00a0expected 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\u00a0net 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)
2024
2023
Interest income calculated using the effective interest method
16,757
15,849
Other interest and similar income
351
334
Interest income
17,108
16,183
Interest expense calculated using the effective interest method
10,532
9,812
Other interest and similar expense
72
92
Interest expense
10,604
9,904
Net interest income
6,504
6,278
Interest expense
(in millions)
2024
2023
Interest expenses from:
Securities financing
896
961
Due to banks
333
524
Due to customers
5,260
4,043
Issued debt
2,139
1,871
Subordinated liabilities
297
282
Non-trading derivatives - hedge accounting - Cash flow hedges
654
1,343
Non-trading derivatives - hedge accounting - Fair value hedges
1,283
1,137
Other
-330
-348
Interest expense calculated using the effective interest method
10,532
9,812
Financial liabilities at fair value through profit or loss
9
9
Non-trading derivatives - no hedge accounting
43
58
Other
20
24
Other interest and similar expense
72
92
Total interest expense
10,604
9,904
", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-428": { "value": "
4\u00a0 \u00a0 Net interest income
Accounting policy for net interest income
Interest 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\u00a0expected 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\u00a0net 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\u00a0 \u00a0 Net fee and commission income
Accounting policy for net fee and commission income
ABN AMRO applies IFRS 15 when recognising revenue from contracts with clients, all of which is included in net
fee and commission income. After identifying contracts and their performance obligations, revenue is
recognised as an amount that reflects the consideration to which the bank expects to be entitled in exchange for
transferring promised services to clients. The transaction price is allocated to each performance obligation.
Revenue is measured at the fair value of the consideration received, taking into account discounts and rebates.
The amount of revenue recognised is discounted to the present value of 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": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-427": { "value": "
4\u00a0 \u00a0 Net interest income
Accounting policy for net interest income
Interest 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\u00a0expected 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\u00a0net 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": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-432": { "value": "
5\u00a0 \u00a0 Net fee and commission income
Accounting policy for net fee and commission income
ABN AMRO applies IFRS 15 when recognising revenue from contracts with clients, all of which is included in net
fee and commission income. After identifying contracts and their performance obligations, revenue is
recognised as an amount that reflects the consideration to which the bank expects to be entitled in exchange for
transferring promised services to clients. The transaction price is allocated to each performance obligation.
Revenue is measured at the fair value of the consideration received, taking into account discounts and rebates.
The amount of revenue recognised is discounted to the present value of 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:DescriptionOfAccountingPolicyForFeeAndCommissionIncomeAndExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-431": { "value": "
5\u00a0 \u00a0 Net fee and commission income
Accounting policy for net fee and commission income
ABN AMRO applies IFRS 15 when recognising revenue from contracts with clients, all of which is included in net
fee and commission income. After identifying contracts and their performance obligations, revenue is
recognised as an amount that reflects the consideration to which the bank expects to be entitled in exchange for
transferring promised services to clients. The transaction price is allocated to each performance obligation.
Revenue is measured at the fair value of the consideration received, taking into account discounts and rebates.
The amount of revenue recognised is discounted to the present value of 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\u00a0nature 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\u00a0the 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\u00a0the\u00a0consideration 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\u00a0consideration received in exchange for the goods or services provided by that party.
\"\"
(in millions)
2024
2023
Fee and commission income
2,414
2,281
Fee and commission expense
504
498
Net fee and commission income
1,910
1,782
Fee and commission income
2024
(in millions)
Personal &
Business Banking
Wealth
Management
Corporate
Banking
Group
Functions
Total
Fee and commission income from:
Securities and custodian services
15
54
577
3
649
Payment services
642
39
147
827
Portfolio management and trust fees
48
556
4
608
Guarantees and commitment fees
36
7
56
1
101
Insurance and investment fees
39
45
84
Other service fees
33
18
93
145
Total fee and commission income
813
719
877
5
2,414
Timing fee and commission income
Recognised at a point in time
372
371
843
4
1,590
Recognised over time
440
348
35
1
823
Total fee and commission income
813
719
877
5
2,414
2023
(in millions)
Personal &
Business Banking
Wealth
Management
Corporate
Banking
Group
Functions
Total
Fee and commission income from:
Securities and custodian services
13
58
525
3
599
Payment services
594
34
155
783
Portfolio management and trust fees
46
518
4
567
Guarantees and commitment fees
24
6
87
1
118
Insurance and investment fees
37
40
76
Other service fees
37
14
86
137
Total fee and commission income
750
670
857
4
2,281
Timing fee and commission income
Recognised at a point in time
350
342
794
3
1,489
Recognised over time
401
328
63
1
792
Total fee and commission income
750
670
857
4
2,281
", "dimensions": { "concept": "ifrs-full:DisclosureOfRevenueFromContractsWithCustomersExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-430": { "value": "
5\u00a0 \u00a0 Net fee and commission income
Accounting policy for net fee and commission income
ABN AMRO applies IFRS 15 when recognising revenue from contracts with clients, all of which is included in net
fee and commission income. After identifying contracts and their performance obligations, revenue is
recognised as an amount that reflects the consideration to which the bank expects to be entitled in exchange for
transferring promised services to clients. The transaction price is allocated to each performance obligation.
Revenue is measured at the fair value of the consideration received, taking into account discounts and rebates.
The amount of revenue recognised is discounted to the present value of 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\u00a0nature 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\u00a0the 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\u00a0the\u00a0consideration 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\u00a0consideration received in exchange for the goods or services provided by that party.
\"\"
(in millions)
2024
2023
Fee and commission income
2,414
2,281
Fee and commission expense
504
498
Net fee and commission income
1,910
1,782
Fee and commission income
2024
(in millions)
Personal &
Business Banking
Wealth
Management
Corporate
Banking
Group
Functions
Total
Fee and commission income from:
Securities and custodian services
15
54
577
3
649
Payment services
642
39
147
827
Portfolio management and trust fees
48
556
4
608
Guarantees and commitment fees
36
7
56
1
101
Insurance and investment fees
39
45
84
Other service fees
33
18
93
145
Total fee and commission income
813
719
877
5
2,414
Timing fee and commission income
Recognised at a point in time
372
371
843
4
1,590
Recognised over time
440
348
35
1
823
Total fee and commission income
813
719
877
5
2,414
2023
(in millions)
Personal &
Business Banking
Wealth
Management
Corporate
Banking
Group
Functions
Total
Fee and commission income from:
Securities and custodian services
13
58
525
3
599
Payment services
594
34
155
783
Portfolio management and trust fees
46
518
4
567
Guarantees and commitment fees
24
6
87
1
118
Insurance and investment fees
37
40
76
Other service fees
37
14
86
137
Total fee and commission income
750
670
857
4
2,281
Timing fee and commission income
Recognised at a point in time
350
342
794
3
1,489
Recognised over time
401
328
63
1
792
Total fee and commission income
750
670
857
4
2,281
Fee and commission expense
(in millions)
2024
2023
Fee and commission expenses from:
Securities and custodian services
159
139
Payment services
218
216
Portfolio management and trust fees
63
60
Guarantees and commitment fees
29
42
Insurance and investment fees
21
21
Other service fees
14
20
Total fee and commission expense
504
498
", "dimensions": { "concept": "ifrs-full:DisclosureOfFeeAndCommissionIncomeExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-436": { "value": "
6\u00a0 \u00a0 Net income from other operating activities
Accounting policy for other operating income
Other operating income includes all other banking activities such as operating lease activities as lessor and
results on the disposal of assets. It also includes the change in fair value of derivatives used for risk management
purposes that do not meet the requirements for hedge accounting, ineffectiveness of hedging programmes, fair
value changes relating to assets and liabilities measured at fair value through profit or loss, and changes
in\u00a0the\u00a0value 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)
2024
2023
Expenses from lease activities
84
106
Expenses from other operating activities
84
106
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherOperatingExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-435": { "value": "
6\u00a0 \u00a0 Net income from other operating activities
Accounting policy for other operating income
Other operating income includes all other banking activities such as operating lease activities as lessor and
results on the disposal of assets. It also includes the change in fair value of derivatives used for risk management
purposes that do not meet the requirements for hedge accounting, ineffectiveness of hedging programmes, fair
value changes relating to assets and liabilities measured at fair value through profit or loss, and changes
in\u00a0the\u00a0value 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)
2024
2023
Income from lease activities
101
133
Disposal of operating activities and equity-accounted investments
-22
33
Result from financial transactions
211
258
Other
20
59
Income from other operating activities
311
483
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherOperatingIncomeExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-434": { "value": "
6\u00a0 \u00a0 Net income from other operating activities
Accounting policy for other operating income
Other operating income includes all other banking activities such as operating lease activities as lessor and
results on the disposal of assets. It also includes the change in fair value of derivatives used for risk management
purposes that do not meet the requirements for hedge accounting, ineffectiveness of hedging programmes, fair
value changes relating to assets and liabilities measured at fair value through profit or loss, and changes
in\u00a0the\u00a0value 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)
2024
2023
Income from lease activities
101
133
Disposal of operating activities and equity-accounted investments
-22
33
Result from financial transactions
211
258
Other
20
59
Income from other operating activities
311
483
(in millions)
2024
2023
Expenses from lease activities
84
106
Expenses from other operating activities
84
106
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for impairment of non-financial assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
Accounting policy for leases
Lessor accounting
Where ABN AMRO acts as lessor, a distinction is made between operating and finance leases. Leases where
the\u00a0bank 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 accounting
All leases, except for low-value leases and leases with a duration of less than one year, are recognised on
the\u00a0balance 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\u00a0the 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\u00a0the\u00a0sum 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, a change in lease payments
due to a change in an index or 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\u00a0separate 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\u00a0the 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\u00a0tangible 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 transactions
In a sale and leaseback transaction, the seller/lessee transfers an underlying asset to the buyer/lessor and leases
that asset back from the buyer/lessor.
Seller/lessee accounting
If the bank is involved in a sale and leaseback transaction as a seller/lessee, the accounting policy described
below is from the perspective of a seller/lessee. To determine how to account for a sale and leaseback
transaction, the bank first considers whether the initial transfer of the underlying asset from the seller/lessee
to\u00a0the 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\u00a0leaseback is measured based on the proportion of the previous carrying amount of the asset that relates
to\u00a0the 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\u00a0residual 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\u00a0the\u00a0sale-and-leaseback transaction. If this does not equal the fair value of the underlying asset, or if
the\u00a0payments 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 2024
31 December 2023
Land and buildings held for own use
379
225
Leasehold improvements
44
44
Plant & equipment under operating lease
306
338
Equipment
70
78
Right of use assets
260
285
Other
8
9
Total property and equipment
1,068
978
The right of use assets consist primarily of real estate.
2024
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
777
208
649
626
584
11
2,853
115
517
632
Acquisitions/divestments of subsidiaries
33
33
Additions
174
13
97
28
53
365
44
4
48
Reversal of cost due to disposals
-12
-13
-182
-48
-58
-313
-10
-22
-31
Foreign exchange differences
1
6
1
3
10
1
1
Internally generated software
93
93
Other
2
-1
-17
-15
-4
-3
Acquisition costs
as at 31 December
941
209
570
607
565
11
2,902
150
623
773
Accumulated depreciation/
amortisation as at 1 January
-547
-160
-308
-546
-256
-1,817
-408
-408
Acquisitions/divestments of subsidiaries
-7
-7
Depreciation/amortisation
-16
-14
-36
-81
-147
-13
-13
Depreciation of assets subject to
operating lease
-86
-86
Reversal of depreciation/amortisation
due to disposals
10
9
135
45
21
219
22
22
Foreign exchange differences
-1
-3
-1
-1
-6
-1
-1
Other
-4
1
1
20
18
3
3
Accumulated depreciation/
amortisation as at 31 December
-557
-165
-263
-537
-297
-1
-1,819
-404
-404
Accumulated impairments as
at 1 January
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
2
4
2
37
45
10
10
Foreign exchange differences
-1
-1
Other
-2
-2
Accumulated impairments
as at 31 December
-5
-1
-7
-2
-14
-105
-10
-116
Total as at 31 December
379
44
306
70
260
8
1,068
44
209
253
2023
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
726
209
801
638
497
11
2,883
142
438
580
Additions
63
12
98
35
138
346
9
9
Reversal of cost due to disposals
-50
-21
-255
-47
-38
-412
-4
-4
Foreign exchange differences
-1
5
-2
-2
Internally generated software
75
75
Other
38
9
2
-12
36
-27
-28
Acquisition costs
as at 31 December
777
208
649
626
584
11
2,853
115
517
632
Accumulated depreciation/
amortisation as at 1 January
-530
-165
-369
-554
-205
-1,824
-398
-398
Depreciation/amortisation
-16
-14
-40
-85
-155
-14
-14
Depreciation of assets subject to
operating lease
-108
-108
Reversal of depreciation/amortisation
due to disposals
33
20
172
46
21
292
4
4
Foreign exchange differences
1
-2
2
Other
-34
-1
1
12
-22
Accumulated depreciation/
amortisation as at 31 December
-547
-160
-308
-546
-256
-1,817
-408
-408
Accumulated impairments as
at 1 January
-5
-5
-5
-4
-51
-1
-70
-64
-10
-74
Increase of impairments charged to the
income statement
-1
-1
-1
-3
-79
-79
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
1
1
8
10
Foreign exchange differences
1
1
Other
1
1
28
28
Accumulated impairments
as at 31 December
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Total as at 31 December
225
44
338
78
285
9
978
99
99
Leases
ABN AMRO enters into leases both as lessor and lessee. In its capacity as lessee, ABN AMRO leases various assets
(mainly office properties, cars and equipment) that support the bank\u2019s operations. These 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 relevant lessor. There are no variable lease payments in lease contracts in which ABN AMRO acts as
the\u00a0lessee. These lease contracts do not contain any covenants, and ABN AMRO is not allowed to use leased assets as
security for financing purposes. The total cash outflow relating to leases in 2024 amounted to EUR\u00a0112 million (2023:
EUR\u00a0120 million).
\"\"
The following table shows the maturity of lease liabilities for leases in which the bank acts as lessee, as well as
the\u00a0future undiscounted minimum lease receipts under operating and financial leases where the bank acts as lessor.
It\u00a0also reconciles the total future minimum lease receipts under financial leases and the net investment in the leases.
31 December 2024
(in millions)
Within
3 months
More than
3 months but
within 1 year
More than
1 year but
within 5 years
More than
5 years
Total
Unearned
finance
income
Net
investment
in the lease
Lease liabilities
24
65
158
201
447
n/a
n/a
Future minimum lease receipts under
financial leases
488
1,037
2,320
350
4,195
-373
3,822
Future minimum lease receipts under
operating leases
26
82
214
21
342
n/a
n/a
31 December 2023
(in millions)
Within
3 months
More than
3 months but
within 1 year
More than
1 year but
within 5 years
More than
5 years
Total
Unearned
finance
income
Net
investment
in the lease
Lease liabilities
24
68
137
104
333
n/a
n/a
Future minimum lease receipts under
financial leases
498
1,051
2,615
403
4,567
-398
4,169
Future minimum lease receipts under
operating leases
21
88
220
20
349
n/a
n/a
The net investment in the leases amounted to EUR 3,822 million (31 December 2023: 4,169 million). The decline is
primarily attributable to a consistent reduction in the lease portfolio, driven by the insufficiency of new business
to\u00a0offset the run-off of the existing portfolio and a decrease in new clients. This trend aligns with our strategic vision,
which includes stricter acceptance criteria for new clients to manage Risk-Weighted Assets (RWA) consumption and
meet the Return on Equity (RoE) hurdle. The decrease was also influenced by the poor, recession-induced
performance of the economy and companies\u2019 consequent reluctance to invest.
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\u00a0corporate 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)
2024
2023
Income from financial leases
180
160
Income from operating leases
101
133
Total income from leases
281
294
Income related to variable lease payments on financial leases amounted to EUR 1 million. 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. In 2024,
the total income from subleasing ROU assets amounted to EUR 1 million.
", "dimensions": { "concept": "ifrs-full:DisclosureOfLeasesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-433": { "value": "
6\u00a0 \u00a0 Net income from other operating activities
Accounting policy for other operating income
Other operating income includes all other banking activities such as operating lease activities as lessor and
results on the disposal of assets. It also includes the change in fair value of derivatives used for risk management
purposes that do not meet the requirements for hedge accounting, ineffectiveness of hedging programmes, fair
value changes relating to assets and liabilities measured at fair value through profit or loss, and changes
in\u00a0the\u00a0value 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)
2024
2023
Income from lease activities
101
133
Disposal of operating activities and equity-accounted investments
-22
33
Result from financial transactions
211
258
Other
20
59
Income from other operating activities
311
483
(in millions)
2024
2023
Expenses from lease activities
84
106
Expenses from other operating activities
84
106
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherOperatingIncomeExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-437": { "value": "
7\u00a0 \u00a0 Net trading income
Accounting policy for net trading income
In accordance with IFRS 9, trading positions are held at fair value, and net trading income includes gains and
losses arising from changes in the fair value of such financial assets and liabilities. The latter comprises gains and
losses from trading financial assets and liabilities, interest income and expenses related to trading financial
assets and liabilities, and dividends received from trading instruments. Dividend income and dividends from
trading instruments are recognised at the dividend announcement date. Net trading income also includes
changes in fair value arising from changes in counterparty credit spreads (CVA) and changes in own credit
spreads (DVA) where these 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)
2024
2023
Interest instruments trading
133
69
Equity and commodity trading
1
Foreign exchange transaction results
151
143
Total net trading income
283
213
", "dimensions": { "concept": "ifrs-full:DisclosureOfTradingIncomeExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-438": { "value": "
7\u00a0 \u00a0 Net trading income
Accounting policy for net trading income
In accordance with IFRS 9, trading positions are held at fair value, and net trading income includes gains and
losses arising from changes in the fair value of such financial assets and liabilities. The latter comprises gains and
losses from trading financial assets and liabilities, interest income and expenses related to trading financial
assets and liabilities, and dividends received from trading instruments. Dividend income and dividends from
trading instruments are recognised at the dividend announcement date. Net trading income also includes
changes in fair value arising from changes in counterparty credit spreads (CVA) and changes in own credit
spreads (DVA) where these 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.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForTradingIncomeAndExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-441": { "value": "
9\u00a0 \u00a0 Personnel expenses
Accounting policy for personnel expenses
Salaries and wages, social security charges and other salary-related costs are recognised over the period
in\u00a0which 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)
2024
2023
Salaries and wages
1,996
1,832
Social security charges
286
248
Expenses relating to Defined post employment benefit plans
7
4
Defined contribution plan expenses
366
337
Other
120
72
Total personnel expenses
2,776
2,492
10\u00a0 General and administrative expenses
Accounting policy for general and administrative expenses
Costs are recognised in the period in which services have been provided and to which the payment relates.
(in millions)
2024
2023
Agency staff, contractors and consultancy costs
760
711
Staff-related costs
74
59
Information technology costs
1,023
969
Housing
97
98
Post, telephone and transport
28
30
Marketing and public relations costs
89
89
Regulatory charges
189
367
Other
270
168
Total general and administrative expenses
2,531
2,490
(in millions)
2024
2023
Banking tax
118
95
Deposit Guarantee Scheme
34
96
Single Resolution Fund
2
144
Other regulatory levies
35
32
Total regulatory charges
189
367
\"\"
Auditor's fees for EY\u2019s 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\u00a0whether the audit activities were performed before the year-end. These are specified in the following table.
(in millions)
2024
2023
Financial statements audit fees
17
15
Audit-related fees
2
2
Total auditor's fee
19
17
Financial statement audit fees relating to the audit of activities in the Netherlands amounted to EUR 15 million in 2024
(2023: EUR 12 million). Audit-related fees for activities in the Netherlands amounted to EUR 1 million in 2024 (2023:
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\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for property and equipment
Property 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\u00a0impairment. 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\u00a0following 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\u00a0circumstances. Capitalised leasehold improvements are depreciated in a manner that takes into account
the\u00a0term and renewal conditions of the related lease.
Accounting policy for impairment of non-financial assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
Lessee accounting
The ROU asset is depreciated over the period of the lease, using the straight-line method.
Accounting policy for intangible assets
Software and other intangible assets
The accounting policy for software and other intangible assets is determined by IAS 38 Intangible assets.
Software is amortised over a period of three years, unless it is classified as core application software, which is
amortised over its estimated useful life, set at a maximum of seven years. For own-developed software, only
the\u00a0development 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.
2024
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
777
208
649
626
584
11
2,853
115
517
632
Acquisitions/divestments of subsidiaries
33
33
Additions
174
13
97
28
53
365
44
4
48
Reversal of cost due to disposals
-12
-13
-182
-48
-58
-313
-10
-22
-31
Foreign exchange differences
1
6
1
3
10
1
1
Internally generated software
93
93
Other
2
-1
-17
-15
-4
-3
Acquisition costs
as at 31 December
941
209
570
607
565
11
2,902
150
623
773
Accumulated depreciation/
amortisation as at 1 January
-547
-160
-308
-546
-256
-1,817
-408
-408
Acquisitions/divestments of subsidiaries
-7
-7
Depreciation/amortisation
-16
-14
-36
-81
-147
-13
-13
Depreciation of assets subject to
operating lease
-86
-86
Reversal of depreciation/amortisation
due to disposals
10
9
135
45
21
219
22
22
Foreign exchange differences
-1
-3
-1
-1
-6
-1
-1
Other
-4
1
1
20
18
3
3
Accumulated depreciation/
amortisation as at 31 December
-557
-165
-263
-537
-297
-1
-1,819
-404
-404
Accumulated impairments as
at 1 January
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
2
4
2
37
45
10
10
Foreign exchange differences
-1
-1
Other
-2
-2
Accumulated impairments
as at 31 December
-5
-1
-7
-2
-14
-105
-10
-116
Total as at 31 December
379
44
306
70
260
8
1,068
44
209
253
2023
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
726
209
801
638
497
11
2,883
142
438
580
Additions
63
12
98
35
138
346
9
9
Reversal of cost due to disposals
-50
-21
-255
-47
-38
-412
-4
-4
Foreign exchange differences
-1
5
-2
-2
Internally generated software
75
75
Other
38
9
2
-12
36
-27
-28
Acquisition costs
as at 31 December
777
208
649
626
584
11
2,853
115
517
632
Accumulated depreciation/
amortisation as at 1 January
-530
-165
-369
-554
-205
-1,824
-398
-398
Depreciation/amortisation
-16
-14
-40
-85
-155
-14
-14
Depreciation of assets subject to
operating lease
-108
-108
Reversal of depreciation/amortisation
due to disposals
33
20
172
46
21
292
4
4
Foreign exchange differences
1
-2
2
Other
-34
-1
1
12
-22
Accumulated depreciation/
amortisation as at 31 December
-547
-160
-308
-546
-256
-1,817
-408
-408
Accumulated impairments as
at 1 January
-5
-5
-5
-4
-51
-1
-70
-64
-10
-74
Increase of impairments charged to the
income statement
-1
-1
-1
-3
-79
-79
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
1
1
8
10
Foreign exchange differences
1
1
Other
1
1
28
28
Accumulated impairments
as at 31 December
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Total as at 31 December
225
44
338
78
285
9
978
99
99
(in millions)
2024
2023
Depreciation on tangible assets
Land and buildings held for own use
16
16
Leasehold improvements
14
14
Equipment
36
40
Right of use assets
81
85
Amortisation on intangible assets
Purchased software
5
7
Internally developed software
6
3
Other intangible assets
2
4
Impairment losses on tangible assets
Land and buildings held for own use (incl. held for sale)
1
Right of use assets
1
Other
1
Impairment losses on intangible assets
Goodwill
79
Total depreciation, amortisation and impairment losses
160
251
", "dimensions": { "concept": "ifrs-full:DisclosureOfExpensesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-440": { "value": "
9\u00a0 \u00a0 Personnel expenses
Accounting policy for personnel expenses
Salaries and wages, social security charges and other salary-related costs are recognised over the period
in\u00a0which 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)
2024
2023
Salaries and wages
1,996
1,832
Social security charges
286
248
Expenses relating to Defined post employment benefit plans
7
4
Defined contribution plan expenses
366
337
Other
120
72
Total personnel expenses
2,776
2,492
31\u00a0 Pension and other employee benefits
Accounting policy for pension and other employee benefits
ABN AMRO sponsors a number of pension schemes in the Netherlands and abroad. These schemes are mainly
defined contribution plans. The majority of the beneficiaries of the plans are located in the Netherlands.
Defined contribution plans
For defined contribution plans, ABN AMRO pays annual contributions determined by a fixed method and has no
legal or constructive obligation to pay any further contributions. Contributions are recognised directly
in\u00a0the\u00a0income statement in the year to which they relate. Actuarial and investment risk are for the account
of\u00a0the\u00a0participants in the plan.
Defined benefit plans
For defined benefit plans, the net obligation of each plan is the difference between the present value
of\u00a0the\u00a0defined 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
\u2022 curtailments or plan amendments
Differences between pension costs and pension contributions payable are accounted for as provisions or
prepayments.
Remeasurement
Remeasurements of the net defined benefit liability (asset) are actuarial gains and losses resulting from changes
in actuarial assumptions and experience adjustments (i.e. unexpectedly high or low rates of employee turnover).
They are recognised in other comprehensive income and are not recycled to profit or loss in later periods.
The\u00a0actual return on the pension plan\u2019s assets is determined after deduction of the costs of managing the assets
and any tax payable by the pension plan itself.
Other employee benefits
Some group companies provide post-retirement benefits to their retirees, such as long-term service benefits and
discounts on banking products. Entitlement to these benefits is usually conditional on the employee remaining
in\u00a0service 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 benefits
Amounts recognised in the income statement for pensions and other employee benefits
2024
2023
(in millions)
Defined post
employment
benefit
Other
employee
benefits
Total
Defined post
employment
benefit
Other
employee
benefits
Total
Current service cost
5
2
8
5
2
7
Interest cost
7
2
9
8
2
9
Interest income
-5
-5
-5
-5
Other
3
7
10
5
5
Total defined benefit expenses in actuarial report
10
11
21
7
9
15
Other expenses
-3
-3
-3
-3
Total defined benefit expenses
7
11
18
4
9
13
Defined contribution plans
366
366
337
337
Total pension expenses and other post retirement
employee benefits
373
11
384
340
9
349
Pension expenses for defined contribution plans consist mainly of the cash contributions to the Dutch collective
defined contribution plan.
Dutch defined contribution plan
The Dutch defined contribution plan is a collective defined contribution plan, based on an average salary plan.
The\u00a0target retirement age is set at 68 years. The contribution payable by pension fund participants is 5.5% (2023:
5.5%).
In 2024, ABN AMRO\u2019s contribution to the Dutch defined contribution plan amounted to EUR\u00a0336\u00a0million (2023:
EUR\u00a0306 million) and is included in pension expenses.
Reconciliation to the statement of financial position and other comprehensive income
2024
2023
(in millions)
Defined post
employment
benefit
Other
employee
benefits
Total
Defined post
employment
benefit
Other
employee
benefits
Total
Present value of defined benefit obligations - funded with plan assets
193
3
196
191
3
194
Fair value of plan assets
155
155
158
158
38
3
41
33
3
36
Present value of defined benefit obligations - unfunded
35
140
176
37
131
168
Net liabilities/(assets) balance sheet at 31 December
73
143
216
70
134
204
- of which assets
3
3
6
6
- of which liabilities
76
143
219
76
134
210
Experience adjustments
-1
-6
-6
Remeasurements arising from changes in demographic
assumptions DBO
1
1
1
1
Remeasurements arising from changes in financial
assumptions DBO
-8
-9
-8
-1
-9
Remeasurements arising from changes in financial
assumptions plan assets
1
1
5
5
Remeasurements in other comprehensive income
-7
-7
-8
-2
-10
\"\"
Change in defined benefit obligation (DBO)
2024
2023
(in millions)
Defined post
employment
benefit
Other
employee
benefits
Total
Defined post
employment
benefit
Other
employee
benefits
Total
Defined benefit obligation as at 1 January
228
134
362
227
128
355
Current service cost
5
2
8
5
2
7
Interest cost
7
2
9
8
2
9
Past service cost
1
1
Benefits paid
-7
-7
Benefits paid in from employer
-13
-3
-16
-14
-4
-18
Remeasurements arising from changes in demographic assumptions
-1
-1
-1
-1
Experience adjustments\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
1
6
6
Remeasurements arising from changes in financial assumptions
8
9
8
1
9
Other
-2
9
7
-9
5
-4
Defined benefit obligation as at 31 December
228
143
371
228
134
362
The net defined benefit liabilities/(assets) balance as at 31 December 2024 consisted of pensioners with a profit share,
the indexation of benefits insured with an insurance company and several small defined benefit plans outside
the\u00a0Netherlands.
Change in fair value of plan assets
2024
2023
(in millions)
Defined post
employment
benefit
Other
employee
benefits
Total
Defined post
employment
benefit
Other
employee
benefits
Total
Fair value of plan assets as at 1 January
158
158
157
157
Interest income
5
5
5
5
Return on plan assets excluding interest
1
1
5
5
Employer's contributions
5
5
2
2
Benefits paid
-7
-7
Other
-8
-8
-10
-10
Fair value of plan assets as at 31 December
155
155
158
158
Principal actuarial assumptions
2024
2023
Discount rate
3.2%
3.5%
Indexation rate
2.6%
2.3%
Future salary increases\u00b9
2.2%
2.2%
1. Salary increases in the Netherlands are not taken into consideration, because Dutch pension plan is defined contribution plan.
The above assumptions are weighted by defined benefit obligations. The discount rate consists of a risk-free rate and
a\u00a0credit spread on AA-rated corporate bonds.
", "dimensions": { "concept": "ifrs-full:DisclosureOfEmployeeBenefitsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-439": { "value": "
9\u00a0 \u00a0 Personnel expenses
Accounting policy for personnel expenses
Salaries and wages, social security charges and other salary-related costs are recognised over the period
in\u00a0which 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)
2024
2023
Salaries and wages
1,996
1,832
Social security charges
286
248
Expenses relating to Defined post employment benefit plans
7
4
Defined contribution plan expenses
366
337
Other
120
72
Total personnel expenses
2,776
2,492
10\u00a0 General and administrative expenses
Accounting policy for general and administrative expenses
Costs are recognised in the period in which services have been provided and to which the payment relates.
(in millions)
2024
2023
Agency staff, contractors and consultancy costs
760
711
Staff-related costs
74
59
Information technology costs
1,023
969
Housing
97
98
Post, telephone and transport
28
30
Marketing and public relations costs
89
89
Regulatory charges
189
367
Other
270
168
Total general and administrative expenses
2,531
2,490
(in millions)
2024
2023
Banking tax
118
95
Deposit Guarantee Scheme
34
96
Single Resolution Fund
2
144
Other regulatory levies
35
32
Total regulatory charges
189
367
\"\"
Auditor's fees for EY\u2019s 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\u00a0whether the audit activities were performed before the year-end. These are specified in the following table.
(in millions)
2024
2023
Financial statements audit fees
17
15
Audit-related fees
2
2
Total auditor's fee
19
17
Financial statement audit fees relating to the audit of activities in the Netherlands amounted to EUR 15 million in 2024
(2023: EUR 12 million). Audit-related fees for activities in the Netherlands amounted to EUR 1 million in 2024 (2023:
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\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for property and equipment
Property 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\u00a0impairment. 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\u00a0following 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\u00a0circumstances. Capitalised leasehold improvements are depreciated in a manner that takes into account
the\u00a0term and renewal conditions of the related lease.
Accounting policy for impairment of non-financial assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
Lessee accounting
The ROU asset is depreciated over the period of the lease, using the straight-line method.
Accounting policy for intangible assets
Software and other intangible assets
The accounting policy for software and other intangible assets is determined by IAS 38 Intangible assets.
Software is amortised over a period of three years, unless it is classified as core application software, which is
amortised over its estimated useful life, set at a maximum of seven years. For own-developed software, only
the\u00a0development 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.
2024
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
777
208
649
626
584
11
2,853
115
517
632
Acquisitions/divestments of subsidiaries
33
33
Additions
174
13
97
28
53
365
44
4
48
Reversal of cost due to disposals
-12
-13
-182
-48
-58
-313
-10
-22
-31
Foreign exchange differences
1
6
1
3
10
1
1
Internally generated software
93
93
Other
2
-1
-17
-15
-4
-3
Acquisition costs
as at 31 December
941
209
570
607
565
11
2,902
150
623
773
Accumulated depreciation/
amortisation as at 1 January
-547
-160
-308
-546
-256
-1,817
-408
-408
Acquisitions/divestments of subsidiaries
-7
-7
Depreciation/amortisation
-16
-14
-36
-81
-147
-13
-13
Depreciation of assets subject to
operating lease
-86
-86
Reversal of depreciation/amortisation
due to disposals
10
9
135
45
21
219
22
22
Foreign exchange differences
-1
-3
-1
-1
-6
-1
-1
Other
-4
1
1
20
18
3
3
Accumulated depreciation/
amortisation as at 31 December
-557
-165
-263
-537
-297
-1
-1,819
-404
-404
Accumulated impairments as
at 1 January
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
2
4
2
37
45
10
10
Foreign exchange differences
-1
-1
Other
-2
-2
Accumulated impairments
as at 31 December
-5
-1
-7
-2
-14
-105
-10
-116
Total as at 31 December
379
44
306
70
260
8
1,068
44
209
253
2023
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
726
209
801
638
497
11
2,883
142
438
580
Additions
63
12
98
35
138
346
9
9
Reversal of cost due to disposals
-50
-21
-255
-47
-38
-412
-4
-4
Foreign exchange differences
-1
5
-2
-2
Internally generated software
75
75
Other
38
9
2
-12
36
-27
-28
Acquisition costs
as at 31 December
777
208
649
626
584
11
2,853
115
517
632
Accumulated depreciation/
amortisation as at 1 January
-530
-165
-369
-554
-205
-1,824
-398
-398
Depreciation/amortisation
-16
-14
-40
-85
-155
-14
-14
Depreciation of assets subject to
operating lease
-108
-108
Reversal of depreciation/amortisation
due to disposals
33
20
172
46
21
292
4
4
Foreign exchange differences
1
-2
2
Other
-34
-1
1
12
-22
Accumulated depreciation/
amortisation as at 31 December
-547
-160
-308
-546
-256
-1,817
-408
-408
Accumulated impairments as
at 1 January
-5
-5
-5
-4
-51
-1
-70
-64
-10
-74
Increase of impairments charged to the
income statement
-1
-1
-1
-3
-79
-79
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
1
1
8
10
Foreign exchange differences
1
1
Other
1
1
28
28
Accumulated impairments
as at 31 December
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Total as at 31 December
225
44
338
78
285
9
978
99
99
(in millions)
2024
2023
Depreciation on tangible assets
Land and buildings held for own use
16
16
Leasehold improvements
14
14
Equipment
36
40
Right of use assets
81
85
Amortisation on intangible assets
Purchased software
5
7
Internally developed software
6
3
Other intangible assets
2
4
Impairment losses on tangible assets
Land and buildings held for own use (incl. held for sale)
1
Right of use assets
1
Other
1
Impairment losses on intangible assets
Goodwill
79
Total depreciation, amortisation and impairment losses
160
251
", "dimensions": { "concept": "ifrs-full:DisclosureOfExpensesByNatureExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-443": { "value": "
9\u00a0 \u00a0 Personnel expenses
Accounting policy for personnel expenses
Salaries and wages, social security charges and other salary-related costs are recognised over the period
in\u00a0which 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\u00a0 General and administrative expenses
Accounting policy for general and administrative expenses
Costs are recognised in the period in which services have been provided and to which the payment relates.
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for property and equipment
Property 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\u00a0impairment. 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\u00a0following 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\u00a0circumstances. Capitalised leasehold improvements are depreciated in a manner that takes into account
the\u00a0term and renewal conditions of the related lease.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForExpensesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-442": { "value": "
9\u00a0 \u00a0 Personnel expenses
Accounting policy for personnel expenses
Salaries and wages, social security charges and other salary-related costs are recognised over the period
in\u00a0which 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\u00a0 Pension and other employee benefits
Accounting policy for pension and other employee benefits
ABN AMRO sponsors a number of pension schemes in the Netherlands and abroad. These schemes are mainly
defined contribution plans. The majority of the beneficiaries of the plans are located in the Netherlands.
Defined contribution plans
For defined contribution plans, ABN AMRO pays annual contributions determined by a fixed method and has no
legal or constructive obligation to pay any further contributions. Contributions are recognised directly
in\u00a0the\u00a0income statement in the year to which they relate. Actuarial and investment risk are for the account
of\u00a0the\u00a0participants in the plan.
Defined benefit plans
For defined benefit plans, the net obligation of each plan is the difference between the present value
of\u00a0the\u00a0defined 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
\u2022 curtailments or plan amendments
Differences between pension costs and pension contributions payable are accounted for as provisions or
prepayments.
Remeasurement
Remeasurements of the net defined benefit liability (asset) are actuarial gains and losses resulting from changes
in actuarial assumptions and experience adjustments (i.e. unexpectedly high or low rates of employee turnover).
They are recognised in other comprehensive income and are not recycled to profit or loss in later periods.
The\u00a0actual return on the pension plan\u2019s assets is determined after deduction of the costs of managing the assets
and any tax payable by the pension plan itself.
Other employee benefits
Some group companies provide post-retirement benefits to their retirees, such as long-term service benefits and
discounts on banking products. Entitlement to these benefits is usually conditional on the employee remaining
in\u00a0service 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\u00a0 Share-based payment
Accounting policy for share-based payment
Identified 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\u00a0accordance 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\u00a0requesting 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 years 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\u00a0remaining 20% vests in four equal tranches in the second, third, fourth and fifth year following
the\u00a0performance 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.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForEmployeeBenefitsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-444": { "value": "
10\u00a0 General and administrative expenses
Accounting policy for general and administrative expenses
Costs are recognised in the period in which services have been provided and to which the payment relates.
(in millions)
2024
2023
Agency staff, contractors and consultancy costs
760
711
Staff-related costs
74
59
Information technology costs
1,023
969
Housing
97
98
Post, telephone and transport
28
30
Marketing and public relations costs
89
89
Regulatory charges
189
367
Other
270
168
Total general and administrative expenses
2,531
2,490
(in millions)
2024
2023
Banking tax
118
95
Deposit Guarantee Scheme
34
96
Single Resolution Fund
2
144
Other regulatory levies
35
32
Total regulatory charges
189
367
\"\"
Auditor's fees for EY\u2019s 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\u00a0whether the audit activities were performed before the year-end. These are specified in the following table.
(in millions)
2024
2023
Financial statements audit fees
17
15
Audit-related fees
2
2
Total auditor's fee
19
17
Financial statement audit fees relating to the audit of activities in the Netherlands amounted to EUR 15 million in 2024
(2023: EUR 12 million). Audit-related fees for activities in the Netherlands amounted to EUR 1 million in 2024 (2023:
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": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-445": { "value": "
10\u00a0 General and administrative expenses
Auditor's fees for EY\u2019s 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\u00a0whether the audit activities were performed before the year-end. These are specified in the following table.
(in millions)
2024
2023
Financial statements audit fees
17
15
Audit-related fees
2
2
Total auditor's fee
19
17
Financial statement audit fees relating to the audit of activities in the Netherlands amounted to EUR 15 million in 2024
(2023: EUR 12 million). Audit-related fees for activities in the Netherlands amounted to EUR 1 million in 2024 (2023:
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": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-450": { "value": "
11\u00a0 Income tax expense, tax assets and tax liabilities
Accounting policy for income tax expense, tax assets and tax liabilities
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\u00a0deferred tax asset to be recovered. Deferred tax assets and liabilities are offset only when there is both a legal
right to offset and an intention to settle on a net basis.
(in millions)
2024
2023
Recognised in income statement:
Current tax expenses for the current period
947
915
Pillar Two tax expense
5
Adjustments recognised in the period for current tax of prior periods
9
-90
Total current tax expense
961
825
Deferred tax arising from the current period
43
41
Impact of changes in tax rates on deferred taxes
-1
Deferred tax arising from the write-down or reversal of a write-down of a deferred tax asset
21
-85
Deferred tax prior period
-6
80
Previously unrecognised tax losses, tax credits and\u00a0 temporary differences reducing deferred tax expense
-6
-13
Total deferred tax expense
52
22
Total income tax expense
1,013
847
\"\"
Due to the sale of the Gustav Mahlerlaan building in 2021, ABN AMRO was able to make use of a reinvestment
reserve. This resulted in a lower current tax expense offset by a higher deferred tax expense included in 2023.
Tax assets and liabilities
The most significant temporary differences arose from the revaluation of certain financial assets and liabilities,
including derivative contracts, allowances for loan impairment and investments. The following table summarises
the\u00a0tax position.
31 December 2024
31 December 2023
(in millions)
Assets
Liabilities
Assets
Liabilities
Current tax
51
395
49
159
Deferred tax
275
278
Total tax assets and liabilities
326
395
327
159
\"\"
The significant components and annual movements in deferred tax assets and deferred tax liabilities are shown
in\u00a0the\u00a0following tables.
(in millions)
As at
31 December
2023
Income
statement
OCI
Equity
Other
As at
31 December
2024
- of which
deferred
tax asset
- of which
deferred
tax liability
Assets and liabilities held for trading,
derivatives and financial investments
115
-6
51
159
175
16
Property and equipment (excluding leases) and
intangible assets
25
-20
-5
-1
20
21
Loans
12
-1
10
11
1
Leases
32
-4
28
93
65
Pensions and other (post-)employment benefits
8
1
9
9
Provisions
23
4
1
1
29
29
Tax losses carried forward
88
-42
3
50
50
Other
-25
19
-1
-8
57
65
Deferred tax assets (+) and liabilities (-)
278
-52
51
-2
275
442
167
Offsetting deferred tax assets and liabilities
167
167
Net deferred tax assets (+) and liabilities (-)
275
(in millions)
As at
31 December
2022
Income
statement
OCI
Equity
Other
As at
31 December
2023
- of which
deferred
tax asset
- of which
deferred
tax liability
Assets and liabilities held for trading,
derivatives and financial investments
315
-3
-198
115
124
9
Property and equipment (excluding leases) and
intangible assets
23
2
25
27
2
Loans
12
-1
12
12
Leases
38
-6
32
102
70
Pensions and other (post-)employment benefits
9
-1
8
8
Provisions
20
6
3
1
-6
23
23
Tax losses carried forward
40
50
-2
88
88
Other
39
-69
6
-25
64
89
Deferred tax assets (+) and liabilities (-)
497
-22
-195
1
-2
278
448
170
Offsetting deferred tax assets and liabilities
170
170
Net deferred tax assets (+) and liabilities (-)
278
Deferred tax assets
Deferred tax assets are recognised to the extent that it is probable that future taxable profits will allow the deferred
tax asset to be recovered. Recognition is based on estimates of taxable income by jurisdiction in which ABN AMRO
operates and the period over which the deferred tax assets will be recoverable. In the event that actual results differ
from these estimates in future periods, changes to the recognition of deferred tax assets could be required and these
could impact our financial position and net profit. No deferred income taxes have been recognised on undistributed
earnings of ABN AMRO\u2019s subsidiaries, branches and interests in joint ventures.
Unrecognised tax assets
Certain amounts of deferred tax assets are not recognised because future taxable profits are not considered probable.
Deferred tax assets for an amount of EUR 29 million (31 December 2023: EUR 14 million) have not been recognised
in\u00a0respect of deductible temporary differences of EUR 112 million (31 December 2023: EUR 55 million). In addition,
deferred tax assets for an amount of EUR 46 million (31 December 2023: EUR 47 million) have not been recognised
in\u00a0respect of tax losses of EUR 233 million (31 December 2023: EUR 242 million).
Tax credits and unrecognised tax credits
ABN AMRO did not have any carry-forward tax credits on 31 December 2024.
\"\"
Loss carry-forward by year of expiration
(in millions)
2024
2025
2026
2027
2028
2029
After 5
years
No
expiration
Total
2024
Loss carry-forward recognised
418
418
Loss carry-forward not recognised
233
233
Total tax losses carry-forward (gross)
651
651
2023
Loss carry-forward recognised
66
471
536
Loss carry-forward not recognised
242
242
Total tax losses carry-forward (gross)
66
713
778
Of the total amount of recognised net deferred tax assets, EUR 6 million (31 December 2023: EUR 87 million) was
related to entities that suffered a loss in either the current or preceding year. The recognition of these deferred tax
assets is based on a projection of future taxable income.
Tax related to equity
Tax related to components of other comprehensive income and tax related to equity and movements in equity can be
found in the Consolidated statement of comprehensive income and the Consolidated statement of changes in equity.", "dimensions": { "concept": "ifrs-full:DisclosureOfDeferredTaxesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-449": { "value": "
11\u00a0 Income tax expense, tax assets and tax liabilities
Tax assets and liabilities
The most significant temporary differences arose from the revaluation of certain financial assets and liabilities,
including derivative contracts, allowances for loan impairment and investments. The following table summarises
the\u00a0tax position.
31 December 2024
31 December 2023
(in millions)
Assets
Liabilities
Assets
Liabilities
Current tax
51
395
49
159
Deferred tax
275
278
Total tax assets and liabilities
326
395
327
159
", "dimensions": { "concept": "ifrs-full:DisclosureOfTaxReceivablesAndPayablesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-448": { "value": "
11\u00a0 Income tax expense, tax assets and tax liabilities
Accounting policy for income tax expense, tax assets and tax liabilities
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\u00a0deferred 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": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-447": { "value": "
11\u00a0 Income tax expense, tax assets and tax liabilities
Accounting policy for income tax expense, tax assets and tax liabilities
Income tax expense consists of current and deferred tax. Income tax is recognised in the income statement and
in\u00a0the 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\u00a0deferred 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.
Most of the jurisdictions in which ABN AMRO operates introduced Pillar Two legislation in 2023. ABN AMRO expects
to\u00a0be able to make use of (transitional) safe harbour rules in most jurisdictions. The only exceptions expected are
Hong\u00a0Kong and Singapore, for which an amount of EUR 5 million top-up tax was accrued and disclosed as part
of\u00a0current tax expenses in 2024.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForIncomeTaxExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-446": { "value": "
11\u00a0 Income tax expense, tax assets and tax liabilities
Accounting policy for income tax expense, tax assets and tax liabilities
Income tax expense consists of current and deferred tax. Income tax is recognised in the income statement and
in\u00a0the 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\u00a0deferred 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.
Most of the jurisdictions in which ABN AMRO operates introduced Pillar Two legislation in 2023. ABN AMRO expects
to\u00a0be able to make use of (transitional) safe harbour rules in most jurisdictions. The only exceptions expected are
Hong\u00a0Kong and Singapore, for which an amount of EUR 5 million top-up tax was accrued and disclosed as part
of\u00a0current tax expenses in 2024.
(in millions)
2024
2023
Recognised in income statement:
Current tax expenses for the current period
947
915
Pillar Two tax expense
5
Adjustments recognised in the period for current tax of prior periods
9
-90
Total current tax expense
961
825
Deferred tax arising from the current period
43
41
Impact of changes in tax rates on deferred taxes
-1
Deferred tax arising from the write-down or reversal of a write-down of a deferred tax asset
21
-85
Deferred tax prior period
-6
80
Previously unrecognised tax losses, tax credits and\u00a0 temporary differences reducing deferred tax expense
-6
-13
Total deferred tax expense
52
22
Total income tax expense
1,013
847
\"\"
Due to the sale of the Gustav Mahlerlaan building in 2021, ABN AMRO was able to make use of a reinvestment
reserve. This resulted in a lower current tax expense offset by a higher deferred tax expense included in 2023.
Reconciliation of the total tax charge
The effective tax 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)
2024
Effective tax rate
2023
Effective tax rate
Profit/(loss) before taxation
3,415
3,544
Applicable tax rate
25.8%
25.8%
Expected income tax expense
881
914
International tax rate difference
-10
-0.3%
-10
-0.3%
Adjustment previous years
3
0.1%
-10
-0.3%
Change in tax rates
0.0%
-1
-0.0%
Banking tax
31
0.9%
24
0.7%
Non-taxable income
-9
-0.3%
-7
-0.2%
Non-deductible expenses
96
2.8%
69
2.0%
Tax exempted result (participation exemption)
-13
-0.4%
-37
-1.1%
Losses not benefited
-6
-0.2%
-13
-0.4%
Change recognition of deferred tax assets
21
0.6%
-85
-2.4%
Pillar Two tax expense
5
0.1%
0.0%
Other tax effects
13
0.4%
1
0.0%
Actual income tax expense
1,013
29.6%
847
23.9%
The income tax expense increased by EUR 165 million to EUR 1,013 million in 2024. The effective tax rate was 29.6%
in 2024, compared to the standard Dutch rate of 25.8%. This is caused by the annual banking tax which is not
deductible and non-deductible interest due to the Dutch \u201cthin capitalisation\u201d rules for banks. In 2023 a revaluation
gain on deferred tax assets was recognised, which did not recur in 2024. In 2024 a Pillar Two tax expense
of\u00a0EUR\u00a05\u00a0million was recognised.
Tax assets and liabilities
The most significant temporary differences arose from the revaluation of certain financial assets and liabilities,
including derivative contracts, allowances for loan impairment and investments. The following table summarises
the\u00a0tax position.
31 December 2024
31 December 2023
(in millions)
Assets
Liabilities
Assets
Liabilities
Current tax
51
395
49
159
Deferred tax
275
278
Total tax assets and liabilities
326
395
327
159
\"\"
The significant components and annual movements in deferred tax assets and deferred tax liabilities are shown
in\u00a0the\u00a0following tables.
(in millions)
As at
31 December
2023
Income
statement
OCI
Equity
Other
As at
31 December
2024
- of which
deferred
tax asset
- of which
deferred
tax liability
Assets and liabilities held for trading,
derivatives and financial investments
115
-6
51
159
175
16
Property and equipment (excluding leases) and
intangible assets
25
-20
-5
-1
20
21
Loans
12
-1
10
11
1
Leases
32
-4
28
93
65
Pensions and other (post-)employment benefits
8
1
9
9
Provisions
23
4
1
1
29
29
Tax losses carried forward
88
-42
3
50
50
Other
-25
19
-1
-8
57
65
Deferred tax assets (+) and liabilities (-)
278
-52
51
-2
275
442
167
Offsetting deferred tax assets and liabilities
167
167
Net deferred tax assets (+) and liabilities (-)
275
(in millions)
As at
31 December
2022
Income
statement
OCI
Equity
Other
As at
31 December
2023
- of which
deferred
tax asset
- of which
deferred
tax liability
Assets and liabilities held for trading,
derivatives and financial investments
315
-3
-198
115
124
9
Property and equipment (excluding leases) and
intangible assets
23
2
25
27
2
Loans
12
-1
12
12
Leases
38
-6
32
102
70
Pensions and other (post-)employment benefits
9
-1
8
8
Provisions
20
6
3
1
-6
23
23
Tax losses carried forward
40
50
-2
88
88
Other
39
-69
6
-25
64
89
Deferred tax assets (+) and liabilities (-)
497
-22
-195
1
-2
278
448
170
Offsetting deferred tax assets and liabilities
170
170
Net deferred tax assets (+) and liabilities (-)
278
Deferred tax assets
Deferred tax assets are recognised to the extent that it is probable that future taxable profits will allow the deferred
tax asset to be recovered. Recognition is based on estimates of taxable income by jurisdiction in which ABN AMRO
operates and the period over which the deferred tax assets will be recoverable. In the event that actual results differ
from these estimates in future periods, changes to the recognition of deferred tax assets could be required and these
could impact our financial position and net profit. No deferred income taxes have been recognised on undistributed
earnings of ABN AMRO\u2019s subsidiaries, branches and interests in joint ventures.
Unrecognised tax assets
Certain amounts of deferred tax assets are not recognised because future taxable profits are not considered probable.
Deferred tax assets for an amount of EUR 29 million (31 December 2023: EUR 14 million) have not been recognised
in\u00a0respect of deductible temporary differences of EUR 112 million (31 December 2023: EUR 55 million). In addition,
deferred tax assets for an amount of EUR 46 million (31 December 2023: EUR 47 million) have not been recognised
in\u00a0respect of tax losses of EUR 233 million (31 December 2023: EUR 242 million).
Tax credits and unrecognised tax credits
ABN AMRO did not have any carry-forward tax credits on 31 December 2024.
\"\"
Loss carry-forward by year of expiration
(in millions)
2024
2025
2026
2027
2028
2029
After 5
years
No
expiration
Total
2024
Loss carry-forward recognised
418
418
Loss carry-forward not recognised
233
233
Total tax losses carry-forward (gross)
651
651
2023
Loss carry-forward recognised
66
471
536
Loss carry-forward not recognised
242
242
Total tax losses carry-forward (gross)
66
713
778
Of the total amount of recognised net deferred tax assets, EUR 6 million (31 December 2023: EUR 87 million) was
related to entities that suffered a loss in either the current or preceding year. The recognition of these deferred tax
assets is based on a projection of future taxable income.
Tax related to equity
Tax related to components of other comprehensive income and tax related to equity and movements in equity can be
found in the Consolidated statement of comprehensive income and the Consolidated statement of changes in equity.
Income tax consequences of dividend
Dividends are, in principle, subject to a 15% withholding tax in the Netherlands. In 2024, ABN AMRO Bank N.V.
withheld EUR 194 million of dividend withholding tax on dividends paid to its shareholders.
\"\"
Country-by-country reporting
31 December 2024
Country of activity
Principal subsidiary
Main activity
Total
assets
(in
millions)
Total
operating
income
(in millions)
Average
number
of
FTEs
Operating profit/
(loss) before
taxation
(in millions)
Income tax
expense
(in millions)
Income tax
paid
(in millions)
The Netherlands
ABN AMRO Bank N.V.
Personal &
Business Banking
351,628
7,671
18,295
2,986
862
643
France
ABN AMRO Bank N.V.
Paris Branch
Wealth
Management
4,054
317
878
51
20
24
Germany
ABN AMRO Bank N.V.
Frankfurt Branch
Wealth
Management
2,337
198
775
3
6
3
Belgium
ABN AMRO Bank N.V.
Belgium Branch
Wealth
Management
724
89
378
-30
United Kingdom
ABN AMRO Asset based
Finance N.V. UK branch
Corporate
Banking
1,242
74
354
35
8
8
Norway
ABN AMRO Bank N.V.
Oslo Branch
Corporate
Banking
1,897
47
18
42
25
United States
ABN AMRO Clearing
USA LLC
Corporate
Banking
19,607
267
252
178
70
45
Brazil
Banco ABN AMRO
Clearing S.A.
Corporate
Banking
259
13
29
12
4
3
Singapore
ABN AMRO Clearing
Singapore Pte. Ltd.
Corporate
Banking
2,462
76
82
68
10
6
Hong Kong
ABN AMRO Clearing
Hong Kong Ltd.
Corporate
Banking
461
70
36
58
4
1
Japan
ABN AMRO Clearing
Tokyo Co. Ltd.
Corporate
Banking
131
22
30
9
3
2
Australia
ABN AMRO Clearing
Sydney Pty Ltd.
Corporate
Banking
309
15
74
3
1
1
Other
-66
2
1
Total
385,047
8,861
21,199
3,415
1,013
737
31 December 2023
Country of activity
Principal subsidiary
Main activity
Total
assets
(in
millions)
Total operating
income
(in millions)
Average
number
of
FTEs
Operating profit/
(loss) before
taxation
(in millions)
Income tax
expense
(in millions)
Income tax
paid
(in millions)
The Netherlands
ABN AMRO Bank N.V.
Personal &
Business Banking
339,483
7,475
17,480
3,108
818
557
France
ABN AMRO Bank N.V.
Paris Branch
Wealth
Management
4,516
366
855
113
28
22
Germany
ABN AMRO Bank N.V.
Frankfurt Branch
Wealth
Management
4,792
198
727
-50
4
8
Belgium
ABN AMRO Bank N.V.
Belgium Branch
Wealth
Management
819
96
366
18
1
United Kingdom
ABN AMRO Asset based
Finance N.V. UK branch
Corporate
Banking
1,436
69
332
27
9
8
Norway
ABN AMRO Bank N.V.
Oslo Branch
Corporate
Banking
2,131
52
16
59
24
United States
ABN AMRO Clearing
USA LLC
Corporate
Banking
21,022
185
306
155
-52
16
Brazil
Banco ABN AMRO S.A.
Corporate
Banking
297
15
27
15
4
2
Singapore
ABN AMRO Clearing
Singapore Pte. Ltd.
Corporate
Banking
1,986
57
107
32
5
7
Hong Kong
ABN AMRO Clearing
Hong Kong Ltd.
Corporate
Banking
784
67
39
55
3
5
Japan
ABN AMRO Clearing
Tokyo Co. Ltd.
Corporate
Banking
415
18
25
7
2
3
Australia
ABN AMRO Clearing
Sydney Pty Ltd.
Corporate
Banking
297
16
67
5
1
1
Other
-70
4
1
-1
Total
377,909
8,618
20,349
3,544
847
629
", "dimensions": { "concept": "ifrs-full:DisclosureOfIncomeTaxExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-451": { "value": "
12\u00a0 Earnings per share
The following table shows the composition of basic earnings per share at 31 December.
2024
2023
(in millions)
Profit/(loss) for
the period\u00b9
Average number
of shares
Earnings per
share (in EUR)
Profit/(loss) for
the period\u00b9
Average number
of shares
Earnings per
share (in EUR)
Basic earnings
2,283
841
2.72
2,605
872
2.99
1. 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 potentially dilutive ordinary shares, only basic earnings per
ordinary share are disclosed. Basic earnings per ordinary share are calculated by dividing the profit attributable
to\u00a0the\u00a0owners of the parent company by the weighted average number of ordinary shares outstanding. During 2024,
the bank distributed a final dividend for 2023 of EUR 0.89 per share for a total of EUR 744 million and an interim
dividend was distributed for 2024 of EUR 0.60 per share for a total of EUR 500 million. For the year 2024, a final
dividend has been proposed of EUR 0.75 per share.
During the first half of 2024, ABN AMRO Bank N.V. conducted a EUR 500 million buyback programme. The buyback
programme resulted in the purchase of 33 million ordinary shares throughout the first half year. As a result,
the\u00a0weighted average number of ordinary shares was 841 million.
", "dimensions": { "concept": "ifrs-full:DisclosureOfEarningsPerShareExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-453": { "value": "
12\u00a0 Earnings per share
During the first half of 2024, ABN AMRO Bank N.V. conducted a EUR 500 million buyback programme. The buyback
programme resulted in the purchase of 33 million ordinary shares throughout the first half year. As a result,
the\u00a0weighted average number of ordinary shares was 841 million.
33\u00a0 Equity
During the first half of 2024, ABN AMRO Bank N.V. purchased treasury shares under the buyback programme for
EUR\u00a0500 million, at an average price of EUR 15.37 per share. These treasury shares were cancelled during Q3,
resulting in a reduction in the issued share capital of 32,526,813 shares, with a nominal value of EUR 1.00 each.
The\u00a0amount of the purchase value between EUR 1.00 (the nominal value of the purchased shares) and EUR 11.55
(the\u00a0value of the purchased shares for tax purposes) has been deducted from the share premium reserve. The amount
of the purchase value in excess of EUR 11.55 has been deducted from other reserves.
", "dimensions": { "concept": "ifrs-full:DisclosureOfTreasurySharesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-452": { "value": "
12\u00a0 Earnings per share
Given that ABN AMRO Bank N.V. does not have any potentially dilutive ordinary shares, only basic earnings per
ordinary share are disclosed. Basic earnings per ordinary share are calculated by dividing the profit attributable
to\u00a0the\u00a0owners of the parent company by the weighted average number of ordinary shares outstanding. During 2024,
the bank distributed a final dividend for 2023 of EUR 0.89 per share for a total of EUR 744 million and an interim
dividend was distributed for 2024 of EUR 0.60 per share for a total of EUR 500 million. For the year 2024, a final
dividend has been proposed of EUR 0.75 per share.
33\u00a0 Equity
Dividends
Dividends on ordinary shares classified as equity are recognised as a distribution of equity in the period in which
they are approved by shareholders.
At 31 December 2024, the authorised share capital of ABN AMRO Bank N.V. amounted to 2,400,000,000 shares.
The\u00a0authorised 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\u00a0General Meeting. During the financial year, there were no changes in the authorised share capital. The total
number of issued shares at 31 December 2024 was 833,048,566. In 2024, the final dividend for the year 2023 was
paid out at EUR 0.89 per share for a total of EUR 744 million and the 2024 interim dividend was paid out at EUR 0.60
per share for a total of EUR 500 million. For the year 2024, a final dividend has been proposed of EUR 0.75 per share.
", "dimensions": { "concept": "ifrs-full:DisclosureOfDividendsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-454": { "value": "0.75", "decimals": 2, "dimensions": { "concept": "ifrs-full:DividendsProposedOrDeclaredBeforeFinancialStatementsAuthorisedForIssueButNotRecognisedAsDistributionToOwnersPerShare", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00", "unit": "iso4217:EUR/xbrli:shares" } }, "f-456": { "value": "
13\u00a0 Cash and balances at central banks
Accounting policy for cash and balances at central banks
Cash and balances at central banks are held at amortised cost. This item includes cash on hand and available
demand deposits with central banks in countries in which the bank has a presence. Mandatory reserve deposits
are disclosed in Note 20 - Loans and advances banks.
(in millions)
31 December 2024
31 December 2023
Cash on hand and other cash equivalents
414
299
Balances with central banks readily convertible in cash other than mandatory reserve deposits
44,050
53,357
Total cash and balances at central banks
44,464
53,656
20\u00a0 Loans and advances banks
(in millions)
31 December 2024
31 December 2023
Interest-bearing deposits
1,169
1,401
Loans and advances
707
729
Mandatory reserve deposits with central banks
166
181
Other loans and advances banks
12
16
Subtotal
2,053
2,327
Less: loan impairment allowances
4
3
Total loans and advances banks
2,049
2,324
Mandatory reserve deposits are held with local central banks in accordance with statutory requirements. The most
relevant for the bank are the minimum reserve requirements determined by the ECB. The ECB prescribes how
the\u00a0minimum reserve amount should be calculated during pre-defined reserve periods. During such a period,
the\u00a0balances are available for use by ABN AMRO. The bank manages and monitors deposits to ensure that it meets
the\u00a0minimum reserve requirements for the period.
", "dimensions": { "concept": "ifrs-full:DisclosureOfCashAndCashEquivalentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-455": { "value": "
13\u00a0 Cash and balances at central banks
Accounting policy for cash and balances at central banks
Cash and balances at central banks are held at amortised cost. This item includes cash on hand and available
demand deposits with central banks in countries in which the bank has a presence. Mandatory reserve deposits
are disclosed in Note 20 - Loans and advances banks.
(in millions)
31 December 2024
31 December 2023
Cash on hand and other cash equivalents
414
299
Balances with central banks readily convertible in cash other than mandatory reserve deposits
44,050
53,357
Total cash and balances at central banks
44,464
53,656
20\u00a0 Loans and advances banks
(in millions)
31 December 2024
31 December 2023
Interest-bearing deposits
1,169
1,401
Loans and advances
707
729
Mandatory reserve deposits with central banks
166
181
Other loans and advances banks
12
16
Subtotal
2,053
2,327
Less: loan impairment allowances
4
3
Total loans and advances banks
2,049
2,324
Mandatory reserve deposits are held with local central banks in accordance with statutory requirements. The most
relevant for the bank are the minimum reserve requirements determined by the ECB. The ECB prescribes how
the\u00a0minimum reserve amount should be calculated during pre-defined reserve periods. During such a period,
the\u00a0balances are available for use by ABN AMRO. The bank manages and monitors deposits to ensure that it meets
the\u00a0minimum reserve requirements for the period.
", "dimensions": { "concept": "ifrs-full:DisclosureOfCashAndBankBalancesAtCentralBanksExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-459": { "value": "
14\u00a0 Financial assets and liabilities held for trading
Accounting policy for financial assets and liabilities held for trading
In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or
loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement.
Financial assets and liabilities held for trading relates mainly to client-facilitating activities carried out by the Global
Markets business. These contracts are managed on a combined basis and are therefore assessed on a total portfolio
basis rather than as stand-alone asset and liability classes.
Financial assets held for trading
(in millions)
31 December 2024
31 December 2023
Trading securities
Government bonds
1,169
341
Corporate debt securities
1,246
1,019
Equity securities
2
1
Total trading securities
2,416
1,361
Other trading assets
87
10
Total financial assets held for trading
2,503
1,371
\"\"
Financial liabilities held for trading
(in millions)
31 December 2024
31 December 2023
Bonds
1,040
814
Equity securities
7
Total short security positions
1,040
821
Other liabilities held for trading
123
96
Total financial liabilities held for trading
1,163
917
15\u00a0 Derivatives
Accounting policy for derivatives
A derivative is a financial instrument or other contract within the scope of IFRS 9 with all three of the following
characteristics:
\u2022 its value changes in response to the change in a specified interest rate, financial instrument price, commodity
price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided
in\u00a0the case of a non-financial variable that the variable is not specific to a party to the contract (sometimes
called the \u2018underlying\u2019)
\u2022 it requires no initial net investment or an initial net investment that is smaller than would be required for other
types of contracts that would be expected to have a similar response to changes in market factors
\u2022 it is settled at a future date
Derivatives are recorded at fair value.
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\u00a0the statement of financial position in either 2024 or 2023.
Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held
for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading
portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate
exposures. ABN AMRO also provides products traded on the financial markets to institutional and individual clients and
governments.
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 2024
Derivatives held for trading
Economic hedges
Hedge
accounting
Total
derivatives
(in millions)
Interest rate
Currency
Other
Interest rate
Currency
Other
Interest rate
Exchange traded
Fair value assets
5
5
Fair value liabilities
3
3
Notionals
429
22
451
Over-the-counter
Central counterparties
Fair value assets
Fair value liabilities
Notionals
1,985,210
298
177,535
2,163,043
Other bilateral
Fair value assets
3,056
829
1
33
376
46
4,342
Fair value liabilities
1,427
690
4
37
113
224
2,495
Notionals
69,354
62,798
477
640
31,636
2,349
167,254
Total
Fair value assets
3,061
829
1
33
376
46
4,347
Fair value liabilities
1,430
690
4
37
113
224
2,499
Notionals
2,054,992
62,820
477
938
31,636
179,884
2,330,749
31 December 2023
Derivatives held for trading
Economic hedges
Hedge
accounting
Total
derivatives
(in millions)
Interest rate
Currency
Other
Interest rate
Currency
Other
Interest rate
Exchange traded
Fair value assets
4
4
Fair value liabilities
1
1
Notionals
3,273
30
3,303
Over-the-counter
Central counterparties
Fair value assets
Fair value liabilities
Notionals
1,428,191
1,049
112,795
1,542,035
Other bilateral
Fair value assets
3,527
505
2
41
271
53
4,399
Fair value liabilities
1,946
470
5
66
82
286
2,855
Notionals
255,738
36,794
286
597
24,873
85,602
403,889
Total
Fair value assets
3,531
505
2
41
271
53
4,403
Fair value liabilities
1,946
470
5
66
82
286
2,856
Notionals
1,687,201
36,824
286
1,645
24,873
198,398
1,949,227
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsHeldForTradingExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-458": { "value": "
14\u00a0 Financial assets and liabilities held for trading
Accounting policy for financial assets and liabilities held for trading
In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or
loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement.
Financial assets and liabilities held for trading relates mainly to client-facilitating activities carried out by the Global
Markets business. These contracts are managed on a combined basis and are therefore assessed on a total portfolio
basis rather than as stand-alone asset and liability classes.
Financial assets held for trading
(in millions)
31 December 2024
31 December 2023
Trading securities
Government bonds
1,169
341
Corporate debt securities
1,246
1,019
Equity securities
2
1
Total trading securities
2,416
1,361
Other trading assets
87
10
Total financial assets held for trading
2,503
1,371
\"\"
Financial liabilities held for trading
(in millions)
31 December 2024
31 December 2023
Bonds
1,040
814
Equity securities
7
Total short security positions
1,040
821
Other liabilities held for trading
123
96
Total financial liabilities held for trading
1,163
917
15\u00a0 Derivatives
Accounting policy for derivatives
A derivative is a financial instrument or other contract within the scope of IFRS 9 with all three of the following
characteristics:
\u2022 its value changes in response to the change in a specified interest rate, financial instrument price, commodity
price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided
in\u00a0the case of a non-financial variable that the variable is not specific to a party to the contract (sometimes
called the \u2018underlying\u2019)
\u2022 it requires no initial net investment or an initial net investment that is smaller than would be required for other
types of contracts that would be expected to have a similar response to changes in market factors
\u2022 it is settled at a future date
Derivatives are recorded at fair value.
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\u00a0the statement of financial position in either 2024 or 2023.
Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held
for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading
portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate
exposures. ABN AMRO also 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.
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 2024
Derivatives held for trading
Economic hedges
Hedge
accounting
Total
derivatives
(in millions)
Interest rate
Currency
Other
Interest rate
Currency
Other
Interest rate
Exchange traded
Fair value assets
5
5
Fair value liabilities
3
3
Notionals
429
22
451
Over-the-counter
Central counterparties
Fair value assets
Fair value liabilities
Notionals
1,985,210
298
177,535
2,163,043
Other bilateral
Fair value assets
3,056
829
1
33
376
46
4,342
Fair value liabilities
1,427
690
4
37
113
224
2,495
Notionals
69,354
62,798
477
640
31,636
2,349
167,254
Total
Fair value assets
3,061
829
1
33
376
46
4,347
Fair value liabilities
1,430
690
4
37
113
224
2,499
Notionals
2,054,992
62,820
477
938
31,636
179,884
2,330,749
31 December 2023
Derivatives held for trading
Economic hedges
Hedge
accounting
Total
derivatives
(in millions)
Interest rate
Currency
Other
Interest rate
Currency
Other
Interest rate
Exchange traded
Fair value assets
4
4
Fair value liabilities
1
1
Notionals
3,273
30
3,303
Over-the-counter
Central counterparties
Fair value assets
Fair value liabilities
Notionals
1,428,191
1,049
112,795
1,542,035
Other bilateral
Fair value assets
3,527
505
2
41
271
53
4,399
Fair value liabilities
1,946
470
5
66
82
286
2,855
Notionals
255,738
36,794
286
597
24,873
85,602
403,889
Total
Fair value assets
3,531
505
2
41
271
53
4,403
Fair value liabilities
1,946
470
5
66
82
286
2,856
Notionals
1,687,201
36,824
286
1,645
24,873
198,398
1,949,227
17\u00a0 Financial investments
Accounting policy for financial investments
Financial investments include financial instruments measured at fair value through other comprehensive income
(FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL).
Accounting policy for financial instruments measured at fair value through profit and loss
Financial investments can be designated at FVTPL if doing so eliminates or significantly reduces a measurement
or recognition inconsistency (an accounting mismatch). ABN AMRO also has financial instruments that are
mandatorily measured at fair value because they do not meet the SPPI test.
(in millions)
31 December 2024
31 December 2023
Financial investments
Debt securities held at fair value through other comprehensive income
46,196
40,663
Held at fair value through profit or loss
977
838
Total financial investments
47,173
41,501
Financial investments measured at fair value through profit or loss
(in millions)
31 December 2024
31 December 2023
Private equities and venture capital
680
559
Equity securities
297
279
Total investments held at fair value through profit or loss
977
838
21\u00a0 Loans and advances customers
Accounting policy for loans and advances customers
The accounting policy for loans and advances customers is included in Note 20 - Loans and advances banks.
Please refer to Note 1 - Accounting policies in the Consolidated Annual Financial Statements and to the Credit
risk management section of the Risk, funding & capital chapter (Accounting policy for measuring allowances for
credit losses).
\"\"
(in millions)
31 December 2024
31 December 2023
Residential mortgages (excluding fair value adjustment)
156,209
151,078
Fair value adjustment from hedge accounting on residential mortgages
-4,686
-6,005
Residential mortgages, gross
151,523
145,073
Less: loan impairment allowances - residential mortgage loans
133
198
Residential mortgages
151,390
144,875
Consumer loans at amortised cost, gross
7,575
8,380
Less: loan impairment allowances - consumer loans
130
147
Consumer loans at amortised cost
7,445
8,233
Consumer loans at fair value through P&L
600
648
Corporate loans (excluding fair value adjustment)
76,679
78,387
Fair value adjustment from hedge accounting on corporate loans
102
96
Financial lease receivables
3,822
4,169
Factoring
3,326
4,227
Corporate loans at amortised cost, gross
83,929
86,880
Less: loan impairment allowances - corporate loans
1,100
1,254
Corporate loans at amortised cost
82,829
85,626
Corporate loans at fair value through P&L
30
59
Government and official institutions
298
455
Other loans
6,191
6,043
Other loans and advances customers, gross
6,489
6,497
Less: loan impairment allowances - other
2
3
Other loans and advances customers
6,487
6,494
Total loans and advances customers
248,782
245,935
For information on loan impairment allowances, please refer to the Credit risk review section in the Risk, funding &
capital chapter.
29\u00a0 Issued debt and subordinated liabilities
Accounting policy for issued debt and subordinated liabilities
Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate
method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be
measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce
an\u00a0accounting mismatch, are managed on the basis of their fair value or include terms that qualify as
an\u00a0embedded 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\u00a0substance 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\u00a0credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt
measured at fair value through profit or loss is valued at market prices.
Fair value changes are calculated based on a yield curve generated from observed external pricing for funding
and quoted CDS spreads
The following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding.
Movements in these debt instruments involve a continual process of redemption and issuance of long-term and
short\u2011term funding.
Issued debt
(in millions)
31 December 2024
31 December 2023
Bonds and notes issued
56,416
52,264
Certificates of deposit and commercial paper
17,922
13,741
Total at amortised cost
74,337
66,005
Designated at fair value through profit or loss
205
222
Total issued debt
74,542
66,227
- of which matures within one year
24,999
17,408
2024
2023
(in millions)
Carrying amount
Carrying amount
Balance as at 1 January
66,227
56,259
Cash flows
Issuance
42,885
49,985
Redemption
-36,980
-43,196
Non-cash changes
Foreign exchange differences
909
-96
Fair value changes own credit risk
-2
-2
Fair value changes hedge accounting
902
2,514
Other
601
762
Balance as at 31 December
74,542
66,227
\"\"
The amounts of debt issued and redeemed during the period are shown in the Consolidated statement of cash flows.
Non-cash changes consist mainly of unrealised gains and losses and foreign exchange differences. Further details
of\u00a0the funding programmes are provided in the Funding section of the Risk, funding & capital chapter.
Financial liabilities designated at fair value through profit or loss
(in millions)
31 December 2024
31 December 2023
Cumulative change in fair value of the structured notes attributable to changes in credit risk
1
2
Change during the year in fair value of the structured notes attributable to changes in credit risk
-2
-2
Difference between amount contractually required to pay at maturity and the carrying amount
6
10
The change in fair value of the structured notes attributable to changes in credit risk is determined using the credit
spread implicit in the fair value of similar bonds traded in active markets and issued by ABN AMRO.
Transferred financial assets not derecognised in their entirety
The following table shows transferred financial assets that have not been derecognised in their entirety.
31 December 2024
31 December 2023
(in millions)
Financial
investments
(at fair value
through OCI)
Financial assets
held for trading
(at fair value
through profit
and loss)
Total
Financial
investments
(at fair value
through OCI)
Financial assets
held for trading
(at fair value
through profit
and loss)
Total
Securities financing
Carrying amount Transferred assets
12,748
1
12,748
12,924
409
13,332
Carrying amount Associated liabilities
873
1
874
2,043
409
2,451
Fair value of assets
12,748
1
12,748
12,924
409
13,332
Fair value of associated liabilities
873
1
874
2,043
409
2,451
Net position
11,875
11,875
10,881
10,881
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsAtFairValueThroughProfitOrLossExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-457": { "value": "
14\u00a0 Financial assets and liabilities held for trading
Accounting policy for financial assets and liabilities held for trading
In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or
loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement.
Financial assets and liabilities held for trading relates mainly to client-facilitating activities carried out by the Global
Markets business. These contracts are managed on a combined basis and are therefore assessed on a total portfolio
basis rather than as stand-alone asset and liability classes.
Financial assets held for trading
(in millions)
31 December 2024
31 December 2023
Trading securities
Government bonds
1,169
341
Corporate debt securities
1,246
1,019
Equity securities
2
1
Total trading securities
2,416
1,361
Other trading assets
87
10
Total financial assets held for trading
2,503
1,371
15\u00a0 Derivatives
Accounting policy for derivatives
A derivative is a financial instrument or other contract within the scope of IFRS 9 with all three of the following
characteristics:
\u2022 its value changes in response to the change in a specified interest rate, financial instrument price, commodity
price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided
in\u00a0the case of a non-financial variable that the variable is not specific to a party to the contract (sometimes
called the \u2018underlying\u2019)
\u2022 it requires no initial net investment or an initial net investment that is smaller than would be required for other
types of contracts that would be expected to have a similar response to changes in market factors
\u2022 it is settled at a future date
Derivatives are recorded at fair value.
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\u00a0the statement of financial position in either 2024 or 2023.
Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held
for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading
portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate
exposures. ABN AMRO also provides products traded on the financial markets to institutional and individual clients and
governments.
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 2024
Derivatives held for trading
Economic hedges
Hedge
accounting
Total
derivatives
(in millions)
Interest rate
Currency
Other
Interest rate
Currency
Other
Interest rate
Exchange traded
Fair value assets
5
5
Fair value liabilities
3
3
Notionals
429
22
451
Over-the-counter
Central counterparties
Fair value assets
Fair value liabilities
Notionals
1,985,210
298
177,535
2,163,043
Other bilateral
Fair value assets
3,056
829
1
33
376
46
4,342
Fair value liabilities
1,427
690
4
37
113
224
2,495
Notionals
69,354
62,798
477
640
31,636
2,349
167,254
Total
Fair value assets
3,061
829
1
33
376
46
4,347
Fair value liabilities
1,430
690
4
37
113
224
2,499
Notionals
2,054,992
62,820
477
938
31,636
179,884
2,330,749
31 December 2023
Derivatives held for trading
Economic hedges
Hedge
accounting
Total
derivatives
(in millions)
Interest rate
Currency
Other
Interest rate
Currency
Other
Interest rate
Exchange traded
Fair value assets
4
4
Fair value liabilities
1
1
Notionals
3,273
30
3,303
Over-the-counter
Central counterparties
Fair value assets
Fair value liabilities
Notionals
1,428,191
1,049
112,795
1,542,035
Other bilateral
Fair value assets
3,527
505
2
41
271
53
4,399
Fair value liabilities
1,946
470
5
66
82
286
2,855
Notionals
255,738
36,794
286
597
24,873
85,602
403,889
Total
Fair value assets
3,531
505
2
41
271
53
4,403
Fair value liabilities
1,946
470
5
66
82
286
2,856
Notionals
1,687,201
36,824
286
1,645
24,873
198,398
1,949,227
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialAssetsHeldForTradingExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-460": { "value": "
14\u00a0 Financial assets and liabilities held for trading
Accounting policy for financial assets and liabilities held for trading
In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or
loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement.
Financial assets and liabilities held for trading relates mainly to client-facilitating activities carried out by the Global
Markets business. These contracts are managed on a combined basis and are therefore assessed on a total portfolio
basis rather than as stand-alone asset and liability classes.
Financial liabilities held for trading
(in millions)
31 December 2024
31 December 2023
Bonds
1,040
814
Equity securities
7
Total short security positions
1,040
821
Other liabilities held for trading
123
96
Total financial liabilities held for trading
1,163
917
15\u00a0 Derivatives
Accounting policy for derivatives
A derivative is a financial instrument or other contract within the scope of IFRS 9 with all three of the following
characteristics:
\u2022 its value changes in response to the change in a specified interest rate, financial instrument price, commodity
price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided
in\u00a0the case of a non-financial variable that the variable is not specific to a party to the contract (sometimes
called the \u2018underlying\u2019)
\u2022 it requires no initial net investment or an initial net investment that is smaller than would be required for other
types of contracts that would be expected to have a similar response to changes in market factors
\u2022 it is settled at a future date
Derivatives are recorded at fair value.
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\u00a0the statement of financial position in either 2024 or 2023.
Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held
for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading
portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate
exposures. ABN AMRO also provides products traded on the financial markets to institutional and individual clients and
governments.
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 2024
Derivatives held for trading
Economic hedges
Hedge
accounting
Total
derivatives
(in millions)
Interest rate
Currency
Other
Interest rate
Currency
Other
Interest rate
Exchange traded
Fair value assets
5
5
Fair value liabilities
3
3
Notionals
429
22
451
Over-the-counter
Central counterparties
Fair value assets
Fair value liabilities
Notionals
1,985,210
298
177,535
2,163,043
Other bilateral
Fair value assets
3,056
829
1
33
376
46
4,342
Fair value liabilities
1,427
690
4
37
113
224
2,495
Notionals
69,354
62,798
477
640
31,636
2,349
167,254
Total
Fair value assets
3,061
829
1
33
376
46
4,347
Fair value liabilities
1,430
690
4
37
113
224
2,499
Notionals
2,054,992
62,820
477
938
31,636
179,884
2,330,749
31 December 2023
Derivatives held for trading
Economic hedges
Hedge
accounting
Total
derivatives
(in millions)
Interest rate
Currency
Other
Interest rate
Currency
Other
Interest rate
Exchange traded
Fair value assets
4
4
Fair value liabilities
1
1
Notionals
3,273
30
3,303
Over-the-counter
Central counterparties
Fair value assets
Fair value liabilities
Notionals
1,428,191
1,049
112,795
1,542,035
Other bilateral
Fair value assets
3,527
505
2
41
271
53
4,399
Fair value liabilities
1,946
470
5
66
82
286
2,855
Notionals
255,738
36,794
286
597
24,873
85,602
403,889
Total
Fair value assets
3,531
505
2
41
271
53
4,403
Fair value liabilities
1,946
470
5
66
82
286
2,856
Notionals
1,687,201
36,824
286
1,645
24,873
198,398
1,949,227
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialLiabilitiesHeldForTradingExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-461": { "value": "
14\u00a0 Financial assets and liabilities held for trading
Accounting policy for financial assets and liabilities held for trading
In accordance with IFRS 9, all assets and liabilities held for trading are measured at fair value through profit or
loss, with gains and losses in the changes of the fair value taken to net trading income in the income statement.
15\u00a0 Derivatives
Accounting policy for derivatives
A derivative is a financial instrument or other contract within the scope of IFRS 9 with all three of the following
characteristics:
\u2022 its value changes in response to the change in a specified interest rate, financial instrument price, commodity
price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided
in\u00a0the case of a non-financial variable that the variable is not specific to a party to the contract (sometimes
called the \u2018underlying\u2019)
\u2022 it requires no initial net investment or an initial net investment that is smaller than would be required for other
types of contracts that would be expected to have a similar response to changes in market factors
\u2022 it is settled at a future date
Derivatives are recorded at fair value.
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\u00a0the statement of financial position in either 2024 or 2023.
17\u00a0 Financial investments
Accounting policy for financial investments
Financial investments include financial instruments measured at fair value through other comprehensive income
(FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL).
Accounting policy for financial instruments measured at fair value through profit and loss
Financial investments can be designated at FVTPL if doing so eliminates or significantly reduces a measurement
or recognition inconsistency (an accounting mismatch). ABN AMRO also has financial instruments that are
mandatorily measured at fair value because they do not meet the SPPI test.
29\u00a0 Issued debt and subordinated liabilities
Accounting policy for issued debt and subordinated liabilities
Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate
method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be
measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce
an\u00a0accounting mismatch, are managed on the basis of their fair value or include terms that qualify as
an\u00a0embedded 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\u00a0substance 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\u00a0credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt
measured at fair value through profit or loss is valued at market prices.
Fair value changes are calculated based on a yield curve generated from observed external pricing for funding
and quoted CDS spreads
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialInstrumentsAtFairValueThroughProfitOrLossExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-464": { "value": "
15\u00a0 Derivatives
Accounting policy for derivatives
A derivative is a financial instrument or other contract within the scope of IFRS 9 with all three of the following
characteristics:
\u2022 its value changes in response to the change in a specified interest rate, financial instrument price, commodity
price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided
in\u00a0the case of a non-financial variable that the variable is not specific to a party to the contract (sometimes
called the \u2018underlying\u2019)
\u2022 it requires no initial net investment or an initial net investment that is smaller than would be required for other
types of contracts that would be expected to have a similar response to changes in market factors
\u2022 it is settled at a future date
Derivatives are recorded at fair value.
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\u00a0the statement of financial position in either 2024 or 2023.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerivativeFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-463": { "value": "
15\u00a0 Derivatives
Accounting policy for derivatives
A derivative is a financial instrument or other contract within the scope of IFRS 9 with all three of the following
characteristics:
\u2022 its value changes in response to the change in a specified interest rate, financial instrument price, commodity
price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided
in\u00a0the case of a non-financial variable that the variable is not specific to a party to the contract (sometimes
called the \u2018underlying\u2019)
\u2022 it requires no initial net investment or an initial net investment that is smaller than would be required for other
types of contracts that would be expected to have a similar response to changes in market factors
\u2022 it is settled at a future date
Derivatives are recorded at fair value.
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\u00a0the statement of financial position in either 2024 or 2023.
16\u00a0 Hedge accounting
Accounting policy for hedge accounting
ABN AMRO enters into various derivative and non-derivative instrument transactions with external parties
to\u00a0hedge risks on assets, liabilities, highly probable forecasted transactions 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\u00a0non-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\u00a0asset, a liability, or a net investment in a foreign operation that (a) exposes the entity to the risk of changes
in\u00a0fair 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 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 Union
As permitted by IFRS 9 paragraph 7.2.21, ABN AMRO has elected to continue applying the requirements of IAS 39
as endorsed by the European Union instead of applying the hedge accounting requirements of IFRS 9.
The\u00a0EU\u2011endorsed version of IAS 39 provides relief from certain hedge accounting requirements when compared
to\u00a0the 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\u00a0over\u2011hedging. This relief is applied in the macro fair value hedge.
Fair value hedges
ABN AMRO applies fair value hedge accounting on individual hedged items (micro fair value hedging), as well as
on a portfolio of hedged items (macro fair value hedging). Where a derivative financial instrument hedges
the\u00a0exposure 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\u00a0the\u00a0hedging instrument are different from the changes in the fair value of the hedged item. When a fair value
hedge of interest rate risk is terminated, any value adjustment to the carrying amount of the hedged item is
amortised to profit or loss over the original designated hedging period, or taken directly to income if the hedged
item is derecognised.
\"\"
Micro fair value hedge accounting
Hedging instruments designated in individual fair value hedge relationships principally consist of interest rate
swaps, interest rate options and cross-currency interest rate swaps that are used to protect against changes
in\u00a0the\u00a0fair 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
\u2022 potential differences in maturities of the interest rate swap and the loans or notes
Macro fair value hedge accounting
ABN AMRO manages the interest rate risk arising from fixed-rate mortgages by entering into interest rate swaps.
The exposure from this portfolio changes frequently 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\u2011designated 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\u00a0interest 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\u00a0the\u00a0mortgages. The recognised fair value changes in the mortgages partially offset the changes in fair value
of\u00a0the 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\u00a0the\u00a0extent 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 hedges
ABN AMRO applies cash flow hedge accounting to a portfolio of future cash flows on banking book assets and
liabilities \u2013 the hedged items \u2013 and a portfolio of interest rate swaps \u2013 the hedging instruments. The hedge
relationship is reviewed on a monthly basis and the hedging instruments and hedged items are de-designated or
re-designated, if necessary, to maintain an effective hedge accounting relationship.\u00a0
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\u00a0other operating income. When a cash flow hedging instrument or hedge relationship is terminated but
the\u00a0hedged transaction is still expected to occur, the accumulated gains or losses continue to be recognised
in\u00a0other comprehensive income and are transferred to the income statement when the hedged transaction affects
profit or loss.\u00a0
The gains or losses are included in the same line item as the hedged transaction. In the exceptional case that
the\u00a0hedged 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\u00a0different 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\u00a0the\u00a0designation. Back-testing is performed on the interest rate risk models. Historical data are used to review
the assumptions applied.
\"\"
Hedges of net investments in foreign operations
ABN AMRO may enter into foreign currency derivatives and currency borrowings to hedge various net
investments in foreign operations. For such hedges, currency translation differences arising on translation
of\u00a0the\u00a0currency 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.\u00a0
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.\u00a0
Hedges not qualifying for hedge accounting
The fair value changes of derivative transactions used to hedge against economic risk exposures that do not
qualify for hedge accounting, or for which it is not cost-beneficial to apply hedge accounting, are recognised
directly in profit or loss.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerivativeFinancialInstrumentsAndHedgingExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-462": { "value": "
15\u00a0 Derivatives
Accounting policy for derivatives
A derivative is a financial instrument or other contract within the scope of IFRS 9 with all three of the following
characteristics:
\u2022 its value changes in response to the change in a specified interest rate, financial instrument price, commodity
price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided
in\u00a0the case of a non-financial variable that the variable is not specific to a party to the contract (sometimes
called the \u2018underlying\u2019)
\u2022 it requires no initial net investment or an initial net investment that is smaller than would be required for other
types of contracts that would be expected to have a similar response to changes in market factors
\u2022 it is settled at a future date
Derivatives are recorded at fair value.
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\u00a0the statement of financial position in either 2024 or 2023.
Derivatives comprise derivatives held for trading and derivatives held for risk management purposes. Derivatives held
for trading are closely related to facilitating the needs of our clients. A significant part of the derivatives in the trading
portfolio is related to serving clients in their risk management to hedge, for example, currency or interest rate
exposures. ABN AMRO also 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.
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 2024
Derivatives held for trading
Economic hedges
Hedge
accounting
Total
derivatives
(in millions)
Interest rate
Currency
Other
Interest rate
Currency
Other
Interest rate
Exchange traded
Fair value assets
5
5
Fair value liabilities
3
3
Notionals
429
22
451
Over-the-counter
Central counterparties
Fair value assets
Fair value liabilities
Notionals
1,985,210
298
177,535
2,163,043
Other bilateral
Fair value assets
3,056
829
1
33
376
46
4,342
Fair value liabilities
1,427
690
4
37
113
224
2,495
Notionals
69,354
62,798
477
640
31,636
2,349
167,254
Total
Fair value assets
3,061
829
1
33
376
46
4,347
Fair value liabilities
1,430
690
4
37
113
224
2,499
Notionals
2,054,992
62,820
477
938
31,636
179,884
2,330,749
31 December 2023
Derivatives held for trading
Economic hedges
Hedge
accounting
Total
derivatives
(in millions)
Interest rate
Currency
Other
Interest rate
Currency
Other
Interest rate
Exchange traded
Fair value assets
4
4
Fair value liabilities
1
1
Notionals
3,273
30
3,303
Over-the-counter
Central counterparties
Fair value assets
Fair value liabilities
Notionals
1,428,191
1,049
112,795
1,542,035
Other bilateral
Fair value assets
3,527
505
2
41
271
53
4,399
Fair value liabilities
1,946
470
5
66
82
286
2,855
Notionals
255,738
36,794
286
597
24,873
85,602
403,889
Total
Fair value assets
3,531
505
2
41
271
53
4,403
Fair value liabilities
1,946
470
5
66
82
286
2,856
Notionals
1,687,201
36,824
286
1,645
24,873
198,398
1,949,227
", "dimensions": { "concept": "ifrs-full:DisclosureOfDerivativeFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-465": { "value": "
16\u00a0 Hedge accounting
Accounting policy for hedge accounting
ABN AMRO enters into various derivative and non-derivative instrument transactions with external parties
to\u00a0hedge risks on assets, liabilities, highly probable forecasted transactions 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\u00a0non-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\u00a0asset, a liability, or a net investment in a foreign operation that (a) exposes the entity to the risk of changes
in\u00a0fair 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 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 Union
As permitted by IFRS 9 paragraph 7.2.21, ABN AMRO has elected to continue applying the requirements of IAS 39
as endorsed by the European Union instead of applying the hedge accounting requirements of IFRS 9.
The\u00a0EU\u2011endorsed version of IAS 39 provides relief from certain hedge accounting requirements when compared
to\u00a0the 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\u00a0over\u2011hedging. This relief is applied in the macro fair value hedge.
Fair value hedges
ABN AMRO applies fair value hedge accounting on individual hedged items (micro fair value hedging), as well as
on a portfolio of hedged items (macro fair value hedging). Where a derivative financial instrument hedges
the\u00a0exposure 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\u00a0the\u00a0hedging instrument are different from the changes in the fair value of the hedged item. When a fair value
hedge of interest rate risk is terminated, any value adjustment to the carrying amount of the hedged item is
amortised to profit or loss over the original designated hedging period, or taken directly to income if the hedged
item is derecognised.
\"\"
Micro fair value hedge accounting
Hedging instruments designated in individual fair value hedge relationships principally consist of interest rate
swaps, interest rate options and cross-currency interest rate swaps that are used to protect against changes
in\u00a0the\u00a0fair 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
\u2022 potential differences in maturities of the interest rate swap and the loans or notes
Macro fair value hedge accounting
ABN AMRO manages the interest rate risk arising from fixed-rate mortgages by entering into interest rate swaps.
The exposure from this portfolio changes frequently 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\u2011designated 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\u00a0interest 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\u00a0the\u00a0mortgages. The recognised fair value changes in the mortgages partially offset the changes in fair value
of\u00a0the 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\u00a0the\u00a0extent 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 hedges
ABN AMRO applies cash flow hedge accounting to a portfolio of future cash flows on banking book assets and
liabilities \u2013 the hedged items \u2013 and a portfolio of interest rate swaps \u2013 the hedging instruments. The hedge
relationship is reviewed on a monthly basis and the hedging instruments and hedged items are de-designated or
re-designated, if necessary, to maintain an effective hedge accounting relationship.\u00a0
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\u00a0other operating income. When a cash flow hedging instrument or hedge relationship is terminated but
the\u00a0hedged transaction is still expected to occur, the accumulated gains or losses continue to be recognised
in\u00a0other comprehensive income and are transferred to the income statement when the hedged transaction affects
profit or loss.\u00a0
The gains or losses are included in the same line item as the hedged transaction. In the exceptional case that
the\u00a0hedged 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\u00a0different 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\u00a0the\u00a0designation. Back-testing is performed on the interest rate risk models. Historical data are used to review
the assumptions applied.
\"\"
Hedges of net investments in foreign operations
ABN AMRO may enter into foreign currency derivatives and currency borrowings to hedge various net
investments in foreign operations. For such hedges, currency translation differences arising on translation
of\u00a0the\u00a0currency 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.\u00a0
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.\u00a0
Hedges not qualifying for hedge accounting
The fair value changes of derivative transactions used to hedge against economic risk exposures that do not
qualify for hedge accounting, or for which it is not cost-beneficial to apply hedge accounting, are recognised
directly in profit or loss.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForHedgingExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-468": { "value": "
17\u00a0 Financial investments
Accounting policy for financial instruments measured at fair value through other
comprehensive income
Unrealised gains and losses on FVOCI assets are recognised directly in other comprehensive income, net
of\u00a0applicable 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\u00a0the income statement. The impairment loss resulting from the ECL on FVOCI debt instruments is recognised
in\u00a0the 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\u00a0AMRO\u2019s impairment assessment and measurement approach for FVOCI debt instruments is set
out in the Credit risk management section of 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 2024
31 December 2023
Financial investments
Debt securities held at fair value through other comprehensive income
46,196
40,663
Held at fair value through profit or loss
977
838
Total financial investments
47,173
41,501
Debt securities held at fair value through other comprehensive income consist mainly of government bonds.
Financial investments measured at fair value through other comprehensive income
(in millions)
31 December 2024
31 December 2023
Interest-earning securities
Dutch government
3,261
2,642
US Treasury and US government
7,140
6,861
Other OECD government
19,143
15,761
Non-OECD government
170
150
International bonds issued by the European Union
3,319
2,962
European Stability Mechanism
2,441
2,349
Mortgage- and other asset-backed securities
5,288
5,046
Financial institutions
5,404
3,477
Non-financial institutions
29
1,414
Total investments held at fair value through other comprehensive income
46,196
40,663
Government bonds by country of origin
31 December 2024
31 December 2023
(in millions)
Accumulated unrealised
gains/(losses) and
fair value hedges
gains/(losses)
Impairments
Fair
value
Accumulated unrealised
gains/(losses) and
fair value hedges
gains/(losses)
Impairments
Fair
value
Dutch national government
-61
-1
3,261
-23
2,642
USA national government
-267
7,140
-265
6,861
German national government
-118
5,315
-161
4,924
French national government
-61
2,025
-77
1,781
Belgian national government
-152
2,791
-164
-1
2,861
Austrian national government
-34
1,658
-11
1,774
Finnish national government
-50
1,496
-20
1,040
Luxembourg national government
-19
305
-22
245
Canadian national government
-45
1,186
-64
1,142
Japanese national government
-1
2,426
568
Polish national government
34
330
35
330
Spanish national government
4
615
-9
268
United Kingdom national government
-11
170
9
183
Danish national government
-22
341
-10
183
Italian national government
-29
382
-42
370
Irish national government
2
92
3
94
Portuguese national government
10
Brazilian national government
100
82
Singapore national government
70
68
European Union bonds
(excl. European Financial Stability Facility)
-523
3,319
-530
2,962
Total government bonds
-1,354
-1
33,034
-1,351
-1
28,377
Critical accounting estimates and judgements
Interest-bearing debt securities classified as FVOCI investments are assessed at each reporting date to establish
whether there are any expected credit losses. ABN AMRO has developed models to determine such credit losses.
These are explained in more detail in the Risk, funding & capital chapter. Impairment charges on FVOCI instruments
are recorded in (un)realised gains/(losses) fair value through OCI in the statement of comprehensive income.
29\u00a0 Issued debt and subordinated liabilities
Accounting policy for issued debt and subordinated liabilities
Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate
method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be
measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce
an\u00a0accounting mismatch, are managed on the basis of their fair value or include terms that qualify as
an\u00a0embedded 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\u00a0substance 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\u00a0credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt
measured at fair value through profit or loss is valued at market prices.
Fair value changes are calculated based on a yield curve generated from observed external pricing for funding
and quoted CDS spreads
The following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding.
Movements in these debt instruments involve a continual process of redemption and issuance of long-term and
short\u2011term funding.
Issued debt
(in millions)
31 December 2024
31 December 2023
Bonds and notes issued
56,416
52,264
Certificates of deposit and commercial paper
17,922
13,741
Total at amortised cost
74,337
66,005
Designated at fair value through profit or loss
205
222
Total issued debt
74,542
66,227
- of which matures within one year
24,999
17,408
2024
2023
(in millions)
Carrying amount
Carrying amount
Balance as at 1 January
66,227
56,259
Cash flows
Issuance
42,885
49,985
Redemption
-36,980
-43,196
Non-cash changes
Foreign exchange differences
909
-96
Fair value changes own credit risk
-2
-2
Fair value changes hedge accounting
902
2,514
Other
601
762
Balance as at 31 December
74,542
66,227
\"\"
The amounts of debt issued and redeemed during the period are shown in the Consolidated statement of cash flows.
Non-cash changes consist mainly of unrealised gains and losses and foreign exchange differences. Further details
of\u00a0the funding programmes are provided in the Funding section of the Risk, funding & capital chapter.
Financial liabilities designated at fair value through profit or loss
(in millions)
31 December 2024
31 December 2023
Cumulative change in fair value of the structured notes attributable to changes in credit risk
1
2
Change during the year in fair value of the structured notes attributable to changes in credit risk
-2
-2
Difference between amount contractually required to pay at maturity and the carrying amount
6
10
The change in fair value of the structured notes attributable to changes in credit risk is determined using the credit
spread implicit in the fair value of similar bonds traded in active markets and issued by ABN AMRO.
Subordinated liabilities
The following table shows the subordinated liabilities.
(in millions)
31 December 2024
31 December 2023
Subordinated liabilities
6,613
5,572
2024
2023
(in millions)
Carrying amount
Carrying amount
Balance as at 1 January
5,572
7,290
Cash flows
Issuance
767
776
Redemption
-21
-2,504
Non-cash changes
Foreign exchange differences
214
-143
Fair value changes hedge accounting
60
143
Other
20
10
Balance as at 31 December
6,613
5,572
", "dimensions": { "concept": "ifrs-full:DisclosureOfDebtSecuritiesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-467": { "value": "
17\u00a0 Financial investments
Accounting policy for financial investments
Financial investments include financial instruments measured at fair value through other comprehensive income
(FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL).
Accounting policy for financial instruments measured at fair value through other
comprehensive income
Unrealised gains and losses on FVOCI assets are recognised directly in other comprehensive income, net
of\u00a0applicable 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\u00a0the income statement. The impairment loss resulting from the ECL on FVOCI debt instruments is recognised
in\u00a0the 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\u00a0AMRO\u2019s impairment assessment and measurement approach for FVOCI debt instruments is set
out in the Credit risk management section of the Risk, funding & capital management chapter. Fair value changes
in equity instruments that are irrevocably designated as FVOCI upon initial recognition are recognised in other
comprehensive income and not subsequently reclassified to the income statement.
Accounting policy for financial instruments measured at fair value through profit and loss
Financial investments can be designated at FVTPL if doing so eliminates or significantly reduces a measurement
or recognition inconsistency (an accounting mismatch). ABN AMRO also has financial instruments that are
mandatorily measured at fair value because they do not meet the SPPI test.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentsOtherThanInvestmentsAccountedForUsingEquityMethodExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-466": { "value": "
17\u00a0 Financial investments
Accounting policy for financial investments
Financial investments include financial instruments measured at fair value through other comprehensive income
(FVOCI) and financial instruments measured at fair value through profit or loss (FVTPL).
Accounting policy for financial instruments measured at fair value through other
comprehensive income
Unrealised gains and losses on FVOCI assets are recognised directly in other comprehensive income, net
of\u00a0applicable 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\u00a0the income statement. The impairment loss resulting from the ECL on FVOCI debt instruments is recognised
in\u00a0the 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\u00a0AMRO\u2019s impairment assessment and measurement approach for FVOCI debt instruments is set
out in the Credit risk management section of the Risk, funding & capital management chapter. Fair value changes
in equity instruments that are irrevocably designated as FVOCI upon initial recognition are recognised in other
comprehensive income and not subsequently reclassified to the income statement.
Accounting policy for financial instruments measured at fair value through profit and loss
Financial investments can be designated at FVTPL if doing so eliminates or significantly reduces a measurement
or recognition inconsistency (an accounting mismatch). ABN AMRO also has financial instruments that are
mandatorily measured at fair value because they do not meet the SPPI test.
(in millions)
31 December 2024
31 December 2023
Financial investments
Debt securities held at fair value through other comprehensive income
46,196
40,663
Held at fair value through profit or loss
977
838
Total financial investments
47,173
41,501
Financial investments measured at fair value through profit or loss
(in millions)
31 December 2024
31 December 2023
Private equities and venture capital
680
559
Equity securities
297
279
Total investments held at fair value through profit or loss
977
838
23\u00a0 Group structure
Unconsolidated structured entities
Unconsolidated structured entities are entities over which ABN AMRO has no control or significant influence.
ABN\u00a0AMRO is involved with structured entities through securitisation of financial assets and investments in structured
entities. Structured entities generally finance the purchase of assets by issuing debt and equity securities that are
collateralised by the assets held by the structured entities. The debt and equity securities issued by the structured
entities may include tranches with varying levels of subordination. The interest in unconsolidated structured entities
increased by EUR 0.9 billion to EUR 8.2 billion at year-end 2024 (31 December 2023: EUR 7.3 billion). The interests
consist mainly of mortgage- and other asset-backed securities recognised under financial investments
of\u00a0EUR\u00a05.3\u00a0billion (31 December 2023: EUR 5.0 billion). The maximum exposure to losses from these interests is equal
to the total carrying amount.
Sponsoring of unconsolidated structured entities
An entity is considered a sponsor of an unconsolidated structured entity if it had a key role in establishing that entity
in\u00a0order to enable the transaction that is the purpose of the entity to occur. No sponsoring occurred during 2024.
", "dimensions": { "concept": "ifrs-full:DisclosureOfInvestmentsOtherThanInvestmentsAccountedForUsingEquityMethodExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-471": { "value": "
18\u00a0 Securities financing
Accounting policy for securities financing
Securities financing is measured at amortised cost. Securities financing consists of securities borrowing and
lending and sale and repurchase transactions. Securities borrowing and securities lending transactions are
generally entered into on a collateralised basis, with securities usually advanced or received as collateral.
The\u00a0transfer 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\u00a0banks or customers). The market value of the securities borrowed or lent is monitored on a daily basis, and
the\u00a0collateral 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\u00a0underlying 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\u00a0 Due to banks
Accounting policy for due to banks and due to customers
Amounts due to banks and customers are held at amortised cost. That is, at fair value upon initial recognition,
adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate
of\u00a0the instrument.
28\u00a0 Due to customers
Accounting policy for due to customers
The accounting policy for amounts due to customers is set out in Note 27 - Due to banks.
29\u00a0 Issued debt and subordinated liabilities
Accounting policy for issued debt and subordinated liabilities
Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate
method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be
measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce
an\u00a0accounting mismatch, are managed on the basis of their fair value or include terms that qualify as
an\u00a0embedded 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\u00a0substance 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\u00a0credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt
measured at fair value through profit or loss is valued at market prices.
Fair value changes are calculated based on a yield curve generated from observed external pricing for funding
and quoted CDS spreads
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForBorrowingsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-470": { "value": "
18\u00a0 Securities financing
Accounting policy for securities financing
Securities financing is measured at amortised cost. Securities financing consists of securities borrowing and
lending and sale and repurchase transactions. Securities borrowing and securities lending transactions are
generally entered into on a collateralised basis, with securities usually advanced or received as collateral.
The\u00a0transfer 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\u00a0banks or customers). The market value of the securities borrowed or lent is monitored on a daily basis, and
the\u00a0collateral 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\u00a0underlying security.
Investments sold under repurchase agreements continue to be recognised in the statement of financial position.
Proceeds from the sale of the investments are reported as liabilities to either banks or customers. The difference
between the sale and repurchase price is recognised over the period of the transaction and recorded as interest
income or interest expense, using the effective interest rate method. If borrowed securities are sold to third
parties, the proceeds from the sale and a liability for the obligation to return the collateral are recorded at fair
value.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForRepurchaseAndReverseRepurchaseAgreementsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-469": { "value": "
18\u00a0 Securities financing
Accounting policy for securities financing
Securities financing is measured at amortised cost. Securities financing consists of securities borrowing and
lending and sale and repurchase transactions. Securities borrowing and securities lending transactions are
generally entered into on a collateralised basis, with securities usually advanced or received as collateral.
The\u00a0transfer 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\u00a0banks or customers). The market value of the securities borrowed or lent is monitored on a daily basis, and
the\u00a0collateral 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\u00a0underlying 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 2024
31 December 2023
(in millions)
Banks
Customers
Total
Banks
Customers
Total
Assets
Reverse repurchase agreements
3,890
16,099
19,988
3,536
11,473
15,009
Securities borrowing transactions
2,834
4,167
7,001
3,075
3,419
6,494
Total
6,723
20,266
26,989
6,611
14,892
21,503
Liabilities
Repurchase agreements
769
9,545
10,315
319
10,453
10,772
Securities lending transactions
37
37
185
753
938
Total
807
9,545
10,352
504
11,206
11,710
Securities financing transactions include balances relating to reverse repurchase activities and cash collateral on
securities borrowed. ABN AMRO controls the credit risk associated with these activities by monitoring counterparty
credit exposure and collateral values on a daily basis, and requiring additional collateral to be deposited with
ABN\u00a0AMRO when deemed necessary.", "dimensions": { "concept": "ifrs-full:DisclosureOfRepurchaseAndReverseRepurchaseAgreementsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-474": { "value": "
19\u00a0 Fair value of financial instruments carried at fair value
Accounting policy for fair value of financial instruments
The fair value is defined as the price that would be received when selling an asset or paid when transferring
a\u00a0liability 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\u00a0the\u00a0pricing 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\u00a0arrive at a fair value are as follows:
\u2022 Bid-ask adjustments. If the model calculates a mid-market price, it is adjusted to take into account the relevant
bid-offer spread.
\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\u00a0AMRO\u2019s creditworthiness respectively.
\u2022 Liquidity adjustments. ABN AMRO uses different techniques to determine the price or input parameters
of\u00a0the\u00a0pricing model dependent on the liquidity in the market.
\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\u00a0 Fair value of financial instruments not carried at fair value
Accounting policy for fair value of financial instruments not carried at fair value
The categorisation and valuation of financial instruments not carried at fair value is determined in accordance
with the accounting policies set out in Note 19 - Fair value of financial instruments carried at fair value.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFairValueMeasurementExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-473": { "value": "
19\u00a0 Fair value of financial instruments carried at fair value
Accounting policy for fair value of financial instruments
The fair value is defined as the price that would be received when selling an asset or paid when transferring
a\u00a0liability 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\u00a0the\u00a0pricing 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\u00a0arrive at a fair value are as follows:
\u2022 Bid-ask adjustments. If the model calculates a mid-market price, it is adjusted to take into account the relevant
bid-offer spread.
\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\u00a0AMRO\u2019s creditworthiness respectively.
\u2022 Liquidity adjustments. ABN AMRO uses different techniques to determine the price or input parameters
of\u00a0the\u00a0pricing model dependent on the liquidity in the market.
\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 framework
ABN AMRO has in place designated controls and processes to determine the fair value of financial instruments.
A\u00a0process 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\u00a0ensure 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\u00a0the\u00a0fair 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\u00a0valuations 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\u00a0model documentation, testing and review, depending on the complexity of the model and the size of our exposure
to the model.
Valuation techniques
A number of methodologies are used to determine the fair value of financial instruments for which observable prices
in active markets for identical instruments are not available. Values between and beyond available data points are
obtained by interpolation and/or extrapolation. When valuation techniques are used, the fair value can be significantly
impacted by the choice of 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 derivatives
This category includes interest rate swaps, cross-currency swaps, options and forward rate agreements. These
products are valued by estimating future cash flows and discounting these cash flows, using appropriate interest rate
curves. The exception is interest option contracts, which are valued using market standard option pricing models.
The\u00a0inputs 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 contracts
Foreign exchange contracts include foreign exchange forward contracts, foreign exchange options and foreign
exchange swaps. The majority of the foreign exchange contracts at ABN AMRO are traded as over-the-counter
derivatives. These instruments are valued using foreign currency exchange rates. There are observable markets 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 securities
Government 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 securities
Corporate 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 instruments
Equity 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 loss
Loans and advances at fair value through profit or loss consist primarily of contracts with corporate clients where
the\u00a0contractual cash flows do not meet the SPPI requirements or are held in a business model with the objective
of\u00a0generating cash flows from sales. The return on the contracts with embedded derivatives is based on the price
of\u00a0underlying commodity contracts or loans with a floating interest rate. Discounted cash flow models are used
to\u00a0value these contracts. The main inputs are interest rate curves, quoted commodity prices, liquidity spreads and
credit spreads. The instruments are classified as level 2. If adjustments to interest rate curves, liquidity spreads and
credit spreads are based on significant unobservable inputs, the instruments are classified as level 3.
Issued debt
Issued debt securities are valued using discounted cash flow models, based on current interest rate curves that
incorporate observable inputs. These instruments are classified as level 2. When there are no, or only limited, publicly
quoted prices available for these instruments and unobservable inputs have a significant effect on the fair value
calculation, these instruments are classified as level 3.
ABN AMRO refines and modifies its valuation techniques as markets and products develop and as 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\u00a0different estimates of the fair value at the reporting date.
Fair value hierarchy
ABN AMRO analyses financial instruments held at fair value in the three categories described below.
Level 1 financial instruments are those that are valued using unadjusted 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\u00a0valuation 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\u00a0instrument\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 for determining the fair values of financial instruments
carried at fair value.
31 December 2024
31 December 2023
(in millions)
Quoted
market
prices
in active
markets
Valuation
techniques
- observable
inputs
Valuation
techniques
- significant
unobservable
inputs
Total fair
value
Quoted
market
prices
in active
markets
Valuation
techniques
- observable
inputs
Valuation
techniques
- significant
unobservable
inputs
Total fair
value
Assets
Government debt securities
1,119
51
1,169
341
341
Corporate debt securities
743
503
1,246
780
240
1,019
Equity securities
2
2
1
1
Other financial assets held for trading
87
87
10
10
Financial assets held for trading
1,863
640
2,503
1,121
250
1,371
Interest rate derivatives
5
3,116
20
3,140
4
3,606
15
3,625
Foreign exchange contracts
1,203
2
1,206
765
12
776
Other derivatives
1
1
2
2
Derivatives
5
4,320
22
4,347
4
4,372
26
4,403
Equity instruments
133
47
797
977
130
52
656
838
Financial investments at fair value
through profit or loss
133
47
797
977
130
52
656
838
Government debt securities
35,145
330
35,475
30,396
330
30,726
Corporate debt securities
5,432
5,432
4,890
1
4,891
Other debt securities
5,288
5,288
5,046
5,046
Financial assets held at fair value
through other comprehensive
income
45,866
330
46,196
40,332
1
330
40,663
Loans and advances at fair value through
profit or loss
30
600
630
31
676
707
Total financial assets
47,866
5,037
1,750
54,653
41,587
4,706
1,689
47,982
Liabilities
Short positions in government debt
securities
346
172
518
303
303
Corporate debt securities
313
208
522
376
135
511
Equity securities
7
7
Other financial liabilities held for trading
123
123
96
96
Financial liabilities held for trading
660
503
1,163
686
231
917
Interest rate derivatives
3
1,688
1
1,692
1
2,297
2,298
Foreign exchange contracts
803
803
553
553
Other derivatives
4
4
5
5
Derivatives
3
2,495
1
2,499
1
2,855
2,856
Issued debt
205
205
222
222
Total financial liabilities
663
3,203
1
3,867
687
3,308
3,994
Transfers between fair value hierarchies
There were no material transfers between the fair value hierarchies.
\"\"
Movements in level 3 financial instruments measured at fair value
The following table shows a reconciliation of the opening and closing amounts of level 3 financial assets that are
recorded at fair value.
Assets
Liabilities
(in millions)
Derivatives
Financial
investments at
fair value through
profit or loss
Financial assets
held
at fair value
through
other
comprehensive
income
Loans and
advances at
fair value
through
profit or loss
Derivatives
Balance at 1 January 2023
46
481
358
30
Change in accounting policy
982
Purchases
145
Sales
-2
-243
Issuance
24
Redemptions
-12
-38
-175
Gains/(losses) recorded in profit and loss 1
6
1
1
Unrealised gains/(losses) 2
1
52
10
59
Transfer between levels
-21
Other movements
-14
-2
Balance at 31 December 2023
26
656
330
676
Purchases
86
Sales
-3
-35
Issuance
42
Redemptions
-14
-157
Gains/(losses) recorded in profit and loss\u00b9
1
-5
Unrealised gains/(losses)\u00b2
-3
89
-1
59
Transfer between levels
-2
1
Other movements
-17
19
Balance at 31 December 2024
22
797
330
600
1
1. Included in other operating income.
2. Unrealised gains/(losses) on derivatives held for trading are included in net trading income, on instruments measured at FVTPL in other operating income and on instruments
measured at FVOCI in other comprehensive income.
Level 3 sensitivity information
Interest-earning securities - government bonds
ABN AMRO has a position in a Polish bond, denominated in euros (see Note 17 - Financial investments, and part
of\u00a0Other 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 shares
Equities measured at fair value through profit and loss and classified as level 3 mainly comprise private equity
investments. Private equity shares are measured at fair value, applying two calculation techniques:
\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 to 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\u00a0the 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 cannot be applied for the NAV calculation based on the quarterly
performance.
Derivatives
ABN AMRO applies a credit valuation adjustment (CVA) that reflects counterparty credit risk in the fair value
measurement of uncollateralised and partially collateralised OTC derivatives. For counterparties that do not have
an\u00a0observable 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\u00a0the\u00a0following table of level 3 sensitivity information, is generated internally and is therefore an unobservable input.
Loans and advances \u2013 Equity release mortgages
ABN 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 historical bandwidth observed for
prepayment rates.
Loans and advances - Other
ABN AMRO offers personal loans that feature a waiver on a portion of the outstanding debt upon the decease
of\u00a0the\u00a0client. 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 for expected credit losses.
31 December 2024
Valuation
technique
Unobservable
data
Carrying
value
Possible alternative
assumptions
Unobservable
data range
Unobservable
data base
(in millions)
Applying
minimum
Applying
maximum
Applying
minimum
Applying
maximum
Equity shares
Private equity
valuation
EBITDA
multiples
141
-14
14
Equity shares
Private equity
valuation
Net asset
value
657
-66
66
Interest-earning securities -
government bonds
Discounted
cash flow
Liquidity and
credit spread
330
-13
19
38bps
157bps
110bps
Loans and advances -
Equity release mortgages
Discounted
cash flow
Prepayment
rate
458
-6
9
2.4%
4.9%
3.6%
Loans and advances -
Other
Discounted
cash flow
Credit
spread
142
-4
7
Derivatives held for trading -
assets/liabilities (net)
Discounted
cash flow
Probability
of default
22
-2
6
100.0%
24.0%
31 December 2023
Valuation
technique
Unobservable
data
Carrying
value
Possible alternative
assumptions
Unobservable
data range
Unobservable
data base
(in millions)
Applying
minimum
Applying
maximum
Applying
minimum
Applying
maximum
Equity shares
Private equity
valuation
EBITDA
multiples
136
-14
14
Equity shares
Private equity
valuation
Net asset
value
519
-52
52
Interest-earning securities -
government bonds
Discounted
cash flow
Liquidity and
credit spread
330
-11
28
4bps
139bps
101bps
Loans and advances -
Equity release mortgages
Discounted
cash flow
Prepayment
rate
398
-9
9
1.9%
3.2%
2.5%
Loans and advances -
Other
Discounted
cash flow
Credit
spread
250
-7
11
Derivatives held for trading -
assets/liabilities (net)
Discounted
cash flow
Probability
of default
26
-3
4
0.0%
100.0%
12.7%
22\u00a0 Fair value of financial instruments not carried at fair value
Accounting policy for fair value of financial instruments not carried at fair value
The categorisation and valuation of financial instruments not carried at fair value is determined in accordance
with the accounting policies set out in Note 19 - Fair value of financial instruments carried at fair value.
Valuation methodologies
The methods and assumptions described below have been applied to estimate the fair value of financial instruments
not carried at fair value. These fair values were calculated for disclosure purposes only. Note that the fair value can be
significantly impacted by the choice of valuation model and underlying assumptions concerning factors such as
the\u00a0amount and timing of cash flows, discount rates, credit risk and liquidity risk.
Short-term financial instruments
The carrying amounts (net of impairment allowances) of financial instruments maturing within a period of less than
three months or that have no contractual maturity are assumed to be a reasonable approximation of their fair value.
For certain instruments, behavioural maturities are applied.
Short-term financial instruments are classified as level 2 as unobservable inputs (such as inputs to determine credit
risk, prepayment risk and liquidity risk) do not have a significant influence on the determination of their fair value.
Cash and balances at central banks
Cash and balances at central banks are classified as level 1 as these instruments have a short-term nature, prices from
an active market are available and no fair value adjustments are made to the carrying amounts.
\"\"
Securities financing
Securities financing includes repurchase and reverse repurchase agreements and securities borrowing and lending
transactions. Due to the short-term characteristics of these instruments and the value and liquidity of available
collateral, 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 customers
The fair value of loans and advances \u2013 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\u00a0liquidity 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\u00a0loans and advances for which unobservable inputs do not significantly influence the approximated fair values are
classified as level 2. Behavioural maturities instead of contractual maturities are used to determine the level
classification of a small part of the portfolio.
Cash collateral paid to counterparties in relation to Credit Support Annexes (CSA) is included in loans and advances \u2013
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 customers
The 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\u00a0liquidity spreads are applied. Amounts due to banks and customers are classified as level 3 on the basis that
unobservable inputs significantly influence the approximated fair values. The financial instruments for which
unobservable inputs do not significantly influence the approximated fair values are classified as level 2. For
the\u00a0majority of the portfolio, behavioural maturities are used to determine the level classification.
Cash collateral liabilities in relation to Credit Support Annexes (CSA) are included in due to banks and customers. Due
to the short-term characteristics of these instruments, their carrying amounts are considered an approximation
of\u00a0the\u00a0fair value. The related amounts are classified as level 2.
Issued debt and subordinated liabilities
The fair value of issued debt securities and subordinated liabilities is based on quoted prices. If these are not available,
the fair value is based on a market approach in which independent quotes from market participants are used for
the\u00a0debt 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 2024
Carrying value
Total fair value
Difference
(in millions)
Quoted market
prices in
active markets
Valuation
techniques
- observable
inputs
Valuation
techniques
- significant
unobservable
inputs
Assets
Cash and balances at central banks
44,464
44,464
44,464
Securities financing
26,989
26,989
26,989
Loans and advances banks
2,049
2,051
2
2,053
4
Loans and advances customers
248,152
28,151
218,379
246,529
-1,622
Total
321,654
44,464
57,190
218,381
320,035
-1,619
Liabilities
Securities financing
10,352
10,352
10,352
Due to banks
2,329
2,038
287
2,325
-5
Due to customers
256,186
241,469
15,305
256,774
587
Issued debt
74,337
50,488
23,618
74,106
-231
Subordinated liabilities
6,613
2,684
4,116
6,800
187
Total
349,818
53,172
281,593
15,592
350,357
539
31 December 2023
Carrying value
Total fair value
Difference
(in millions)
Quoted market
prices in
active markets
Valuation
techniques
- observable
inputs
Valuation
techniques
- significant
unobservable
inputs
Assets
Cash and balances at central banks
53,656
53,656
53,656
Securities financing
21,503
21,503
21,503
Loans and advances banks
2,324
2,120
208
2,328
4
Loans and advances customers
245,228
29,444
209,884
239,328
-5,900
Total
322,709
53,656
53,066
210,092
316,814
-5,896
Liabilities
Securities financing
11,710
11,710
11,710
Due to banks
5,352
2,294
3,126
5,419
68
Due to customers
254,466
237,483
16,739
254,222
-245
Issued debt
66,005
46,178
19,936
66,115
109
Subordinated liabilities
5,572
1,875
3,833
5,708
136
Total
343,105
48,053
275,256
19,865
343,174
69
", "dimensions": { "concept": "ifrs-full:DisclosureOfFairValueOfFinancialInstrumentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-472": { "value": "
19\u00a0 Fair value of financial instruments carried at fair value
Accounting policy for fair value of financial instruments
The fair value is defined as the price that would be received when selling an asset or paid when transferring
a\u00a0liability 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\u00a0the\u00a0pricing 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\u00a0arrive at a fair value are as follows:
\u2022 Bid-ask adjustments. If the model calculates a mid-market price, it is adjusted to take into account the relevant
bid-offer spread.
\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\u00a0AMRO\u2019s creditworthiness respectively.
\u2022 Liquidity adjustments. ABN AMRO uses different techniques to determine the price or input parameters
of\u00a0the\u00a0pricing model dependent on the liquidity in the market.
\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 framework
ABN AMRO has in place designated controls and processes to determine the fair value of financial instruments.
A\u00a0process 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\u00a0ensure 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\u00a0the\u00a0fair 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\u00a0valuations 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\u00a0model documentation, testing and review, depending on the complexity of the model and the size of our exposure
to the model.
Valuation techniques
A number of methodologies are used to determine the fair value of financial instruments for which observable prices
in active markets for identical instruments are not available. Values between and beyond available data points are
obtained by interpolation and/or extrapolation. When valuation techniques are used, the fair value can be significantly
impacted by the choice of 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 derivatives
This category includes interest rate swaps, cross-currency swaps, options and forward rate agreements. These
products are valued by estimating future cash flows and discounting these cash flows, using appropriate interest rate
curves. The exception is interest option contracts, which are valued using market standard option pricing models.
The\u00a0inputs 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 contracts
Foreign exchange contracts include foreign exchange forward contracts, foreign exchange options and foreign
exchange swaps. The majority of the foreign exchange contracts at ABN AMRO are traded as over-the-counter
derivatives. These instruments are valued using foreign currency exchange rates. There are observable markets 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 securities
Government 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 securities
Corporate 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 instruments
Equity 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 loss
Loans and advances at fair value through profit or loss consist primarily of contracts with corporate clients where
the\u00a0contractual cash flows do not meet the SPPI requirements or are held in a business model with the objective
of\u00a0generating cash flows from sales. The return on the contracts with embedded derivatives is based on the price
of\u00a0underlying commodity contracts or loans with a floating interest rate. Discounted cash flow models are used
to\u00a0value these contracts. The main inputs are interest rate curves, quoted commodity prices, liquidity spreads and
credit spreads. The instruments are classified as level 2. If adjustments to interest rate curves, liquidity spreads and
credit spreads are based on significant unobservable inputs, the instruments are classified as level 3.
Issued debt
Issued debt securities are valued using discounted cash flow models, based on current interest rate curves that
incorporate observable inputs. These instruments are classified as level 2. When there are no, or only limited, publicly
quoted prices available for these instruments and unobservable inputs have a significant effect on the fair value
calculation, these instruments are classified as level 3.
ABN AMRO refines and modifies its valuation techniques as markets and products develop and as 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\u00a0different estimates of the fair value at the reporting date.
Fair value hierarchy
ABN AMRO analyses financial instruments held at fair value in the three categories described below.
Level 1 financial instruments are those that are valued using unadjusted 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\u00a0valuation 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\u00a0instrument\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 for determining the fair values of financial instruments
carried at fair value.
31 December 2024
31 December 2023
(in millions)
Quoted
market
prices
in active
markets
Valuation
techniques
- observable
inputs
Valuation
techniques
- significant
unobservable
inputs
Total fair
value
Quoted
market
prices
in active
markets
Valuation
techniques
- observable
inputs
Valuation
techniques
- significant
unobservable
inputs
Total fair
value
Assets
Government debt securities
1,119
51
1,169
341
341
Corporate debt securities
743
503
1,246
780
240
1,019
Equity securities
2
2
1
1
Other financial assets held for trading
87
87
10
10
Financial assets held for trading
1,863
640
2,503
1,121
250
1,371
Interest rate derivatives
5
3,116
20
3,140
4
3,606
15
3,625
Foreign exchange contracts
1,203
2
1,206
765
12
776
Other derivatives
1
1
2
2
Derivatives
5
4,320
22
4,347
4
4,372
26
4,403
Equity instruments
133
47
797
977
130
52
656
838
Financial investments at fair value
through profit or loss
133
47
797
977
130
52
656
838
Government debt securities
35,145
330
35,475
30,396
330
30,726
Corporate debt securities
5,432
5,432
4,890
1
4,891
Other debt securities
5,288
5,288
5,046
5,046
Financial assets held at fair value
through other comprehensive
income
45,866
330
46,196
40,332
1
330
40,663
Loans and advances at fair value through
profit or loss
30
600
630
31
676
707
Total financial assets
47,866
5,037
1,750
54,653
41,587
4,706
1,689
47,982
Liabilities
Short positions in government debt
securities
346
172
518
303
303
Corporate debt securities
313
208
522
376
135
511
Equity securities
7
7
Other financial liabilities held for trading
123
123
96
96
Financial liabilities held for trading
660
503
1,163
686
231
917
Interest rate derivatives
3
1,688
1
1,692
1
2,297
2,298
Foreign exchange contracts
803
803
553
553
Other derivatives
4
4
5
5
Derivatives
3
2,495
1
2,499
1
2,855
2,856
Issued debt
205
205
222
222
Total financial liabilities
663
3,203
1
3,867
687
3,308
3,994
Transfers between fair value hierarchies
There were no material transfers between the fair value hierarchies.
\"\"
Movements in level 3 financial instruments measured at fair value
The following table shows a reconciliation of the opening and closing amounts of level 3 financial assets that are
recorded at fair value.
Assets
Liabilities
(in millions)
Derivatives
Financial
investments at
fair value through
profit or loss
Financial assets
held
at fair value
through
other
comprehensive
income
Loans and
advances at
fair value
through
profit or loss
Derivatives
Balance at 1 January 2023
46
481
358
30
Change in accounting policy
982
Purchases
145
Sales
-2
-243
Issuance
24
Redemptions
-12
-38
-175
Gains/(losses) recorded in profit and loss 1
6
1
1
Unrealised gains/(losses) 2
1
52
10
59
Transfer between levels
-21
Other movements
-14
-2
Balance at 31 December 2023
26
656
330
676
Purchases
86
Sales
-3
-35
Issuance
42
Redemptions
-14
-157
Gains/(losses) recorded in profit and loss\u00b9
1
-5
Unrealised gains/(losses)\u00b2
-3
89
-1
59
Transfer between levels
-2
1
Other movements
-17
19
Balance at 31 December 2024
22
797
330
600
1
1. Included in other operating income.
2. Unrealised gains/(losses) on derivatives held for trading are included in net trading income, on instruments measured at FVTPL in other operating income and on instruments
measured at FVOCI in other comprehensive income.
Level 3 sensitivity information
Interest-earning securities - government bonds
ABN AMRO has a position in a Polish bond, denominated in euros (see Note 17 - Financial investments, and part
of\u00a0Other 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 shares
Equities measured at fair value through profit and loss and classified as level 3 mainly comprise private equity
investments. Private equity shares are measured at fair value, applying two calculation techniques:
\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 to 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\u00a0the 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 cannot be applied for the NAV calculation based on the quarterly
performance.
Derivatives
ABN AMRO applies a credit valuation adjustment (CVA) that reflects counterparty credit risk in the fair value
measurement of uncollateralised and partially collateralised OTC derivatives. For counterparties that do not have
an\u00a0observable 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\u00a0the\u00a0following table of level 3 sensitivity information, is generated internally and is therefore an unobservable input.
Loans and advances \u2013 Equity release mortgages
ABN 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 historical bandwidth observed for
prepayment rates.
Loans and advances - Other
ABN AMRO offers personal loans that feature a waiver on a portion of the outstanding debt upon the decease
of\u00a0the\u00a0client. 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 for expected credit losses.
31 December 2024
Valuation
technique
Unobservable
data
Carrying
value
Possible alternative
assumptions
Unobservable
data range
Unobservable
data base
(in millions)
Applying
minimum
Applying
maximum
Applying
minimum
Applying
maximum
Equity shares
Private equity
valuation
EBITDA
multiples
141
-14
14
Equity shares
Private equity
valuation
Net asset
value
657
-66
66
Interest-earning securities -
government bonds
Discounted
cash flow
Liquidity and
credit spread
330
-13
19
38bps
157bps
110bps
Loans and advances -
Equity release mortgages
Discounted
cash flow
Prepayment
rate
458
-6
9
2.4%
4.9%
3.6%
Loans and advances -
Other
Discounted
cash flow
Credit
spread
142
-4
7
Derivatives held for trading -
assets/liabilities (net)
Discounted
cash flow
Probability
of default
22
-2
6
100.0%
24.0%
31 December 2023
Valuation
technique
Unobservable
data
Carrying
value
Possible alternative
assumptions
Unobservable
data range
Unobservable
data base
(in millions)
Applying
minimum
Applying
maximum
Applying
minimum
Applying
maximum
Equity shares
Private equity
valuation
EBITDA
multiples
136
-14
14
Equity shares
Private equity
valuation
Net asset
value
519
-52
52
Interest-earning securities -
government bonds
Discounted
cash flow
Liquidity and
credit spread
330
-11
28
4bps
139bps
101bps
Loans and advances -
Equity release mortgages
Discounted
cash flow
Prepayment
rate
398
-9
9
1.9%
3.2%
2.5%
Loans and advances -
Other
Discounted
cash flow
Credit
spread
250
-7
11
Derivatives held for trading -
assets/liabilities (net)
Discounted
cash flow
Probability
of default
26
-3
4
0.0%
100.0%
12.7%
22\u00a0 Fair value of financial instruments not carried at fair value
Accounting policy for fair value of financial instruments not carried at fair value
The categorisation and valuation of financial instruments not carried at fair value is determined in accordance
with the accounting policies set out in Note 19 - Fair value of financial instruments carried at fair value.
Valuation methodologies
The methods and assumptions described below have been applied to estimate the fair value of financial instruments
not carried at fair value. These fair values were calculated for disclosure purposes only. Note that the fair value can be
significantly impacted by the choice of valuation model and underlying assumptions concerning factors such as
the\u00a0amount and timing of cash flows, discount rates, credit risk and liquidity risk.
Short-term financial instruments
The carrying amounts (net of impairment allowances) of financial instruments maturing within a period of less than
three months or that have no contractual maturity are assumed to be a reasonable approximation of their fair value.
For certain instruments, behavioural maturities are applied.
Short-term financial instruments are classified as level 2 as unobservable inputs (such as inputs to determine credit
risk, prepayment risk and liquidity risk) do not have a significant influence on the determination of their fair value.
Cash and balances at central banks
Cash and balances at central banks are classified as level 1 as these instruments have a short-term nature, prices from
an active market are available and no fair value adjustments are made to the carrying amounts.
\"\"
Securities financing
Securities financing includes repurchase and reverse repurchase agreements and securities borrowing and lending
transactions. Due to the short-term characteristics of these instruments and the value and liquidity of available
collateral, 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 customers
The fair value of loans and advances \u2013 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\u00a0liquidity 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\u00a0loans and advances for which unobservable inputs do not significantly influence the approximated fair values are
classified as level 2. Behavioural maturities instead of contractual maturities are used to determine the level
classification of a small part of the portfolio.
Cash collateral paid to counterparties in relation to Credit Support Annexes (CSA) is included in loans and advances \u2013
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 customers
The 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\u00a0liquidity spreads are applied. Amounts due to banks and customers are classified as level 3 on the basis that
unobservable inputs significantly influence the approximated fair values. The financial instruments for which
unobservable inputs do not significantly influence the approximated fair values are classified as level 2. For
the\u00a0majority of the portfolio, behavioural maturities are used to determine the level classification.
Cash collateral liabilities in relation to Credit Support Annexes (CSA) are included in due to banks and customers. Due
to the short-term characteristics of these instruments, their carrying amounts are considered an approximation
of\u00a0the\u00a0fair value. The related amounts are classified as level 2.
Issued debt and subordinated liabilities
The fair value of issued debt securities and subordinated liabilities is based on quoted prices. If these are not available,
the fair value is based on a market approach in which independent quotes from market participants are used for
the\u00a0debt 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 2024
Carrying value
Total fair value
Difference
(in millions)
Quoted market
prices in
active markets
Valuation
techniques
- observable
inputs
Valuation
techniques
- significant
unobservable
inputs
Assets
Cash and balances at central banks
44,464
44,464
44,464
Securities financing
26,989
26,989
26,989
Loans and advances banks
2,049
2,051
2
2,053
4
Loans and advances customers
248,152
28,151
218,379
246,529
-1,622
Total
321,654
44,464
57,190
218,381
320,035
-1,619
Liabilities
Securities financing
10,352
10,352
10,352
Due to banks
2,329
2,038
287
2,325
-5
Due to customers
256,186
241,469
15,305
256,774
587
Issued debt
74,337
50,488
23,618
74,106
-231
Subordinated liabilities
6,613
2,684
4,116
6,800
187
Total
349,818
53,172
281,593
15,592
350,357
539
31 December 2023
Carrying value
Total fair value
Difference
(in millions)
Quoted market
prices in
active markets
Valuation
techniques
- observable
inputs
Valuation
techniques
- significant
unobservable
inputs
Assets
Cash and balances at central banks
53,656
53,656
53,656
Securities financing
21,503
21,503
21,503
Loans and advances banks
2,324
2,120
208
2,328
4
Loans and advances customers
245,228
29,444
209,884
239,328
-5,900
Total
322,709
53,656
53,066
210,092
316,814
-5,896
Liabilities
Securities financing
11,710
11,710
11,710
Due to banks
5,352
2,294
3,126
5,419
68
Due to customers
254,466
237,483
16,739
254,222
-245
Issued debt
66,005
46,178
19,936
66,115
109
Subordinated liabilities
5,572
1,875
3,833
5,708
136
Total
343,105
48,053
275,256
19,865
343,174
69
", "dimensions": { "concept": "ifrs-full:DisclosureOfFairValueMeasurementExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-475": { "value": "
20\u00a0 Loans and advances banks
Accounting policy for loans and advances banks and customers
Loans and advances banks, and loans and advances customers, are held in a \u2018hold to collect\u2019 business model.
Loans and advances for which the contractual cash flows are solely payments of principal and interest (SPPI) are
measured at amortised cost, i.e. fair value at initial recognition, adjusted for repayment and amortisation
of\u00a0coupon, 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 section in the Risk, funding &
capital chapter (Accounting policy for measuring allowances for credit losses).
(in millions)
31 December 2024
31 December 2023
Interest-bearing deposits
1,169
1,401
Loans and advances
707
729
Mandatory reserve deposits with central banks
166
181
Other loans and advances banks
12
16
Subtotal
2,053
2,327
Less: loan impairment allowances
4
3
Total loans and advances banks
2,049
2,324
Mandatory reserve deposits are held with local central banks in accordance with statutory requirements. The most
relevant for the bank are the minimum reserve requirements determined by the ECB. The ECB prescribes how
the\u00a0minimum reserve amount should be calculated during pre-defined reserve periods. During such a period,
the\u00a0balances are available for use by ABN AMRO. The bank manages and monitors deposits to ensure that it meets
the\u00a0minimum reserve requirements for the period.
", "dimensions": { "concept": "ifrs-full:DisclosureOfRestrictedCashAndCashEquivalentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-476": { "value": "
20\u00a0 Loans and advances banks
Accounting policy for loans and advances banks and customers
Loans and advances banks, and loans and advances customers, are held in a \u2018hold to collect\u2019 business model.
Loans and advances for which the contractual cash flows are solely payments of principal and interest (SPPI) are
measured at amortised cost, i.e. fair value at initial recognition, adjusted for repayment and amortisation
of\u00a0coupon, 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 section in the Risk, funding &
capital chapter (Accounting policy for measuring allowances for credit losses).
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForRestrictedCashAndCashEquivalentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-488": { "value": "
23\u00a0 Group structure
Accounting policy for subsidiaries
ABN AMRO\u2019s subsidiaries are those entities which it directly or indirectly controls. Control over an entity is
evidenced by ABN AMRO\u2019s ability to exercise its power in order to affect the variable returns that it is exposed
to\u00a0through 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\u00a0controls 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\u00a0the 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\u00a0AMRO 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\u00a0the 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\u00a0which the SPE is consolidated and the securitised assets continue to be recognised in the consolidated
statement of financial position.
The financial statements of subsidiaries and special purpose entities are included in the Consolidated Annual
Financial Statements from the date on which control commences until the date on which control ceases.
Assets and liabilities of acquisitions and divestments
The following table provides details of the assets and liabilities resulting from the acquisition or disposal of subsidiaries
and equity accounted investments at the date of acquisition or disposal.
31 December 2024
31 December 2023
(in millions)
Acquisitions\u00b9
Divestments\u00b9
Acquisitions
Divestments
Loans and advances banks
3
Equity-accounted investments
4
-205
23
-35
Goodwill and other intangible assets
26
Other assets
2
Due to customers
-1
Tax liabilities
-6
Other liabilities
-1
Net assets acquired/Net assets divested
29
-205
23
-35
Result on divestments, gross
-22
33
Net disposal result
-22
33
Cash received from divestments/(used for acquisitions)
Total Proceeds from sale/(purchase consideration)
-29
183
-23
68
Non-cash consideration
-44
Cash received from divestments/(used for acquisitions)
-73
183
-23
68
1. In 2024 ABN AMRO acquired 100% of the shares in BUX B.V. and BUX Technology B.V and sold the Joint Venture Neuflize Vie S.A.
Acquisitions and Divestments
Acquisitions in 2024
On 1 July 2024, ABN AMRO acquired 100% of the shares in BUX B.V. and BUX Technology B.V. The acquisition of BUX
brings advanced financial technology and a user-friendly and intuitive platform that will enhance ABN AMRO\u2019s digital
offerings. The purchase consideration of EUR 68 million was paid in cash. The goodwill that ABN AMRO recognises on
this transaction amounts to EUR 44 million and is attributable to future new business and client relationships, as well
as future improvements in operating efficiency and technology. In addition to goodwill, ABN\u00a0AMRO recognises
EUR\u00a09\u00a0million in net acquired assets, EUR 21 million in intangible assets and EUR 6 million in deferred tax liability.
Divestments in 2024
The change in divestments in 2024 was impacted by the sale of the joint venture Neuflize Vie S.A.
Acquisitions in 2023
No significant acquisitions were made in 2023.
\"\"
Divestments in 2023
The 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. and MP Solar.
", "dimensions": { "concept": "ifrs-full:DisclosureOfSignificantInvestmentsInSubsidiariesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-487": { "value": "
23\u00a0 Group structure
Accounting policy for business combinations
ABN AMRO accounts for business combinations using the acquisition method when control is transferred
to\u00a0the\u00a0bank. 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\u00a0connection 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\u00a0stages, 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": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-486": { "value": "
23\u00a0 Group structure
Accounting policy for business combinations
ABN AMRO accounts for business combinations using the acquisition method when control is transferred
to\u00a0the\u00a0bank. 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\u00a0connection 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\u00a0stages, the identifiable assets and liabilities of the acquiree are recognised at fair value when control is obtained.
A gain or loss is recognised in profit or loss as the difference between the fair value of the previously held equity
interest in the acquiree and its carrying amount. Changes in interests in subsidiaries that do not result in a change
of control are treated as transactions between equity holders and are reported in equity.
Assets and liabilities of acquisitions and divestments
The following table provides details of the assets and liabilities resulting from the acquisition or disposal of subsidiaries
and equity accounted investments at the date of acquisition or disposal.
31 December 2024
31 December 2023
(in millions)
Acquisitions\u00b9
Divestments\u00b9
Acquisitions
Divestments
Loans and advances banks
3
Equity-accounted investments
4
-205
23
-35
Goodwill and other intangible assets
26
Other assets
2
Due to customers
-1
Tax liabilities
-6
Other liabilities
-1
Net assets acquired/Net assets divested
29
-205
23
-35
Result on divestments, gross
-22
33
Net disposal result
-22
33
Cash received from divestments/(used for acquisitions)
Total Proceeds from sale/(purchase consideration)
-29
183
-23
68
Non-cash consideration
-44
Cash received from divestments/(used for acquisitions)
-73
183
-23
68
1. In 2024 ABN AMRO acquired 100% of the shares in BUX B.V. and BUX Technology B.V and sold the Joint Venture Neuflize Vie S.A.
Acquisitions and Divestments
Acquisitions in 2024
On 1 July 2024, ABN AMRO acquired 100% of the shares in BUX B.V. and BUX Technology B.V. The acquisition of BUX
brings advanced financial technology and a user-friendly and intuitive platform that will enhance ABN AMRO\u2019s digital
offerings. The purchase consideration of EUR 68 million was paid in cash. The goodwill that ABN AMRO recognises on
this transaction amounts to EUR 44 million and is attributable to future new business and client relationships, as well
as future improvements in operating efficiency and technology. In addition to goodwill, ABN\u00a0AMRO recognises
EUR\u00a09\u00a0million in net acquired assets, EUR 21 million in intangible assets and EUR 6 million in deferred tax liability.
Divestments in 2024
The change in divestments in 2024 was impacted by the sale of the joint venture Neuflize Vie S.A.
Acquisitions in 2023
No significant acquisitions were made in 2023.
\"\"
Divestments in 2023
The 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. and MP Solar.
", "dimensions": { "concept": "ifrs-full:DisclosureOfBusinessCombinationsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-485": { "value": "
23\u00a0 Group structure
Accounting policy for business combinations
ABN AMRO accounts for business combinations using the acquisition method when control is transferred
to\u00a0the\u00a0bank. 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\u00a0connection 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\u00a0stages, 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\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for impairment of non-financial assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
Goodwill
Goodwill is capitalised and stated at cost, being the excess of the consideration paid over the fair value
of\u00a0ABN\u00a0AMRO\u2019s share of the acquired entity\u2019s net identifiable assets at the acquisition date, less any accumulated
impairment losses. For the purpose of calculating goodwill, the fair values of acquired assets, liabilities and
contingent liabilities are determined by reference to market values or by discounting expected future cash flows
to present value. Goodwill is not amortised, but is reviewed annually for impairment, or more frequently if there
are indications that impairment may have occurred. In the test, the carrying amount of goodwill is compared
with the higher of the fair value less costs to sell and the value in use, being the present value of the cash flows
discounted at a pre-tax discount rate that reflects the risk of the cash-generating unit to which the goodwill
relates. Impairment losses are recognised in the income statement as depreciation and amortisation expense
and are irreversible.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForBusinessCombinationsAndGoodwillExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-484": { "value": "
23\u00a0 Group structure
Accounting policy for associates and joint ventures
Associates are those entities in which ABN AMRO has significant influence on, but no control or joint control
over, the operating and financial policies. Significant influence is generally presumed when ABN AMRO holds
between 20% and 50% of the voting rights. Potential voting rights that are currently exercisable are considered
in assessing whether ABN AMRO has significant influence. Among other factors, representation on the board
of\u00a0directors, participation in the policy-making process and material transactions between the entity and
the\u00a0investee are considered when determining 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\u00a0the 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\u00a0the\u00a0extent of ABN AMRO\u2019s interest in the entities. Unrealised losses are also eliminated unless the transaction
provides evidence of impairment in the asset transferred.
Equity accounted investments
The following table provides an overview of the most significant investments in associates and joint ventures at equity
method.
31 December 2024
31 December 2023
(in millions)
Principal place
of business
Business line
Carrying
amount
Equity
interest
Carrying
amount
Equity
interest
Joint ventures
Neuflize Vie S.A.\u00b9
France
Wealth
Management
65
60%
Other joint ventures
25
25
Associates
Nationale-Nederlanden ABN AMRO Verzekeringen
Holding B.V.
The Netherlands
Personal &
Business Banking
79
49%
67
49%
Other equity associates
140
176
Total equity associates and joint ventures
244
333
1. In 2024 the joint venture Neuflize Vie has been sold.
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 2024
31 December 2023
Joint venture\u00b9
Associate
Joint venture
Associate
(in millions)
Nationale-Nederlanden
ABN AMRO Verzekeringen
Holding B.V.
Neuflize Vie S.A.
Nationale-Nederlanden
ABN AMRO Verzekeringen
Holding B.V.
Assets
Cash and balances at central banks
9
75
18
Financial investments
11,215
Property and equipment
2
398
2
Accrued income and prepaid expenses
37
Other assets
94
76
83
Total assets
105
11,801
103
Liabilities
Due to banks and customers
7
Provisions
11,427
Other liabilities
28
42
24
Total liabilities
28
11,477
24
Equity
Total equity
77
324
79
Total liabilities and equity
105
11,801
103
Bank's share of equity
79
65
67
Carrying amount
79
65
67
1. In 2024 the joint venture Neuflize Vie has been sold.
\"\"
Assets related to equity associates are mainly held by Nationale-Nederlanden ABN AMRO Verzekeringen Holding B.V.
(EUR 0.1 billion at 31 December 2024, compared to EUR 0.1 billion at 31 December 2023).
The 2024 amounts presented\u00a0 for Nationale-Nederlanden ABN AMRO Verzekeringen Holding are based on the latest
approved annual accounts of Nationale-Nederlanden ABN AMRO Verzekeringen Holding (annual financial statements
2023).
The 2023 amounts presented for Nationale-Nederlanden ABN AMRO Verzekeringen Holding are based on the latest
approved annual accounts of Nationale-Nederlanden ABN AMRO Verzekeringen Holding (annual financial statements
2022).
2024
2023
Joint venture\u00b9
Associate
Joint venture
Associate
(in millions)
Nationale-Nederlanden
ABN AMRO Verzekeringen
Holding B.V.
Neuflize Vie S.A.
Nationale-Nederlanden
ABN AMRO Verzekeringen
Holding B.V.
Other income
13
120
107
Operating income
13
120
107
Other operating expenses
2
96
3
Operating expenses
2
96
3
Profit/(loss) before taxation
11
24
104
Income tax expense
5
-1
Profit/(loss) for the period
11
19
105
Other comprehensive income
5
Total comprehensive income
11
24
105
2024
2023
(in millions)
Joint ventures
Associates
Joint ventures
Associates
Operating income
587
122
780
Operating expenses
520
96
674
Profit/(loss) before taxation
67
25
106
Income tax expense
-1
5
-9
Profit/(loss) for the period
68
20
115
The joint ventures and associates had no contingent liabilities or capital commitments other than the minimum capital
requirements under the Solvency Regulation as at 31 December 2024 and 2023.
", "dimensions": { "concept": "ifrs-full:DisclosureOfSignificantInvestmentsInAssociatesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-483": { "value": "
23\u00a0 Group structure
Accounting policy for associates and joint ventures
Associates are those entities in which ABN AMRO has significant influence on, but no control or joint control
over, the operating and financial policies. Significant influence is generally presumed when ABN AMRO holds
between 20% and 50% of the voting rights. Potential voting rights that are currently exercisable are considered
in assessing whether ABN AMRO has significant influence. Among other factors, representation on the board
of\u00a0directors, participation in the policy-making process and material transactions between the entity and
the\u00a0investee are considered when determining 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\u00a0the 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\u00a0the\u00a0extent 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": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-482": { "value": "
23\u00a0 Group structure
Accounting policy for associates and joint ventures
A joint venture is an investment in which two or more parties have contractually agreed to share control over
the\u00a0investment. 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\u00a0the 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\u00a0the\u00a0extent 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:DescriptionOfAccountingPolicyForInvestmentsInJointVentures", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-481": { "value": "
23\u00a0 Group structure
Accounting policy for associates and joint ventures
A joint venture is an investment in which two or more parties have contractually agreed to share control over
the\u00a0investment. 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\u00a0the 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\u00a0the\u00a0extent 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 divestments
The following table provides details of the assets and liabilities resulting from the acquisition or disposal of subsidiaries
and equity accounted investments at the date of acquisition or disposal.
31 December 2024
31 December 2023
(in millions)
Acquisitions\u00b9
Divestments\u00b9
Acquisitions
Divestments
Loans and advances banks
3
Equity-accounted investments
4
-205
23
-35
Goodwill and other intangible assets
26
Other assets
2
Due to customers
-1
Tax liabilities
-6
Other liabilities
-1
Net assets acquired/Net assets divested
29
-205
23
-35
Result on divestments, gross
-22
33
Net disposal result
-22
33
Cash received from divestments/(used for acquisitions)
Total Proceeds from sale/(purchase consideration)
-29
183
-23
68
Non-cash consideration
-44
Cash received from divestments/(used for acquisitions)
-73
183
-23
68
1. In 2024 ABN AMRO acquired 100% of the shares in BUX B.V. and BUX Technology B.V and sold the Joint Venture Neuflize Vie S.A.
Equity accounted investments
The following table provides an overview of the most significant investments in associates and joint ventures at equity
method.
31 December 2024
31 December 2023
(in millions)
Principal place
of business
Business line
Carrying
amount
Equity
interest
Carrying
amount
Equity
interest
Joint ventures
Neuflize Vie S.A.\u00b9
France
Wealth
Management
65
60%
Other joint ventures
25
25
Associates
Nationale-Nederlanden ABN AMRO Verzekeringen
Holding B.V.
The Netherlands
Personal &
Business Banking
79
49%
67
49%
Other equity associates
140
176
Total equity associates and joint ventures
244
333
1. In 2024 the joint venture Neuflize Vie has been sold.
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 2024
31 December 2023
Joint venture\u00b9
Associate
Joint venture
Associate
(in millions)
Nationale-Nederlanden
ABN AMRO Verzekeringen
Holding B.V.
Neuflize Vie S.A.
Nationale-Nederlanden
ABN AMRO Verzekeringen
Holding B.V.
Assets
Cash and balances at central banks
9
75
18
Financial investments
11,215
Property and equipment
2
398
2
Accrued income and prepaid expenses
37
Other assets
94
76
83
Total assets
105
11,801
103
Liabilities
Due to banks and customers
7
Provisions
11,427
Other liabilities
28
42
24
Total liabilities
28
11,477
24
Equity
Total equity
77
324
79
Total liabilities and equity
105
11,801
103
Bank's share of equity
79
65
67
Carrying amount
79
65
67
1. In 2024 the joint venture Neuflize Vie has been sold.
2024
2023
Joint venture\u00b9
Associate
Joint venture
Associate
(in millions)
Nationale-Nederlanden
ABN AMRO Verzekeringen
Holding B.V.
Neuflize Vie S.A.
Nationale-Nederlanden
ABN AMRO Verzekeringen
Holding B.V.
Other income
13
120
107
Operating income
13
120
107
Other operating expenses
2
96
3
Operating expenses
2
96
3
Profit/(loss) before taxation
11
24
104
Income tax expense
5
-1
Profit/(loss) for the period
11
19
105
Other comprehensive income
5
Total comprehensive income
11
24
105
2024
2023
(in millions)
Joint ventures
Associates
Joint ventures
Associates
Operating income
587
122
780
Operating expenses
520
96
674
Profit/(loss) before taxation
67
25
106
Income tax expense
-1
5
-9
Profit/(loss) for the period
68
20
115
The joint ventures and associates had no contingent liabilities or capital commitments other than the minimum capital
requirements under the Solvency Regulation as at 31 December 2024 and 2023.
", "dimensions": { "concept": "ifrs-full:DisclosureOfJointVenturesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-480": { "value": "
23\u00a0 Group structure
Accounting policy for associates and joint ventures
Associates are those entities in which ABN AMRO has significant influence on, but no control or joint control
over, the operating and financial policies. Significant influence is generally presumed when ABN AMRO holds
between 20% and 50% of the voting rights. Potential voting rights that are currently exercisable are considered
in assessing whether ABN AMRO has significant influence. Among other factors, representation on the board
of\u00a0directors, participation in the policy-making process and material transactions between the entity and
the\u00a0investee are considered when determining significant influence.
A joint venture is an investment in which two or more parties have contractually agreed to share control over
the\u00a0investment. 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\u00a0the 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\u00a0the\u00a0extent 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 divestments
The following table provides details of the assets and liabilities resulting from the acquisition or disposal of subsidiaries
and equity accounted investments at the date of acquisition or disposal.
31 December 2024
31 December 2023
(in millions)
Acquisitions\u00b9
Divestments\u00b9
Acquisitions
Divestments
Loans and advances banks
3
Equity-accounted investments
4
-205
23
-35
Goodwill and other intangible assets
26
Other assets
2
Due to customers
-1
Tax liabilities
-6
Other liabilities
-1
Net assets acquired/Net assets divested
29
-205
23
-35
Result on divestments, gross
-22
33
Net disposal result
-22
33
Cash received from divestments/(used for acquisitions)
Total Proceeds from sale/(purchase consideration)
-29
183
-23
68
Non-cash consideration
-44
Cash received from divestments/(used for acquisitions)
-73
183
-23
68
1. In 2024 ABN AMRO acquired 100% of the shares in BUX B.V. and BUX Technology B.V and sold the Joint Venture Neuflize Vie S.A.
Equity accounted investments
The following table provides an overview of the most significant investments in associates and joint ventures at equity
method.
31 December 2024
31 December 2023
(in millions)
Principal place
of business
Business line
Carrying
amount
Equity
interest
Carrying
amount
Equity
interest
Joint ventures
Neuflize Vie S.A.\u00b9
France
Wealth
Management
65
60%
Other joint ventures
25
25
Associates
Nationale-Nederlanden ABN AMRO Verzekeringen
Holding B.V.
The Netherlands
Personal &
Business Banking
79
49%
67
49%
Other equity associates
140
176
Total equity associates and joint ventures
244
333
1. In 2024 the joint venture Neuflize Vie has been sold.
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 2024
31 December 2023
Joint venture\u00b9
Associate
Joint venture
Associate
(in millions)
Nationale-Nederlanden
ABN AMRO Verzekeringen
Holding B.V.
Neuflize Vie S.A.
Nationale-Nederlanden
ABN AMRO Verzekeringen
Holding B.V.
Assets
Cash and balances at central banks
9
75
18
Financial investments
11,215
Property and equipment
2
398
2
Accrued income and prepaid expenses
37
Other assets
94
76
83
Total assets
105
11,801
103
Liabilities
Due to banks and customers
7
Provisions
11,427
Other liabilities
28
42
24
Total liabilities
28
11,477
24
Equity
Total equity
77
324
79
Total liabilities and equity
105
11,801
103
Bank's share of equity
79
65
67
Carrying amount
79
65
67
1. In 2024 the joint venture Neuflize Vie has been sold.
\"\"
Assets related to equity associates are mainly held by Nationale-Nederlanden ABN AMRO Verzekeringen Holding B.V.
(EUR 0.1 billion at 31 December 2024, compared to EUR 0.1 billion at 31 December 2023).
The 2024 amounts presented\u00a0 for Nationale-Nederlanden ABN AMRO Verzekeringen Holding are based on the latest
approved annual accounts of Nationale-Nederlanden ABN AMRO Verzekeringen Holding (annual financial statements
2023).
The 2023 amounts presented for Nationale-Nederlanden ABN AMRO Verzekeringen Holding are based on the latest
approved annual accounts of Nationale-Nederlanden ABN AMRO Verzekeringen Holding (annual financial statements
2022).
2024
2023
Joint venture\u00b9
Associate
Joint venture
Associate
(in millions)
Nationale-Nederlanden
ABN AMRO Verzekeringen
Holding B.V.
Neuflize Vie S.A.
Nationale-Nederlanden
ABN AMRO Verzekeringen
Holding B.V.
Other income
13
120
107
Operating income
13
120
107
Other operating expenses
2
96
3
Operating expenses
2
96
3
Profit/(loss) before taxation
11
24
104
Income tax expense
5
-1
Profit/(loss) for the period
11
19
105
Other comprehensive income
5
Total comprehensive income
11
24
105
2024
2023
(in millions)
Joint ventures
Associates
Joint ventures
Associates
Operating income
587
122
780
Operating expenses
520
96
674
Profit/(loss) before taxation
67
25
106
Income tax expense
-1
5
-9
Profit/(loss) for the period
68
20
115
The joint ventures and associates had no contingent liabilities or capital commitments other than the minimum capital
requirements under the Solvency Regulation as at 31 December 2024 and 2023.
", "dimensions": { "concept": "ifrs-full:DisclosureOfInvestmentsAccountedForUsingEquityMethodExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-479": { "value": "
23\u00a0 Group structure
Accounting policy for subsidiaries
ABN AMRO\u2019s subsidiaries are those entities which it directly or indirectly controls. Control over an entity is
evidenced by ABN AMRO\u2019s ability to exercise its power in order to affect the variable returns that it is exposed
to\u00a0through 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\u00a0controls 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\u00a0the 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\u00a0AMRO 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\u00a0the 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\u00a0which 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": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-478": { "value": "
23\u00a0 Group structure
Accounting policy for associates and joint ventures
Associates are those entities in which ABN AMRO has significant influence on, but no control or joint control
over, the operating and financial policies. Significant influence is generally presumed when ABN AMRO holds
between 20% and 50% of the voting rights. Potential voting rights that are currently exercisable are considered
in assessing whether ABN AMRO has significant influence. Among other factors, representation on the board
of\u00a0directors, participation in the policy-making process and material transactions between the entity and
the\u00a0investee are considered when determining significant influence.
A joint venture is an investment in which two or more parties have contractually agreed to share control over
the\u00a0investment. 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\u00a0the 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\u00a0the\u00a0extent 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": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-477": { "value": "
23\u00a0 Group structure
Accounting policy for subsidiaries
ABN AMRO\u2019s subsidiaries are those entities which it directly or indirectly controls. Control over an entity is
evidenced by ABN AMRO\u2019s ability to exercise its power in order to affect the variable returns that it is exposed
to\u00a0through 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\u00a0controls 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\u00a0the 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\u00a0AMRO 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\u00a0the 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\u00a0which 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 ventures
Associates are those entities in which ABN AMRO has significant influence on, but no control or joint control
over, the operating and financial policies. Significant influence is generally presumed when ABN AMRO holds
between 20% and 50% of the voting rights. Potential voting rights that are currently exercisable are considered
in assessing whether ABN AMRO has significant influence. Among other factors, representation on the board
of\u00a0directors, participation in the policy-making process and material transactions between the entity and
the\u00a0investee are considered when determining significant influence.
A joint venture is an investment in which two or more parties have contractually agreed to share control over
the\u00a0investment. 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\u00a0the 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\u00a0the\u00a0extent 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 divestments
The following table provides details of the assets and liabilities resulting from the acquisition or disposal of subsidiaries
and equity accounted investments at the date of acquisition or disposal.
31 December 2024
31 December 2023
(in millions)
Acquisitions\u00b9
Divestments\u00b9
Acquisitions
Divestments
Loans and advances banks
3
Equity-accounted investments
4
-205
23
-35
Goodwill and other intangible assets
26
Other assets
2
Due to customers
-1
Tax liabilities
-6
Other liabilities
-1
Net assets acquired/Net assets divested
29
-205
23
-35
Result on divestments, gross
-22
33
Net disposal result
-22
33
Cash received from divestments/(used for acquisitions)
Total Proceeds from sale/(purchase consideration)
-29
183
-23
68
Non-cash consideration
-44
Cash received from divestments/(used for acquisitions)
-73
183
-23
68
1. In 2024 ABN AMRO acquired 100% of the shares in BUX B.V. and BUX Technology B.V and sold the Joint Venture Neuflize Vie S.A.
Acquisitions and Divestments
Acquisitions in 2024
On 1 July 2024, ABN AMRO acquired 100% of the shares in BUX B.V. and BUX Technology B.V. The acquisition of BUX
brings advanced financial technology and a user-friendly and intuitive platform that will enhance ABN AMRO\u2019s digital
offerings. The purchase consideration of EUR 68 million was paid in cash. The goodwill that ABN AMRO recognises on
this transaction amounts to EUR 44 million and is attributable to future new business and client relationships, as well
as future improvements in operating efficiency and technology. In addition to goodwill, ABN\u00a0AMRO recognises
EUR\u00a09\u00a0million in net acquired assets, EUR 21 million in intangible assets and EUR 6 million in deferred tax liability.
Divestments in 2024
The change in divestments in 2024 was impacted by the sale of the joint venture Neuflize Vie S.A.
Acquisitions in 2023
No significant acquisitions were made in 2023.
\"\"
Divestments in 2023
The 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. and MP Solar.
Equity accounted investments
The following table provides an overview of the most significant investments in associates and joint ventures at equity
method.
31 December 2024
31 December 2023
(in millions)
Principal place
of business
Business line
Carrying
amount
Equity
interest
Carrying
amount
Equity
interest
Joint ventures
Neuflize Vie S.A.\u00b9
France
Wealth
Management
65
60%
Other joint ventures
25
25
Associates
Nationale-Nederlanden ABN AMRO Verzekeringen
Holding B.V.
The Netherlands
Personal &
Business Banking
79
49%
67
49%
Other equity associates
140
176
Total equity associates and joint ventures
244
333
1. In 2024 the joint venture Neuflize Vie has been sold.
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 2024
31 December 2023
Joint venture\u00b9
Associate
Joint venture
Associate
(in millions)
Nationale-Nederlanden
ABN AMRO Verzekeringen
Holding B.V.
Neuflize Vie S.A.
Nationale-Nederlanden
ABN AMRO Verzekeringen
Holding B.V.
Assets
Cash and balances at central banks
9
75
18
Financial investments
11,215
Property and equipment
2
398
2
Accrued income and prepaid expenses
37
Other assets
94
76
83
Total assets
105
11,801
103
Liabilities
Due to banks and customers
7
Provisions
11,427
Other liabilities
28
42
24
Total liabilities
28
11,477
24
Equity
Total equity
77
324
79
Total liabilities and equity
105
11,801
103
Bank's share of equity
79
65
67
Carrying amount
79
65
67
1. In 2024 the joint venture Neuflize Vie has been sold.
\"\"
Assets related to equity associates are mainly held by Nationale-Nederlanden ABN AMRO Verzekeringen Holding B.V.
(EUR 0.1 billion at 31 December 2024, compared to EUR 0.1 billion at 31 December 2023).
The 2024 amounts presented\u00a0 for Nationale-Nederlanden ABN AMRO Verzekeringen Holding are based on the latest
approved annual accounts of Nationale-Nederlanden ABN AMRO Verzekeringen Holding (annual financial statements
2023).
The 2023 amounts presented for Nationale-Nederlanden ABN AMRO Verzekeringen Holding are based on the latest
approved annual accounts of Nationale-Nederlanden ABN AMRO Verzekeringen Holding (annual financial statements
2022).
2024
2023
Joint venture\u00b9
Associate
Joint venture
Associate
(in millions)
Nationale-Nederlanden
ABN AMRO Verzekeringen
Holding B.V.
Neuflize Vie S.A.
Nationale-Nederlanden
ABN AMRO Verzekeringen
Holding B.V.
Other income
13
120
107
Operating income
13
120
107
Other operating expenses
2
96
3
Operating expenses
2
96
3
Profit/(loss) before taxation
11
24
104
Income tax expense
5
-1
Profit/(loss) for the period
11
19
105
Other comprehensive income
5
Total comprehensive income
11
24
105
2024
2023
(in millions)
Joint ventures
Associates
Joint ventures
Associates
Operating income
587
122
780
Operating expenses
520
96
674
Profit/(loss) before taxation
67
25
106
Income tax expense
-1
5
-9
Profit/(loss) for the period
68
20
115
The joint ventures and associates had no contingent liabilities or capital commitments other than the minimum capital
requirements under the Solvency Regulation as at 31 December 2024 and 2023.
Unconsolidated structured entities
Unconsolidated structured entities are entities over which ABN AMRO has no control or significant influence.
ABN\u00a0AMRO is involved with structured entities through securitisation of financial assets and investments in structured
entities. Structured entities generally finance the purchase of assets by issuing debt and equity securities that are
collateralised by the assets held by the structured entities. The debt and equity securities issued by the structured
entities may include tranches with varying levels of subordination. The interest in unconsolidated structured entities
increased by EUR 0.9 billion to EUR 8.2 billion at year-end 2024 (31 December 2023: EUR 7.3 billion). The interests
consist mainly of mortgage- and other asset-backed securities recognised under financial investments
of\u00a0EUR\u00a05.3\u00a0billion (31 December 2023: EUR 5.0 billion). The maximum exposure to losses from these interests is equal
to the total carrying amount.
Sponsoring of unconsolidated structured entities
An entity is considered a sponsor of an unconsolidated structured entity if it had a key role in establishing that entity
in\u00a0order to enable the transaction that is the purpose of the entity to occur. No sponsoring occurred during 2024.
", "dimensions": { "concept": "ifrs-full:DisclosureOfInterestsInOtherEntitiesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-499": { "value": "
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for property and equipment
Property 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\u00a0impairment. 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\u00a0following 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\u00a0circumstances. Capitalised leasehold improvements are depreciated in a manner that takes into account
the\u00a0term 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 assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
(in millions)
31 December 2024
31 December 2023
Land and buildings held for own use
379
225
Leasehold improvements
44
44
Plant & equipment under operating lease
306
338
Equipment
70
78
Right of use assets
260
285
Other
8
9
Total property and equipment
1,068
978
The right of use assets consist primarily of real estate.
2024
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
777
208
649
626
584
11
2,853
115
517
632
Acquisitions/divestments of subsidiaries
33
33
Additions
174
13
97
28
53
365
44
4
48
Reversal of cost due to disposals
-12
-13
-182
-48
-58
-313
-10
-22
-31
Foreign exchange differences
1
6
1
3
10
1
1
Internally generated software
93
93
Other
2
-1
-17
-15
-4
-3
Acquisition costs
as at 31 December
941
209
570
607
565
11
2,902
150
623
773
Accumulated depreciation/
amortisation as at 1 January
-547
-160
-308
-546
-256
-1,817
-408
-408
Acquisitions/divestments of subsidiaries
-7
-7
Depreciation/amortisation
-16
-14
-36
-81
-147
-13
-13
Depreciation of assets subject to
operating lease
-86
-86
Reversal of depreciation/amortisation
due to disposals
10
9
135
45
21
219
22
22
Foreign exchange differences
-1
-3
-1
-1
-6
-1
-1
Other
-4
1
1
20
18
3
3
Accumulated depreciation/
amortisation as at 31 December
-557
-165
-263
-537
-297
-1
-1,819
-404
-404
Accumulated impairments as
at 1 January
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
2
4
2
37
45
10
10
Foreign exchange differences
-1
-1
Other
-2
-2
Accumulated impairments
as at 31 December
-5
-1
-7
-2
-14
-105
-10
-116
Total as at 31 December
379
44
306
70
260
8
1,068
44
209
253
The fair value of land and buildings held for own use is estimated at EUR 198 million at 31 December 2024 (2023:
EUR\u00a0199 million). Of this fair value, 100% is based on external valuations performed in 2017 to 2023. There are some
properties that have a lower fair value than the recorded carrying value. No impairment is recorded because these
properties are considered corporate assets. The value in use for the cash generating units within ABN AMRO Group is
sufficient to cover the total value of all these assets.
\"\"
The building at Foppingadreef in Amsterdam is being reconstructed to make it an example with regard
to\u00a0sustainability and circularity. Until 31 December 2024, a total of EUR 238 million was capitalised as part of the asset
under construction (2023: EUR 70 million). In 2024, additional design aspects were added to the original contract. As
at 31\u00a0December 2024, the amount of contractual commitments relating to the refurbishment amounted
to\u00a0EUR\u00a0298\u00a0million (2023: EUR 430 million), subject to price indexation based on the BDB Index. The project is
scheduled to be completed in 2027.
2023
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
726
209
801
638
497
11
2,883
142
438
580
Additions
63
12
98
35
138
346
9
9
Reversal of cost due to disposals
-50
-21
-255
-47
-38
-412
-4
-4
Foreign exchange differences
-1
5
-2
-2
Internally generated software
75
75
Other
38
9
2
-12
36
-27
-28
Acquisition costs
as at 31 December
777
208
649
626
584
11
2,853
115
517
632
Accumulated depreciation/
amortisation as at 1 January
-530
-165
-369
-554
-205
-1,824
-398
-398
Depreciation/amortisation
-16
-14
-40
-85
-155
-14
-14
Depreciation of assets subject to
operating lease
-108
-108
Reversal of depreciation/amortisation
due to disposals
33
20
172
46
21
292
4
4
Foreign exchange differences
1
-2
2
Other
-34
-1
1
12
-22
Accumulated depreciation/
amortisation as at 31 December
-547
-160
-308
-546
-256
-1,817
-408
-408
Accumulated impairments as
at 1 January
-5
-5
-5
-4
-51
-1
-70
-64
-10
-74
Increase of impairments charged to the
income statement
-1
-1
-1
-3
-79
-79
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
1
1
8
10
Foreign exchange differences
1
1
Other
1
1
28
28
Accumulated impairments
as at 31 December
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Total as at 31 December
225
44
338
78
285
9
978
99
99
", "dimensions": { "concept": "ifrs-full:DisclosureOfPropertyPlantAndEquipmentExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-494": { "value": "
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for property and equipment
Property 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\u00a0impairment. 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\u00a0following 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\u00a0circumstances. Capitalised leasehold improvements are depreciated in a manner that takes into account
the\u00a0term 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 assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForPropertyPlantAndEquipmentExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-501": { "value": "
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for impairment of non-financial assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
Accounting policy for leases
Lessor accounting
Where ABN AMRO acts as lessor, a distinction is made between operating and finance leases. Leases where
the\u00a0bank 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 accounting
All leases, except for low-value leases and leases with a duration of less than one year, are recognised on
the\u00a0balance 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\u00a0the 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\u00a0the\u00a0sum 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, a change in lease payments
due to a change in an index or 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\u00a0separate 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\u00a0the 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\u00a0tangible 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 transactions
In a sale and leaseback transaction, the seller/lessee transfers an underlying asset to the buyer/lessor and leases
that asset back from the buyer/lessor.
Seller/lessee accounting
If the bank is involved in a sale and leaseback transaction as a seller/lessee, the accounting policy described
below is from the perspective of a seller/lessee. To determine how to account for a sale and leaseback
transaction, the bank first considers whether the initial transfer of the underlying asset from the seller/lessee
to\u00a0the 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\u00a0leaseback is measured based on the proportion of the previous carrying amount of the asset that relates
to\u00a0the 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\u00a0residual 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\u00a0the\u00a0sale-and-leaseback transaction. If this does not equal the fair value of the underlying asset, or if
the\u00a0payments 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": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-500": { "value": "
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for property and equipment
Property 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\u00a0impairment. 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\u00a0following 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\u00a0circumstances. Capitalised leasehold improvements are depreciated in a manner that takes into account
the\u00a0term and renewal conditions of the related lease.
Accounting policy for impairment of non-financial assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
2024
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
777
208
649
626
584
11
2,853
115
517
632
Acquisitions/divestments of subsidiaries
33
33
Additions
174
13
97
28
53
365
44
4
48
Reversal of cost due to disposals
-12
-13
-182
-48
-58
-313
-10
-22
-31
Foreign exchange differences
1
6
1
3
10
1
1
Internally generated software
93
93
Other
2
-1
-17
-15
-4
-3
Acquisition costs
as at 31 December
941
209
570
607
565
11
2,902
150
623
773
Accumulated depreciation/
amortisation as at 1 January
-547
-160
-308
-546
-256
-1,817
-408
-408
Acquisitions/divestments of subsidiaries
-7
-7
Depreciation/amortisation
-16
-14
-36
-81
-147
-13
-13
Depreciation of assets subject to
operating lease
-86
-86
Reversal of depreciation/amortisation
due to disposals
10
9
135
45
21
219
22
22
Foreign exchange differences
-1
-3
-1
-1
-6
-1
-1
Other
-4
1
1
20
18
3
3
Accumulated depreciation/
amortisation as at 31 December
-557
-165
-263
-537
-297
-1
-1,819
-404
-404
Accumulated impairments as
at 1 January
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
2
4
2
37
45
10
10
Foreign exchange differences
-1
-1
Other
-2
-2
Accumulated impairments
as at 31 December
-5
-1
-7
-2
-14
-105
-10
-116
Total as at 31 December
379
44
306
70
260
8
1,068
44
209
253
The fair value of land and buildings held for own use is estimated at EUR 198 million at 31 December 2024 (2023:
EUR\u00a0199 million). Of this fair value, 100% is based on external valuations performed in 2017 to 2023. There are some
properties that have a lower fair value than the recorded carrying value. No impairment is recorded because these
properties are considered corporate assets. The value in use for the cash generating units within ABN AMRO Group is
sufficient to cover the total value of all these assets.
2023
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
726
209
801
638
497
11
2,883
142
438
580
Additions
63
12
98
35
138
346
9
9
Reversal of cost due to disposals
-50
-21
-255
-47
-38
-412
-4
-4
Foreign exchange differences
-1
5
-2
-2
Internally generated software
75
75
Other
38
9
2
-12
36
-27
-28
Acquisition costs
as at 31 December
777
208
649
626
584
11
2,853
115
517
632
Accumulated depreciation/
amortisation as at 1 January
-530
-165
-369
-554
-205
-1,824
-398
-398
Depreciation/amortisation
-16
-14
-40
-85
-155
-14
-14
Depreciation of assets subject to
operating lease
-108
-108
Reversal of depreciation/amortisation
due to disposals
33
20
172
46
21
292
4
4
Foreign exchange differences
1
-2
2
Other
-34
-1
1
12
-22
Accumulated depreciation/
amortisation as at 31 December
-547
-160
-308
-546
-256
-1,817
-408
-408
Accumulated impairments as
at 1 January
-5
-5
-5
-4
-51
-1
-70
-64
-10
-74
Increase of impairments charged to the
income statement
-1
-1
-1
-3
-79
-79
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
1
1
8
10
Foreign exchange differences
1
1
Other
1
1
28
28
Accumulated impairments
as at 31 December
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Total as at 31 December
225
44
338
78
285
9
978
99
99
Valuation of goodwill
31 December 2024
31 December 2023
(in millions)
Segment
Method used
for recoverable
amount
Discount
rate
Long-term
growth
rate
Impairment
charges
Goodwill
Goodwill
Entity
Bux
Wealth
Management
Value in use
13.5%
2.0%
44
Total goodwill and impairment charges
44
ABN AMRO performed its annual impairment test in the last quarter of 2024. The factors considered by ABN AMRO
when reviewing for indicators of impairment include the relationship between its market capitalisation and its book
value. The outcome of the impairment test performed is that no impairment needs to be recognised.
(in millions)
2024
2023
Depreciation on tangible assets
Land and buildings held for own use
16
16
Leasehold improvements
14
14
Equipment
36
40
Right of use assets
81
85
Amortisation on intangible assets
Purchased software
5
7
Internally developed software
6
3
Other intangible assets
2
4
Impairment losses on tangible assets
Land and buildings held for own use (incl. held for sale)
1
Right of use assets
1
Other
1
Impairment losses on intangible assets
Goodwill
79
Total depreciation, amortisation and impairment losses
160
251
", "dimensions": { "concept": "ifrs-full:DisclosureOfImpairmentOfAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-498": { "value": "
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for impairment of non-financial assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
Accounting policy for intangible assets
Goodwill
Goodwill is capitalised and stated at cost, being the excess of the consideration paid over the fair value
of\u00a0ABN\u00a0AMRO\u2019s share of the acquired entity\u2019s net identifiable assets at the acquisition date, less any accumulated
impairment losses. For the purpose of calculating goodwill, the fair values of acquired assets, liabilities and
contingent liabilities are determined by reference to market values or by discounting expected future cash flows
to present value. Goodwill is not amortised, but is reviewed annually for impairment, or more frequently if there
are indications that impairment may have occurred. In the test, the carrying amount of goodwill is compared
with the higher of the fair value less costs to sell and the value in use, being the present value of the cash flows
discounted at a pre-tax discount rate that reflects the risk of the cash-generating unit to which the goodwill
relates. Impairment losses are recognised in the income statement as depreciation and amortisation expense
and are irreversible.
Software and other intangible assets
The accounting policy for software and other intangible assets is determined by IAS 38 Intangible assets.
Software is amortised over a period of three years, unless it is classified as core application software, which is
amortised over its estimated useful life, set at a maximum of seven years. For own-developed software, only
the\u00a0development 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 2024
31 December 2023
Goodwill
44
Purchased software
5
10
Internally developed software
188
81
Other
15
8
Total goodwill and other intangible assets
253
99
2024
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
777
208
649
626
584
11
2,853
115
517
632
Acquisitions/divestments of subsidiaries
33
33
Additions
174
13
97
28
53
365
44
4
48
Reversal of cost due to disposals
-12
-13
-182
-48
-58
-313
-10
-22
-31
Foreign exchange differences
1
6
1
3
10
1
1
Internally generated software
93
93
Other
2
-1
-17
-15
-4
-3
Acquisition costs
as at 31 December
941
209
570
607
565
11
2,902
150
623
773
Accumulated depreciation/
amortisation as at 1 January
-547
-160
-308
-546
-256
-1,817
-408
-408
Acquisitions/divestments of subsidiaries
-7
-7
Depreciation/amortisation
-16
-14
-36
-81
-147
-13
-13
Depreciation of assets subject to
operating lease
-86
-86
Reversal of depreciation/amortisation
due to disposals
10
9
135
45
21
219
22
22
Foreign exchange differences
-1
-3
-1
-1
-6
-1
-1
Other
-4
1
1
20
18
3
3
Accumulated depreciation/
amortisation as at 31 December
-557
-165
-263
-537
-297
-1
-1,819
-404
-404
Accumulated impairments as
at 1 January
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
2
4
2
37
45
10
10
Foreign exchange differences
-1
-1
Other
-2
-2
Accumulated impairments
as at 31 December
-5
-1
-7
-2
-14
-105
-10
-116
Total as at 31 December
379
44
306
70
260
8
1,068
44
209
253
2023
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
726
209
801
638
497
11
2,883
142
438
580
Additions
63
12
98
35
138
346
9
9
Reversal of cost due to disposals
-50
-21
-255
-47
-38
-412
-4
-4
Foreign exchange differences
-1
5
-2
-2
Internally generated software
75
75
Other
38
9
2
-12
36
-27
-28
Acquisition costs
as at 31 December
777
208
649
626
584
11
2,853
115
517
632
Accumulated depreciation/
amortisation as at 1 January
-530
-165
-369
-554
-205
-1,824
-398
-398
Depreciation/amortisation
-16
-14
-40
-85
-155
-14
-14
Depreciation of assets subject to
operating lease
-108
-108
Reversal of depreciation/amortisation
due to disposals
33
20
172
46
21
292
4
4
Foreign exchange differences
1
-2
2
Other
-34
-1
1
12
-22
Accumulated depreciation/
amortisation as at 31 December
-547
-160
-308
-546
-256
-1,817
-408
-408
Accumulated impairments as
at 1 January
-5
-5
-5
-4
-51
-1
-70
-64
-10
-74
Increase of impairments charged to the
income statement
-1
-1
-1
-3
-79
-79
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
1
1
8
10
Foreign exchange differences
1
1
Other
1
1
28
28
Accumulated impairments
as at 31 December
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Total as at 31 December
225
44
338
78
285
9
978
99
99
Valuation of goodwill
31 December 2024
31 December 2023
(in millions)
Segment
Method used
for recoverable
amount
Discount
rate
Long-term
growth
rate
Impairment
charges
Goodwill
Goodwill
Entity
Bux
Wealth
Management
Value in use
13.5%
2.0%
44
Total goodwill and impairment charges
44
ABN AMRO performed its annual impairment test in the last quarter of 2024. The factors considered by ABN AMRO
when reviewing for indicators of impairment include the relationship between its market capitalisation and its book
value. The outcome of the impairment test performed is that no impairment needs to be recognised.
", "dimensions": { "concept": "ifrs-full:DisclosureOfIntangibleAssetsAndGoodwillExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-497": { "value": "
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for impairment of non-financial assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
Accounting policy for intangible assets
Software and other intangible assets
The accounting policy for software and other intangible assets is determined by IAS 38 Intangible assets.
Software is amortised over a period of three years, unless it is classified as core application software, which is
amortised over its estimated useful life, set at a maximum of seven years. For own-developed software, only
the\u00a0development 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 2024
31 December 2023
Goodwill
44
Purchased software
5
10
Internally developed software
188
81
Other
15
8
Total goodwill and other intangible assets
253
99
2024
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
777
208
649
626
584
11
2,853
115
517
632
Acquisitions/divestments of subsidiaries
33
33
Additions
174
13
97
28
53
365
44
4
48
Reversal of cost due to disposals
-12
-13
-182
-48
-58
-313
-10
-22
-31
Foreign exchange differences
1
6
1
3
10
1
1
Internally generated software
93
93
Other
2
-1
-17
-15
-4
-3
Acquisition costs
as at 31 December
941
209
570
607
565
11
2,902
150
623
773
Accumulated depreciation/
amortisation as at 1 January
-547
-160
-308
-546
-256
-1,817
-408
-408
Acquisitions/divestments of subsidiaries
-7
-7
Depreciation/amortisation
-16
-14
-36
-81
-147
-13
-13
Depreciation of assets subject to
operating lease
-86
-86
Reversal of depreciation/amortisation
due to disposals
10
9
135
45
21
219
22
22
Foreign exchange differences
-1
-3
-1
-1
-6
-1
-1
Other
-4
1
1
20
18
3
3
Accumulated depreciation/
amortisation as at 31 December
-557
-165
-263
-537
-297
-1
-1,819
-404
-404
Accumulated impairments as
at 1 January
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
2
4
2
37
45
10
10
Foreign exchange differences
-1
-1
Other
-2
-2
Accumulated impairments
as at 31 December
-5
-1
-7
-2
-14
-105
-10
-116
Total as at 31 December
379
44
306
70
260
8
1,068
44
209
253
2023
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
726
209
801
638
497
11
2,883
142
438
580
Additions
63
12
98
35
138
346
9
9
Reversal of cost due to disposals
-50
-21
-255
-47
-38
-412
-4
-4
Foreign exchange differences
-1
5
-2
-2
Internally generated software
75
75
Other
38
9
2
-12
36
-27
-28
Acquisition costs
as at 31 December
777
208
649
626
584
11
2,853
115
517
632
Accumulated depreciation/
amortisation as at 1 January
-530
-165
-369
-554
-205
-1,824
-398
-398
Depreciation/amortisation
-16
-14
-40
-85
-155
-14
-14
Depreciation of assets subject to
operating lease
-108
-108
Reversal of depreciation/amortisation
due to disposals
33
20
172
46
21
292
4
4
Foreign exchange differences
1
-2
2
Other
-34
-1
1
12
-22
Accumulated depreciation/
amortisation as at 31 December
-547
-160
-308
-546
-256
-1,817
-408
-408
Accumulated impairments as
at 1 January
-5
-5
-5
-4
-51
-1
-70
-64
-10
-74
Increase of impairments charged to the
income statement
-1
-1
-1
-3
-79
-79
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
1
1
8
10
Foreign exchange differences
1
1
Other
1
1
28
28
Accumulated impairments
as at 31 December
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Total as at 31 December
225
44
338
78
285
9
978
99
99
", "dimensions": { "concept": "ifrs-full:DisclosureOfIntangibleAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-496": { "value": "
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for impairment of non-financial assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
Accounting policy for intangible assets
Goodwill
Goodwill is capitalised and stated at cost, being the excess of the consideration paid over the fair value
of\u00a0ABN\u00a0AMRO\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 2024
31 December 2023
Goodwill
44
Purchased software
5
10
Internally developed software
188
81
Other
15
8
Total goodwill and other intangible assets
253
99
2024
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
777
208
649
626
584
11
2,853
115
517
632
Acquisitions/divestments of subsidiaries
33
33
Additions
174
13
97
28
53
365
44
4
48
Reversal of cost due to disposals
-12
-13
-182
-48
-58
-313
-10
-22
-31
Foreign exchange differences
1
6
1
3
10
1
1
Internally generated software
93
93
Other
2
-1
-17
-15
-4
-3
Acquisition costs
as at 31 December
941
209
570
607
565
11
2,902
150
623
773
Accumulated depreciation/
amortisation as at 1 January
-547
-160
-308
-546
-256
-1,817
-408
-408
Acquisitions/divestments of subsidiaries
-7
-7
Depreciation/amortisation
-16
-14
-36
-81
-147
-13
-13
Depreciation of assets subject to
operating lease
-86
-86
Reversal of depreciation/amortisation
due to disposals
10
9
135
45
21
219
22
22
Foreign exchange differences
-1
-3
-1
-1
-6
-1
-1
Other
-4
1
1
20
18
3
3
Accumulated depreciation/
amortisation as at 31 December
-557
-165
-263
-537
-297
-1
-1,819
-404
-404
Accumulated impairments as
at 1 January
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
2
4
2
37
45
10
10
Foreign exchange differences
-1
-1
Other
-2
-2
Accumulated impairments
as at 31 December
-5
-1
-7
-2
-14
-105
-10
-116
Total as at 31 December
379
44
306
70
260
8
1,068
44
209
253
2023
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
726
209
801
638
497
11
2,883
142
438
580
Additions
63
12
98
35
138
346
9
9
Reversal of cost due to disposals
-50
-21
-255
-47
-38
-412
-4
-4
Foreign exchange differences
-1
5
-2
-2
Internally generated software
75
75
Other
38
9
2
-12
36
-27
-28
Acquisition costs
as at 31 December
777
208
649
626
584
11
2,853
115
517
632
Accumulated depreciation/
amortisation as at 1 January
-530
-165
-369
-554
-205
-1,824
-398
-398
Depreciation/amortisation
-16
-14
-40
-85
-155
-14
-14
Depreciation of assets subject to
operating lease
-108
-108
Reversal of depreciation/amortisation
due to disposals
33
20
172
46
21
292
4
4
Foreign exchange differences
1
-2
2
Other
-34
-1
1
12
-22
Accumulated depreciation/
amortisation as at 31 December
-547
-160
-308
-546
-256
-1,817
-408
-408
Accumulated impairments as
at 1 January
-5
-5
-5
-4
-51
-1
-70
-64
-10
-74
Increase of impairments charged to the
income statement
-1
-1
-1
-3
-79
-79
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
1
1
8
10
Foreign exchange differences
1
1
Other
1
1
28
28
Accumulated impairments
as at 31 December
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Total as at 31 December
225
44
338
78
285
9
978
99
99
Valuation of goodwill
31 December 2024
31 December 2023
(in millions)
Segment
Method used
for recoverable
amount
Discount
rate
Long-term
growth
rate
Impairment
charges
Goodwill
Goodwill
Entity
Bux
Wealth
Management
Value in use
13.5%
2.0%
44
Total goodwill and impairment charges
44
ABN AMRO performed its annual impairment test in the last quarter of 2024. The factors considered by ABN AMRO
when reviewing for indicators of impairment include the relationship between its market capitalisation and its book
value. The outcome of the impairment test performed is that no impairment needs to be recognised.
", "dimensions": { "concept": "ifrs-full:DisclosureOfGoodwillExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-495": { "value": "
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for impairment of non-financial assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfNonfinancialAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-493": { "value": "
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for property and equipment
Property 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\u00a0impairment. 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\u00a0following 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\u00a0circumstances. Capitalised leasehold improvements are depreciated in a manner that takes into account
the\u00a0term and renewal conditions of the related lease.
Lessee accounting
The ROU asset is depreciated over the period of the lease, using the straight-line method.", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDepreciationExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-492": { "value": "
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for impairment of non-financial assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
Accounting policy for intangible assets
Goodwill
Goodwill is capitalised and stated at cost, being the excess of the consideration paid over the fair value
of\u00a0ABN\u00a0AMRO\u2019s share of the acquired entity\u2019s net identifiable assets at the acquisition date, less any accumulated
impairment losses. For the purpose of calculating goodwill, the fair values of acquired assets, liabilities and
contingent liabilities are determined by reference to market values or by discounting expected future cash flows
to present value. Goodwill is not amortised, but is reviewed annually for impairment, or more frequently if there
are indications that impairment may have occurred. In the test, the carrying amount of goodwill is compared
with the higher of the fair value less costs to sell and the value in use, being the present value of the cash flows
discounted at a pre-tax discount rate that reflects the risk of the cash-generating unit to which the goodwill
relates. Impairment losses are recognised in the income statement as depreciation and amortisation expense
and are irreversible.
Software and other intangible assets
The accounting policy for software and other intangible assets is determined by IAS 38 Intangible assets.
Software is amortised over a period of three years, unless it is classified as core application software, which is
amortised over its estimated useful life, set at a maximum of seven years. For own-developed software, only
the\u00a0development 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": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-491": { "value": "
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for impairment of non-financial assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
Accounting policy for intangible assets
Goodwill
Goodwill is capitalised and stated at cost, being the excess of the consideration paid over the fair value
of\u00a0ABN\u00a0AMRO\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": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-490": { "value": "
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for property and equipment
Property 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\u00a0impairment. 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\u00a0following 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\u00a0circumstances. Capitalised leasehold improvements are depreciated in a manner that takes into account
the\u00a0term and renewal conditions of the related lease.
Lessee accounting
The ROU asset is depreciated over the period of the lease, using the straight-line method.
Accounting policy for intangible assets
Software and other intangible assets
The accounting policy for software and other intangible assets is determined by IAS 38 Intangible assets.
Software is amortised over a period of three years, unless it is classified as core application software, which is
amortised over its estimated useful life, set at a maximum of seven years. For own-developed software, only
the\u00a0development 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.
2024
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
777
208
649
626
584
11
2,853
115
517
632
Acquisitions/divestments of subsidiaries
33
33
Additions
174
13
97
28
53
365
44
4
48
Reversal of cost due to disposals
-12
-13
-182
-48
-58
-313
-10
-22
-31
Foreign exchange differences
1
6
1
3
10
1
1
Internally generated software
93
93
Other
2
-1
-17
-15
-4
-3
Acquisition costs
as at 31 December
941
209
570
607
565
11
2,902
150
623
773
Accumulated depreciation/
amortisation as at 1 January
-547
-160
-308
-546
-256
-1,817
-408
-408
Acquisitions/divestments of subsidiaries
-7
-7
Depreciation/amortisation
-16
-14
-36
-81
-147
-13
-13
Depreciation of assets subject to
operating lease
-86
-86
Reversal of depreciation/amortisation
due to disposals
10
9
135
45
21
219
22
22
Foreign exchange differences
-1
-3
-1
-1
-6
-1
-1
Other
-4
1
1
20
18
3
3
Accumulated depreciation/
amortisation as at 31 December
-557
-165
-263
-537
-297
-1
-1,819
-404
-404
Accumulated impairments as
at 1 January
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
2
4
2
37
45
10
10
Foreign exchange differences
-1
-1
Other
-2
-2
Accumulated impairments
as at 31 December
-5
-1
-7
-2
-14
-105
-10
-116
Total as at 31 December
379
44
306
70
260
8
1,068
44
209
253
2023
(in millions)
Land and
buildings
held for
own use
Leasehold
improve-
ments
Plant &
equipment
under ope-
rating lease
Equip-
ment
Right
of use
assets
Other
property
and
equipment
Total
property
and
equipment
Good-
will
Other
intangible
assets
Total
goodwill
and other
intangible
assets
Acquisition costs as at 1 January
726
209
801
638
497
11
2,883
142
438
580
Additions
63
12
98
35
138
346
9
9
Reversal of cost due to disposals
-50
-21
-255
-47
-38
-412
-4
-4
Foreign exchange differences
-1
5
-2
-2
Internally generated software
75
75
Other
38
9
2
-12
36
-27
-28
Acquisition costs
as at 31 December
777
208
649
626
584
11
2,853
115
517
632
Accumulated depreciation/
amortisation as at 1 January
-530
-165
-369
-554
-205
-1,824
-398
-398
Depreciation/amortisation
-16
-14
-40
-85
-155
-14
-14
Depreciation of assets subject to
operating lease
-108
-108
Reversal of depreciation/amortisation
due to disposals
33
20
172
46
21
292
4
4
Foreign exchange differences
1
-2
2
Other
-34
-1
1
12
-22
Accumulated depreciation/
amortisation as at 31 December
-547
-160
-308
-546
-256
-1,817
-408
-408
Accumulated impairments as
at 1 January
-5
-5
-5
-4
-51
-1
-70
-64
-10
-74
Increase of impairments charged to the
income statement
-1
-1
-1
-3
-79
-79
Impairments on assets subject to
operating lease
2
2
Reversal of impairments due to
disposals
1
1
8
10
Foreign exchange differences
1
1
Other
1
1
28
28
Accumulated impairments
as at 31 December
-5
-4
-3
-2
-43
-2
-59
-115
-10
-125
Total as at 31 December
225
44
338
78
285
9
978
99
99
(in millions)
2024
2023
Depreciation on tangible assets
Land and buildings held for own use
16
16
Leasehold improvements
14
14
Equipment
36
40
Right of use assets
81
85
Amortisation on intangible assets
Purchased software
5
7
Internally developed software
6
3
Other intangible assets
2
4
Impairment losses on tangible assets
Land and buildings held for own use (incl. held for sale)
1
Right of use assets
1
Other
1
Impairment losses on intangible assets
Goodwill
79
Total depreciation, amortisation and impairment losses
160
251
", "dimensions": { "concept": "ifrs-full:DisclosureOfDepreciationAndAmortisationExpenseExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-489": { "value": "
24\u00a0 Property and equipment, leases, goodwill and other intangible assets
Accounting policy for impairment of non-financial assets
At each reporting date, ABN AMRO reviews the carrying amounts of its non-financial assets (i.e. ROU assets,
equipment, goodwill and other intangible assets) to determine whether there is any indication of impairment. If
any such indication exists, the asset\u2019s recoverable amount is estimated. Goodwill is tested annually for
impairment.
For impairment testing, assets are grouped together into the smallest group of assets that generates cash
inflows from continuing use that is largely independent of the cash inflows of other assets or cash-generating
units. Goodwill arising from a business combination is allocated to cash-generating units or groups
of\u00a0cash\u2011generating 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\u00a0pre-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\u00a0reasonable and consistent basis and tested for impairment as part of the testing of the cash-generating unit
to\u00a0which the corporate assets are allocated.
Impairment losses are recognised in the income statement as a component of depreciation and amortisation
expense. 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\u00a0the 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.
Accounting policy for intangible assets
Software and other intangible assets
The accounting policy for software and other intangible assets is determined by IAS 38 Intangible assets.
Software is amortised over a period of three years, unless it is classified as core application software, which is
amortised over its estimated useful life, set at a maximum of seven years. For own-developed software, only
the\u00a0development 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": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-503": { "value": "
25\u00a0 Non-current assets and disposal groups held for sale
Accounting policy for non-current assets and disposal groups held for sale
Non-current assets and/or businesses are classified as held for sale if their carrying amount is to be recovered
principally by selling them within 12 months, rather than through ongoing use. Assets held for sale (other than
financial instruments) are not depreciated and are measured at the lower of their carrying amount and fair value,
less costs to sell. Assets and liabilities of a business held for sale are presented separately in the consolidated
statement of financial position.
(in millions)
31 December 2024
31 December 2023
Corporate loans
1,329
Property and equipment
1
1
Other assets
130
Assets of businesses held for sale
1,330
130
Liabilities of businesses held for sale
The 2024 held-for-sale position consists of EUR 1.3 billion of corporate loans. This sale will improve ABN AMRO\u2019s
capital allocation and use of assets. The loans are part of the corporate banking segment and were sold in the first
quarter of 2025. In 2023, the held-for-sale position contained the joint venture Neuflize Vie, for which the transaction
was closed in the fourth quarter of 2024. Neuflize Vie was part of the Wealth Management segment.", "dimensions": { "concept": "ifrs-full:DisclosureOfNoncurrentAssetsOrDisposalGroupsClassifiedAsHeldForSaleExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-502": { "value": "
25\u00a0 Non-current assets and disposal groups held for sale
Accounting policy for non-current assets and disposal groups held for sale
Non-current assets and/or businesses are classified as held for sale if their carrying amount is to be recovered
principally by selling them within 12 months, rather than through ongoing use. Assets held for sale (other than
financial instruments) are not depreciated and are measured at the lower of their carrying amount and fair value,
less costs to sell. Assets and liabilities of a business held for sale are presented separately in the consolidated
statement of financial position.
(in millions)
31 December 2024
31 December 2023
Corporate loans
1,329
Property and equipment
1
1
Other assets
130
Assets of businesses held for sale
1,330
130
Liabilities of businesses held for sale
The 2024 held-for-sale position consists of EUR 1.3 billion of corporate loans. This sale will improve ABN AMRO\u2019s
capital allocation and use of assets. The loans are part of the corporate banking segment and were sold in the first
quarter of 2025. In 2023, the held-for-sale position contained the joint venture Neuflize Vie, for which the transaction
was closed in the fourth quarter of 2024. Neuflize Vie was part of the Wealth Management segment.", "dimensions": { "concept": "ifrs-full:DisclosureOfNoncurrentAssetsHeldForSaleAndDiscontinuedOperationsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-505": { "value": "
25\u00a0 Non-current assets and disposal groups held for sale
Accounting policy for non-current assets and disposal groups held for sale
Non-current assets and/or businesses are classified as held for sale if their carrying amount is to be recovered
principally by selling them within 12 months, rather than through ongoing use. Assets held for sale (other than
financial instruments) are not depreciated and are measured at the lower of their carrying amount and fair value,
less costs to sell. Assets and liabilities of a business held for sale are presented separately in the consolidated
statement of financial position.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForNoncurrentAssetsOrDisposalGroupsClassifiedAsHeldForSaleAndDiscontinuedOperationsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-504": { "value": "
25\u00a0 Non-current assets and disposal groups held for sale
Accounting policy for non-current assets and disposal groups held for sale
Non-current assets and/or businesses are classified as held for sale if their carrying amount is to be recovered
principally by selling them within 12 months, rather than through ongoing use. Assets held for sale (other than
financial instruments) are not depreciated and are measured at the lower of their carrying amount and fair value,
less costs to sell. Assets and liabilities of a business held for sale are presented separately in the consolidated
statement of financial position.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForNoncurrentAssetsOrDisposalGroupsClassifiedAsHeldForSaleExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-507": { "value": "
26\u00a0 Other assets
(in millions)
31 December 2024
31 December 2023
Accrued other income
503
492
Prepaid expenses
21
18
Unsettled securities transactions
1,893
2,288
Trade and other receivables
2,759
2,007
Other
342
546
Total other assets
5,518
5,351
Unsettled securities transactions are related to reversed repurchase and securities borrowing transactions that have
been delivered but not settled.
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-506": { "value": "
26\u00a0 Other assets
(in millions)
31 December 2024
31 December 2023
Accrued other income
503
492
Prepaid expenses
21
18
Unsettled securities transactions
1,893
2,288
Trade and other receivables
2,759
2,007
Other
342
546
Total other assets
5,518
5,351
Unsettled securities transactions are related to reversed repurchase and securities borrowing transactions that have
been delivered but not settled.
", "dimensions": { "concept": "ifrs-full:DisclosureOfPrepaymentsAndOtherAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-509": { "value": "
27\u00a0 Due to banks
Accounting policy for due to banks and due to customers
Amounts due to banks and customers are held at amortised cost. That is, at fair value upon initial recognition,
adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate
of\u00a0the instrument.
28\u00a0 Due to customers
Accounting policy for due to customers
The accounting policy for amounts due to customers is set out in Note 27 - Due to banks.
(in millions)
31 December 2024
31 December 2023
Current accounts
92,746
99,948
Demand deposits
108,008
100,943
Time deposits
53,533
51,728
Other
1,899
1,846
Total due to customers
256,186
254,466
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27\u00a0 Due to banks
Accounting policy for due to banks and due to customers
Amounts due to banks and customers are held at amortised cost. That is, at fair value upon initial recognition,
adjusted for repayment and amortisation of coupon, fees and expenses to represent the effective interest rate
of\u00a0the instrument.
(in millions)
31 December 2024
31 December 2023
Current accounts
1,522
1,168
Demand deposits
1
1
Time deposits
320
3,731
Cash collateral on securities lent
485
451
Total due to banks
2,329
5,352
On 26 June 2024, ABN AMRO fully repaid the TLTRO III funding in the amount of EUR 3.0 billion. As at
31\u00a0December\u00a02024, there was no outstanding TLTRO III funding.
", "dimensions": { "concept": "ifrs-full:DisclosureOfDepositsFromBanksExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-510": { "value": "
29\u00a0 Issued debt and subordinated liabilities
Accounting policy for issued debt and subordinated liabilities
Issued debt securities and subordinated liabilities are recorded at amortised cost using the effective interest rate
method. Hybrid or structured financial liabilities are irrevocably designated upon initial recognition to be
measured at fair value through profit or loss. The latter is applied when the instruments are held to reduce
an\u00a0accounting mismatch, are managed on the basis of their fair value or include terms that qualify as
an\u00a0embedded 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\u00a0substance 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\u00a0credit risk of issued debt is presented as liability own credit risk reserve in equity. Exchange-traded own debt
measured at fair value through profit or loss is valued at market prices.
Fair value changes are calculated based on a yield curve generated from observed external pricing for funding
and quoted CDS spreads
The following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding.
Movements in these debt instruments involve a continual process of redemption and issuance of long-term and
short\u2011term funding.
Issued debt
(in millions)
31 December 2024
31 December 2023
Bonds and notes issued
56,416
52,264
Certificates of deposit and commercial paper
17,922
13,741
Total at amortised cost
74,337
66,005
Designated at fair value through profit or loss
205
222
Total issued debt
74,542
66,227
- of which matures within one year
24,999
17,408
2024
2023
(in millions)
Carrying amount
Carrying amount
Balance as at 1 January
66,227
56,259
Cash flows
Issuance
42,885
49,985
Redemption
-36,980
-43,196
Non-cash changes
Foreign exchange differences
909
-96
Fair value changes own credit risk
-2
-2
Fair value changes hedge accounting
902
2,514
Other
601
762
Balance as at 31 December
74,542
66,227
\"\"
The amounts of debt issued and redeemed during the period are shown in the Consolidated statement of cash flows.
Non-cash changes consist mainly of unrealised gains and losses and foreign exchange differences. Further details
of\u00a0the funding programmes are provided in the Funding section of the Risk, funding & capital chapter.
Financial liabilities designated at fair value through profit or loss
(in millions)
31 December 2024
31 December 2023
Cumulative change in fair value of the structured notes attributable to changes in credit risk
1
2
Change during the year in fair value of the structured notes attributable to changes in credit risk
-2
-2
Difference between amount contractually required to pay at maturity and the carrying amount
6
10
The change in fair value of the structured notes attributable to changes in credit risk is determined using the credit
spread implicit in the fair value of similar bonds traded in active markets and issued by ABN AMRO.
", "dimensions": { "concept": "ifrs-full:DisclosureOfFinancialInstrumentsDesignatedAtFairValueThroughProfitOrLossExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-512": { "value": "
30\u00a0 Provisions
Accounting policy for provisions
A provision is recognised in the balance sheet when ABN AMRO has a legal or constructive obligation as a result
of a past event, and it is more likely than not that an outflow of economic benefits will be required to settle
the\u00a0obligation, 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. In cases where ABN AMRO expects
disclosure of legal proceedings on a case-by-case basis to seriously prejudice its position, it only discloses
the\u00a0general nature of the dispute.
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\u00a0implement 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\u00a0payment. Expected credit loss allowances of loan commitments and financial guarantees are recognised as
provisions under IFRS 9.
(in millions)
31 December 2024
31 December 2023
Legal provisions
150
273
Credit commitments provisions
97
120
Restructuring provision
45
57
Provision for pension commitments
76
76
Other staff provision
181
134
Insurance fund liabilities
7
7
Other provisions
58
75
Total provisions
612
742
Legal provisions
Variable interest rates for consumer loans
On 3 March 2021, the Kifid Appeals Committee confirmed a ruling of the Kifid Disputes Committee about
the\u00a0recalculation of the variable interest charged to a specific client on a revolving credit. In short, Kifid ruled that
ABN\u00a0AMRO 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 505 million for the interest to be compensated and
the\u00a0costs incurred in carrying out the scheme. To date, EUR 470 million of this provision has been used, so
the\u00a0remaining provision as at 31 December 2024 was EUR 35 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\u00a0compensation 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 provisions
AML remediation programme
ABN AMRO is progressing with the enhancement to its internal processes and systems to effectively contribute
to\u00a0the\u00a0prevention of financial economic crime. ABN AMRO has closed the AML client file remediations for key parts
of\u00a0the business, and are awaiting the observations from the supervisor on others. Work continues to increase
the\u00a0effectiveness and sustainability of our measures to meet regulatory requirements. Currently, the main attention
goes to the effectiveness of our monitoring processes and the quality of our client due diligence. ABN AMRO is
in\u00a0regular dialogue with the Dutch Central Bank, which is\u00a0 regularly informed, continues to monitor progress and
provides observations. DNB has recently identified shortcomings in our event-driven review processes. These
shortcomings relate to updating of client files, for example due to changes in a client\u2019s circumstances. DNB has
indicated that these findings may lead to enforcement measures. A potential financial impact cannot be reliably
estimated, and no provision has been recorded.
(in millions)
Legal
provisions
Credit
commitments
Restructuring
provision
Provision
for pension
commitments
Other
staff
provision
Insurance
fund
liabilities
Other
Total
At 1 January 2023
447
154
105
75
128
8
128
1,044
Increase of provisions
89
86
14
22
210
Reversal of unused provisions
-41
-129
-22
-9
-32
-233
Utilised during the year
-231
-40
-51
-321
Transfer between stages
18
18
Foreign exchange differences
2
-1
1
Other
9
-10
1
6
8
9
23
At 31 December 2023
273
120
57
76
134
7
75
742
Increase of provisions
124
97
52
36
3
312
Reversal of unused provisions
-55
-75
-9
-6
-9
-153
Utilised during the year
-178
-48
-13
-239
Transfer between stages
2
2
Foreign exchange differences
8
8
Other
-14
-55
-8
11
5
2
-58
At 31 December 2024
150
97
45
76
181
7
58
612
35\u00a0 Commitments and contingent liabilities
Contingent liabilities
Contingent liabilities are possible obligations whose existence will be confirmed only by uncertain future events,
and present obligations where the transfer of economic resources is uncertain or cannot be reliably measured.
Contingent liabilities are not recognised in the balance sheet, but disclosed if the likelihood of an outflow
of\u00a0economic 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.
Contingent liabilities
ABN AMRO is involved in a number of legal proceedings in the ordinary course of business in various jurisdictions.
In\u00a0presenting 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.
Single Resolution Fund contribution
Irrevocable Payment Commitment
The 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. In February 2024, the SRB
confirmed that the SRF reached its target level. As such, no annual contribution was collected in 2024. 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 2024, ABN AMRO has transferred
a\u00a0cumulative 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 levies
ABN AMRO is in discussion with the Single Resolution Board (SRB) about the calculation method applied for annual
Single Resolution Fund (SRF) contributions paid in the past. At this time, the outcome of these discussions are still
uncertain.
The annual SRF contribution is a levy introduced by the European Union in 2016. The SRB calculates the SRF
contribution based on the information annually provided by the credit institutions within the European Banking Union
in scope of SRF. The SRB is of the opinion that ABN AMRO has reported variables to calculate the annual SRF
contribution incorrectly over the 2016-2022 period. ABN AMRO disagrees with the SRB\u2019s point of view and, as from
2016, has repeatedly and extensively communicated its position with regard to the adjusted amount to the SRB.
The\u00a0different points of view held by the SRB and ABN AMRO are due to a differing interpretation of the regulation with
regard to the annual SRF contribution.
\"\"
ABN AMRO received on 11 May 2023 the final decision from the SRB regarding the ex-ante contributions to the SRF.
In\u00a0its final decision, SRB reiterates its arguments and doesn\u2019t agree with ABN AMRO\u2019s position. The SRB recalculated
the contribution of ABN AMRO Hypotheken Groep B.V. (AAHG) over the years 2016 - 2022. Therefore the total amount
of the invoice for the year 2023 is EUR 177 million. This amount consists of both the contribution for the year 2023
(approximately EUR 57 million) and the amount AAHG has to pay extra in contribution 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\u00a0comply with the Dutch legislation, which requires the SRF contribution 2023 to be paid within six weeks after
the\u00a0notification of the final decision (under penalty of fines), AAHG paid on 22 June 2023, under protest, the SRF
contribution 2023 to the SRB.
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
asserts 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. The court decided that the assessment of the initial defence of SRB will be
suspended until after the assessment of the proceedings on the merits. SRB filed a response to the petition of AAHG
and ABN AMRO on 21 May 2024. AAHG and ABN AMRO filed a reply to this response on 16 August 2024. SRB filed
a\u00a0rejoinder on 14 October 2024. The court will now decide if and when a hearing will take place.
The outcome of this challenge is uncertain, because the SRF regulation is relatively new and there is little to no case
law on the subject. ABN AMRO nevertheless considers it more likely than not that such challenge will be successful.
Equity trading in Germany
German authorities are conducting investigations into the involvement of individuals from various banks and other
parties in equity trading extending over dividend record dates in Germany, including several forms of tainted dividend
arbitrage (i.e. tainted dividend stripping, including cum/ex and cum/cum) for the purpose of obtaining German tax
credits or refunds in relation to withholding tax levied on dividend payments, including, in particular, transaction
structures that resulted in more than one market participant claiming such credit or refund with respect to the same
dividend payment. ABN AMRO\u2019s legal predecessor, Fortis Bank (Nederland) N.V., ABN AMRO and several former
subsidiaries were directly or indirectly involved in these transactions in the past in various capacities. Criminal
investigation proceedings relating to the activities of these entities and individuals involved at the time were instigated.
These proceedings also resulted in search warrants being issued against ABN AMRO. ABN AMRO is cooperating with
these investigations, but has no knowledge of the results of any such investigations 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\u2011out, 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\u00a0July 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\u00a0taxpayers 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 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\u00a0AMRO in secondary tax liability or civil law cases. Only for known individual claims a provision has been
recognised as far as it was deemed more likely than not, that an outflow of economic benefit will be required to settle
the obligation (see also Note 30 - Provisions). Because of the sensitivity of the underlying information, individual claims
are not disclosed in detail. The financial impact of potential other claims cannot be reliably estimated, and no provision
has been recorded in this respect.
Netherlands Public Prosecution Service investigation into Dutch tax matter
The Netherlands Public Prosecution Service (NPPS) is conducting an investigation regarding transactions that
ultimately led to a set-off by a third party of dividend withholding tax credits against its corporate tax liabilities
in\u00a0the\u00a0Netherlands during the period 2009-2013. The NPPS investigation relates to ongoing tax proceedings
in\u00a0the\u00a0Dutch 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. However,
in\u00a0November 2024 the Netherlands tax authority and aforementioned third party entered into a settlement agreement.
As a result of this settlement agreement the tax proceedings have ended. The investigation by the NPPS remains
ongoing.
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\u00a0investigation. 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\u00a0potential financial impact of the investigation cannot currently be reliably estimated and no provision has been
made.
Duty of care matters
A number of proceedings have been initiated against ABN AMRO for alleged breach of its duty of care in transparency
related standards. Where applicable, provisions for these matters have been made.
There can be no assurance that additional proceedings will not be instigated or that amounts demanded in claims
brought to date will not rise. Current proceedings are pending and their outcome, as well as the outcome of any
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\u00a0operations, 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.
Luxembourg subsidiaries
In February 2018, ABN AMRO sold its Luxembourg subsidiary to BGL BNP Paribas (BGL). BGL is now being sued by
a\u00a0Luxembourg 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\u00a0AMRO of this claim in January 2020 and, in June 2020, summoned it to appear in these proceedings in
an\u00a0intervention 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\u00a0Fund. Since August 2020, this additional claim has also been part of the intervention procedure between BGL and
ABN\u00a0AMRO. 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\u00a0custodian 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\u00a0SIF 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\u00a0AMRO 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\u00a0alleged 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\u00a0AMRO rejects the alleged claim by BGL. The writ has not (yet) been served before the court in order
to\u00a0give parties a chance to discuss a potential settlement.
Collective action regarding business credits with variable interest rate
ABN AMRO received a claim from the claim foundation Stichting Massaschade & Consument, alleging that ABN AMRO
charged too much interest on certain revolving business credits with a variable interest rate, which had been sold
to\u00a0small and micro enterprises. The claim foundation argues that earlier Kifid rulings on revolving consumer credits
with a variable interest rate, in which Kifid ruled that the contractual interest rate must follow the movements
of\u00a0the\u00a0average market rate, should also apply to these business credits.
On 14 May 2024, ABN AMRO received a writ of summons to commence a collective action. ABN AMRO refutes
the\u00a0allegations of the claim foundation, inter alia, because, according to ABN AMRO, the Kifid rulings on revolving
consumer credits with a variable interest rate cannot be applied to business credits and, thus far, the Kifid-approach
has not been adopted by the Dutch civil courts. A provision has not been recognised for this matter. The writ
of\u00a0summons does not specify exactly to which products the claim applies or a substantiation of the amount
of\u00a0damages claimed. As a result, it is currently not possible to make a reliable estimate of the financial effects of this
claim. ABN\u00a0AMRO will put up a defence in court. It is expected that the collective action will take several years
to\u00a0complete.
Investor claims regarding AML disclosures
ABN AMRO received claims from two groups of institutional investors for alleged losses as a result of developments
in\u00a0ABN AMRO\u2019s share price following disclosures made in the period from 2015 to 2022 in relation
to\u00a0(non-)compliance by ABN AMRO with anti-money laundering laws and regulations, the related investigation
of\u00a0the\u00a0Dutch Public Prosecutor\u2019s Office which resulted in a settlement, and associated risks. The groups of investors
hold liable ABN AMRO and certain former and current executive and supervisory board members for alleged damages
of in total approximately EUR 400 million. ABN AMRO disputes these allegations and has not recognised a provision
for this matter. No proceedings on the merits have been initiated yet by both groups of investors. One group
of\u00a0investors has filed a request for the disclosure of certain documents and preliminary witness hearings of certain
former board members and employees of ABN AMRO.
Formal discussions with the regulator on alleged violations of remuneration restrictions
Formal discussions take place with the regulator regarding alleged violations of remuneration restrictions for a number
of employees. The regulator might impose financial penalties, but no formal decisions have been taken yet.
ABN\u00a0AMRO has presented facts and circumstances as well as its views on the matters towards the regulator and is
awaiting the decision of the regulator regarding possible regulatory measures. Currently, there is no clarity yet as
to\u00a0whether the regulator will take enforcement measures, and the amounts involved cannot be reliably estimated.
Cross-liability
On 6 February 2010, the former ABN AMRO Bank N.V. demerged into two entities: NatWest Markets N.V. (formerly
known as RBS N.V.) and ABN AMRO Bank N.V. On the division of an entity by demerger, Dutch law establishes
a\u00a0cross\u2011liability 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 2023: EUR 198 million).
\"\"
Madoff related proceedings
ABN AMRO, certain of its subsidiaries and some of their client funds had exposure to funds that suffered losses
(in\u00a0some cases, significant losses) as a result of the Madoff fraud. The provision of custodial and other financial services
resulted in several legal claims, including by the Bernard L. Madoff Investment Securities LLC (BLMIS) trustee
in\u00a0bankruptcy (Irving Picard) and the liquidators of certain funds, who are pursuing legal action in an attempt
to\u00a0recover 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. There are three main claims remaining in relation
to\u00a0which proceedings against ABN AMRO and its subsidiaries are pending before the US courts:
(i) claims of in total approximately USD 105 million against ABN AMRO Isle of Man (Nominees) Ltd Initiated by
the\u00a0trustee of BLMIS;
(ii) claims of in total approximately USD 265 million against ABN AMRO Retained Custodial Services (Ireland) Ltd and
ABN AMRO Custodial Services (Ireland) Ltd initiated by the trustee of BLMIS; and
(iii) claims of in total approximately USD 235 million against ABN AMRO Isle of Man (Nominees) Ltd, ABN AMRO Global
Custody Services N.V., ABN AMRO Bank N.V. and ABN AMRO Cayman Bank Ltd initiated by the liquidators of
certain funds which invested in BLMIS.
Even though these proceedings have been ongoing for several years, the claims brought by the trustee of BLIMS are
still in their early stages and are expected to take several years to complete. The claims brought by the funds\u2019
liquidators have been dismissed, but are currently on appeal. Certain of these claims initially were (significantly)
higher, but have been reduced as a result of developments in the proceedings. Hence, it is not possible to estimate
the\u00a0total amount of ABN AMRO\u2019s potential liability, if any.
Imtech
The Imtech Group was declared bankrupt in August 2015. ABN AMRO was one of the banks that extended financing
to\u00a0this 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\u00a0March 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\u00a0October 2023 the Imtech\u2019s trustees and the group of financiers reached a settlement. The settlement entails
a\u00a0payment of approximately EUR 25 million by the financiers of Imtech to the bankruptcy estate of Imtech, and
the\u00a0withdrawal of the claims of the trustees. The settlement agreement has been entered into without acknowledging
any liability. In March 2024 the trustees of Royal Imtech N.V. and the investors' association VEB have reached
settlements with several other parties. Part of these settlement agreements is a release from the VEB and Stichting
Imtechclaim (Imtech Shareholders Action Group B.V. was dissolved) from its claims against the financiers of Imtech
(including ABN\u00a0AMRO).
First Data Holding
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\u00a0the\u00a0spring 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.", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherProvisionsContingentLiabilitiesAndContingentAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-511": { "value": "
30\u00a0 Provisions
Accounting policy for provisions
A provision is recognised in the balance sheet when ABN AMRO has a legal or constructive obligation as a result
of a past event, and it is more likely than not that an outflow of economic benefits will be required to settle
the\u00a0obligation, 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. In cases where ABN AMRO expects
disclosure of legal proceedings on a case-by-case basis to seriously prejudice its position, it only discloses
the\u00a0general nature of the dispute.
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\u00a0implement 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\u00a0payment. Expected credit loss allowances of loan commitments and financial guarantees are recognised as
provisions under IFRS 9.
(in millions)
31 December 2024
31 December 2023
Legal provisions
150
273
Credit commitments provisions
97
120
Restructuring provision
45
57
Provision for pension commitments
76
76
Other staff provision
181
134
Insurance fund liabilities
7
7
Other provisions
58
75
Total provisions
612
742
Legal provisions
Variable interest rates for consumer loans
On 3 March 2021, the Kifid Appeals Committee confirmed a ruling of the Kifid Disputes Committee about
the\u00a0recalculation of the variable interest charged to a specific client on a revolving credit. In short, Kifid ruled that
ABN\u00a0AMRO 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 505 million for the interest to be compensated and
the\u00a0costs incurred in carrying out the scheme. To date, EUR 470 million of this provision has been used, so
the\u00a0remaining provision as at 31 December 2024 was EUR 35 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\u00a0compensation 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 provisions
AML remediation programme
ABN AMRO is progressing with the enhancement to its internal processes and systems to effectively contribute
to\u00a0the\u00a0prevention of financial economic crime. ABN AMRO has closed the AML client file remediations for key parts
of\u00a0the business, and are awaiting the observations from the supervisor on others. Work continues to increase
the\u00a0effectiveness and sustainability of our measures to meet regulatory requirements. Currently, the main attention
goes to the effectiveness of our monitoring processes and the quality of our client due diligence. ABN AMRO is
in\u00a0regular dialogue with the Dutch Central Bank, which is\u00a0 regularly informed, continues to monitor progress and
provides observations. DNB has recently identified shortcomings in our event-driven review processes. These
shortcomings relate to updating of client files, for example due to changes in a client\u2019s circumstances. DNB has
indicated that these findings may lead to enforcement measures. A potential financial impact cannot be reliably
estimated, and no provision has been recorded.
(in millions)
Legal
provisions
Credit
commitments
Restructuring
provision
Provision
for pension
commitments
Other
staff
provision
Insurance
fund
liabilities
Other
Total
At 1 January 2023
447
154
105
75
128
8
128
1,044
Increase of provisions
89
86
14
22
210
Reversal of unused provisions
-41
-129
-22
-9
-32
-233
Utilised during the year
-231
-40
-51
-321
Transfer between stages
18
18
Foreign exchange differences
2
-1
1
Other
9
-10
1
6
8
9
23
At 31 December 2023
273
120
57
76
134
7
75
742
Increase of provisions
124
97
52
36
3
312
Reversal of unused provisions
-55
-75
-9
-6
-9
-153
Utilised during the year
-178
-48
-13
-239
Transfer between stages
2
2
Foreign exchange differences
8
8
Other
-14
-55
-8
11
5
2
-58
At 31 December 2024
150
97
45
76
181
7
58
612
31\u00a0 Pension and other employee benefits
Accounting policy for pension and other employee benefits
ABN AMRO sponsors a number of pension schemes in the Netherlands and abroad. These schemes are mainly
defined contribution plans. The majority of the beneficiaries of the plans are located in the Netherlands.
Defined benefit plans
For defined benefit plans, the net obligation of each plan is the difference between the present value
of\u00a0the\u00a0defined 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
\u2022 curtailments or plan amendments
Differences between pension costs and pension contributions payable are accounted for as provisions or
prepayments.
Remeasurement
Remeasurements of the net defined benefit liability (asset) are actuarial gains and losses resulting from changes
in actuarial assumptions and experience adjustments (i.e. unexpectedly high or low rates of employee turnover).
They are recognised in other comprehensive income and are not recycled to profit or loss in later periods.
The\u00a0actual return on the pension plan\u2019s assets is determined after deduction of the costs of managing the assets
and any tax payable by the pension plan itself.
Other employee benefits
Some group companies provide post-retirement benefits to their retirees, such as long-term service benefits and
discounts on banking products. Entitlement to these benefits is usually conditional on the employee remaining
in\u00a0service 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 benefits
Amounts recognised in the income statement for pensions and other employee benefits
2024
2023
(in millions)
Defined post
employment
benefit
Other
employee
benefits
Total
Defined post
employment
benefit
Other
employee
benefits
Total
Current service cost
5
2
8
5
2
7
Interest cost
7
2
9
8
2
9
Interest income
-5
-5
-5
-5
Other
3
7
10
5
5
Total defined benefit expenses in actuarial report
10
11
21
7
9
15
Other expenses
-3
-3
-3
-3
Total defined benefit expenses
7
11
18
4
9
13
Defined contribution plans
366
366
337
337
Total pension expenses and other post retirement
employee benefits
373
11
384
340
9
349
Reconciliation to the statement of financial position and other comprehensive income
2024
2023
(in millions)
Defined post
employment
benefit
Other
employee
benefits
Total
Defined post
employment
benefit
Other
employee
benefits
Total
Present value of defined benefit obligations - funded with plan assets
193
3
196
191
3
194
Fair value of plan assets
155
155
158
158
38
3
41
33
3
36
Present value of defined benefit obligations - unfunded
35
140
176
37
131
168
Net liabilities/(assets) balance sheet at 31 December
73
143
216
70
134
204
- of which assets
3
3
6
6
- of which liabilities
76
143
219
76
134
210
Experience adjustments
-1
-6
-6
Remeasurements arising from changes in demographic
assumptions DBO
1
1
1
1
Remeasurements arising from changes in financial
assumptions DBO
-8
-9
-8
-1
-9
Remeasurements arising from changes in financial
assumptions plan assets
1
1
5
5
Remeasurements in other comprehensive income
-7
-7
-8
-2
-10
\"\"
Change in defined benefit obligation (DBO)
2024
2023
(in millions)
Defined post
employment
benefit
Other
employee
benefits
Total
Defined post
employment
benefit
Other
employee
benefits
Total
Defined benefit obligation as at 1 January
228
134
362
227
128
355
Current service cost
5
2
8
5
2
7
Interest cost
7
2
9
8
2
9
Past service cost
1
1
Benefits paid
-7
-7
Benefits paid in from employer
-13
-3
-16
-14
-4
-18
Remeasurements arising from changes in demographic assumptions
-1
-1
-1
-1
Experience adjustments\u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0 \u00a0
1
6
6
Remeasurements arising from changes in financial assumptions
8
9
8
1
9
Other
-2
9
7
-9
5
-4
Defined benefit obligation as at 31 December
228
143
371
228
134
362
The net defined benefit liabilities/(assets) balance as at 31 December 2024 consisted of pensioners with a profit share,
the indexation of benefits insured with an insurance company and several small defined benefit plans outside
the\u00a0Netherlands.
Change in fair value of plan assets
2024
2023
(in millions)
Defined post
employment
benefit
Other
employee
benefits
Total
Defined post
employment
benefit
Other
employee
benefits
Total
Fair value of plan assets as at 1 January
158
158
157
157
Interest income
5
5
5
5
Return on plan assets excluding interest
1
1
5
5
Employer's contributions
5
5
2
2
Benefits paid
-7
-7
Other
-8
-8
-10
-10
Fair value of plan assets as at 31 December
155
155
158
158
Principal actuarial assumptions
2024
2023
Discount rate
3.2%
3.5%
Indexation rate
2.6%
2.3%
Future salary increases\u00b9
2.2%
2.2%
1. Salary increases in the Netherlands are not taken into consideration, because Dutch pension plan is defined contribution plan.
The above assumptions are weighted by defined benefit obligations. The discount rate consists of a risk-free rate and
a\u00a0credit spread on AA-rated corporate bonds.
", "dimensions": { "concept": "ifrs-full:DisclosureOfProvisionsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-513": { "value": "
30\u00a0 Provisions
Accounting policy for provisions
A provision is recognised in the balance sheet when ABN AMRO has a legal or constructive obligation as a result
of a past event, and it is more likely than not that an outflow of economic benefits will be required to settle
the\u00a0obligation, 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. In cases where ABN AMRO expects
disclosure of legal proceedings on a case-by-case basis to seriously prejudice its position, it only discloses
the\u00a0general nature of the dispute.
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\u00a0implement 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\u00a0payment. Expected credit loss allowances of loan commitments and financial guarantees are recognised as
provisions under IFRS 9.
31\u00a0 Pension and other employee benefits
Accounting policy for pension and other employee benefits
ABN AMRO sponsors a number of pension schemes in the Netherlands and abroad. These schemes are mainly
defined contribution plans. The majority of the beneficiaries of the plans are located in the Netherlands.
Defined benefit plans
For defined benefit plans, the net obligation of each plan is the difference between the present value
of\u00a0the\u00a0defined 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
\u2022 curtailments or plan amendments
Differences between pension costs and pension contributions payable are accounted for as provisions or
prepayments.
Remeasurement
Remeasurements of the net defined benefit liability (asset) are actuarial gains and losses resulting from changes
in actuarial assumptions and experience adjustments (i.e. unexpectedly high or low rates of employee turnover).
They are recognised in other comprehensive income and are not recycled to profit or loss in later periods.
The\u00a0actual return on the pension plan\u2019s assets is determined after deduction of the costs of managing the assets
and any tax payable by the pension plan itself.
Other employee benefits
Some group companies provide post-retirement benefits to their retirees, such as long-term service benefits and
discounts on banking products. Entitlement to these benefits is usually conditional on the employee remaining
in\u00a0service 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.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForProvisionsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-515": { "value": "
32\u00a0 Other liabilities
(in millions)
31 December 2024
31 December 2023
Accrued other expenses
1,010
960
Lease liabilities
382
426
Unsettled securities transactions
799
2,485
Sundry liabilities and other payables
2,056
1,870
Total other liabilities
4,247
5,741
", "dimensions": { "concept": "ifrs-full:DisclosureOfAccruedExpensesAndOtherLiabilitiesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-514": { "value": "
32\u00a0 Other liabilities
(in millions)
31 December 2024
31 December 2023
Accrued other expenses
1,010
960
Lease liabilities
382
426
Unsettled securities transactions
799
2,485
Sundry liabilities and other payables
2,056
1,870
Total other liabilities
4,247
5,741
", "dimensions": { "concept": "ifrs-full:DisclosureOfOtherLiabilitiesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-518": { "value": "
33\u00a0 Equity
(in millions)
31 December 2024
31 December 2023
Share capital
833
866
Share premium
11,849
12,192
Accumulated other comprehensive income
-409
-315
Other reserves (incl. retained earnings/profit for the period)
10,358
9,436
AT1 capital securities
3,475
1,987
Equity attributable to owners of the parent company
26,105
24,165
Equity attributable to non-controlling interests
3
3
Total equity
26,108
24,168
", "dimensions": { "concept": "ifrs-full:DisclosureOfNoncontrollingInterestsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-517": { "value": "
33\u00a0 Equity
Share capital and other components of equity
Currency translation reserve
The 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 reserve
Under IFRS 9, the fair value reserve includes the gains and losses, net of tax, resulting from a change in the fair
value of debt instruments measured at FVOCI. When the instruments are sold or otherwise disposed of,
the\u00a0related cumulative gain or loss recognised in equity is recycled to the income statement.
Cash flow hedging reserve
The cash flow hedging reserve comprises the effective portion of the cumulative net change in the fair value
of\u00a0cash 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 reserve
Under IFRS 9, the changes in fair value attributable to changes in the own credit risk of financial liabilities
designated at FVTPL are presented in other comprehensive income. The cumulative amount of changes in fair
value attributable to credit risk of such liabilities is presented as liability own credit risk reserve in equity.
Other reserves
Other reserves mainly comprise retained earnings and profit for the period.
(in millions)
31 December 2024
31 December 2023
Share capital
833
866
Share premium
11,849
12,192
Accumulated other comprehensive income
-409
-315
Other reserves (incl. retained earnings/profit for the period)
10,358
9,436
AT1 capital securities
3,475
1,987
Equity attributable to owners of the parent company
26,105
24,165
Equity attributable to non-controlling interests
3
3
Total equity
26,108
24,168
Accumulated other comprehensive income is specified in the following table.
(in millions)
Remeasurements
on post-retirement
benefit plans
Currency
translation
reserve
Fair value
reserve
Cash flow
hedge
reserve
Accumulated
share of OCI of
associates and
joint ventures
Liability
own
credit risk
reserve
Total
Balance at 1 January 2023
7
81
26
-946
-7
-3
-842
Net gains/(losses) arising during the period
-10
-46
-174
790
10
2
574
Less: Net realised gains/(losses) included
in income statement
-2
-147
-149
Net gains/(losses) in equity
-10
-44
-174
938
10
2
722
Related income tax
-3
-44
242
1
195
Balance at 31 December 2023
37
-104
-250
3
-2
-315
Net gains/(losses) arising during the period
-7
61
-521
129
-3
2
-340
Less: Net realised gains/(losses) included
in income statement
-194
-194
Net gains/(losses) in equity
-7
61
-521
323
-3
2
-145
Related income tax
-1
-134
83
-51
Balance at 31 December 2024
-5
99
-492
-10
-409
Accumulated other comprehensive income decreased by EUR 94 million, mainly driven by the decrease in the fair
value reserve. This was attributable to the lower valuation of financial investments. The increase of the cash flow
hedge reserve was a result of changes in market value of active swaps and amortisations of discontinued swaps.
", "dimensions": { "concept": "ifrs-full:DisclosureOfReservesAndOtherEquityInterestExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-516": { "value": "
33\u00a0 Equity
Share capital and other components of equity
Ordinary shares
As at 31 December 2024, all shares in the capital of ABN AMRO Bank N.V. were held by two foundations: NLFI
and STAK AAB.
Capital securities
Undated, deeply subordinated, resettable, callable capital securities are classified as additional tier 1 (AT1)
capital, under total equity. ABN AMRO Bank has the European Central Bank\u2019s permission to carry out limited
repurchases from investors and to sell back in the market.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForIssuedCapitalExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-519": { "value": "
Dividends
Dividends on ordinary shares classified as equity are recognised as a distribution of equity in the period in which
they are approved by shareholders.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForDividendsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-520": { "value": "
34\u00a0 Transferred, pledged, encumbered and restricted assets
Accounting policy for transferred, pledged and encumbered assets
Transferred 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\u00a0obligation 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 the latter is
based on the legal terms such as title transfer while the former is based on economic principles.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForCollateralExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-521": { "value": "
35\u00a0 Commitments and contingent liabilities
Accounting policy for off-balance sheet items
Commitments
Loan commitments that allow for draw-down of a loan within the timeframe generally established by regulation
or convention in the marketplace are not recognised as derivative financial instruments. Acceptances comprise
undertakings by ABN AMRO to pay bills of exchange drawn on clients. ABN AMRO expects most acceptances
to\u00a0be settled simultaneously with the reimbursement from clients. Acceptances are not recognised
in\u00a0the\u00a0balance sheet and are disclosed as commitments.
Financial guarantee contracts
A financial guarantee contract requires the issuer to make specified payments to reimburse the holder for a loss
it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt
instrument. Initial recognition of financial guarantee contracts is at their fair value. Subsequent measurement is
at the higher of the amount of the expected credit loss and the amount initially recognised, less \u2013 when
appropriate \u2013 the cumulative amount of income recognised in the income statement.
Contingent liabilities
Contingent liabilities are possible obligations whose existence will be confirmed only by uncertain future events,
and present obligations where the transfer of economic resources is uncertain or cannot be reliably measured.
Contingent liabilities are not recognised in the balance sheet, but disclosed if the likelihood of an outflow
of\u00a0economic 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 facilities
Commitments 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 commitments
ABN 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\u00a0securities 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\u00a0chapter Other information).
The committed credit facilities, guarantees and other commitments are summarised in the following table.
The\u00a0amounts stated in the table for commitments assume that amounts are fully paid out. The amounts shown
in\u00a0the\u00a0table for guarantees and letters of credit represent the maximum amount ABN AMRO is exposed to if
the\u00a0contract parties completely fail to perform as contracted.
\"\"
31\u00a0 December 2024
(in millions)
Less than
one year
Between one
and three years
Between three
and five years
After
five years
Total
Committed credit facilities
27,869
8,408
12,411
3,928
52,617
Guarantees and other commitments
Guarantees granted
225
267
84
203
779
Irrevocable letters of credit
2,507
1,004
183
226
3,920
Recourse risks arising from discounted bills
1,421
290
209
19
1,939
Total guarantees and other commitments
4,154
1,561
476
448
6,638
Total
32,023
9,969
12,887
4,376
59,255
31 December 2023
(in millions)
Less than
one year
Between one
and three years
Between three
and five years
After
five years
Total
Committed credit facilities
27,566
10,359
10,024
6,019
53,968
Guarantees and other commitments
Guarantees granted
178
175
5
200
558
Irrevocable letters of credit
2,329
937
206
172
3,645
Recourse risks arising from discounted bills
1,407
288
371
20
2,086
Total guarantees and other commitments
3,915
1,399
582
393
6,289
Total
31,481
11,758
10,606
6,411
60,257
Contingent liabilities
ABN AMRO is involved in a number of legal proceedings in the ordinary course of business in various jurisdictions.
In\u00a0presenting 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.
Single Resolution Fund contribution
Irrevocable Payment Commitment
The 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. In February 2024, the SRB
confirmed that the SRF reached its target level. As such, no annual contribution was collected in 2024. 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 2024, ABN AMRO has transferred
a\u00a0cumulative 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 levies
ABN AMRO is in discussion with the Single Resolution Board (SRB) about the calculation method applied for annual
Single Resolution Fund (SRF) contributions paid in the past. At this time, the outcome of these discussions are still
uncertain.
The annual SRF contribution is a levy introduced by the European Union in 2016. The SRB calculates the SRF
contribution based on the information annually provided by the credit institutions within the European Banking Union
in scope of SRF. The SRB is of the opinion that ABN AMRO has reported variables to calculate the annual SRF
contribution incorrectly over the 2016-2022 period. ABN AMRO disagrees with the SRB\u2019s point of view and, as from
2016, has repeatedly and extensively communicated its position with regard to the adjusted amount to the SRB.
The\u00a0different points of view held by the SRB and ABN AMRO are due to a differing interpretation of the regulation with
regard to the annual SRF contribution.
\"\"
ABN AMRO received on 11 May 2023 the final decision from the SRB regarding the ex-ante contributions to the SRF.
In\u00a0its final decision, SRB reiterates its arguments and doesn\u2019t agree with ABN AMRO\u2019s position. The SRB recalculated
the contribution of ABN AMRO Hypotheken Groep B.V. (AAHG) over the years 2016 - 2022. Therefore the total amount
of the invoice for the year 2023 is EUR 177 million. This amount consists of both the contribution for the year 2023
(approximately EUR 57 million) and the amount AAHG has to pay extra in contribution 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\u00a0comply with the Dutch legislation, which requires the SRF contribution 2023 to be paid within six weeks after
the\u00a0notification of the final decision (under penalty of fines), AAHG paid on 22 June 2023, under protest, the SRF
contribution 2023 to the SRB.
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
asserts 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. The court decided that the assessment of the initial defence of SRB will be
suspended until after the assessment of the proceedings on the merits. SRB filed a response to the petition of AAHG
and ABN AMRO on 21 May 2024. AAHG and ABN AMRO filed a reply to this response on 16 August 2024. SRB filed
a\u00a0rejoinder on 14 October 2024. The court will now decide if and when a hearing will take place.
The outcome of this challenge is uncertain, because the SRF regulation is relatively new and there is little to no case
law on the subject. ABN AMRO nevertheless considers it more likely than not that such challenge will be successful.
Equity trading in Germany
German authorities are conducting investigations into the involvement of individuals from various banks and other
parties in equity trading extending over dividend record dates in Germany, including several forms of tainted dividend
arbitrage (i.e. tainted dividend stripping, including cum/ex and cum/cum) for the purpose of obtaining German tax
credits or refunds in relation to withholding tax levied on dividend payments, including, in particular, transaction
structures that resulted in more than one market participant claiming such credit or refund with respect to the same
dividend payment. ABN AMRO\u2019s legal predecessor, Fortis Bank (Nederland) N.V., ABN AMRO and several former
subsidiaries were directly or indirectly involved in these transactions in the past in various capacities. Criminal
investigation proceedings relating to the activities of these entities and individuals involved at the time were instigated.
These proceedings also resulted in search warrants being issued against ABN AMRO. ABN AMRO is cooperating with
these investigations, but has no knowledge of the results of any such investigations 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\u2011out, 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\u00a0July 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\u00a0taxpayers 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 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\u00a0AMRO in secondary tax liability or civil law cases. Only for known individual claims a provision has been
recognised as far as it was deemed more likely than not, that an outflow of economic benefit will be required to settle
the obligation (see also Note 30 - Provisions). Because of the sensitivity of the underlying information, individual claims
are not disclosed in detail. The financial impact of potential other claims cannot be reliably estimated, and no provision
has been recorded in this respect.
Netherlands Public Prosecution Service investigation into Dutch tax matter
The Netherlands Public Prosecution Service (NPPS) is conducting an investigation regarding transactions that
ultimately led to a set-off by a third party of dividend withholding tax credits against its corporate tax liabilities
in\u00a0the\u00a0Netherlands during the period 2009-2013. The NPPS investigation relates to ongoing tax proceedings
in\u00a0the\u00a0Dutch 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. However,
in\u00a0November 2024 the Netherlands tax authority and aforementioned third party entered into a settlement agreement.
As a result of this settlement agreement the tax proceedings have ended. The investigation by the NPPS remains
ongoing.
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\u00a0investigation. 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\u00a0potential financial impact of the investigation cannot currently be reliably estimated and no provision has been
made.
Duty of care matters
A number of proceedings have been initiated against ABN AMRO for alleged breach of its duty of care in transparency
related standards. Where applicable, provisions for these matters have been made.
There can be no assurance that additional proceedings will not be instigated or that amounts demanded in claims
brought to date will not rise. Current proceedings are pending and their outcome, as well as the outcome of any
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\u00a0operations, 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.
Luxembourg subsidiaries
In February 2018, ABN AMRO sold its Luxembourg subsidiary to BGL BNP Paribas (BGL). BGL is now being sued by
a\u00a0Luxembourg 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\u00a0AMRO of this claim in January 2020 and, in June 2020, summoned it to appear in these proceedings in
an\u00a0intervention 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\u00a0Fund. Since August 2020, this additional claim has also been part of the intervention procedure between BGL and
ABN\u00a0AMRO. 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\u00a0custodian 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\u00a0SIF 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\u00a0AMRO 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\u00a0alleged 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\u00a0AMRO rejects the alleged claim by BGL. The writ has not (yet) been served before the court in order
to\u00a0give parties a chance to discuss a potential settlement.
Collective action regarding business credits with variable interest rate
ABN AMRO received a claim from the claim foundation Stichting Massaschade & Consument, alleging that ABN AMRO
charged too much interest on certain revolving business credits with a variable interest rate, which had been sold
to\u00a0small and micro enterprises. The claim foundation argues that earlier Kifid rulings on revolving consumer credits
with a variable interest rate, in which Kifid ruled that the contractual interest rate must follow the movements
of\u00a0the\u00a0average market rate, should also apply to these business credits.
On 14 May 2024, ABN AMRO received a writ of summons to commence a collective action. ABN AMRO refutes
the\u00a0allegations of the claim foundation, inter alia, because, according to ABN AMRO, the Kifid rulings on revolving
consumer credits with a variable interest rate cannot be applied to business credits and, thus far, the Kifid-approach
has not been adopted by the Dutch civil courts. A provision has not been recognised for this matter. The writ
of\u00a0summons does not specify exactly to which products the claim applies or a substantiation of the amount
of\u00a0damages claimed. As a result, it is currently not possible to make a reliable estimate of the financial effects of this
claim. ABN\u00a0AMRO will put up a defence in court. It is expected that the collective action will take several years
to\u00a0complete.
Investor claims regarding AML disclosures
ABN AMRO received claims from two groups of institutional investors for alleged losses as a result of developments
in\u00a0ABN AMRO\u2019s share price following disclosures made in the period from 2015 to 2022 in relation
to\u00a0(non-)compliance by ABN AMRO with anti-money laundering laws and regulations, the related investigation
of\u00a0the\u00a0Dutch Public Prosecutor\u2019s Office which resulted in a settlement, and associated risks. The groups of investors
hold liable ABN AMRO and certain former and current executive and supervisory board members for alleged damages
of in total approximately EUR 400 million. ABN AMRO disputes these allegations and has not recognised a provision
for this matter. No proceedings on the merits have been initiated yet by both groups of investors. One group
of\u00a0investors has filed a request for the disclosure of certain documents and preliminary witness hearings of certain
former board members and employees of ABN AMRO.
Formal discussions with the regulator on alleged violations of remuneration restrictions
Formal discussions take place with the regulator regarding alleged violations of remuneration restrictions for a number
of employees. The regulator might impose financial penalties, but no formal decisions have been taken yet.
ABN\u00a0AMRO has presented facts and circumstances as well as its views on the matters towards the regulator and is
awaiting the decision of the regulator regarding possible regulatory measures. Currently, there is no clarity yet as
to\u00a0whether the regulator will take enforcement measures, and the amounts involved cannot be reliably estimated.
Cross-liability
On 6 February 2010, the former ABN AMRO Bank N.V. demerged into two entities: NatWest Markets N.V. (formerly
known as RBS N.V.) and ABN AMRO Bank N.V. On the division of an entity by demerger, Dutch law establishes
a\u00a0cross\u2011liability 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 2023: EUR 198 million).
\"\"
Madoff related proceedings
ABN AMRO, certain of its subsidiaries and some of their client funds had exposure to funds that suffered losses
(in\u00a0some cases, significant losses) as a result of the Madoff fraud. The provision of custodial and other financial services
resulted in several legal claims, including by the Bernard L. Madoff Investment Securities LLC (BLMIS) trustee
in\u00a0bankruptcy (Irving Picard) and the liquidators of certain funds, who are pursuing legal action in an attempt
to\u00a0recover 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. There are three main claims remaining in relation
to\u00a0which proceedings against ABN AMRO and its subsidiaries are pending before the US courts:
(i) claims of in total approximately USD 105 million against ABN AMRO Isle of Man (Nominees) Ltd Initiated by
the\u00a0trustee of BLMIS;
(ii) claims of in total approximately USD 265 million against ABN AMRO Retained Custodial Services (Ireland) Ltd and
ABN AMRO Custodial Services (Ireland) Ltd initiated by the trustee of BLMIS; and
(iii) claims of in total approximately USD 235 million against ABN AMRO Isle of Man (Nominees) Ltd, ABN AMRO Global
Custody Services N.V., ABN AMRO Bank N.V. and ABN AMRO Cayman Bank Ltd initiated by the liquidators of
certain funds which invested in BLMIS.
Even though these proceedings have been ongoing for several years, the claims brought by the trustee of BLIMS are
still in their early stages and are expected to take several years to complete. The claims brought by the funds\u2019
liquidators have been dismissed, but are currently on appeal. Certain of these claims initially were (significantly)
higher, but have been reduced as a result of developments in the proceedings. Hence, it is not possible to estimate
the\u00a0total amount of ABN AMRO\u2019s potential liability, if any.
Imtech
The Imtech Group was declared bankrupt in August 2015. ABN AMRO was one of the banks that extended financing
to\u00a0this 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\u00a0March 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\u00a0October 2023 the Imtech\u2019s trustees and the group of financiers reached a settlement. The settlement entails
a\u00a0payment of approximately EUR 25 million by the financiers of Imtech to the bankruptcy estate of Imtech, and
the\u00a0withdrawal of the claims of the trustees. The settlement agreement has been entered into without acknowledging
any liability. In March 2024 the trustees of Royal Imtech N.V. and the investors' association VEB have reached
settlements with several other parties. Part of these settlement agreements is a release from the VEB and Stichting
Imtechclaim (Imtech Shareholders Action Group B.V. was dissolved) from its claims against the financiers of Imtech
(including ABN\u00a0AMRO).
First Data Holding
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\u00a0the\u00a0spring 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.", "dimensions": { "concept": "ifrs-full:DisclosureOfCommitmentsAndContingentLiabilitiesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-525": { "value": "
35\u00a0 Commitments and contingent liabilities
Accounting policy for off-balance sheet items
Contingent liabilities
Contingent liabilities are possible obligations whose existence will be confirmed only by uncertain future events,
and present obligations where the transfer of economic resources is uncertain or cannot be reliably measured.
Contingent liabilities are not recognised in the balance sheet, but disclosed if the likelihood of an outflow
of\u00a0economic 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.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForContingentLiabilitiesAndContingentAssetsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-524": { "value": "
35\u00a0 Commitments and contingent liabilities
Accounting policy for off-balance sheet items
Contingent liabilities
Contingent liabilities are possible obligations whose existence will be confirmed only by uncertain future events,
and present obligations where the transfer of economic resources is uncertain or cannot be reliably measured.
Contingent liabilities are not recognised in the balance sheet, but disclosed if the likelihood of an outflow
of\u00a0economic 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.
Contingent liabilities
ABN AMRO is involved in a number of legal proceedings in the ordinary course of business in various jurisdictions.
In\u00a0presenting 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.
Single Resolution Fund contribution
Irrevocable Payment Commitment
The 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. In February 2024, the SRB
confirmed that the SRF reached its target level. As such, no annual contribution was collected in 2024. 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 2024, ABN AMRO has transferred
a\u00a0cumulative 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 levies
ABN AMRO is in discussion with the Single Resolution Board (SRB) about the calculation method applied for annual
Single Resolution Fund (SRF) contributions paid in the past. At this time, the outcome of these discussions are still
uncertain.
The annual SRF contribution is a levy introduced by the European Union in 2016. The SRB calculates the SRF
contribution based on the information annually provided by the credit institutions within the European Banking Union
in scope of SRF. The SRB is of the opinion that ABN AMRO has reported variables to calculate the annual SRF
contribution incorrectly over the 2016-2022 period. ABN AMRO disagrees with the SRB\u2019s point of view and, as from
2016, has repeatedly and extensively communicated its position with regard to the adjusted amount to the SRB.
The\u00a0different points of view held by the SRB and ABN AMRO are due to a differing interpretation of the regulation with
regard to the annual SRF contribution.
\"\"
ABN AMRO received on 11 May 2023 the final decision from the SRB regarding the ex-ante contributions to the SRF.
In\u00a0its final decision, SRB reiterates its arguments and doesn\u2019t agree with ABN AMRO\u2019s position. The SRB recalculated
the contribution of ABN AMRO Hypotheken Groep B.V. (AAHG) over the years 2016 - 2022. Therefore the total amount
of the invoice for the year 2023 is EUR 177 million. This amount consists of both the contribution for the year 2023
(approximately EUR 57 million) and the amount AAHG has to pay extra in contribution 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\u00a0comply with the Dutch legislation, which requires the SRF contribution 2023 to be paid within six weeks after
the\u00a0notification of the final decision (under penalty of fines), AAHG paid on 22 June 2023, under protest, the SRF
contribution 2023 to the SRB.
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
asserts 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. The court decided that the assessment of the initial defence of SRB will be
suspended until after the assessment of the proceedings on the merits. SRB filed a response to the petition of AAHG
and ABN AMRO on 21 May 2024. AAHG and ABN AMRO filed a reply to this response on 16 August 2024. SRB filed
a\u00a0rejoinder on 14 October 2024. The court will now decide if and when a hearing will take place.
The outcome of this challenge is uncertain, because the SRF regulation is relatively new and there is little to no case
law on the subject. ABN AMRO nevertheless considers it more likely than not that such challenge will be successful.
Equity trading in Germany
German authorities are conducting investigations into the involvement of individuals from various banks and other
parties in equity trading extending over dividend record dates in Germany, including several forms of tainted dividend
arbitrage (i.e. tainted dividend stripping, including cum/ex and cum/cum) for the purpose of obtaining German tax
credits or refunds in relation to withholding tax levied on dividend payments, including, in particular, transaction
structures that resulted in more than one market participant claiming such credit or refund with respect to the same
dividend payment. ABN AMRO\u2019s legal predecessor, Fortis Bank (Nederland) N.V., ABN AMRO and several former
subsidiaries were directly or indirectly involved in these transactions in the past in various capacities. Criminal
investigation proceedings relating to the activities of these entities and individuals involved at the time were instigated.
These proceedings also resulted in search warrants being issued against ABN AMRO. ABN AMRO is cooperating with
these investigations, but has no knowledge of the results of any such investigations 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\u2011out, 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\u00a0July 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\u00a0taxpayers 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 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\u00a0AMRO in secondary tax liability or civil law cases. Only for known individual claims a provision has been
recognised as far as it was deemed more likely than not, that an outflow of economic benefit will be required to settle
the obligation (see also Note 30 - Provisions). Because of the sensitivity of the underlying information, individual claims
are not disclosed in detail. The financial impact of potential other claims cannot be reliably estimated, and no provision
has been recorded in this respect.
Netherlands Public Prosecution Service investigation into Dutch tax matter
The Netherlands Public Prosecution Service (NPPS) is conducting an investigation regarding transactions that
ultimately led to a set-off by a third party of dividend withholding tax credits against its corporate tax liabilities
in\u00a0the\u00a0Netherlands during the period 2009-2013. The NPPS investigation relates to ongoing tax proceedings
in\u00a0the\u00a0Dutch 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. However,
in\u00a0November 2024 the Netherlands tax authority and aforementioned third party entered into a settlement agreement.
As a result of this settlement agreement the tax proceedings have ended. The investigation by the NPPS remains
ongoing.
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\u00a0investigation. 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\u00a0potential financial impact of the investigation cannot currently be reliably estimated and no provision has been
made.
Duty of care matters
A number of proceedings have been initiated against ABN AMRO for alleged breach of its duty of care in transparency
related standards. Where applicable, provisions for these matters have been made.
There can be no assurance that additional proceedings will not be instigated or that amounts demanded in claims
brought to date will not rise. Current proceedings are pending and their outcome, as well as the outcome of any
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\u00a0operations, 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.
Luxembourg subsidiaries
In February 2018, ABN AMRO sold its Luxembourg subsidiary to BGL BNP Paribas (BGL). BGL is now being sued by
a\u00a0Luxembourg 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\u00a0AMRO of this claim in January 2020 and, in June 2020, summoned it to appear in these proceedings in
an\u00a0intervention 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\u00a0Fund. Since August 2020, this additional claim has also been part of the intervention procedure between BGL and
ABN\u00a0AMRO. 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\u00a0custodian 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\u00a0SIF 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\u00a0AMRO 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\u00a0alleged 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\u00a0AMRO rejects the alleged claim by BGL. The writ has not (yet) been served before the court in order
to\u00a0give parties a chance to discuss a potential settlement.
Collective action regarding business credits with variable interest rate
ABN AMRO received a claim from the claim foundation Stichting Massaschade & Consument, alleging that ABN AMRO
charged too much interest on certain revolving business credits with a variable interest rate, which had been sold
to\u00a0small and micro enterprises. The claim foundation argues that earlier Kifid rulings on revolving consumer credits
with a variable interest rate, in which Kifid ruled that the contractual interest rate must follow the movements
of\u00a0the\u00a0average market rate, should also apply to these business credits.
On 14 May 2024, ABN AMRO received a writ of summons to commence a collective action. ABN AMRO refutes
the\u00a0allegations of the claim foundation, inter alia, because, according to ABN AMRO, the Kifid rulings on revolving
consumer credits with a variable interest rate cannot be applied to business credits and, thus far, the Kifid-approach
has not been adopted by the Dutch civil courts. A provision has not been recognised for this matter. The writ
of\u00a0summons does not specify exactly to which products the claim applies or a substantiation of the amount
of\u00a0damages claimed. As a result, it is currently not possible to make a reliable estimate of the financial effects of this
claim. ABN\u00a0AMRO will put up a defence in court. It is expected that the collective action will take several years
to\u00a0complete.
Investor claims regarding AML disclosures
ABN AMRO received claims from two groups of institutional investors for alleged losses as a result of developments
in\u00a0ABN AMRO\u2019s share price following disclosures made in the period from 2015 to 2022 in relation
to\u00a0(non-)compliance by ABN AMRO with anti-money laundering laws and regulations, the related investigation
of\u00a0the\u00a0Dutch Public Prosecutor\u2019s Office which resulted in a settlement, and associated risks. The groups of investors
hold liable ABN AMRO and certain former and current executive and supervisory board members for alleged damages
of in total approximately EUR 400 million. ABN AMRO disputes these allegations and has not recognised a provision
for this matter. No proceedings on the merits have been initiated yet by both groups of investors. One group
of\u00a0investors has filed a request for the disclosure of certain documents and preliminary witness hearings of certain
former board members and employees of ABN AMRO.
Formal discussions with the regulator on alleged violations of remuneration restrictions
Formal discussions take place with the regulator regarding alleged violations of remuneration restrictions for a number
of employees. The regulator might impose financial penalties, but no formal decisions have been taken yet.
ABN\u00a0AMRO has presented facts and circumstances as well as its views on the matters towards the regulator and is
awaiting the decision of the regulator regarding possible regulatory measures. Currently, there is no clarity yet as
to\u00a0whether the regulator will take enforcement measures, and the amounts involved cannot be reliably estimated.
Cross-liability
On 6 February 2010, the former ABN AMRO Bank N.V. demerged into two entities: NatWest Markets N.V. (formerly
known as RBS N.V.) and ABN AMRO Bank N.V. On the division of an entity by demerger, Dutch law establishes
a\u00a0cross\u2011liability 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 2023: EUR 198 million).
\"\"
Madoff related proceedings
ABN AMRO, certain of its subsidiaries and some of their client funds had exposure to funds that suffered losses
(in\u00a0some cases, significant losses) as a result of the Madoff fraud. The provision of custodial and other financial services
resulted in several legal claims, including by the Bernard L. Madoff Investment Securities LLC (BLMIS) trustee
in\u00a0bankruptcy (Irving Picard) and the liquidators of certain funds, who are pursuing legal action in an attempt
to\u00a0recover 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. There are three main claims remaining in relation
to\u00a0which proceedings against ABN AMRO and its subsidiaries are pending before the US courts:
(i) claims of in total approximately USD 105 million against ABN AMRO Isle of Man (Nominees) Ltd Initiated by
the\u00a0trustee of BLMIS;
(ii) claims of in total approximately USD 265 million against ABN AMRO Retained Custodial Services (Ireland) Ltd and
ABN AMRO Custodial Services (Ireland) Ltd initiated by the trustee of BLMIS; and
(iii) claims of in total approximately USD 235 million against ABN AMRO Isle of Man (Nominees) Ltd, ABN AMRO Global
Custody Services N.V., ABN AMRO Bank N.V. and ABN AMRO Cayman Bank Ltd initiated by the liquidators of
certain funds which invested in BLMIS.
Even though these proceedings have been ongoing for several years, the claims brought by the trustee of BLIMS are
still in their early stages and are expected to take several years to complete. The claims brought by the funds\u2019
liquidators have been dismissed, but are currently on appeal. Certain of these claims initially were (significantly)
higher, but have been reduced as a result of developments in the proceedings. Hence, it is not possible to estimate
the\u00a0total amount of ABN AMRO\u2019s potential liability, if any.
Imtech
The Imtech Group was declared bankrupt in August 2015. ABN AMRO was one of the banks that extended financing
to\u00a0this 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\u00a0March 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\u00a0October 2023 the Imtech\u2019s trustees and the group of financiers reached a settlement. The settlement entails
a\u00a0payment of approximately EUR 25 million by the financiers of Imtech to the bankruptcy estate of Imtech, and
the\u00a0withdrawal of the claims of the trustees. The settlement agreement has been entered into without acknowledging
any liability. In March 2024 the trustees of Royal Imtech N.V. and the investors' association VEB have reached
settlements with several other parties. Part of these settlement agreements is a release from the VEB and Stichting
Imtechclaim (Imtech Shareholders Action Group B.V. was dissolved) from its claims against the financiers of Imtech
(including ABN\u00a0AMRO).
First Data Holding
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\u00a0the\u00a0spring 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.", "dimensions": { "concept": "ifrs-full:DisclosureOfContingentLiabilitiesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-523": { "value": "
35\u00a0 Commitments and contingent liabilities
Accounting policy for off-balance sheet items
Financial guarantee contracts
A financial guarantee contract requires the issuer to make specified payments to reimburse the holder for a loss
it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt
instrument. Initial recognition of financial guarantee contracts is at their fair value. Subsequent measurement is
at the higher of the amount of the expected credit loss and the amount initially recognised, less \u2013 when
appropriate \u2013 the cumulative amount of income recognised in the income statement.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialGuaranteesExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-522": { "value": "
35\u00a0 Commitments and contingent liabilities
Accounting policy for off-balance sheet items
Commitments
Loan commitments that allow for draw-down of a loan within the timeframe generally established by regulation
or convention in the marketplace are not recognised as derivative financial instruments. Acceptances comprise
undertakings by ABN AMRO to pay bills of exchange drawn on clients. ABN AMRO expects most acceptances
to\u00a0be settled simultaneously with the reimbursement from clients. Acceptances are not recognised
in\u00a0the\u00a0balance sheet and are disclosed as commitments.
Financial guarantee contracts
A financial guarantee contract requires the issuer to make specified payments to reimburse the holder for a loss
it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt
instrument. Initial recognition of financial guarantee contracts is at their fair value. Subsequent measurement is
at the higher of the amount of the expected credit loss and the amount initially recognised, less \u2013 when
appropriate \u2013 the cumulative amount of income recognised in the income statement.
Committed credit facilities
Commitments to provide credit 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 commitments
ABN 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\u00a0securities 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\u00a0chapter Other information).
The committed credit facilities, guarantees and other commitments are summarised in the following table.
The\u00a0amounts stated in the table for commitments assume that amounts are fully paid out. The amounts shown
in\u00a0the\u00a0table for guarantees and letters of credit represent the maximum amount ABN AMRO is exposed to if
the\u00a0contract parties completely fail to perform as contracted.
\"\"
31\u00a0 December 2024
(in millions)
Less than
one year
Between one
and three years
Between three
and five years
After
five years
Total
Committed credit facilities
27,869
8,408
12,411
3,928
52,617
Guarantees and other commitments
Guarantees granted
225
267
84
203
779
Irrevocable letters of credit
2,507
1,004
183
226
3,920
Recourse risks arising from discounted bills
1,421
290
209
19
1,939
Total guarantees and other commitments
4,154
1,561
476
448
6,638
Total
32,023
9,969
12,887
4,376
59,255
31 December 2023
(in millions)
Less than
one year
Between one
and three years
Between three
and five years
After
five years
Total
Committed credit facilities
27,566
10,359
10,024
6,019
53,968
Guarantees and other commitments
Guarantees granted
178
175
5
200
558
Irrevocable letters of credit
2,329
937
206
172
3,645
Recourse risks arising from discounted bills
1,407
288
371
20
2,086
Total guarantees and other commitments
3,915
1,399
582
393
6,289
Total
31,481
11,758
10,606
6,411
60,257
", "dimensions": { "concept": "ifrs-full:DisclosureOfCommitmentsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-527": { "value": "
36\u00a0 Remuneration of Executive Board and Supervisory Board
Remuneration of the Executive Board
2024
Base
salary
Variable
remuneration\u00b3
Other
short-term
benefits 4
Total
short term
benefits
Severance
payments
Total pension-related
contributions 5
Total
(in thousands)
Post-employment
pension (a)
Short-term
allowances (b)
R.A.J. Swaak, chair
829
829
38
208
1,075
D. Dorner, vice-chair
704
44
748
38
170
956
C. Bittner\u00b9
704
48
752
38
170
960
T.J.A.M. Cuppen\u00b2
411
238
649
22
99
770
S. Fioravanti\u00b9
176
26
202
10
42
254
C. van der Hooft - Cheong
704
38
742
38
170
950
A. van Nimwegen\u00b9
704
65
769
38
170
977
C. Oosterloo 1, 2
307
9
316
17
74
407
F.G. Vaandrager\u00b9
704
58
762
38
170
970
A.M. Vreugdenhil
704
24
728
38
170
936
Total
5,947
550
6,497
315
1,443
8,255
2023
R.A.J. Swaak, chair
798
798
35
201
1,034
D. Dorner, vice-chair
677
36
713
35
164
912
C. Bittner\u00b9
677
48
725
35
164
924
T.J.A.M. Cuppen
677
34
711
35
164
910
C. van der Hooft - Cheong
677
27
704
35
164
903
L. Kramer\u00b2
226
76
302
12
55
369
A. van Nimwegen\u00b9
56
56
3
14
73
F.G. Vaandrager\u00b9
451
15
466
24
110
600
A.M. Vreugdenhil
677
24
701
35
164
900
Total
4,916
260
5,176
249
1,200
6,625
1. The following members were appointed as an Executive Board member in 2023 and 2024: C. Bittner (1 January 2023), F.G. Vaandrager (16 November 2023), A. van
Nimwegen (1 December 2023), C. Oosterloo (ad interim from 24 april 2024 until 1 October 2024) and S. Fioravanti (1 October 2024).
2. The following members stepped down as Executive Board member of ABN AMRO: T.J.A.M. Cuppen (stepped down on 24 April 2024 and left with effect from 1 August
2024), L. Kramer (23 April 2023 and left ABN AMRO as per 1 May 2023) and C. Oosterloo (ad interim period ended with effect from 1 October 2024). For T.J.A.M. Cuppen, all
remuneration components for the period until the end of her services agreement per 1 August 2024 are included above.
3. 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.
4. 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' 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.
5. The Executive Board members participate in ABN AMRO Bank's pension plans for employees in the Netherlands. This participation is not mandatory for S. Fioravanti
considering her specific international tax resident status. 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 137,800 (2023: EUR 128,810) and (b) the arrangement in accordance with the ABN AMRO Collective Labour Agreement ('ABN
AMRO CAO').
Loans from ABN AMRO to Executive Board members
2024
2023
(in thousands)
Outstanding
31 December
(Addition)/
redemptions
Interest
rate
Outstanding
31 December
(Addition)/
redemptions
Interest
rate
D. Dorner
913
-471
3.5%
442
21
2.6%
C. van der Hooft - Cheong
931
497
1.2%
1,428
131
2.7%
C. Oosterloo\u00b9
150
2.1%
F.G. Vaandrager\u00b9
497
-497
4.2%
118
3.8%
1. The following members were appointed in 2023 and 2024: F.G. Vaandrager (ad interim per 1 May 2023 and permanent per 16 November 2023) and C. Oosterloo (ad interim
from 24 April 2024 until 1 October 2024).
\"\"
Remuneration of the Supervisory Board
(in thousands)
2024
2023
T. de Swaan, chair
125
109
A.C. Dorland, vice-chair
111
91
W.J.M. Devriendt 1, 2
9
64
L.J. Griffith
108
88
M.P. Lap
107
88
S.A.C. Russell
106
91
A.M. Stor\u00e5kers\u00b2
28
M.L. Tannemaat
108
88
F. de Vries\u00b9
106
36
Total
780
683
1. In 2023 and 2024 the following members were appointed as a member of the Supervisory Board: W.J.M. Devriendt (19 April 2023) and F. de Vries (29 June 2023).
2. In 2023 and 2024 the following members stepped down as a member of the Supervisory Board: A.M. Stor\u00e5kers (19 April 2023) and W.J.M. Devriendt (5 February 2024).
Loans from ABN AMRO to Supervisory Board members
2024
2023
(in thousands)
Outstanding
31 December
(Addition)/
Redemptions
Interest
rate
Outstanding
31 December
(Addition)/
Redemptions
Interest
rate
T. de Swaan
1,574
6
1.0%
1,580
6
1.0%
S.A.C. Russell
970
-600
3.1%
370
2.1%
M.L. Tannemaat
698
9
1.6%
707
8
1.7%
F. de Vries\u00b9
805
14
2.6%
819
2.6%
1. The following members were appointed as a member of the Supervisory Board: F. de Vries (29 June 2023).
38\u00a0 Related parties
Parties related to ABN AMRO Bank include NLFI and the Dutch State, which have 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 and Supervisory Board members and close family members, where
applicable, consist mainly of residential mortgages, which may be granted under standard personnel conditions. For
further information, please refer to Note 36 - Remuneration of Executive Board and Supervisory Board
in\u00a0the\u00a0Consolidated Annual Financial Statements 2024.
Balances with joint ventures, associates and other
31 December 2024
(in millions)
Joint ventures
Associates
Other
Total
Assets
34
34
Liabilities
70
70
Guarantees given
20
20
Irrevocable facilities
4
4
2024
Income received
2
2
Expenses paid
96
387
483
31 December 2023
(in millions)
Joint ventures
Associates
Other
Total
Assets
29
42
71
Liabilities
4
59
63
Guarantees given
20
20
Irrevocable facilities
2
2
2023
Income received
38
2
40
Expenses paid
8
97
352
457
The joint venture investment Neuflize Vie S.A. in France was divested in 2024.
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 2024
31 December 2023
Assets
Financial assets held for trading
616
168
Financial investments
3,261
2,642
Loans and advances customers
69
Liabilities
Financial liabilities held for trading
181
174
Due to customers
471
466
2024
2023
Income statement
Interest income
64
48
Interest expense
20
20
Net trading income
38
44
Net fee and commission income
2
4
On 1 April 2010, ABN AMRO signed an indemnity agreement with the Dutch State (currently represented by NLFI) for
a\u00a0shortfall 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 0.4 billion increase in financial assets held for trading mainly related to higher 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.
The EUR 0.6 billion increase in financial investments was mainly due to higher Dutch government bonds held. This is
part of the liquidity buffer and is held for liquidity contingency purposes.
\"\"
Key management personnel compensation
2024
Base
salary
Variable
remuneration\u00b9
Other
short-term
benefits\u00b2
Total
short-term
benefits
Severance
payments
Total pension-related
contributions\u00b3
Total
(in thousands)
Post-employment
pension (a)
Short-term
allowances (b)
Members ExBo
5,947
550
6,497
315
1,443
8,255
2023
Members ExBo
4,916
260
5,176
249
1,200
6,625
1. 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' 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's pension plans for employees in the Netherlands. This participation is not mandatory for S. Fioravanti
considering her specific international tax resident status. 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 137,800 (2023: EUR 128,810) and (b) the arrangement in accordance with the ABN AMRO Collective Labour Agreement ('ABN
AMRO CAO').
Key management loans and advances
2024
2023
(in thousands)
Outstanding
31 December
(Addition)/
Redemptions
Average
Interest rate
Outstanding
31 December
(Addition)/
Redemptions
Average
Interest rate
Executive Board
2,491
-471
2.6%
1,870
270
2.7%
", "dimensions": { "concept": "ifrs-full:DisclosureOfRelatedPartyExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-526": { "value": "
36\u00a0 Remuneration of Executive Board and Supervisory Board
Remuneration of the Executive Board
2024
Base
salary
Variable
remuneration\u00b3
Other
short-term
benefits 4
Total
short term
benefits
Severance
payments
Total pension-related
contributions 5
Total
(in thousands)
Post-employment
pension (a)
Short-term
allowances (b)
R.A.J. Swaak, chair
829
829
38
208
1,075
D. Dorner, vice-chair
704
44
748
38
170
956
C. Bittner\u00b9
704
48
752
38
170
960
T.J.A.M. Cuppen\u00b2
411
238
649
22
99
770
S. Fioravanti\u00b9
176
26
202
10
42
254
C. van der Hooft - Cheong
704
38
742
38
170
950
A. van Nimwegen\u00b9
704
65
769
38
170
977
C. Oosterloo 1, 2
307
9
316
17
74
407
F.G. Vaandrager\u00b9
704
58
762
38
170
970
A.M. Vreugdenhil
704
24
728
38
170
936
Total
5,947
550
6,497
315
1,443
8,255
2023
R.A.J. Swaak, chair
798
798
35
201
1,034
D. Dorner, vice-chair
677
36
713
35
164
912
C. Bittner\u00b9
677
48
725
35
164
924
T.J.A.M. Cuppen
677
34
711
35
164
910
C. van der Hooft - Cheong
677
27
704
35
164
903
L. Kramer\u00b2
226
76
302
12
55
369
A. van Nimwegen\u00b9
56
56
3
14
73
F.G. Vaandrager\u00b9
451
15
466
24
110
600
A.M. Vreugdenhil
677
24
701
35
164
900
Total
4,916
260
5,176
249
1,200
6,625
1. The following members were appointed as an Executive Board member in 2023 and 2024: C. Bittner (1 January 2023), F.G. Vaandrager (16 November 2023), A. van
Nimwegen (1 December 2023), C. Oosterloo (ad interim from 24 april 2024 until 1 October 2024) and S. Fioravanti (1 October 2024).
2. The following members stepped down as Executive Board member of ABN AMRO: T.J.A.M. Cuppen (stepped down on 24 April 2024 and left with effect from 1 August
2024), L. Kramer (23 April 2023 and left ABN AMRO as per 1 May 2023) and C. Oosterloo (ad interim period ended with effect from 1 October 2024). For T.J.A.M. Cuppen, all
remuneration components for the period until the end of her services agreement per 1 August 2024 are included above.
3. 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.
4. 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' 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.
5. The Executive Board members participate in ABN AMRO Bank's pension plans for employees in the Netherlands. This participation is not mandatory for S. Fioravanti
considering her specific international tax resident status. 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 137,800 (2023: EUR 128,810) and (b) the arrangement in accordance with the ABN AMRO Collective Labour Agreement ('ABN
AMRO CAO').
Loans from ABN AMRO to Executive Board members
2024
2023
(in thousands)
Outstanding
31 December
(Addition)/
redemptions
Interest
rate
Outstanding
31 December
(Addition)/
redemptions
Interest
rate
D. Dorner
913
-471
3.5%
442
21
2.6%
C. van der Hooft - Cheong
931
497
1.2%
1,428
131
2.7%
C. Oosterloo\u00b9
150
2.1%
F.G. Vaandrager\u00b9
497
-497
4.2%
118
3.8%
1. The following members were appointed in 2023 and 2024: F.G. Vaandrager (ad interim per 1 May 2023 and permanent per 16 November 2023) and C. Oosterloo (ad interim
from 24 April 2024 until 1 October 2024).
\"\"
Remuneration of the Supervisory Board
(in thousands)
2024
2023
T. de Swaan, chair
125
109
A.C. Dorland, vice-chair
111
91
W.J.M. Devriendt 1, 2
9
64
L.J. Griffith
108
88
M.P. Lap
107
88
S.A.C. Russell
106
91
A.M. Stor\u00e5kers\u00b2
28
M.L. Tannemaat
108
88
F. de Vries\u00b9
106
36
Total
780
683
1. In 2023 and 2024 the following members were appointed as a member of the Supervisory Board: W.J.M. Devriendt (19 April 2023) and F. de Vries (29 June 2023).
2. In 2023 and 2024 the following members stepped down as a member of the Supervisory Board: A.M. Stor\u00e5kers (19 April 2023) and W.J.M. Devriendt (5 February 2024).
Loans from ABN AMRO to Supervisory Board members
2024
2023
(in thousands)
Outstanding
31 December
(Addition)/
Redemptions
Interest
rate
Outstanding
31 December
(Addition)/
Redemptions
Interest
rate
T. de Swaan
1,574
6
1.0%
1,580
6
1.0%
S.A.C. Russell
970
-600
3.1%
370
2.1%
M.L. Tannemaat
698
9
1.6%
707
8
1.7%
F. de Vries\u00b9
805
14
2.6%
819
2.6%
1. The following members were appointed as a member of the Supervisory Board: F. de Vries (29 June 2023).
38\u00a0 Related parties
Parties related to ABN AMRO Bank include NLFI and the Dutch State, which have 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 and Supervisory Board members and close family members, where
applicable, consist mainly of residential mortgages, which may be granted under standard personnel conditions. For
further information, please refer to Note 36 - Remuneration of Executive Board and Supervisory Board
in\u00a0the\u00a0Consolidated Annual Financial Statements 2024.
Key management personnel compensation
2024
Base
salary
Variable
remuneration\u00b9
Other
short-term
benefits\u00b2
Total
short-term
benefits
Severance
payments
Total pension-related
contributions\u00b3
Total
(in thousands)
Post-employment
pension (a)
Short-term
allowances (b)
Members ExBo
5,947
550
6,497
315
1,443
8,255
2023
Members ExBo
4,916
260
5,176
249
1,200
6,625
1. 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' 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's pension plans for employees in the Netherlands. This participation is not mandatory for S. Fioravanti
considering her specific international tax resident status. 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 137,800 (2023: EUR 128,810) and (b) the arrangement in accordance with the ABN AMRO Collective Labour Agreement ('ABN
AMRO CAO').
Key management loans and advances
2024
2023
(in thousands)
Outstanding
31 December
(Addition)/
Redemptions
Average
Interest rate
Outstanding
31 December
(Addition)/
Redemptions
Average
Interest rate
Executive Board
2,491
-471
2.6%
1,870
270
2.7%
", "dimensions": { "concept": "ifrs-full:DisclosureOfInformationAboutKeyManagementPersonnelExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-529": { "value": "
37\u00a0 Share-based payment
Accounting policy for share-based payment
Identified 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\u00a0accordance 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\u00a0requesting 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 years 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\u00a0remaining 20% vests in four equal tranches in the second, third, fourth and fifth year following
the\u00a0performance 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.
", "dimensions": { "concept": "ifrs-full:DescriptionOfAccountingPolicyForSharebasedPaymentTransactionsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-528": { "value": "
37\u00a0 Share-based payment
Accounting policy for share-based payment
Identified 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\u00a0accordance 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\u00a0requesting 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 years 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\u00a0remaining 20% vests in four equal tranches in the second, third, fourth and fifth year following
the\u00a0performance 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 2024 was
EUR 10 million (31 December 2023: EUR 7 million). The expense recognised for the DRs and PCs awards during 2024
was EUR\u00a04\u00a0million including retention bonus (2023: EUR 4 million).
The following table shows the total number of DRs and PCs awarded, forfeited and paid out.
(in thousands of DRs and PCs)
2024
2023
Outstanding at 1 January
649
746
Granted during the year
314
292
Forfeited during the year
14
21
Paid out during the year cash
316
363
Paid out during the year DRs and PCs
6
6
Total paid out/forfeited
-336
-389
Outstanding at 31 December
627
649
The following table shows the total number of DRs and PCs granted, segmented by the respective vesting period after
which the award is paid out.
31 December 2024
(in thousands of DRs and PCs)
Up to
one year
Between one
and two years
Between two
and three years
Between three
and four years
Between four
and five years
Total
Number of granted DRs by vesting period
324
115
99
59
30
627
31 December 2023
Number of granted DRs by vesting period
323
143
85
69
29
649
", "dimensions": { "concept": "ifrs-full:DisclosureOfSharebasedPaymentArrangementsExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } }, "f-530": { "value": "
39\u00a0 Post balance sheet events
ABN AMRO Bank intends to nominate Marguerite B\u00e9rard as new CEO
In January 2025, ABN AMRO Bank announced that it intends to nominate Marguerite B\u00e9rard as its new CEO as
of\u00a023\u00a0April 2025. The proposed appointment of Marguerite B\u00e9rard is subject to regulatory approval.
", "dimensions": { "concept": "ifrs-full:DisclosureOfEventsAfterReportingPeriodExplanatory", "language": "en", "entity": "scheme:BFXS5XCH7N0Y05NIXW11", "period": "2024-01-01T00:00:00/2025-01-01T00:00:00" } } } }