EBA欧洲银行-NL_724500DWE10NNL1AXZ52_TR_2017_16页_1mb

ABN AMRO Group N.V. 2017 EU-wide Transparency Exercise Summary

Core Content

This document provides a detailed summary of the capital structure, leverage ratios, risk exposure amounts, and profit and loss (P&L) figures for ABN AMRO Group N.V. as part of the 2017 EU-wide Transparency Exercise. The data is reported for two key dates: 31 December 2016 and 30 June 2017, and includes information on capital ratios, risk exposures, and regulatory compliance under the Capital Requirements Regulation (CRR).

Capital Structure (Transitional Period)

Own Funds

• Total Own Funds: Increased from 25,637 mln EUR (31/12/2016) to 27,213 mln EUR (30/06/2017).
• Common Equity Tier 1 (CET1) Capital: Increased from 17,775 mln EUR to 18,352 mln EUR.
  • CET1 Capital Instruments: Remained stable at 13,910 mln EUR.
  • Retained Earnings: Increased from 3,612 mln EUR to 4,381 mln EUR.
  • Accumulated Other Comprehensive Income: Decreased from -9 mln EUR to -223 mln EUR.
  • Adjustments to CET1 due to prudential filters: Increased from 815 mln EUR to 874 mln EUR.
• Additional Tier 1 (AT1) Capital: Increased from 829 mln EUR to 906 mln EUR.
• Tier 2 Capital: Increased from 7,032 mln EUR to 7,956 mln EUR.

Capital Ratios

• CET1 Capital Ratio (Transitional): Increased from 17.06% to 17.69%.
• Tier 1 Capital Ratio (Transitional): Increased from 17.85% to 18.56%.
• Total Capital Ratio (Transitional): Increased from 24.60% to 26.23%.

Leverage Ratios

• Tier 1 Capital (Transitional Definition): Increased from 18,605 mln EUR to 19,257 mln EUR.
• Tier 1 Capital (Fully Phased-in Definition): Increased from 18,749 mln EUR to 19,316 mln EUR.
• Leverage Ratio:
  • Using Transitional Tier 1 Capital: 3.9% (both dates).
  • Using Fully Phased-in Tier 1 Capital: 3.9% (both dates).

Risk Exposure Amounts

• Total Risk Exposure Amount: Decreased from 104,215 mln EUR (31/12/2016) to 103,745 mln EUR (30/06/2017).
• Credit Risk Exposure:
  • As of 31/12/2016: 82,336 mln EUR
  • As of 30/06/2017: 79,900 mln EUR
• Securitisation and Re-securitisation (Banking Book):
  • As of 31/12/2016: 95 mln EUR
  • As of 30/06/2017: 56 mln EUR
• Market Risk Exposure:
  • As of 31/12/2016: 4,072 mln EUR
  • As of 30/06/2017: 3,348 mln EUR

Profit and Loss (P&L)

• Total Operating Income, Net:
  • 31/12/2016: 8,230 mln EUR
  • 30/06/2017: 4,750 mln EUR
• Profit or Loss Before Tax from Continuing Operations:
  • 31/12/2016: 2,451 mln EUR
  • 30/06/2017: 2,048 mln EUR
• Profit or Loss After Tax from Continuing Operations:
  • 31/12/2016: 1,806 mln EUR
  • 30/06/2017: 1,576 mln EUR
• Key Income and Expense Components:
  • Interest Income: Decreased from 12,481 mln EUR to 6,244 mln EUR.
  • Interest Expenses: Decreased from 6,215 mln EUR to 3,048 mln EUR.
  • Net Fee and Commission Income: Decreased from 1,742 mln EUR to 852 mln EUR.
  • Gains or Losses on Derecognition: Increased from 208 mln EUR to 340 mln EUR.
  • Gains or Losses on Trading Financial Assets: Increased from -190 mln EUR to 148 mln EUR.
  • Gains or Losses on Fair Value through Profit or Loss: Increased from 5 mln EUR to 44 mln EUR.
  • Gains or Losses from Hedge Accounting: Increased from -4 mln EUR to 46 mln EUR.

Risk Exposure Breakdown (Standardised Approach)

Credit Risk

• Total Standardised Risk Exposure Amount (As of 31/12/2016): 30,672 mln EUR
• Total Standardised Risk Exposure Amount (As of 30/06/2017): 22,567 mln EUR
• Key Exposure Categories:
  • Central Governments or Central Banks: Decreased from 214 mln EUR to 210 mln EUR.
  • Corporates: Decreased from 5,441 mln EUR to 6,772 mln EUR.
  • Retail: Decreased from 5,107 mln EUR to 5,257 mln EUR.
  • Secured by Mortgages: Decreased from 5,189 mln EUR to 5,601 mln EUR.
  • Exposures in Default: Decreased from 688 mln EUR to 621 mln EUR.

Market Risk

• Total Market Risk Exposure Amount (As of 31/12/2016): 4,067 mln EUR
• Total Market Risk Exposure Amount (As of 30/06/2017): 3,348 mln EUR

Key Regulatory References

• CET1 Capital: Covered under Articles 26(1) points (a) and (b), 27 to 29, 36(1) point (f), and 42 of CRR.
• Tier 1 Capital: Covered under Article 25 of CRR.
• Tier 2 Capital: Covered under Article 71 of CRR.
• Leverage Ratio: Covered under Article 429 of CRR and Delegated Regulation (EU) 2015/62.
• Risk Exposure Amounts: Covered under Article 338.3 of CRR.

Summary of Key Trends

• The bank showed an increase in own funds and capital ratios during the transitional period.
• Leverage ratios remained consistent at 3.9% for both periods.
• Risk exposure amounts slightly decreased, indicating a reduction in overall risk exposure.
• P&L showed a decline in interest income and net fee and commission income, but an increase in gains from trading and hedge accounting.
• Credit risk exposure varied across categories, with some reductions in specific areas like retail and SMEs, but increases in others like corporates and secured exposures.
• The Standardised Approach for credit risk showed a significant reduction in total risk exposure, likely due to improved risk management or portfolio adjustments.