Quarterly Report • Aug 10, 2022
Quarterly Report
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ABN AMRO Bank N.V.
Second quarter 2022
This Quarterly Report presents ABN AMRO's results for the second quarter of 2022, the interim report for 2022 and the Condensed consolidated Interim Financial Statements for 2022. The report provides a quarterly business and financial review as well as risk, funding, liquidity and capital disclosures.
The Condensed consolidated Interim Financial Statements in this report have been prepared in accordance with IAS 34 Interim Financial Reporting as adopted by the European Union (EU) and have been reviewed by our external auditor. Some disclosures in the Risk, funding & capital section of this report are part of the Condensed consolidated Interim Financial Statements and are labelled as 'Reviewed' in the respective tables or headings.
This report is presented in euros (EUR), which is ABN AMRO's functional and presentation currency, rounded to the nearest million (unless otherwise stated). All annual averages in this report are based on month-end figures. Management does not believe these month-end averages present trends that are materially different from those that would be presented by daily averages. Certain figures in this report may not tally exactly due to rounding. Furthermore, certain percentages in this document have been calculated using rounded figures.
To download this report or to obtain more information, please visit us at abnamro.com/ir or contact us at [email protected]. In addition to this report, ABN AMRO provides an analyst and investor call presentation, an investor presentation and a factsheet regarding the second-quarter 2022 results.
(in %) Target is 8%
(in %)
(end-of-period, in %)
For more information about net profit, return on equity, earnings per share, cost/income ratio, cost of risk and net interest margin, please refer to the Financial review section. For more information about CET1 ratio (Basel III and Basel IV) and leverage ratio, please refer to the Capital management section.
The second quarter continued to be dominated by the war in Ukraine, first and foremost a humanitarian tragedy. The war is also causing high inflation and lower consumer confidence, and in combination with further lockdowns in China and supply chain disruptions, the economic outlook has weakened. The weakened outlook is not yet reflected in economic activity and we delivered a good performance this past quarter. I am pleased that now the ECB has increased its interest rate, we can stop charging our clients negative rates on their savings as from October. In these challenging circumstances, we are well placed to stand by our clients, while we continue to transform the bank towards a more client-focused and simplified organisation.
In the second quarter of 2022, we delivered a net profit of EUR 475 million and an ROE of 8.8%, a good result. NII was EUR 1,273 million, mainly due to lower prepayment penalties on mortgages and higher hedging costs. We expect NII to bottom out in the second half of the year, as deposit margins benefit from the improved interest rate environment, and to be around EUR 5.2 billion for the full year. We have seen continued growth of our mortgage and corporate loan books. Our market share for mortgages improved to 17.5% in Q2 and we are now market leader in the Netherlands. Client demand for corporate loans also remained strong. We continue to see pressure on margins for mortgages and corporate loans. Fee income increased by 12% compared with Q2 2021, driven by higher
transaction volumes in payments and strong results at Clearing. Net new assets at Wealth Management were EUR 1.1 billion higher.
Operating expenses totalled EUR 1,321 million as AML remediation costs as well as investments relating to regulatory changes and expansion of our digital and data capabilities were higher than expected. We are making progress in our AML remediation programmes, but more effort is required than expected and the programmes will continue in 2023. We now expect full-year costs to be around EUR 5.3 billion, excluding incidentals, as cost savings are partially offset by higher investments and regulatory levies. We have further tightened our cost discipline, partly in anticipation of the current inflationary environment. We remain committed to our cost target of below EUR 4.7 billion in 2024, as AML and Corporate Banking non-core costs will come down and we will deliver on our cost-saving programmes.
Credit quality is good and impairments showed a release of EUR 62 million, reflecting improvements in non-performing loans. We see no sign of deterioration of the credit environment yet and expect the cost of risk for 2022 to remain below the through-the-cycle cost of risk of around 20 basis points. We continue to closely monitor the direct and indirect impacts of the war in Ukraine on the bank and our clients. Prudent buffers are in place against uncertainties in the economic outlook.
Risk-weighted assets increased by EUR 2.3 billion, mainly due to business developments and model reviews. Our capital position remains strong, with a fully-loaded Basel III CET1 ratio of 15.5% and a Basel IV CET1 ratio of around 16%. The interim dividend for the first half of 2022 has been set at EUR 0.32 per share, which amounts to EUR 287 million. We have received approval from the ECB for a EUR 250 million share buyback, conditional on a potential NLFI sell-down, demonstrating our commitment to capital return.
We are a personal bank in the digital age, with our strategic pillars – customer experience, sustainability and futureproof bank – as our guiding principles. Undeterred by these challenging times, we remain fully focused on the execution of our strategy and are progressing on our financial and non-financial targets. To improve the customer experience, we continually develop new propositions for our clients. Together with a partner, we now offer a solution for restaurants that lets their customers order contactless and pay with Tikkie, giving restaurant staff more time to serve their customers. We continue to broaden our product offering in private markets, now also by giving our wealth clients the opportunity to invest in an infrastructure fund.
Sustainability is core to our purpose and strategy. We have introduced a sustainability dashboard for our wealthy clients, giving them insight into the GHG emissions and
ESG risks of companies in their portfolios. Our Sustainable Impact Fund has invested in an energy market trading platform that contributes to a more efficient use of the power grid. We have also invested in an online coffee company that shortens the supply chain from farmer to consumer. We are updating our climate strategy and will present it at the end of this year.
We are building a future-proof bank, digital by design. We recently launched the Savings Lock, offering our clients extra protection by preventing them from acting on impulse and falling victim to scams. Chatbot Anna now also allows SME clients to check the status of their request to open an account. And our business clients can now sign their credit and guarantee documentation digitally with ZealID, a provider of qualified electronic signatures and a partner of ABN AMRO.
I would like to extend my gratitude to all my colleagues for their strong commitment and drive. And I would like to thank all of our clients for placing their trust in us. In the current environment, many of our clients are facing a challenging situation. We will continue to support them, true to our commitment to fostering long-term relationships, while creating value for all our stakeholders.
CEO of ABN AMRO Bank N.V.
We are focused on executing our strategy to become a personal bank in the digital age, the outcome of our comprehensive strategy review announced in November 2020. Our strategic pillars – customer experience, sustainability and future-proof bank – remain our guiding principles in acting on our purpose 'Banking for better, for generations to come'. Delivering on our strategy means delivering on our bank-wide strategic KPIs for 2024.
We focus on attractive segments in the Netherlands and Northwest Europe where we can grow profitably and will further develop our leading positions in mortgages and SMEs with new propositions. Our goals are to achieve positive NPS scores and to increase our market share to above 20% in both segments.
ABN AMRO's market share in new mortgage production grew to 17% in H1, reflecting strong operational capabilities. Market share for SMEs was lower in a highly competitive market, as we are focusing on improving new client take-on processes and cross-buying opportunities.
As we increasingly become a personal bank in the digital age, the digital experience remains the most valued element of our service for our clients, while they clearly also appreciate our expertise through personal contact. Our relational NPS scores for both mortgages and SMEs are influenced by the general sentiment around the closing of branches and particularly the fee increases announced in April. Our NPS for mortgages remained stable. Our NPS for SMEs is lower, as clients are critical of time-consuming KYC processes for which we now also charge costs and some customer journeys are not yet fully digital. We aim to continue to improve our NPS by being more proactive and further improving the accessibility of our call centres. It takes some time before operational improvements affect NPS scores.
Our clients increasingly need expertise to support them in the sustainability shift. We aim to increase the asset volume of sustainable client loans (including mortgages and corporate loans) and ESG and impact investments as part of the bank's outstanding mortgage loan book, corporate loan book and relevant client asset volume from around one-fifth to one-third in 2024. We are making good progress, with a score of 28% at the end of H1.
The Sustainability Acceleration Standard (SAS) KPI for our corporate loans increased from 14% to 18%: a strong increase, especially in our Commercial Real Estate portfolio; but also in other sectors, client loans increasingly qualify as sustainable. Our mortgage portfolio is showing a steady improvement, with a SAS KPI of 27%; the properties of 62% of our clients now have an A, B or C energy label. At present 39% of our client assets are ESG or impact investments, as the number of ESG contracts with clients continues to grow.
To live up to our purpose and achieve our strategic goals, we need to have the right talent on board and continually invest in diversity and inclusion. A key factor is fostering an inclusive climate for both our people and our clients – an environment in which the diversity of our society is reflected. ABN AMRO is committed to creating a diverse workforce. This is important for employee engagement and a pleasant working environment and, we believe, makes for better decision-making. The percentage of women in the subtop was stable at 30%.
We are building a future-proof bank. In the digital age, personal is often digitally enabled, combined with expertise as our main differentiator. Clients expect easy digital delivery in apps, fully digital services and seamless self-service. For all high-volume processes, our focus is on end-to-end digitalisation – to enable the digital-first customer experience, but also to increase efficiency. At the end of H1 2022, 63% of our high-volume product and service processes were end-to-end digitalised, mainly in products such as savings, lending, mortgages and payments.
We are targeting costs lower than EUR 4.7 billion in 2024, reflecting further cost savings of EUR 700 million compared to 2020. In 2022 we are focusing on the implementation of our new client service model. The wind-down of the CB non-core portfolio has been largely completed, improving our risk profile. The recalibrated through-the-cycle cost of risk is around 20 basis points.
We target an ROE of around 8% by 2024, when the cost of risk is expected to have normalised, cost-saving programmes will have been completed and growth initiatives will be delivering results. Our ROE ambition remains 10%. We have set out our capital framework as we are committed to capital return. We pay dividend at a payout ratio of 50% of net profit, after deduction of AT1 coupon payments and minority interests. Basel IV is our primary capital metric, with a CET1 target of 13%. Progress on our financial targets is addressed in the relevant sections of this report.
| Strategic pillars | Metric | 2024 targets | First half 2022 | 2021 results |
|---|---|---|---|---|
| Customer experience | ||||
| Relational NPS1 | ||||
| Mortgages | > 0 | 1 | -1 | |
| SMEs (incl. self-employed)2 | > 0 | -40 | -33 | |
| Market share growth in focus segments | ||||
| New production mortgages | 20% | 17% | 16% | |
| SMEs3 | 20% | 17% | 18% | |
| Sustainability | ||||
| Supporting clients' transition to sustainability | ||||
| Percentage sustainability (acceleration) asset volume4 | 36% | 28% | 27% | |
| Diversity & Inclusion | ||||
| Percentage of women at subtop | 34% | 30% | 30% | |
| Future-proof bank | ||||
| Digitalisation | ||||
| Straight-through-processing rate of high volume service and product processes5 | 90% | 63% | n/a | |
| Financial targets | ||||
| Absolute cost base (in EUR billions)6 | <4.7 | 2.7 | 5.3 | |
| Through-the-cycle cost of risk (in bps) | 20 | 2 | -7 | |
| Return on equity (ambition with normalised interest rates) | 8% (10%) | 7% | 6% | |
| CET1 ratio (Basel IV)7 | 13% | 16% | 16% |
1 Net Promoter Score is calculated as the percentage of promoters minus the percentage of detractors.
2 Relational NPS SME scope has been revised to business clients with EUR 100,000 - EUR 25 million revenue, due to new top structure and refined priorities. The comparative figures have not been adjusted.
3 Market share SMEs is based on previous year-end results.
4 For definition of sustainability (acceleration) asset volume, see Operational sustainability KPIs table.
5 High volume service and product processes in scope are considered to be generic service, transaction banking and (home and other) financing solutions processes key to serving Personal & Business Banking clients (i.e. the client segment with the highest client volumes) with the highest annual transaction volumes (i.e. annual transaction volumes of >30.000).
6 Excluding incidentals. 7 CET1 ratio (Basel IV) is rounded to the nearest whole percent. For more information about CET1 ratio Basel IV, please refer to the Capital section in the Risk, funding & capital chapter.
Our key strategic target on the volume of sustainable client loans and investment is based on underlying operational targets per relevant portfolio. Due to the new simplified organisational structure implemented in 2022, the bank's four business lines were replaced by three client units: Personal & Business Banking, Wealth Management and Corporate Banking. These three client units are included in the new line item Corporate loans to clients.
Where previously only Corporate loans in the Commercial Banking and Corporate & Institutional Banking segments were considered for sustainability (acceleration) asset volume, we have expanded this in the past half-year to include all corporate loans to the three above-mentioned client units, except the non-core Corporate Banking loans. The new organisational structure and the scope increase do not affect our target percentage on group level.
| Targets | Results | ||||
|---|---|---|---|---|---|
| 2024 | 2023 | 2022 | First half 2022 | 2021 | |
| Percentage sustainability (acceleration) asset volume1 | |||||
| - ESG + impact investments2 | 42% | 40% | 38% | 39% | 38% |
| - Residential mortgages | 34% | 31% | 28% | 27% | 25% |
| - Corporate loans to clients3 | 27% | 21% | 16% | 18% | 14% |
| Total | 36% | 32% | 29% | 28% | 27% |
| External rating | |||||
| S&P Global ESG Dow Jones Sustainability Index | top 5% | top 5% | top 5% | - 4 |
top 15% |
1 The definition of sustainability (acceleration) asset volume is based on ABN AMRO's Sustainability Acceleration Standards. These standards contain clear definitions with regard to clients' sustainability policies, practice and governance. The overall target for sustainability (acceleration) asset volume is calculated as the sum of sustainability (acceleration) asset volume (mortgages and corporate loans) and sustainability (acceleration) client asset volume, divided by the sum of the outstanding mortgage loan book, corporate loan book and relevant client asset volume.
2 We have aligned our definition of sustainable client assets with the definitions set in the EU SFDR regulation.
3 Compared to 31 December 2021, the inclusion of P&BB and WM segments resulted in a net negative impact on sustainability (acceleration) asset volume in the corporate loans to clients and on total level of approximately 1%. The P&BB segment loans include smaller corporations based on their SBI codes without further sustainability assessment.
4 This index is measured on an annual basis and is therefore not available per first half 2022.
This financial review includes a discussion and analysis of the results and sets out the financial condition of ABN AMRO.
| (in millions) | Q2 2022 | Q2 2021 | Change | Q1 2022 | Change | First half 2022 |
First half 2021 |
Change |
|---|---|---|---|---|---|---|---|---|
| Net interest income | 1,273 | 1,306 | -3% | 1,310 | -3% | 2,583 | 2,669 | -3% |
| Net fee and commission income | 448 | 399 | 12% | 447 | 895 | 805 | 11% | |
| Other operating income | 163 | 27 | 176 | -7% | 339 | 105 | ||
| Operating income | 1,884 | 1,732 | 9% | 1,933 | -3% | 3,817 | 3,579 | 7% |
| Personnel expenses | 619 | 600 | 3% | 600 | 3% | 1,219 | 1,179 | 3% |
| Other expenses | 702 | 628 | 12% | 908 | -23% | 1,610 | 1,892 | -15% |
| Operating expenses | 1,321 | 1,228 | 8% | 1,508 | -12% | 2,829 | 3,071 | -8% |
| Operating result | 563 | 504 | 12% | 425 | 32% | 988 | 508 | 95% |
| Impairment charges on financial instruments | -62 | -79 | 21% | 62 | -156 | 100% | ||
| Profit/(loss) before taxation | 626 | 583 | 7% | 363 | 72% | 989 | 664 | 49% |
| Income tax expense | 151 | 190 | -21% | 68 | 122% | 219 | 325 | -33% |
| Profit/(loss) for the period | 475 | 393 | 21% | 295 | 61% | 770 | 339 | 127% |
| Attributable to: | ||||||||
| Owners of the parent company | 475 | 390 | 22% | 295 | 61% | 770 | 337 | 129% |
| Non-controlling interests | 2 | 2 | ||||||
| Other indicators | ||||||||
| Net interest margin (NIM) (in bps) | 121 | 128 | 126 | 123 | 131 | |||
| Cost/income ratio | 70.1% | 70.9% | 78.0% | 74.1% | 85.8% | |||
| Cost of risk (in bps)1 | -9 | -23 | 14 | 2 | -18 | |||
| Return on average equity2 | 8.8% | 7.6% | 5.4% | 7.1% | 3.0% | |||
| Dividend per share (in EUR)3 | 0.32 | 0.32 | ||||||
| Earnings per share (in EUR)4, 5 | 0.50 | 0.39 | 0.29 | 0.79 | 0.31 | |||
| Client assets (end of period, in billions) | 297.2 | 304.9 | 304.7 | |||||
| Risk-weighted assets (end of period, in billions) | 126.7 | 107.2 | 124.3 | |||||
| Number of employees (end of period, in FTEs) | 20,079 | 19,639 | 20,086 | |||||
| Number of non-employees (end of period, in FTEs) | 5,933 | 5,954 | 6,438 |
1 Annualised impairment charges on loans and advances customers for the period divided by the average loans and advances customers (excluding at fair value through P&L) on the basis of gross carrying amount and excluding fair value adjustments from hedge accounting.
2 Annualised profit/(loss) for the period, excluding payments attributable to AT1 capital securities and results attributable to non-controlling interests, divided by the average equity attributable to
the owners of the company excluding AT1 capital securities. 3 Interim/final dividend per share over the relevant period as declared/proposed by the company, subject to approval at the annual general meeting (AGM).
4 Annualised profit/(loss) for the period, excluding payments attributable to AT1 capital securities and results attributable to non-controlling interests, divided by the average outstanding and paid-
up ordinary shares. 5 For HY 2022, the average number of outstanding shares amounted to 917,893,496.
Q2 2022 included EUR 41 million in net interest income for an additional TLTRO discount (Q1 2022: EUR 44 million, Q4 2021: EUR 93 million). This benefit is being entirely passed on to our clients.
Other expenses in Q2 2022 included a EUR 34 million addition to the provisions for the AML remediation programmes, recorded mainly at Group Functions and for a small part at Personal & Business Banking. The scope of the provision was further updated to incorporate additional requirements agreed with the Dutch central bank (DNB) and, after a review, more AML remediation related activities were added to the provision.
Q1 2022 included a EUR 50 million addition to the provision for AML remediation programmes, recorded mainly at Group Functions.
Q2 2021 included a EUR 79 million net negative impact, of which EUR 30 million was recorded in net interest income and EUR 49 million in other operating income, both at Group Functions. This mainly related to a repayment of German dividend withholding tax credits and accrued interest. The amounts have been repaid in anticipation of a decision by the German tax authorities.
Q2 2021 included a EUR 121 million discount to book value on a loan disposal as part of the wind-down of the CB non-core portfolio, recorded in other operating income. This related to the sale of a portfolio of energy loans which effectively ended ABN AMRO's exposure to the oil & gas industry in the USA.
Q2 2021 included a EUR 41 million revaluation gain on ABN AMRO's equity stake in Tink (via ABN AMRO Ventures), recorded in other operating income at Group Functions.
Net interest income amounted to EUR 1,273 million in Q2 2022 (Q2 2021: EUR 1,306 million). Excluding large incidentals, net interest income came down by EUR 104 million, mainly due to higher steering costs at Treasury, a decrease in mortgage prepayment penalties and the ongoing wind-down of the Corporate Banking non-core portfolio. This was partly mitigated by effectively passing on negative interest rates to our clients.
The net interest margin came to 121bps in Q2 2022 (Q2 2021: 128bps), predominantly impacted by lower net interest income and, to a lesser extent, a larger average amount of total assets in the balance sheet.
In comparison with Q1 2022, net interest income declined by EUR 37 million. This decline was mainly attributable to higher steering costs at Treasury and lower mortgage prepayment penalties, which were partly offset by higher deposit margins as we started to benefit from rising interest rates.
Net fee and commission income increased to EUR 448 million in Q2 2022 (Q2 2021: EUR 399 million), mainly driven by higher income from payment services at Personal & Business Banking and higher transaction volumes at Clearing resulting from increased market volatility. Compared to Q1 2022, net fee and commission income remained stable.
Other operating income was EUR 163 million in Q2 2022 (Q2 2021: EUR 27 million). Excluding large incidentals, other operating income was EUR 7 million higher than in Q2 2021, mainly due to volatile items. These included higher asset and liability management results at Treasury (EUR 64 million in Q2 2022 versus EUR 26 million in Q2 2021) and CVA/DVA/FVA1 results (EUR 18 million in Q2 2022 versus EUR 7 million in Q2 2021), partly offset by lower equity participation results (EUR 19 million in Q2 2022 versus EUR 46 million in Q2 2021).
Personnel expenses totalled EUR 619 million in Q2 2022 (Q2 2021 and Q1 2022: EUR 600 million). The increase by EUR 19 million versus both Q2 2021 and Q1 2022 largely reflected collective labour agreement (CLA) related one-offs.
Employee FTEs went up by 440 on Q2 2021, totalling 20,079 in Q2 2022. The increase is largely explained by additional internal resources related to AML activities. Compared with Q1, the number of FTEs remained stable.
Other expenses amounted to EUR 702 million in Q2 2022 (Q2 2021: EUR 628 million). Excluding large incidentals, other expenses came out EUR 40 million higher than in the previous year, largely due to higher regulatory expenses (a contribution to the Single Resolution Fund (SRF) was required in this quarter as well) and higher external staffing costs related to AML activities.
Compared with Q1 2022, excluding large incidentals, the decline in other expenses was mainly attributable to lower regulatory levies which are seasonally high in Q1 (SRF contribution).
Impairment charges included a release of EUR 62 million (Q2 2021: EUR 79 million release). This amount can largely be explained by better performance of the existing stage 3 loans, driven by higher repayments, better than expected recoveries, sales with lower than anticipated losses as well as outflow to the performing portfolio. These developments were partly offset by worsening macroeconomic scenarios and an increase of management overlays to capture risks in our residential mortgage portfolio.
Income tax expenses came to EUR 151 million in Q2 2022 (Q2 2021: EUR 190 million) while profit before tax amounted to EUR 626 million, resulting in an effective tax rate of 24%. This is slightly lower than the Dutch corporate income tax rate of 25.8% and is explained by gains on participations, which were tax exempt.
excluding coupons attributable to AT1 capital securities, amounted to EUR 452 million in Q2 2022, largely supported by our robust operational performance and impairment releases.
RWA increased to EUR 126.7 billion (31 March 2022: EUR 124.3 billion), reflecting increases in credit risk RWA and market risk RWA. Credit risk RWA rose predominantly as a result of a change in the regulatory treatment of certain models from Advanced IRB to Foundation IRB and Standardised Approach, as well as business developments, partly offset by lower add-ons and improved asset quality. Market risk RWA increased due to higher Value-at-Risk, driven mainly by position changes and to a lesser extent model changes.
ABN AMRO recorded a net profit of EUR 770 million in H1 2022 (H1 2021: EUR 339 million). The increase was attributable to the EUR 480 million AML settlement in H1 2021, which was partly offset by higher expenses and loan loss provisions in H1 2022.
Return on Equity for H1 2022 was 7.1%, compared with 3.0% in H1 2021.
Net interest income was EUR 2,583 million (H1 2021: EUR 2,669 million). Excluding incidentals, net interest income declined by EUR 201 million, mainly as a result of higher steering costs at Treasury, good progress made in the wind-down of the Corporate Banking non-core portfolio and a decrease in mortgage prepayment penalties. This was partly offset by higher interest income at Corporate Banking core, resulting from an increase in average corporate loans.
Net fee and commission income amounted to EUR 895 million, an increase of EUR 90 million compared with H1 2021. This increase was attributable to higher income from payment services and improved credit card usage at Personal & Business Banking as well as higher assets under management and related fees at Wealth Management.
Other operating income increased by EUR 234 million to EUR 339 million (H1 2021: EUR 105 million), as H1 2021 included a discount to book value on the disposal of a portfolio of energy loans (EUR 121 million) as part of the Corporate Banking non-core wind-down, while H1 2022 included more favourable volatile items.
Personnel expenses increased by EUR 40 million to EUR 1,219 million (H1 2021: EUR 1,179 million), reflecting CLA related one-offs and a rise in FTEs for AML activities and strategy execution (IT related).
Other expenses, excluding for large incidentals, increased by EUR 114 million and included a EUR 39 million rise in regulatory levies. The increase was largely attributable to higher IT costs and higher external staffing costs related to AML activities.
Impairment charges were nil in the first half of 2022 (H1 2021: a EUR 156 million release), mainly reflecting releases as a result of improved credit quality of existing stage 3 loans, outflow to the performing portfolio and repayments and recoveries/sales with lower than anticipated losses, offset by impairment charges recorded for modelled provisions in stage 1 and 2 that were caused by the deteriorated macroeconomic outlook and increased weight of the negative scenario.
Income tax expense amounted to EUR 219 million in H1 2022 (H1 2021: EUR 325 million), resulting in an effective tax rate of 22%. This is slightly lower than the Dutch corporate income tax rate of 25.8% and is explained by gains on participations, which were tax exempt. The effective tax rate in H1 2021 was higher largely due to the EUR 480 million AML settlement in H1 2021, which was treated as a non-deductible for tax purposes.
| (in millions) | 30 June 2022 | 31 March 2022 | 31 December 2021 |
|---|---|---|---|
| Cash and balances at central banks | 69,784 | 74,309 | 66,865 |
| Financial assets held for trading | 2,421 | 2,063 | 1,155 |
| Derivatives | 5,096 | 3,655 | 3,785 |
| Financial investments | 40,762 | 41,633 | 43,165 |
| Securities financing | 27,647 | 27,036 | 16,138 |
| Loans and advances banks | 3,766 | 3,642 | 2,801 |
| Loans and advances customers | 259,641 | 258,685 | 258,251 |
| Other | 12,387 | 10,472 | 6,955 |
| Total assets | 421,504 | 421,495 | 399,113 |
| Financial liabilities held for trading | 1,394 | 884 | 687 |
| Derivatives | 3,799 | 3,786 | 4,344 |
| Securities financing | 18,643 | 18,872 | 9,494 |
| Due to banks | 40,168 | 40,969 | 38,076 |
| Due to customers | 265,191 | 261,980 | 251,218 |
| Issued debt | 53,431 | 56,414 | 59,688 |
| Subordinated liabilities | 7,658 | 7,416 | 7,549 |
| Other | 8,693 | 8,840 | 6,059 |
| Total liabilities | 398,977 | 399,161 | 377,114 |
| Equity attributable to the owners of the parent company | 22,523 | 22,328 | 21,994 |
| Equity attributable to non-controlling interests | 5 | 5 | 5 |
| Total equity | 22,528 | 22,333 | 21,999 |
| Total liabilities and equity | 421,504 | 421,495 | 399,113 |
| Committed credit facilities | 55,464 | 53,582 | 54,642 |
| Guarantees and other commitments | 7,567 | 7,532 | 7,598 |
Total assets remained stable at EUR 421.5 billion as the increase in loans and advances to customers and other assets was largely offset by a decrease in cash and balances at central banks.
Loans and advances customers increased by EUR 1.0 billion, totalling EUR 259.6 billion at 30 June 2022. The increase was largely attributable to higher client loans and loans to professional counterparties, largely offset by fair value adjustments from hedge accounting, as a result of the sharp increase in long-term interest rates this quarter.
Client loans increased by EUR 2.6 billion to EUR 239.6 billion at 30 June 2022. The increase was mainly attributable to an increase in residential mortgages, reflecting strong operational capabilities, and corporate loans.
Other assets went up by EUR 1.9 billion to EUR 12.4 billion at 30 June 2022, mainly as a result of unsettled securities transactions.
Total assets increased by EUR 22.4 billion to EUR 421.5 billion as at 30 June 2022. This was mainly driven by an increase in securities financing assets, other assets, cash and balances at central banks and loans and advances to customers.
Securities financing assets went up by EUR 11.5 billion to EUR 27.6 billion at 30 June 2022, reflecting a seasonal pattern.
Loans and advances customers increased by EUR 1.4 billion, totalling EUR 259.6 billion. This increase was mainly driven by a rise in client and professional loans, which was largely offset by negative fair value adjustments from hedge accounting as a result of the sharp increase in long-term interest rates this quarter.
Client loans increased by EUR 4.5 billion to EUR 239.6 billion at 30 June 2022. The increase was mainly attributable to an increase in residential mortgages and corporate loans.
| (in millions) | 30 June 2022 | 31 March 2022 | 31 December 2021 |
|---|---|---|---|
| Residential mortgages | 148,773 | 147,101 | 146,351 |
| Consumer loans | 10,603 | 10,704 | 10,794 |
| Corporate loans to clients1 | 80,223 | 79,169 | 77,965 |
| - of which Personal & Business Banking | 9,433 | 9,863 | 9,920 |
| - of which Corporate Banking | 64,842 | 63,483 | 62,230 |
| - of which Corporate Banking - core | 63,117 | 61,621 | 60,269 |
| - of which Corporate Banking - non-core | 1,725 | 1,862 | 1,961 |
| Total client loans2 | 239,598 | 236,974 | 235,110 |
| Loans to professional counterparties and other loans2, 3 | 28,098 | 25,692 | 23,605 |
| Total loans and advances customers, gross2 | 267,696 | 262,666 | 258,715 |
| Fair value adjustments from hedge accounting | -5,665 | -1,534 | 1,951 |
| Total loans and advances customers, gross | 262,031 | 261,132 | 260,666 |
| Loan impairment allowances | 2,390 | 2,448 | 2,416 |
| - of which Corporate Banking - non-core | 421 | 425 | 443 |
| Total loans and advances customers | 259,641 | 258,685 | 258,251 |
1 Corporate loans excluding loans to professional counterparties.
2 Excluding fair value adjustment from hedge accounting.
3 Loans to professional counterparties and other loans includes loans and advances to governments, official institutions and financial markets parties.
Total liabilities remained broadly flat, totalling EUR 399.0 billion at 30 June 2022. The increase in due to customers was largely offset by lower issued debt securities.
Due to customers increased by EUR 3.2 billion, totalling EUR 265.2 billion at 30 June 2022. This increase was largely caused by a rise in client deposits at Personal & Business Banking (as a result of the pay-out of holiday allowances).
Issued debt securities declined by EUR 3.0 billion to EUR 53.4 billion at 30 June 2022. The decline was driven by matured long-term funding and negative fair value effects as a result of rising interest rates, partly offset by the issuance of EUR 1.6 billion senior non-preferred funding. At 30 June 2022, issued debt included EUR 26.9 billion in covered bonds, EUR 9.3 billion in senior preferred funding, EUR 7.8 billion in senior non-preferred funding and EUR 9.4 billion in commercial paper and certificates of deposit. EUR 2.7 billion in outstanding long-term funding and EUR 9.4 billion in outstanding short-term funding will mature within 12 months.
Total equity increased by EUR 0.2 billion to EUR 22.5 billion at 30 June 2022. This increase was mainly attributable to the inclusion of profit for the period and an increase in accumulated other comprehensive income, which was offset by payment of final dividend for 2021 in May 2022.
Equity attributable to owners of the parent company,
excluding AT1 securities, increased by EUR 0.2 billion to EUR 20.5 billion at 30 June 2022, resulting in a book value of EUR 22.88 per share based on 897,521,916 outstanding shares (31 March 2022: 933,384,775 outstanding shares).
Total liabilities went up by EUR 21.9 billion to EUR 399.0 billion at 30 June 2022, mainly driven by an increase in due to customers and securities financing liabilities.
Due to customers rose EUR 14.0 billion, totaling EUR 265.2 billion at 30 June 2022. This increase was largely caused by seasonally higher professional deposits (as clients brought down their positions before the year-end).
Securities financing liabilities increased by EUR 9.2 billion to EUR 18.6 billion, reflecting a seasonally lower amount at year-end.
Issued debt securities declined by EUR 6.3 billion to EUR 53.4 billion at 30 June 2022, mainly due to matured long-term funding and negative fair value effects as a result of rising interest rates, partly offset by the issuance of EUR 1.4 billion covered bonds and EUR 2.6 billion senior non-preferred funding. At 30 June 2022, issued debt included EUR 26.9 billion in covered bonds, EUR 9.3 billion in senior preferred funding, EUR 7.8 billion in senior nonpreferred funding and EUR 9.4 billion in commercial paper and certificates of deposit. EUR 2.7 billion in outstanding long-term funding and EUR 9.4 billion in outstanding shortterm funding matures within 12 months.
Total equity increased by EUR 0.5 billion to EUR 22.5 billion at 30 June 2022, largely due to an increase in accumulated other comprehensive income, partly offset by payment of final dividend 2021 and finalisation of the share buyback programme in May 2022.
| (in millions) | Q2 2022 | Q2 2021 | Change | Q1 2022 | Change | First half 2022 |
First half 2021 |
Change |
|---|---|---|---|---|---|---|---|---|
| Net interest income | 669 | 680 | -2% | 652 | 3% | 1,321 | 1,411 | -6% |
| Net fee and commission income | 131 | 99 | 32% | 120 | 9% | 251 | 202 | 25% |
| Other operating income | 2 | 15 | -87% | 5 | -63% | 7 | 24 | -70% |
| Operating income | 803 | 795 | 1% | 777 | 3% | 1,580 | 1,637 | -3% |
| Personnel expenses | 122 | 117 | 4% | 115 | 6% | 236 | 233 | 1% |
| Other expenses | 539 | 501 | 7% | 541 | 1,080 | 1,049 | 3% | |
| Operating expenses | 660 | 618 | 7% | 656 | 1% | 1,316 | 1,282 | 3% |
| Operating result | 142 | 177 | -19% | 122 | 17% | 264 | 354 | -26% |
| Impairment charges on financial instruments | 28 | -27 | -4 | 24 | -57 | |||
| Profit/(loss) before taxation | 114 | 204 | -44% | 126 | -9% | 239 | 411 | -42% |
| Income tax expense | 29 | 49 | -42% | 31 | -9% | 60 | 98 | -39% |
| Profit/(loss) for the period | 85 | 155 | -45% | 94 | -10% | 179 | 314 | -43% |
| Cost/income ratio | 82.3% | 77.8% | 84.4% | 83.3% | 78.3% | |||
| Cost of risk (in bps)1 | 7 | -7 | 1 | 4 | -9 | |||
| Other indicators | ||||||||
| Loans and advances customers (end of period, in billions) | 156.8 | 156.9 | 156.0 | |||||
| -of which Client loans (end of period, in billions)2 | 157.5 | 157.7 | 156.6 | |||||
| Due to customers (end of period, in billions) | 120.8 | 118.0 | 117.9 | |||||
| Risk-weighted assets (end of period, in billions) | 39.2 | 33.8 | 39.5 | |||||
| Number of employees (end of period, in FTEs) | 4,492 | 4,693 | 4,603 | |||||
| Total client assets (end of period, in billions) | 98.5 | 101.7 | 97.0 | |||||
| - of which Cash | 87.8 | 89.9 | 85.3 | |||||
| - of which Securities | 10.7 | 11.8 | 11.7 |
1 Annualised impairment charges on loans and advances customers for the period divided by the average loans and advances customers (excluding at fair value through P&L) on the basis of gross carrying amount and excluding fair value adjustments from hedge accounting.
2 Gross carrying amount excluding fair value adjustment from hedge accounting.
13
| (in millions) | Q2 2022 | Q2 2021 | Change | Q1 2022 | Change | First half 2022 |
First half 2021 |
Change |
|---|---|---|---|---|---|---|---|---|
| Net interest income | 172 | 159 | 8% | 158 | 8% | 330 | 320 | 3% |
| Net fee and commission income | 149 | 145 | 2% | 162 | -8% | 311 | 286 | 8% |
| Other operating income | 10 | 11 | -4% | 10 | 9% | 20 | 21 | -3% |
| Operating income | 331 | 315 | 5% | 330 | 661 | 627 | 5% | |
| Personnel expenses | 90 | 100 | -10% | 97 | -7% | 187 | 193 | -3% |
| Other expenses | 149 | 139 | 8% | 154 | -3% | 304 | 287 | 6% |
| Operating expenses | 239 | 239 | 251 | -5% | 491 | 480 | 2% | |
| Operating result | 91 | 76 | 20% | 79 | 16% | 170 | 147 | 15% |
| Impairment charges on financial instruments | 5 | 5 | -2% | 5 | -1 | |||
| Profit/(loss) before taxation | 86 | 71 | 22% | 78 | 10% | 164 | 148 | 11% |
| Income tax expense | 23 | 19 | 23% | 23 | 1% | 45 | 42 | 8% |
| Profit/(loss) for the period | 63 | 52 | 21% | 55 | 14% | 119 | 106 | 12% |
| Cost/income ratio | 72.4% | 75.9% | 76.2% | 74.3% | 76.5% | |||
| Cost of risk (in bps)1 | 12 | 13 | 2 | 7 | -2 | |||
| Other indicators | ||||||||
| Loans and advances customers (end of period, in billions) | 16.6 | 14.9 | 16.2 | |||||
| -of which Client loans (end of period, in billions)2 | 16.7 | 15.1 | 16.3 | |||||
| Due to customers (end of period, in billions) | 62.5 | 59.7 | 62.5 | |||||
| Risk-weighted assets (end of period, in billions) | 10.5 | 9.7 | 10.1 | |||||
| Number of employees (end of period, in FTEs) | 2,899 | 2,871 | 2,893 | |||||
| Total client assets (end of period, in billions) | 198.7 | 203.2 | 207.7 | |||||
| - of which Cash | 62.5 | 59.8 | 62.5 | |||||
| - of which Securities | 136.2 | 143.3 | 145.2 | |||||
| Net new assets (for the period, in billions) | 1.1 | -2.9 | 1.7 | 2.8 | -2.6 |
1 Annualised impairment charges on loans and advances customers for the period divided by the average loans and advances customers (excluding at fair value through P&L) on the basis of gross carrying amount and excluding fair value adjustments from hedge accounting.
2 Gross carrying amount excluding fair value adjustment from hedge accounting.
| (in millions) | Q2 2022 | Q2 2021 | Change | Q1 2022 | Change | First half 2022 |
First half 2021 |
Change |
|---|---|---|---|---|---|---|---|---|
| Net interest income | 515 | 445 | 16% | 494 | 4% | 1,010 | 928 | 9% |
| Net fee and commission income | 174 | 160 | 9% | 172 | 1% | 346 | 328 | 6% |
| Other operating income | 86 | -23 | 102 | -15% | 188 | 23 | ||
| Operating income | 775 | 581 | 33% | 768 | 1% | 1,544 | 1,279 | 21% |
| Personnel expenses | 152 | 153 | -1% | 150 | 1% | 302 | 308 | -2% |
| Other expenses | 249 | 247 | 1% | 336 | -26% | 585 | 565 | 4% |
| Operating expenses | 402 | 400 | 486 | -17% | 887 | 872 | 2% | |
| Operating result | 374 | 182 | 106% | 282 | 32% | 656 | 407 | 61% |
| Impairment charges on financial instruments | -99 | -58 | -72% | 65 | -33 | -98 | 66% | |
| Profit/(loss) before taxation | 473 | 239 | 97% | 217 | 118% | 690 | 505 | 37% |
| Income tax expense | 114 | 78 | 46% | 45 | 158 | 145 | 9% | |
| Profit/(loss) for the period | 359 | 162 | 122% | 172 | 108% | 531 | 359 | 48% |
| Cost/income ratio | 51.8% | 68.7% | 63.2% | 57.5% | 68.2% | |||
| Cost of risk (in bps)1 | -44 | -62 | 37 | -4 | -40 | |||
| Other indicators | ||||||||
| Loans and advances customers (end of period, in billions) | 90.8 | 71.0 | 87.3 | |||||
| -of which Client loans (end of period, in billions)2 | 65.4 | 55.8 | 64.0 | |||||
| Due to customers (end of period, in billions) | 68.4 | 53.8 | 68.3 | |||||
| Risk-weighted assets (end of period, in billions) | 72.2 | 59.5 | 65.0 | |||||
| Number of employees (end of period, in FTEs) | 3,799 | 3,870 | 3,830 |
1 Annualised impairment charges on loans and advances customers for the period divided by the average loans and advances customers (excluding at fair value through P&L) on the basis of gross carrying amount and excluding fair value adjustments from hedge accounting.
2 Gross carrying amount excluding fair value adjustment from hedge accounting.
| (in millions) | Q2 2022 | Q2 2021 | Change | Q1 2022 | Change | First half 2022 |
First half 2021 |
Change |
|---|---|---|---|---|---|---|---|---|
| Net interest income | 498 | 430 | 16% | 476 | 5% | 974 | 859 | 13% |
| Net fee and commission income | 171 | 154 | 11% | 168 | 2% | 338 | 311 | 9% |
| Other operating income | 85 | 92 | -7% | 95 | -11% | 180 | 173 | 4% |
| Operating income | 753 | 676 | 12% | 739 | 2% | 1,493 | 1,343 | 11% |
| Personnel expenses | 125 | 118 | 7% | 122 | 3% | 248 | 231 | 7% |
| Other expenses | 232 | 219 | 6% | 312 | -26% | 545 | 489 | 11% |
| Operating expenses | 358 | 337 | 6% | 435 | -18% | 792 | 720 | 10% |
| Operating result | 396 | 339 | 17% | 305 | 30% | 700 | 623 | 12% |
| Impairment charges on financial instruments | -72 | -80 | 10% | 74 | 2 | -81 | ||
| Profit/(loss) before taxation | 467 | 419 | 11% | 230 | 103% | 698 | 704 | -1% |
| Income tax expense | 115 | 88 | 32% | 48 | 141% | 163 | 150 | 9% |
| Profit/(loss) for the period | 352 | 332 | 6% | 182 | 93% | 534 | 554 | -4% |
| Cost/income ratio | 47.5% | 49.8% | 58.8% | 53.1% | 53.6% | |||
| Cost of risk (in bps)1 | -36 | -56 | 43 | 3 | -27 | |||
| Other indicators | ||||||||
| Loans and advances customers (end of period, in billions) | 89.5 | 67.7 | 85.8 | |||||
| -of which Client loans (end of period, in billions)2 | 63.1 | 51.8 | 62.2 | |||||
| Risk-weighted assets (end of period, in billions) | 69.8 | 53.8 | 62.7 | |||||
| Number of employees (end of period, in FTEs) | 3,434 | 3,254 | 3,450 |
1 Annualised impairment charges on loans and advances customers for the period divided by the average loans and advances customers (excluding at fair value through P&L) on the basis of gross carrying amount and excluding fair value adjustments from hedge accounting.
2 Gross carrying amount excluding fair value adjustment from hedge accounting.
| (in millions) | Q2 2022 | Q2 2021 | Change | Q1 2022 | Change | First half 2022 |
First half 2021 |
Change |
|---|---|---|---|---|---|---|---|---|
| Net interest income | 17 | 14 | 20% | 18 | -5% | 35 | 69 | -48% |
| Net fee and commission income | 3 | 6 | -44% | 4 | -21% | 8 | 17 | -55% |
| Other operating income | 1 | -114 | 7 | -79% | 8 | -150 | ||
| Operating income | 22 | -94 | 29 | -24% | 51 | -64 | ||
| Personnel expenses | 27 | 35 | -25% | 28 | -4% | 54 | 77 | -29% |
| Other expenses | 17 | 28 | -38% | 24 | -28% | 41 | 75 | -46% |
| Operating expenses | 44 | 63 | -31% | 51 | -15% | 95 | 152 | -38% |
| Operating result | -22 | -157 | 86% | -22 | 2% | -44 | -216 | 80% |
| Impairment charges on financial instruments | -27 | 23 | -9 | -36 | -18 | -104% | ||
| Profit/(loss) before taxation | 5 | -180 | -13 | -8 | -199 | 96% | ||
| Income tax expense | -2 | -10 | 82% | -3 | 46% | -5 | -4 | -18% |
| Profit/(loss) for the period | 7 | -170 | -10 | -3 | -195 | 98% | ||
| Cost/income ratio | 198.4% | -67.1% | 176.1% | 185.7% | -236.6% | |||
| Cost of risk (in bps)1 | -465 | -131 | -191 | -322 | -160 | |||
| Other indicators | ||||||||
| Loans and advances customers (end of period, in billions) | 1.3 | 3.2 | 1.4 | |||||
| -of which Client loans (end of period, in billions)2 | 2.3 | 4.1 | 1.9 | |||||
| Risk-weighted assets (end of period, in billions) | 2.5 | 5.7 | 2.3 | |||||
| Number of employees (end of period, in FTEs) | 365 | 616 | 380 |
1 Annualised impairment charges on loans and advances customers for the period divided by the average loans and advances customers (excluding at fair value through P&L) on the basis of gross carrying amount and excluding fair value adjustments from hedge accounting.
2 Gross carrying amount excluding fair value adjustment from hedge accounting.
15
| (in millions) | Q2 2022 | Q2 2021 | Change | Q1 2022 | Change | First half 2022 |
First half 2021 |
Change |
|---|---|---|---|---|---|---|---|---|
| Net interest income | -83 | 22 | 5 | -78 | 9 | |||
| Net fee and commission income | -6 | -5 | -19% | -7 | 15% | -13 | -10 | -22% |
| Other operating income | 65 | 24 | 59 | 10% | 124 | 37 | ||
| Operating income | -24 | 41 | 57 | 33 | 36 | -9% | ||
| Personnel expenses | 255 | 230 | 11% | 238 | 7% | 493 | 445 | 11% |
| Other expenses | -235 | -259 | 9% | -123 | -91% | -359 | -8 | |
| Operating expenses | 20 | -29 | 115 | -83% | 134 | 436 | -69% | |
| Operating result | -44 | 69 | -57 | 23% | -101 | -400 | 75% | |
| Impairment charges on financial instruments | 3 | 1 | 3 | 1 | ||||
| Profit/(loss) before taxation | -47 | 68 | -58 | 19% | -105 | -401 | 74% | |
| Income tax expense | -14 | 45 | -31 | 54% | -45 | 39 | ||
| Profit/(loss) for the period | -32 | 24 | -27 | -21% | -59 | -440 | 87% | |
| Other indicators | ||||||||
| Securities financing - assets (end of period, in billions) | 20.1 | 19.3 | 17.7 | |||||
| Loans and advances customers (end of period, in billions) | -4.5 | 3.6 | -0.8 | |||||
| Securities financing - liabilities (end of period, in billions) | 17.7 | 19.5 | 18.4 | |||||
| Due to customers (end of period, in billions) | 13.5 | 14.5 | 13.3 | |||||
| Risk-weighted assets (end of period, in billions) | 4.8 | 4.2 | 9.8 | |||||
| Number of employees (end of period, in FTEs) | 8,889 | 8,205 | 8,761 |
| (in millions) | 30 June 2022 | 31 March 2022 | 31 December 2021 |
|---|---|---|---|
| Total loans and advances, gross carrying amount 1, 2 | 271,427 | 266,240 | 261,421 |
| - of which Banks | 3,771 | 3,646 | 2,811 |
| - of which Residential mortgages1 | 148,773 | 147,101 | 146,351 |
| - of which Consumer loans | 10,603 | 10,704 | 10,794 |
| - of which Corporate loans1, 2 | 91,881 | 89,163 | 86,458 |
| - of which Other loans and advances customers2 | 16,401 | 15,626 | 15,007 |
| Total Exposure at Default (EAD) | 425,830 | 429,485 | 417,214 |
| Credit quality indicators2 | |||
| Forbearance ratio | 3.4% | 4.2% | 4.3% |
| Past due ratio | 0.6% | 0.8% | 0.8% |
| - of which Residential mortgages | 0.5% | 0.6% | 0.6% |
| - of which Consumer loans | 2.1% | 1.5% | 1.7% |
| - of which Corporate loans | 0.7% | 1.1% | 1.2% |
| Stage 2 ratio | 7.5% | 7.9% | 8.2% |
| Stage 2 coverage ratio | 1.9% | 1.8% | 1.7% |
| Stage 3 ratio3 | 2.3% | 2.5% | 2.6% |
| Stage 3 coverage ratio3 | 29.0% | 28.2% | 28.3% |
| Regulatory capital | |||
| Total RWA | 126,676 | 124,342 | 117,693 |
| - of which Credit risk4 | 108,070 | 106,167 | 99,976 |
| - of which Operational risk | 16,091 | 16,153 | 16,049 |
| - of which Market risk | 2,516 | 2,022 | 1,668 |
| Total RWA/total EAD | 29.7% | 29.0% | 28.2% |
| Mortgage indicators | |||
| Exposure at Default5 | 159,442 | 161,997 | 163,737 |
| - of which mortgages with Nationale Hypotheek Garantie (NHG) | 30,358 | 30,933 | 31,557 |
| Risk-weighted assets (Credit risk)5, 6 | 22,185 | 22,164 | 22,110 |
| RWA/EAD | 13.9% | 13.7% | 13.5% |
| Average Loan-to-Market-Value | 54% | 55% | 56% |
| Average Loan-to-Market-Value - excluding NHG loans | 54% | 55% | 56% |
1 Excluding fair value adjustments from hedge accounting.
2 Excluding loans and advances measured at fair value through P&L.
3 Including POCI.
4 RWA for credit value adjustment (CVA) is included in credit risk. CVA per 30 June 2022: EUR 0.5 billion (31 March 2022: EUR 0.5 billion; 31 December 2021: EUR 0.2 billion).
5 The RWA (Credit risk) and Exposure at Default amounts are based on the exposure class Secured by immovable property. This scope is slightly broader than the residential mortgage portfolio.
6 Previous reports with reference date 31 December 2021 presented total RWA. In this report, the comparative figures for 31 December 2021 have been adjusted to show credit risk RWA only.
ABN AMRO continues to monitor the direct and indirect impacts of the conflict between Russia and Ukraine on the bank and its clients. On 30 June 2022, the bank's direct exposure to Russia had reduced to approximately EUR 9 million, from approximately EUR 50 million at the end of 2021, with the remaining exposure relating to selfliquidating short-term trade transactions. We have no direct exposure in respect of Ukraine or Belarus. The ongoing war in Ukraine combined with persisting bottlenecks in supply chains and high commodity prices are impeding the post-
Loans and advances
On 30 June 2022, total loans and advances amounted to EUR 271.4 billion (31 March 2022: EUR 266.2 billion, 31 December 2021: EUR 261.4 billion). Corporate loans showed the largest increase, predominantly as a result of increased business activities in Clearing. Residential mortgages rose due to higher mortgage production. The non-core portfolio of Corporate Banking amounted to EUR 1.7 billion (31 March 2022: EUR 1.9 billion, 31 December 2021: EUR 2.0 billion). Approximately EUR 0.6 billion of this portfolio was classified as stage 3, unchanged compared to 31 March 2022.
In Q2 2022, EAD decreased to EUR 425.8 billion (31 March 2022: EUR 429.5 billion), predominantly owing to a decrease in cash and balances at central banks which was partly offset by higher business volumes, mainly in Corporate Banking.
Compared to year-end 2021, EAD grew by EUR 8.6 billion to EUR 425.8 billion at 30 June 2022 (31 December 2021: EUR 417.2 billion) as a result of higher business volumes in Clearing and Corporate Banking and due to higher cash and balances at central banks. In addition, the strengthening of the USD contributed to the EAD increase.
The forbearance ratio improved to 3.4% (31 March 2022: 4.2%, 31 December 2021: 4.3%). The forborne exposures decreased to EUR 9.2 billion, especially in the second quarter (31 March 2022: EUR 11.0 billion, 31 December 2021: EUR 11.2 billion). The decrease was specifically observed in the residential mortgages portfolio, as loans for which a payment deferral had been provided after the outbreak of Covid-19 came to the end of their probation period. Under the forbearance rules, these loans cease to be forborne if they perform according to their payment conditions after a probation period of two years.
pandemic recovery in Europe and may give rise to second and third-order effects. Alongside our existing credit risk monitoring framework, individual client assessments were therefore performed on the second-order impact in order to early identify increased credit risk. The number of files that have been classified as increased risk is currently limited. Nevertheless, as the uncertainty in the macroeconomic outlook continues to be high, a management overlay on impairments for second and third-order impact remained in place, amounting to EUR 135 million on 30 June 2022.
The amount of past due loans also decreased significantly to EUR 1.7 billion (from EUR 2.1 billion at 31 December 2021 and EUR 2.0 billion at 31 March 2022), resulting in a past due ratio of 0.6%. The primary contributor to this decline was a small number of clients in the corporate loans segment that returned to current performing. In contrast, the past due ratio of consumer loans increased to 2.1% as a result of two clients becoming past due.
The stage 3 ratio declined to 2.3% (31 March 2022: 2.5%, 31 December 2021: 2.6%), mainly due to a decline in stage 3 exposures in corporate loans and, to a lesser extent, in residential mortgages. The decline in stage 3 corporate loans was attributable to repayments as well as clients returning to stage 2, predominantly in the sectors real estate, healthcare and industrial goods and services. The stage 3 coverage ratio went up to 29.0% (31 March 2022: 28.2%, 31 December 2021: 28.3%), due to an outflow of stage 3 clients with relatively low coverage ratios. The stage 2 ratio amounted to 7.5% (31 March 2022: 7.9%, 31 December 2021: 8.2%). This lower level is explained by a decrease in stage 2 exposures in all product groups, but mainly in residential mortgages and corporate loans as a result of improved risk parameters.
More information on credit quality indicators can be found in the sections Past due not classified as stage 3 and Coverage and stage ratios.
Total risk-weighted assets (RWA) rose to EUR 126.7 billion in Q2 2022 (31 March 2022: EUR 124.3 billion) reflecting increases in credit risk RWA and market risk RWA. Credit risk RWA rose predominantly as a result of a change in the regulatory treatment of certain models from Advanced IRB to Foundation IRB and Standardised Approach, as well as business developments, partly offset by lower add-ons and improved asset quality. Market risk RWA increased due to higher Value-at-Risk, mainly driven by position changes and to a lesser extent model changes. Operational risk RWA decreased slightly.
The Q2 developments described above were also the main drivers for the development of RWA in the first half year. Compared to 31 December 2021, total RWA increased by EUR 9.0 billion (31 December 2021: EUR 117.7 billion). Credit risk RWA was higher as a result of a new model risk add-on, business developments and a change in the regulatory treatment of certain models from Advanced IRB to Foundation IRB and Standardised Approach, partially offset by model updates and changes in asset quality. Market risk RWA increased due to higher Value-at-Risk, mainly driven by position changes and to a lesser extent model changes. Operational risk RWA increased slightly, mainly due to an update of scenarios in Q1 2022.
| Q2 2022 | Q2 2021 | Q1 2022 | First half 2022 | First half 2021 | |
|---|---|---|---|---|---|
| Impairment charges on loans and other advances (in EUR million)1 | -62 | -79 | 62 | -156 | |
| - of which Residential mortgages | 53 | -2 | 12 | 65 | -37 |
| - of which Consumer loans | -8 | 11 | 3 | 10 | |
| - of which Corporate loans | -107 | -143 | 64 | -48 | -200 |
| - of which Off-balance sheet items | 2 | 63 | -16 | -14 | 76 |
| Cost of risk (in bps)2, 3 | -9 | -23 | 14 | 2 | -18 |
| - of which Residential mortgages | 14 | -1 | 3 | 9 | -5 |
| - of which Consumer loans | -29 | 41 | 6 | 18 | |
| - of which Corporate loans | -47 | -67 | 29 | -11 | -46 |
1 Including other loans and impairments charges on off-balance sheet exposures.
2 Annualised impairment charges on loans and advances customers for the period divided by the average loans and advances customers on the basis of gross carrying amount and excluding fair value adjustment from hedge accounting.
3 Calculation of CoR excludes (impairment charges on) off-balance exposures.
In Q2 2022, a net impairment release of EUR 62 million was recorded (Q2 2021: a EUR 79 million release), resulting in a cost of risk of -9bps (Q2 2021: -23bps). This amount can largely be attributed to better performance of the existing stage 3 loans: repayments and recovery/sale with lower than anticipated losses, as well as outflow to the performing portfolio. This was mainly in corporate loans where the cost of risk was -47bps (Q2 2021: -67bps) and to a lesser extent in consumer loans (cost of risk -29bps, Q2 2021: 0bps).
These developments were partly offset by a worsening of the macroeconomic scenarios and an increase of the management overlays that capture risks in our residential mortgages portfolio. The model adjustment that addresses the impact of excessive increases in property prices on the outcome of the IFRS 9 models increased due to a refinement. The management overlay that covers the refinancing risk of interest-only mortgages increased as the affordability tests changed due to rising interest rates. These changes in the residential mortgages overlays resulted in a cost of risk of 14bps (Q2 2021: -1bp).
Net impairment charges were nil in the first half of 2022 (H1 2021: release EUR 156 million). We recorded releases as a result of improved credit quality of existing stage 3 loans, outflow to the performing portfolio and repayments and recoveries/sales with lower than anticipated losses, offset by impairment charges recorded for modelled
provisions in stage 1 and 2 that were caused by the deteriorated macroeconomic outlook and increased weight of the negative scenario.
A new management overlay, which had been applied in Q1 to cover potential second-order and third-order effects of the war in Ukraine, was offset by the release of management overlays for clients in sectors vulnerable to the impact of Covid-19. The model adjustment that addresses the impact of excessive increases in property prices on the outcome of the IFRS 9 models increased due to a refinement.
More information on impairments can be found in the sections Loan impairment charges and allowances and Individual and collective loan impairment allowances and management overlays.
The ongoing war in Ukraine, monetary tightening by the European and US central banks, persisting bottlenecks in supply chains, high commodity prices and a tight labour market are dampening the post-pandemic recovery in Europe. These factors have resulted in higher inflation forecasts and weaker forecasts for growth, trade and consumption for the remainder of 2022 and beyond. Recognising downside risks, the risk weight of the negative scenario was raised to 50%, up from 30% on 31 December 2021.
| (in millions) | Weight | Macroeconomic variable | 2022 | 2023 | 2024 | 2025 | Unweighted ECL4 | Weighted ECL4 |
|---|---|---|---|---|---|---|---|---|
| Real GDP Netherlands1 | 3.9% | 3.1% | 2.3% | 1.8% | ||||
| Positive | 15% | Unemployment2 | 3.5% | 3.2% | 2.9% | 2.9% | 539 | |
| House price index3 | 15.0% | 5.0% | 3.0% | 2.0% | ||||
| Real GDP Netherlands1 | 3.0% | 1.3% | 1.5% | 1.6% | ||||
| Baseline | 35% | Unemployment2 | 3.8% | 4.2% | 3.8% | 3.7% | 568 | 633 |
| House price index3 | 12.5% | 5.0% | 1.5% | 1.0% | ||||
| Real GDP Netherlands1 | 2.4% | -0.4% | 1.5% | 1.4% | ||||
| Negative | 50% | Unemployment2 | 4.9% | 6.2% | 6.1% | 5.3% | 707 | |
| House price index3 | 5.0% | -10.0% | -11.0% | -5.0% |
1 Real GDP Netherlands, % change year-on-year.
2 Unemployment Netherlands, % of labour force.
3 House price index Netherlands - average % change year-on-year.
4 Excluding ECL for stage 3 and POCI.
| (in millions) | Weight | Macroeconomic variable | 2022 | 2023 | 2024 | 2025 | ||
|---|---|---|---|---|---|---|---|---|
| Real GDP Netherlands1 | 4.5% | 2.9% | 2.5% | 1.6% | ||||
| Positive | 10% | Unemployment2 | 2.7% | 2.3% | 2.3% | 2.2% | 495 | |
| House price index3 | 12.5% | 5.0% | 3.5% | 3.0% | ||||
| Real GDP Netherlands1 | 3.8% | 2.4% | 2.0% | 1.4% | ||||
| Baseline | 60% | Unemployment2 | 3.1% | 2.8% | 2.8% | 2.8% | 510 | 533 |
| House price index3 | 10.0% | 4.0% | 3.0% | 3.0% | ||||
| Real GDP Netherlands1 | 2.7% | 0.7% | 2.3% | 1.6% | ||||
| Negative | 30% | Unemployment2 | 4.0% | 4.2% | 3.4% | 3.2% | 591 | |
| House price index3 | 0.0% | -7.5% | -10.0% | -2.5% |
1 Real GDP Netherlands, % change year-on-year.
2 Unemployment Netherlands, % of labour force.
3 House price index Netherlands - average % change year-on-year.
4 Excluding ECL for stage 3 and POCI.
The housing market outlook worsened due to a deteriorating economic outlook, a continued shortage in residential properties and rising mortgage interest rates. Inflation is rising due to higher energy prices and a shortage of raw materials. Although the acute shortage of existing homes on offer remains, it is expected to become less of an obstacle to housing transactions. Higher mortgage interest rates have also limited the maximum borrowing capacity of clients.
According to the Dutch Land Registry (Kadaster) the number of transactions in Q2 2022 was 8% higher than in Q1 2022 and 10% lower than in Q2 2021. The housing price index published by Statistics Netherlands (CBS) for Q2 2022 was 3% higher than in Q1 2022 and 18% higher than in Q2 2021.
New mortgage production amounted to EUR 6.7 billion, 22% more than in Q1 2022 and 24% up from Q2 2021. Redemptions totalled EUR 4.9 billion, a 7% increase on
Q1 2022 and 5% more than in Q2 2021. ABN AMRO's market share in new mortgage production came to 17.5% in Q2 2022 (Q1 2022: 16.7%, Q2 2021: 15.7%). In response to recent macroeconomic developments as well as higher energy prices, ABN AMRO continues to closely monitor arrears in loans and instalments and is in close contact with all collection partners. In Q2, mortgage arrears ratio remained stable.
The average indexed Loan to Market Value (LtMV) decreased to 54% (31 March 2022: 55%, 31 December 2021: 56%), mainly as a result of higher market values. The gross carrying amount of mortgages with an LtMV in excess of 100% increased slightly to EUR 2.0 billion (31 March 2022: EUR 1.8 billion, 31 December 2021: 2.0 billion). Loans with an LtMV in excess of 100% accounted for 1.3% of total mortgages (31 March 2022: 1.2%, 31 December 2021: 1.3%) and 2% of the extra repayments. The proportion of amortising mortgages continued to increase, reaching 43% by 30 June 2022 (31 March 2022: 42%, 31 December 2021: 41%).
Discussion with regulator on regulatory levies
ABN AMRO is in discussion with the Single Resolution Board (SRB) about the calculation method applied for levies
paid in the past. At this time, the outcome of this discussion is still uncertain and it is possible but not probable that legal opinions, regulatory rulings or future proceedings might give rise to additional expenses.
| Days past due | 30 June 2022 | 31 March 20224 | 31 December 2021 | |||||
|---|---|---|---|---|---|---|---|---|
| (in millions) | Gross carrying amount2 |
≤ 30 days |
> 30 days & ≤ 90 days |
> 90 days3 |
Total past due, but not stage 3 or POCI |
Past due ratio |
Past due ratio |
Past due ratio |
| Loans and advances banks | 3,771 | 0.0% | 0.1% | 0.0% | ||||
| Residential mortgages | 148,773 | 755 | 41 | 11 | 807 | 0.5% | 0.6% | 0.6% |
| Consumer loans | 10,603 | 69 | 100 | 49 | 219 | 2.1% | 1.5% | 1.7% |
| Corporate loans1 | 91,881 | 501 | 160 | 14 | 675 | 0.7% | 1.1% | 1.2% |
| Other loans and advances customers1 | 16,401 | 19 | 19 | 0.1% | 0.1% | 0.2% | ||
| Total loans and advances customers1 |
267,657 | 1,344 | 301 | 75 | 1,720 | 0.6% | 0.8% | 0.8% |
| Total loans and advances1 | 271,427 | 1,344 | 301 | 75 | 1,720 | 0.6% | 0.8% | 0.8% |
1 Excluding loans at fair value through P&L.
segments, except for consumer loans.
2 Gross carrying amount excludes fair value adjustments from hedge accounting.
3 Materiality thresholds are applied for counterparties transferring to stage 3. Below these thresholds, amounts are reported on > 90 days past due.
4 The figures in this column are not reviewed. This column is for comparison purposes only.
At 30 June 2022, past due loans came down significantly to EUR 1.7 billion (31 December 2021: EUR 2.1 billion, 31 March 2022: EUR 2.0 billion), resulting in a past due ratio of 0.6%. The primary contributor to this reduction was a number of food & beverages and real estate sector clients in the corporate loans segment that returned to current performing. In addition, rising loan book quality further strengthened the drop in past due ratios in all product
Unlike in other product segments, there was a considerable increase in consumer loans in arrears compared to 31 March 2022 and 31 December 2021, which was related to two private clients' positions.
| 30 June 2022 | 31 March 20224 | 31 December 2021 | ||||||
|---|---|---|---|---|---|---|---|---|
| (in millions) | Gross carrying amount2 |
Allowances for credit losses3 |
Coverage ratio |
Stage ratio |
Coverage ratio |
Stage ratio |
Coverage ratio |
Stage ratio |
| Stage 1 | ||||||||
| Loans and advances banks | 3,714 | 4 | 0.1% | 98.5% | 0.1% | 98.6% | 0.4% | 99.9% |
| Residential mortgages | 139,214 | 20 | 0.0% | 93.6% | 0.0% | 93.1% | 0.0% | 93.7% |
| Consumer loans | 9,339 | 25 | 0.3% | 88.1% | 0.3% | 88.6% | 0.2% | 86.6% |
| Corporate loans1 | 76,548 | 205 | 0.3% | 83.3% | 0.2% | 82.1% | 0.2% | 80.2% |
| Other loans and advances customers1 | 16,357 | 0.0% | 99.7% | 0.0% | 99.7% | 0.0% | 99.6% | |
| Total loans and advances customers1 |
241,458 | 250 | 0.1% | 90.2% | 0.1% | 89.6% | 0.1% | 89.2% |
| Stage 2 | ||||||||
| Loans and advances banks | 56 | 0.2% | 1.5% | 0.2% | 1.4% | 0.5% | 0.1% | |
| Residential mortgages | 8,400 | 53 | 0.6% | 5.6% | 0.3% | 6.1% | 0.3% | 5.5% |
| Consumer loans | 884 | 40 | 4.5% | 8.3% | 5.1% | 7.7% | 4.4% | 9.6% |
| Corporate loans1 | 10,802 | 284 | 2.6% | 11.8% | 2.7% | 12.3% | 2.4% | 14.0% |
| Other loans and advances customers1 | 39 | 3 | 6.9% | 0.2% | 8.0% | 0.3% | 3.2% | 0.3% |
| Total loans and advances customers1 |
20,125 | 379 | 1.9% | 7.5% | 1.8% | 7.9% | 1.7% | 8.2% |
| Stage 3 and POCI | ||||||||
| Loans and advances banks | ||||||||
| Residential mortgages | 1,158 | 83 | 7.2% | 0.8% | 4.8% | 0.8% | 4.1% | 0.9% |
| Consumer loans | 380 | 217 | 57.1% | 3.6% | 55.3% | 3.8% | 50.8% | 3.8% |
| Corporate loans1 | 4,531 | 1,459 | 32.2% | 4.9% | 31.7% | 5.6% | 32.5% | 5.8% |
| Other loans and advances customers1 | 6 | 3 | 52.5% | 0.0% | 52.5% | 0.0% | 32.0% | 0.1% |
| Total loans and advances customers1 |
6,074 | 1,762 | 29.0% | 2.3% | 28.2% | 2.5% | 28.3% | 2.6% |
| Total of stages 1, 2, 3 and POCI | ||||||||
| Total loans and advances banks | 3,771 | 4 | 0.1% | 0.1% | 0.4% | |||
| Residential mortgages | 148,773 | 155 | 0.1% | 0.1% | 0.1% | |||
| Consumer loans | 10,603 | 282 | 2.7% | 2.7% | 2.6% | |||
| Corporate loans1 | 91,881 | 1,947 | 2.1% | 2.3% | 2.4% | |||
| Other loans and advances customers1 | 16,401 | 6 | 0.0% | 0.0% | 0.0% | |||
| Total loans and advances customers1 |
267,657 | 2,390 | 0.9% | 0.9% | 0.9% | |||
| Total loans and advances1 | 271,427 | 2,395 | 0.9% | 0.9% | 0.9% |
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 (30 June 2022: EUR 0 million; 31 March 2022: EUR 2 million; 31 December 2021: EUR 1 million).
4 The figures in this column are not reviewed. This column is for comparison purposes only.
In the first six months of 2022, the stage 3 of loans and advances to customers decreased to 2.3% (31 December 2021: 2.6%) as a result of declines in stage 3 exposures in all product groups, but mainly in corporate loans, driven by repayments as well as clients returning to stage 2. The stage 3 coverage ratio grew to 29.0% (31 December 2021: 28.3%) due to an outflow of stage 3 clients with relatively low coverage ratios.
The stage 2 ratio of loans and advances to customers decreased to 7.5% (31 December 2021: 8.2%) as a result of a reduction in stage 2 corporate and consumer loans, which was partly offset by an increase in stage 2 residential mortgages driven by the weakening of the macro-economic outlook. The decrease in stage 2 exposures in combination with higher stage 2 allowances for residential mortgages led to an increase of the stage 2 coverage ratio to 1.9% (31 December 2021: 1.7%). Higher stage 2 allowances for residential mortgages were driven by worsening of the macroeconomic scenarios and increased management overlays in the first six months of 2022.
On 30 June 2022, loans classified as POCI amounted to EUR 15 million, including allowances of EUR 3 million. Due to immateriality, these amounts are included in the amounts shown for stage 3 throughout this report.
| 30 June 2022 | |||||||
|---|---|---|---|---|---|---|---|
| Banks | Residential mortgages |
Consumer loans |
Corporate loans |
Other loans |
Total loans and advances |
Off balance |
|
| (in millions) | |||||||
| Balance at 1 January 2022 | 10 | 82 | 276 | 2,053 | 4 | 2,426 | 153 |
| Transfer to stage 1 | -2 | -8 | -17 | -27 | -2 | ||
| Transfer to stage 2 | 1 | 11 | 11 | 2 | |||
| Transfer to stage 3 | 9 | 18 | 52 | 79 | 1 | ||
| Remeasurements1 | -6 | 41 | 11 | 10 | 1 | 57 | -122 |
| Changes in risk parameters | 33 | 9 | 57 | 98 | 1 | ||
| Originated or purchased | 3 | 2 | 27 | 32 | 8 | ||
| Matured or repaid | -11 | -7 | -166 | -184 | -7 | ||
| Impairment charges (releases) on loans and advances | -6 | 74 | 25 | -26 | 1 | 67 | -117 |
| Write-offs | -1 | -27 | -117 | -145 | |||
| Unwind discount / unearned interest accrued | 1 | 2 | 8 | 10 | |||
| Foreign exchange and other movements | 6 | 30 | 36 | 4 | |||
| Balance at 30 June 2022 | 4 | 155 | 282 | 1,947 | 6 | 2,395 | 40 |
| First half | |||||||
| 2022 | |||||||
| Impairment charges (releases) on loans and advances | -6 | 74 | 25 | -26 | 1 | 67 | -117 |
| Recoveries and other charges (releases) | -9 | -22 | -22 | -52 | 102 | ||
| Total impairment charges for the period | -6 | 65 | 3 | -48 | 1 | 15 | -14 |
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 30 June 2022: EUR 1 million.
| 30 June 2021 | |||||||
|---|---|---|---|---|---|---|---|
| (in millions) | Banks | Residential mortgages |
Consumer loans |
Corporate loans |
Other loans |
Total loans and advances |
Off balance |
| Balance at 1 January 2021 | 6 | 116 | 294 | 3,053 | 3 | 3,472 | 48 |
| Transfer to stage 1 | -4 | -7 | -11 | -22 | |||
| Transfer to stage 2 | -1 | 1 | 29 | 29 | 3 | ||
| Transfer to stage 3 | 11 | 34 | 53 | 98 | |||
| Remeasurements1 | 1 | 4 | 17 | 162 | 184 | 52 | |
| Changes in risk parameters | -31 | -6 | -45 | -82 | |||
| Originated or purchased | 2 | 2 | 23 | 28 | 3 | ||
| Matured or repaid | -8 | -10 | -361 | -380 | -10 | ||
| Impairment charges (releases) on loans and advances | 1 | -27 | 30 | -150 | -145 | 48 | |
| Write-offs | -4 | -33 | -690 | -726 | -2 | ||
| Unwind discount / unearned interest accrued | 1 | 1 | 11 | 12 | |||
| Foreign exchange and other movements | -4 | 47 | 43 | 1 | |||
| Balance at 30 June 2021 | 6 | 87 | 288 | 2,271 | 4 | 2,655 | 94 |
| First half 2021 |
|||||||
| Impairment charges (releases) on loans and advances | 1 | -27 | 30 | -150 | -145 | 48 | |
| Recoveries and other charges (releases) | -10 | -20 | -50 | -80 | 28 | ||
| Total impairment charges for the period | 1 | -37 | 10 | -200 | -226 | 76 |
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.
| 30 June 2022 | 30 June 2021 | |||||||
|---|---|---|---|---|---|---|---|---|
| (in millions) | Stage 1 | Stage 2 | Stage 32 | Total | Stage 1 | Stage 2 | Stage 32 | Total |
| Impairment allowances on loans and advances | ||||||||
| Balance at 1 January | 172 | 360 | 1,894 | 2,426 | 301 | 400 | 2,771 | 3,472 |
| Transfer to stage 1 | 50 | -60 | -17 | -27 | 34 | -47 | -9 | -22 |
| Transfer to stage 2 | -17 | 63 | -34 | 11 | -23 | 85 | -33 | 29 |
| Transfer to stage 3 | -9 | -24 | 112 | 79 | -5 | -24 | 127 | 98 |
| Remeasurements1 | 3 | 20 | 34 | 57 | -101 | 45 | 240 | 184 |
| Changes in risk parameters | 36 | 37 | 26 | 98 | -26 | -31 | -25 | -82 |
| Originated or purchased | 32 | 32 | 28 | 28 | ||||
| Matured or repaid | -8 | -9 | -167 | -184 | -10 | -8 | -361 | -380 |
| Impairment charges (releases) | ||||||||
| on loans and advances | 87 | 27 | -47 | 67 | -103 | 18 | -61 | -145 |
| Write-offs | -145 | -145 | -9 | -32 | -685 | -726 | ||
| Unwind discount / unearned interest accrued | 10 | 10 | 12 | 12 | ||||
| Foreign exchange and other movements | -5 | -8 | 48 | 36 | -3 | -9 | 55 | 43 |
| Balance at 30 June | 254 | 379 | 1,762 | 2,395 | 186 | 377 | 2,092 | 2,655 |
| First half 2022 | First half 2021 | |||||||
| Impairment charges (releases) on loans and advances | 87 | 27 | -47 | 67 | -103 | 18 | -61 | -145 |
| Recoveries and other charges (releases) | -52 | -52 | -80 | -80 | ||||
| Total impairment charges for the period | 87 | 27 | -99 | 15 | -103 | 18 | -141 | -226 |
1 Remeasurements represents the current year change of expected credit loss allowances mainly attributable to changes in volumes such as partial repayments and changes in the credit quality of existing loans remaining in their stage.
2 Including POCI.
| 30 June 2022 | |||||||
|---|---|---|---|---|---|---|---|
| (in millions) | Banks | Residential mortgages |
Consumer loans |
Corporate loans |
Other loans | Total loans and advances |
Off-balance |
| Individual impairments | |||||||
| Stage 31 | 55 | 1,249 | 3 | 1,306 | 5 | ||
| Total individual impairments | 55 | 1,249 | 3 | 1,306 | 5 | ||
| Collective impairments | |||||||
| Stage 1 | 4 | 20 | 25 | 205 | 254 | 19 | |
| Stage 2 | 53 | 40 | 284 | 3 | 379 | 15 | |
| Stage 31 | 83 | 162 | 210 | 455 | 2 | ||
| Total collective impairments | 4 | 155 | 227 | 699 | 3 | 1,088 | 35 |
| - of which management overlay | 27 | 13 | 311 | 351 | |||
| Total impairments | 4 | 155 | 282 | 1,947 | 6 | 2,395 | 40 |
| Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance |
1,158 | 380 | 4,531 | 6 | 6,075 |
1 Including POCI.
| 31 December 2021 | |||||||
|---|---|---|---|---|---|---|---|
| (in millions) | Banks | Residential mortgages |
Consumer loans |
Corporate loans |
Other loans | Total loans and advances |
Off-balance |
| Individual impairments | |||||||
| Stage 31 | 46 | 1,389 | 3 | 1,438 | 116 | ||
| Total individual impairments | 46 | 1,389 | 3 | 1,438 | 116 | ||
| Collective impairments | |||||||
| Stage 1 | 10 | 8 | 23 | 130 | 172 | 17 | |
| Stage 2 | 22 | 45 | 291 | 1 | 360 | 20 | |
| Stage 31 | 52 | 162 | 243 | 456 | |||
| Total collective impairments | 10 | 82 | 230 | 664 | 1 | 988 | 37 |
| - of which management overlay | 24 | 46 | 354 | 424 | |||
| Total impairments | 10 | 82 | 276 | 2,053 | 4 | 2,426 | 153 |
| Carrying amount of loans, determined to be impaired, before deducting any assessed impairment allowance |
1,264 | 409 | 5,019 | 9 | 6,701 |
1 Including POCI.
Total collective impairments amounted to EUR 1,088 million at 30 June 2022 (EUR 988 million at 31 December 2021). 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 potential risks not fully captured by the model outcomes. During 2022, management overlays decreased to a total of EUR 351 million (31 December 2021: EUR 424 million). These were mainly recorded for risks in the corporate loans portfolios, which decreased to EUR 311 million and comprised the following changes:
Å A new management overlay was formed for potential underestimation of the delayed risk of Covid-19 related government support – especially tax deferrals – for corporate loans that are not individually managed.
Compared to 31 December 2021, management overlays for our mortgage portfolio increased as we raised the overlay that captures risks in our residential mortgages portfolio. The management overlay that addresses the impact of excessive increases in property prices on the outcome of the IFRS 9 models increased due to a refinement and was reclassified as an in-model adjustment. The management overlay that covers the refinancing risk of interest-only mortgages was raised to take into account changes in the affordability tests following from rising interest rates.
The management overlays within consumer lending portfolios decreased as the adjustment for modification losses was reclassified as an input data adjustment.
All management overlays represent best estimates of the risks involved. The underlying reasoning and calculations are documented and discussed and approved by the Impairments and Provisioning Committee (IPC). Relevant experience related to the impact of Covid-19 on the model outcomes will be used to improve the models over time and reduce the need for management overlays.
This section provides more details on the relief measures offered to ABN AMRO clients to provide them with liquidity after the outbreak of Covid-19. The two primary relief measures consisted of the deferral of interest and principal payments, and Covid-19 related credit facilities supported by public guarantee schemes.
Compared to the figures reported in the 2021 Annual Report, the scope of the tables remain unchanged. However, as a result of the simplified organisational
structure relating to new segments, the comparative figures for 31 December 2021, have been adjusted accordingly.
| Gross carrying amount in millions | ||||||
|---|---|---|---|---|---|---|
| Number of clients |
Active measure |
Expired measure |
Total | - of which stage 2 |
- of which stage 3 |
|
| 30 June 2022 | ||||||
| Personal & Business Banking | 50,043 | 57 | 6,139 | 6,196 | 1,280 | 566 |
| Wealth Management | 329 | 9 | 598 | 607 | 158 | 34 |
| Corporate Banking | 9,285 | 682 | 9,355 | 10,037 | 2,836 | 1,036 |
| Total | 59,657 | 748 | 16,092 | 16,840 | 4,274 | 1,636 |
| 31 December 2021 | ||||||
| Personal & Business Banking | 58,042 | 63 | 7,995 | 8,057 | 3,209 | 682 |
| Wealth Management | 368 | 6 | 662 | 668 | 174 | 44 |
| Corporate Banking | 10,076 | 884 | 9,580 | 10,464 | 3,439 | 1,332 |
| Total | 68,486 | 953 | 18,236 | 19,189 | 6,823 | 2,058 |
By 30 June 2022, approximately 59,657 clients had received a Covid-19-related deferral or forbearance measure, accounting for a total exposure of EUR 16.8 billion (31 December 2021: EUR 19.2 billion). The reduction in the number of clients compared to end of year is significant, since a large portion of loans continues to be repaid. Moreover, an amount of EUR 748 million was subject to measures that were still active. Credit quality improved markedly, with stage 2 and 3 exposure decreasing considerably, mostly as a result of Personal & Business Banking loans that had been granted a Covid-19-related forbearance measure after the outbreak coming to the end of their probation period. This leaves the total share of exposure with increased risk at 35% of the total exposure subject to Covid-19-related measures (31 December 2021: 46%). The wage subsidy scheme (NOW) and the deferral of taxes have successfully prevented a large rise in bankruptcies during the lock-down periods. As support is phased out – April 2022 marked the first month without government support since the pandemic started – the number of bankruptcies may grow back to pre-Covid bankruptcy levels. As of 1 October 2022, clients who used the option to defer taxes will have five years – up to 1 October 2027 – to repay their accrued tax debt.
| Gross carrying amount in millions by residual maturity of the guarantee | Maximum amount | ||||||
|---|---|---|---|---|---|---|---|
| Number of clients |
≤ 6 months | > 6 months & ≤ 12 months |
> 1 year & ≤ 2 years |
> 2 years | Total | in millions of the guarantee that can be considered |
|
| 30 June 2022 | |||||||
| Personal & Business Banking | 1,147 | 1 | 1 | 2 | 29 | 33 | 30 |
| Wealth Management | 286 | 10 | 2 | 148 | 160 | 144 | |
| Corporate Banking | 66 | 2 | 18 | 31 | 29 | 80 | 66 |
| Total | 1,499 | 13 | 21 | 34 | 206 | 273 | 241 |
| 31 December 2021 | |||||||
| Personal & Business Banking | 1,160 | 1 | 5 | 3 | 36 | 45 | 41 |
| Wealth Management | 282 | 17 | 10 | 1 | 139 | 166 | 149 |
| Corporate Banking | 82 | 2 | 8 | 75 | 46 | 131 | 108 |
| Total | 1,524 | 20 | 23 | 78 | 221 | 342 | 298 |
The Dutch government reopened the public guarantee schemes during the beginning of 2022 and kept these available until the second quarter of 2022. Despite the extended timelines, the number of applications were limited. New loan applications continued in the second quarter of 2022, mainly under the Klein Krediet Corona
(KKC) programme. Nevertheless, both the total number of clients and the total amount of loans and advances subject to public guarantee schemes decreased as a result of partial repayments. The average state guarantee coverage for these loans remained stable at 88% (31 December 2021: 87%).
Market risk in the banking book is the risk that the economic value of equity or income of the bank declines due to unfavourable market movements. Market risk in the banking book consists predominantly of credit spread risk in the bank's liquidity portfolio and interest rate risk. Interest rate risk arises from holding assets such as loans with interest rate maturities that are different from the interest rate maturities of liabilities such as deposits. Assets have
a longer average maturity than liabilities. This applies to contractual as well as behavioural maturities.
ABN AMRO uses a combination of portfolio (macro) hedges and specific asset or liability (micro) hedges to swap fixed interest rates for floating interest rate positions. ABN AMRO actively manages the resulting interest rate position to stay within its risk appetite.
| (in millions) | 30 June 2022 | 31 December 2021 |
|---|---|---|
| NII impact from an instantaneous increase in interest rates of 100bps | 270 | 98 |
| NII impact from an instantaneous decrease in interest rates of 100bps | 26 | -218 |
| NII impact from a gradual increase in interest rates of 200bps | 466 | 268 |
| NII impact from a gradual decrease in interest rates of 200bps | -71 | -251 |
| PV01 | -3.5 | -5.9 |
NII-at-Risk is the difference in net interest income (NII) between a base scenario and the least favourable outcome out of several alternative scenarios. In June 2022, the NII-at-Risk in absolute terms decreased to EUR 71 million, reflecting a reduction of NII in the scenario of interest rates gradually decreasing by 200bps. The decrease in NII-at-Risk is attributable to portfolio developments, mainly hedging of Targeted Longer-Term Refinancing Operations (TLTRO) III, and market movements, mainly increased interest rates. The most positive NII occurs for the scenario where
interest rates rise gradually by 200bps, in which the NII would be EUR 466 million higher than the base scenario.
PV01 measures economic value of equity changes resulting from a 1bp parallel shift of the yield curve. For internal risk management, the value sensitivities to changes in individual term points on the yield curve are also measured. PV01 exposure decreased by EUR 2.4 million to EUR 3.5 million over the first half of 2022. The negative impact of yield curve movements have been more than offset by portfolio developments and portfolio steering swap transactions.
| 30 June 2022 | 31 December 2021 | |
|---|---|---|
| Total OCP (long, in EUR million) | 163 | 428 |
| OCP as % total capital | 0.6% | 1.6% |
ABN AMRO monitors its foreign exchange risk through the banks' aggregated open currency position (OCP). As a general rule, foreign exchange risk is hedged by using foreign exchange spot transactions to convert a given exposure in foreign currency into EUR. If, for operational reasons, it is inefficient to hedge exposures in foreign currencies, an open position remains.
On 30 June 2022, the OCP amounted to EUR 163 million, a decrease compared to 31 December 2021 due to hedging activity. The most material single open foreign exchange exposure was USD.
Market risk in the trading book is the risk of losses in market value due to adverse market movements. The following market risks are inherent in the trading book:
1 In the first half of 2022, daily VaRs for commodities were very small.
2 Equity trading was discontinued in February 2021 and will no longer be reported in future annual and interim financial statements.
The average 1-day Value at Risk (VaR) increased from EUR 1.8 million to EUR 2.0 million, when comparing the four-quarter period ending on 31 December 2021 with the two-quarter period ending on 30 June 2022, as the volatile scenarios since the start of the war in Ukraine have been included in the 300-day VaR window. Comparing the same periods, the highest 1-day VaR decreased from EUR 4.3 million to EUR 3.8 million.
The market risk RWA moved from EUR 1.7 billion to EUR 2.5 billion, when comparing 31 December 2021 with 30 June 2022, mainly driven by position changes and to a lesser extent model changes. In addition to the inclusion of volatile scenarios since the start of the war in Ukraine in the VaR window, six overshootings were reported in the 250 days to 30 June 2022, when backtested against the P&L of Global Markets. This increased the regulatory multipliers used in the RWA calculation.
The end of 2021 marked an important milestone in the progress towards Risk Free Rates globally. A bank-wide project tackled the IBOR transition for products mainly denominated in GBP, CHF and JPY. The project aimed at a value-neutral transition for clients and ABN AMRO, executed in a timely manner with cross-departmental collaboration. The changes required in order to move away from no longer existing IBORs were successfully implemented before the IBORs cessation dates.
The focus in the first half of 2022 was on preparing the upcoming USD LIBOR transition, due in June 2023. Execution is driven by market developments regarding the adoption of secured overnight financing rate (SOFR) varieties across products, and will continue in the upcoming months.
| 30 June 2022 | 31 December 2021 | |
|---|---|---|
| Available liquidity buffer (in billions)1 | 95.7 | 101.5 |
| Survival period (moderate stress) | > 12 months | > 12 months |
| LCR2 | 158% | 168% |
| NSFR | 139% | 138% |
| Loan-to-Deposit ratio | 98% | 103% |
1 The mandatory cash reserve with the central bank has been deducted from the cash and central bank deposits in the liquidity buffer.
2 Consolidated LCR based on a 12-month rolling average.
| 30 June 2022 | 31 December 2021 | |||
|---|---|---|---|---|
| (in billions) | Liquidity buffer | LCR eligible | Liquidity buffer | LCR eligible |
| Cash & central bank deposits1 | 67.2 | 67.2 | 64.3 | 64.3 |
| Government bonds | 20.4 | 25.6 | 27.5 | 33.0 |
| - of which green bonds | 0.8 | 0.9 | 0.9 | 0.9 |
| Covered bonds | 2.3 | 2.2 | 2.8 | 2.6 |
| - of which green bonds | 0.1 | 0.1 | 0.2 | 0.1 |
| Other | 5.9 | 6.1 | 6.9 | 7.5 |
| Total liquidity buffer | 95.7 | 101.0 | 101.5 | 107.4 |
1 The mandatory cash reserve with the central bank has been deducted from the cash and central bank deposits in the liquidity buffer.
Å Total issued debt decreased to EUR 53.4 billion at 30 June 2022 (31 December 2021: EUR 59.7 billion). Redemptions of covered bonds and senior preferred funding and negative fair value effects resulting from rising interest rates were the main contributors to the EUR 6.3 billion decrease. The redemptions were partially offset by long-term debt issued in H1 2022, consisting of EUR 1.4 billion in covered bonds and EUR 2.6 billion in senior non-preferred funding.
Å Subordinated liabilities increased slightly to EUR 7.7 billion (31 December 2021: EUR 7.5 billion) as early redemption of EUR 0.5 billion outstanding subordinated liabilities was offset by EUR 0.5 billion in new issuance.
| (in millions) | 30 June 2022 | 31 December 2021 |
|---|---|---|
| Total Commercial Paper/Certificates of Deposit | 9,439 | 9,177 |
| Covered bonds | 26,911 | 31,338 |
| Secured funding (long term) | 26,911 | 31,338 |
| Senior preferred (medium-term notes) | 9,314 | 13,209 |
| - of which green bonds | 1,425 | 1,995 |
| Senior non-preferred | 7,767 | 5,964 |
| - of which green bonds | 3,148 | 1,853 |
| Unsecured funding (long term) | 17,081 | 19,172 |
| Total issued debt | 53,431 | 59,688 |
| Subordinated liabilities | 7,658 | 7,549 |
| Wholesale funding | 61,088 | 67,236 |
| Other long-term funding1 | 34,936 | 35,221 |
| Total funding instruments2 | 96,024 | 102,457 |
| - of which matures within one year | 47,406 | 18,419 |
1 Includes TLTRO III funding (recorded in due to banks) and funding with the Dutch State as counterparty (recorded in due to customers).
2 Includes FX effects, fair value adjustments and interest movements.
Total green bonds outstanding increased to EUR 4.6 billion at 30 June 2022, which is 9% of total issued debt (31 December 2021: EUR 3.8 billion). Our Green Bonds Framework sets out criteria applicable to issuing green bonds, including how we allocate the issue proceeds from green bonds to eligible assets, the evaluation and selection of eligible assets, the independent assurance on the
allocation of proceeds to eligible green assets, as well as the external reporting requirements. Green bonds have been issued since 2015, with a focus on sustainable real estate and renewable energy. These green bonds enable investors to invest in, for example, energy efficiency through residential mortgages, loans for solar panels on existing homes, sustainable commercial real estate and wind energy.
| 30 June 2022 | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| (notional amounts, in billions) | 20223 | 2023 | 2024 | 2025 | 2026 | 2027 | 2028 | 2029 | 2030 | 2031 | 2032 | ≥ 2033 | Total |
| Covered bonds | 1.6 | 2.0 | 1.8 | 0.5 | 1.6 | 0.6 | 0.7 | 0.4 | 1.9 | 3.0 | 2.2 | 13.1 | 29.5 |
| Senior preferred | 0.9 | 2.4 | 1.8 | 3.0 | 0.8 | 0.2 | 0.1 | 0.1 | 0.2 | 0.1 | 9.5 | ||
| Senior non-preferred | 1.3 | 0.7 | 2.0 | 1.0 | 1.0 | 0.8 | 2.1 | 8.7 | |||||
| Subordinated liabilities | 1.0 | 2.6 | 1.4 | 1.0 | 0.5 | 1.2 | 7.7 | ||||||
| Other long-term funding1, 2 | 32.0 | 3.0 | 0.3 | 0.2 | 35.5 | ||||||||
| Total long-term funding |
3.4 | 38.9 | 6.6 | 6.2 | 4.4 | 3.5 | 1.7 | 1.4 | 2.0 | 4.5 | 3.0 | 15.3 | 90.9 |
| 31 December 2021 | |||||||||||||
| 2022 | 2023 | 2024 | 2025 | 2026 | 2027 | 2028 | 2029 | 2030 | 2031 | ≥ 2032 | Total | ||
| Total long-term funding | 8.9 | 38.8 | 6.6 | 6.1 | 4.3 | 2.2 | 1.6 | 1.4 | 2.0 | 4.4 | 15.1 | 91.4 |
1 Other long-term funding includes Targeted Longer-Term Refinancing Operations (TLTRO) III and funding with the Dutch State as counterparty.
2 The TLTRO III of EUR 35.0 billion is reported at the original legal maturity of three years, although there is a voluntary repayment option after one year.
3 Includes funding that matures in the rest of 2022.
| (in millions) | 30 June 2022 | 31 March 2022 | 31 December 2021 |
|---|---|---|---|
| Total equity (EU IFRS) | 22,528 | 22,333 | 21,999 |
| Dividend reserve | -362 | -710 | -573 |
| AT1 capital securities (EU IFRS) | -1,985 | -1,987 | -1,987 |
| Share buyback reserve | -211 | -500 | |
| Regulatory and other adjustments | -553 | 74 | 267 |
| Common Equity Tier 1 | 19,628 | 19,500 | 19,206 |
| AT1 capital securities (EU IFRS) | 1,985 | 1,987 | 1,987 |
| Regulatory and other adjustments | -3 | -5 | -5 |
| Tier 1 capital | 21,610 | 21,482 | 21,188 |
| Subordinated liabilities (EU IFRS) | 7,658 | 7,416 | 7,549 |
| Regulatory and other adjustments | -2,406 | -2,309 | -2,413 |
| Tier 2 capital | 5,252 | 5,107 | 5,136 |
| Total regulatory capital | 26,862 | 26,589 | 26,324 |
| Other MREL eligible liabilities1 | 9,357 | 7,605 | 6,568 |
| Total MREL eligible liabilities | 36,219 | 34,194 | 32,893 |
| Total risk-weighted assets | 126,676 | 124,342 | 117,693 |
| Exposure measure | |||
| Exposure measure | 449,999 | 377,423 | 360,779 |
| Capital ratios | |||
| Common Equity Tier 1 ratio | 15.5% | 15.7% | 16.3% |
| Common Equity Tier 1 ratio (Basel IV)2 | 16% | 16% | 16% |
| Tier 1 ratio | 17.1% | 17.3% | 18.0% |
| Total capital ratio | 21.2% | 21.4% | 22.4% |
| MREL3 | 28.6% | 27.5% | 27.9% |
| Leverage ratio | 4.8% | 5.7% | 5.9% |
1 Other MREL eligible liabilities consists of subordinated liabilities and senior non-preferred notes that are not included in regulatory capital.
2 Basel IV results are based on fully-loaded figures, rounded to the nearest whole percent, based on ABN AMRO's interpretation of the Basel IV framework and subject to the implementation of Basel IV standards into EU legislation.
3 MREL is calculated as total regulatory capital plus other MREL eligible subordinated liabilities divided by total risk-weighted assets.
On 30 June 2022, the CET1 ratio under Basel III was 15.5% (31 March 2022: 15.7%). In comparison with Q1 2022, the CET1 ratio decreased mainly due to an increase in RWA, partly offset by a slight increase in CET1 capital. The increase in RWA reflects a rise in credit risk RWA, mainly resulting from a change in the regulatory treatment of certain models from Advanced IRB to Foundation IRB and Standardised Approach, as well as business developments, partly offset by updated add-ons and asset quality changes. In addition, market risk RWA increased due to higher Value-at-Risk, driven mainly by position changes and to a lesser extent model changes. CET1 capital increased mainly due to the Q2 2022 profit, partially offset by a quarterly update of the NPE capital deductions. All capital ratios were in line with the bank's risk appetite and comfortably above regulatory requirements.
The maximum distributable amount (MDA) trigger level was at 9.7% (excluding AT1 shortfall). The Dutch central bank (DNB) announced an increase of the Countercyclical Capital Buffer (CCyB) for Dutch exposures to 1% by 25 May 2023. The full implementation of the 2% CCyB rate is expected by Q2 2024, which will cause the MDA trigger level to increase by around 1.5%. This is already reflected in our capital targets. The reported Basel III CET1 ratio of 15.5% is well above the MDA trigger level. The bank remains committed to maintaining a significant buffer in excess of its regulatory requirements at all times.
Based on our latest views of the Basel IV EU proposal, the fully-loaded Basel IV CET1 ratio was estimated comfortably above target at around 16% on 30 June 2022. The Basel IV CET1 ratio at implementation is still subject to some uncertainties, including data limitations, management actions and other portfolio developments.
From 2021 onwards, the dividend pay-out has been set at 50% of reported net profit, after deduction of AT1 coupon payments and minority interests. Interim dividends will be considered at 40% of the reported H1 net profit, provided profit is expected to be sustainable throughout the year, at the discretion of the Board. Based on the dividend policy and a net profit of EUR 724 million (post AT1 and minority interest) over the first half of 2022, the interim dividend has been set at EUR 0.32 per share. This would be equivalent to EUR 287 million, based on the number of outstanding shares as at June 2022. The ex-dividend date for the interim dividend will be 17 August 2022, the record date will be 18 August 2022, and payment of the interim dividend will be on 12 September 2022. ABN AMRO paid the final 2021 dividend of EUR 553 million on 18 May 2022.
As communicated in our Q1 Quarterly Update, the inaugural share buyback programme was completed on 11 May. In anticipation of any future sell-downs by our majority shareholder, ABN AMRO has requested permission from the ECB in advance to buy back shares up to an amount of EUR 250 million. The share buyback aims to absorb part of the shares sold, regardless of sell-down structure. The ECB has approved the buyback, conditional on a potential sell-down by the NLFI.
The Capital Requirements Regulation (CRR) includes a non-risk-based and binding leverage ratio. As of 30 June 2022, the leverage ratio decreased to 4.8% (31 March 2022: 5.7%), mainly due to the termination of the temporary relief measure that exempted central bank reserves from the exposure measure. This was partially offset by the addition of the retained net profit for Q2 2022 to CET1 capital, resulting in an increase of the Tier 1 capital. The reported leverage ratio remained well above the 3.0% requirement.
As of 1 January 2022, our intermediate MREL target is set at 27.1% of Basel III RWA, of which 26.6% must be met by own funds, subordinated instruments and senior non-preferred (SNP) notes. This includes the combined buffer requirement (CBR) of 4.0%.
Based on the eligible liabilities, i.e. own funds, subordinated instruments and SNP notes, MREL was at 28.6% as of 30 June 2022 (31 March 2022: 27.5%). The reported MREL ratio excludes EUR 7.6 billion of grandfathered senior preferred liabilities eligible for MREL. Compared to Q1 2022, MREL increased mainly due to issuances of EUR 1.5 billion in SNP and the positive currency effects in USD dominated Tier 2 instruments, partially offset by an increase in RWAs mainly due to credit and market risk developments. On 30 June 2022, EUR 0.6 billion of SNP and Tier 2 was not yet reflected in the reported MREL ratio as these instruments were settled in July.
Pursuant to section 5:25d, paragraph 2(c), of the Dutch Financial Supervision Act (Wet op het financieel toezicht (Wft)), the members of the Executive Board state that to the best of their knowledge:
Amsterdam, 9 August 2022
Robert Swaak, Chief Executive Officer and Chair Lars Kramer, Chief Financial Officer and Vice-Chair Tanja Cuppen, Chief Risk Officer Annerie Vreugdenhil, Chief Commercial Officer - Personal & Business Banking Choy van der Hooft-Cheong, Chief Commercial Officer - Wealth Management Dan Dorner, Chief Commercial Officer - Corporate Banking Gerard Penning, Chief Human Resources Officer
| Condensed consolidated income statement |
36 |
|---|---|
| Condensed consolidated statement of comprehensive income |
37 |
| Condensed consolidated statement of financial position |
38 |
| Condensed consolidated statement of changes in equity |
39 |
| Condensed consolidated statement of cash flows |
40 |
Certain IFRS disclosures in the Risk, funding & capital section are labelled as 'Reviewed' in the respective headings. These disclosures are an integral part of the Condensed consolidated Interim Financial Statements.
| (in millions) Note |
First half 2022 | First half 2021 |
|---|---|---|
| Income | ||
| Interest income calculated using the effective interest method | 3,302 | 3,350 |
| Other interest and similar income | 111 | 119 |
| Interest expense calculated using the effective interest method | 800 | 704 |
| Other interest and similar expense | 31 | 96 |
| Net interest income | 2,583 | 2,669 |
| Fee and commission income | 1,147 | 1,085 |
| Fee and commission expense | 252 | 280 |
| Net fee and commission income | 895 | 805 |
| Income from other operating activities | 263 | 236 |
| Expenses from other operating activities | 66 | 73 |
| Net income from other operating activities | 197 | 164 |
| Net trading income | 118 | 46 |
| Share of result in equity-accounted investments | 19 | 3 |
| Net gains/(losses) on derecognition of financial assets measured at amortised | ||
| cost | 5 | -108 |
| Operating income 4 |
3,817 | 3,579 |
| Expenses | ||
| Personnel expenses | 1,219 | 1,179 |
| General and administrative expenses | 1,525 | 1,793 |
| Depreciation, amortisation and impairment losses of tangible and intangible | ||
| assets | 85 | 99 |
| Operating expenses 5 |
2,829 | 3,071 |
| Impairment charges on financial instruments | -156 | |
| Total expenses | 2,828 | 2,915 |
| Profit/(loss) before taxation | 989 | 664 |
| Income tax expense 6 |
219 | 325 |
| Profit/(loss) for the period | 770 | 339 |
| Attributable to: | ||
| Owners of the parent company | 770 | 337 |
| Non-controlling interests | 2 | |
| Earnings per share (in EUR) | ||
| Basic earnings per ordinary share (in EUR)1 | 0.79 | 0.31 |
1 Earnings per share consist of profit for the period, excluding results attributable to non-controlling interests and payments to holders of AT1 instruments, divided by the average outstanding and paid-up ordinary shares.
| (in millions) | First half 2022 | First half 2021 | |
|---|---|---|---|
| Profit/(loss) for the period | 770 | 339 | |
| Other comprehensive income: | |||
| Items that will not be reclassified to the income statement | |||
| Gains/(losses) on liability own credit risk | 6 | 9 | |
| Items that will not be reclassified to the income statement before taxation | 7 | 9 | |
| Income tax relating to items that will not be reclassified to the income statement | 2 | 2 | |
| Items that will not be reclassified to the income statement after taxation | 5 | 7 | |
| Items that may be reclassified to the income statement | |||
| Net gains/(losses) currency translation reserve | 79 | 34 | |
| Less: Reclassification currency translation reserve through the income statement | 2 | ||
| Net gains/(losses) currency translation reserve through OCI | 78 | 34 | |
| Net gains/(losses) fair value reserve | -43 | -27 | |
| Less: Reclassification fair value reserve through the income statement | 1 | ||
| Net gains/(losses) fair value reserve through OCI | -44 | -27 | |
| Net gains/(losses) cash flow hedge reserve | 1,114 | 328 | |
| Less: Reclassification cash flow hedge reserve through the income statement | -14 | 32 | |
| Net gains/(losses) cash flow hedge reserve through OCI | 1,128 | 296 | |
| Share of other comprehensive income of associates | -26 | 13 | |
| Items that may be reclassified to the income statement before taxation | 1,135 | 316 | |
| Income tax relating to items that may be reclassified to the income statement | 280 | 67 | |
| Items that may be reclassified to the income statement after taxation | 856 | 248 | |
| Total comprehensive income/(expense) for the period after taxation | 1,631 | 594 | |
| Attributable to: | |||
| Owners of the parent company | 1,631 | 592 | |
| Non-controlling interests | 2 |
1 The consolidated comprehensive income have been refined. In order to achieve fairer presentation, reclassifications to the income statement have been added to the consolidated statement of comprehensive income.
| (in millions) Note |
30 June 2022 | 31 December 2021 |
|---|---|---|
| Assets | ||
| Cash and balances at central banks | 69,784 | 66,865 |
| Financial assets held for trading 7 |
2,421 | 1,155 |
| Derivatives 8 |
5,096 | 3,785 |
| Financial investments 9 |
40,762 | 43,165 |
| Securities financing 10 |
27,647 | 16,138 |
| Loans and advances banks 12 |
3,766 | 2,801 |
| Residential mortgages 13 |
142,718 | 147,711 |
| Consumer loans 13 |
10,321 | 10,518 |
| Corporate loans at amortised cost 13 |
90,168 | 84,915 |
| Corporate loans at fair value through P&L 13 |
39 | 99 |
| Other loans and advances customers 13 |
16,395 | 15,008 |
| Equity-accounted investments | 521 | 564 |
| Property and equipment | 1,094 | 1,172 |
| Goodwill and other intangible assets | 117 | 127 |
| Assets held for sale 14 |
47 | 89 |
| Tax assets | 690 | 739 |
| Other assets | 9,917 | 4,263 |
| Total assets | 421,504 | 399,113 |
| Liabilities | ||
| Financial liabilities held for trading 7 |
1,394 | 687 |
| Derivatives 8 |
3,799 | 4,344 |
| Securities financing 10 |
18,643 | 9,494 |
| Due to banks 15 |
40,168 | 38,076 |
| Current accounts 16 |
136,694 | 132,983 |
| Demand deposits 16 |
99,756 | 98,790 |
| Time deposits 16 |
26,847 | 18,780 |
| Other due to customers 16 |
1,895 | 665 |
| Issued debt 17 |
53,431 | 59,688 |
| Subordinated liabilities 17 |
7,658 | 7,549 |
| Provisions 18 |
1,134 | 1,201 |
| Liabilities held for sale 14 |
18 | |
| Tax liabilities | 16 | 101 |
| Other liabilities | 7,525 | 4,757 |
| Total liabilities | 398,977 | 377,114 |
| Equity | ||
| Share capital | 940 | 940 |
| Share premium | 12,970 | 12,970 |
| Other reserves (incl. retained earnings/profit for the period) | 6,994 | 7,324 |
| Accumulated other comprehensive income | -366 | |
| 19 AT1 capital securities |
1,985 | -1,227 1,987 |
| Equity attributable to owners of the parent company | 22,523 | 21,994 |
| Equity attributable to non-controlling interests | 5 | 5 |
| Total equity | 22,528 | 21,999 |
| Total liabilities and equity | 421,504 | 399,113 |
| Committed credit facilities 20 |
55,464 | 54,642 |
| Guarantees and other commitments 20 |
7,567 | 7,598 |
Interim Financial Statements 2022
| (in millions) | Share capital |
Share premium |
Other reserves including retained earnings |
Accumu lated other compre hensive income2 |
Net profit/(loss) attributable to owners of the parent company |
AT1 capital securities |
Equity attributable to the owners of the parent company |
Non controlling interests |
Total equity |
|---|---|---|---|---|---|---|---|---|---|
| Balance at 1 January 2021 | 940 | 12,970 | 6,870 | -1,733 | -45 | 1,987 | 20,989 | 20,989 | |
| Total comprehensive income | 255 | 337 | 592 | 2 | 594 | ||||
| Transfer | -45 | 45 | |||||||
| Paid interest on AT1 capital securities |
-46 | -46 | -46 | ||||||
| Other changes in equity | -3 | -3 | 3 | ||||||
| Balance at 30 June 2021 | 940 | 12,970 | 6,777 | -1,478 | 337 | 1,987 | 21,533 | 5 | 21,538 |
| Balance at 1 January 2022 | 940 | 12,970 | 6,093 | -1,227 | 1,231 | 1,987 | 21,994 | 5 | 21,999 |
| Total comprehensive income | 861 | 770 | 1,631 | 1,631 | |||||
| Transfer | 1,231 | -1,231 | |||||||
| Dividend | -553 | -553 | -553 | ||||||
| Decrease of capital | -2 | -2 | -2 | ||||||
| Share buyback1 | -500 | -500 | -500 | ||||||
| Paid interest on AT1 capital securities |
-46 | -46 | -46 | ||||||
| Other changes in equity | -2 | -2 | -2 | ||||||
| Balance at 30 June 2022 | 940 | 12,970 | 6,224 | -366 | 770 | 1,985 | 22,523 | 5 | 22,528 |
1 For more information on the share buyback, please refer to the Capital management chapter.
2 For more information, please refer to Note 19 Accumulated other comprehensive income.
| (in millions) | Note | First half 2022 | First half 2021 |
|---|---|---|---|
| Profit/(loss) for the period | 770 | 339 | |
| Adjustments on non-cash items included in profit/(loss) | |||
| (Un)realised gains/(losses) | 3,795 | -721 | |
| Share of result in equity-accounted investments | 4 | -19 | -3 |
| Depreciation, amortisation and impairment losses of tangible and intangible assets | 5 | 85 | 99 |
| Impairment charges on financial instruments | -156 | ||
| Income tax expense | 6 | 219 | 325 |
| Tax movements other than taxes paid & income taxes | 7 | -11 | |
| Other non-cash adjustments | 564 | 289 | |
| Operating activities | |||
| Changes in: | |||
| - Assets held for trading | -1,262 | -1,071 | |
| - Derivatives - assets | -766 | 1,443 | |
| - Securities financing - assets | -10,254 | -10,556 | |
| - Loans and advances banks | 66 | 84 | |
| - Residential mortgages | -2,423 | 69 | |
| - Consumer loans | 169 | 418 | |
| - Corporate loans | -4,718 | 5,407 | |
| - Other loans and advances customers | -1,086 | -347 | |
| - Other assets | -5,739 | -2,437 | |
| - Liabilities held for trading | 708 | 1,154 | |
| - Derivatives - liabilities | -479 | -1,984 | |
| - Securities financing - liabilities | 8,366 | 8,115 | |
| - Due to banks | 2,227 | 3,947 | |
| - Due to customers | 13,816 | 7,404 | |
| Net changes in all other operational assets and liabilities | 2,715 | 1,095 | |
| Dividend received from associates and private equity investments | 28 | 23 | |
| Income tax paid | -533 | -545 | |
| Cash flow from operating activities | 6,255 | 12,379 |
continued >
| (in millions) Note |
First half 2022 | First half 2021 |
|---|---|---|
| Investing activities | ||
| Purchases of financial investments | -5,665 | -5,261 |
| Proceeds from sales and redemptions of financial investments | 5,562 | 9,420 |
| Acquisition of subsidiaries (net of cash acquired), associates and joint ventures | -4 | -6 |
| Divestments of subsidiaries (net of cash sold), associates and joint ventures | 2 | 1 |
| Purchases of property and equipment | -82 | -90 |
| Proceeds from sales of property and equipment | 22 | 42 |
| Purchases of intangible assets | -1 | -4 |
| Cash flow from investing activities | -166 | 4,102 |
| Financing activities | ||
| Proceeds from the issuance of debt | 16,722 | 16,865 |
| Repayment of issued debt | -17,704 | -19,184 |
| Proceeds from subordinated liabilities issued | 538 | 10 |
| Repayment of subordinated liabilities issued | -599 | -1,501 |
| Proceeds from other borrowing | -2 | |
| Proceeds from capital securities | -1 | |
| Purchase of treasury shares | -500 | |
| Dividends paid to the owners of the parent company | -553 | |
| Interest paid AT1 capital securities | -46 | -46 |
| Payment of lease liabilities | -57 | -43 |
| Cash flow from financing activities | -2,203 | -3,898 |
| Net increase/(decrease) of cash and cash equivalents | 3,886 | 12,582 |
| Cash and cash equivalents as at 1 January | 68,027 | 61,887 |
| Effect of exchange rate differences on cash and cash equivalents | 50 | 30 |
| Cash and cash equivalents as at 30 June | 71,962 | 74,499 |
| Supplementary disclosure of operating cash flow information | ||
| Interest paid | 800 | 704 |
| Interest received | 3,413 | 3,468 |
| Dividend received excluding associates | 6 | 8 |
| (in millions) | 30 June 2022 | 30 June 2021 |
| Cash and balances at central banks | 69,784 | 72,447 |
| Loans and advances banks (less than 3 months)1 | 2,178 | 2,052 |
1 Loans and advances banks with an original maturity of 3 months or more is included in loans and advances banks.
Total cash and cash equivalents1 71,962 74,499
The Notes to the Condensed consolidated Interim Financial Statements, including the reviewed sections in the Risk, funding & capital section, are an integral part of these Condensed consolidated Interim Financial Statements.
ABN AMRO Bank N.V. (referred to as ABN AMRO Bank, ABN AMRO, the bank or the parent company) and its consolidated entities (together referred to as the group) provide financial services in the Netherlands and abroad. ABN AMRO Bank is a public limited liability company, incorporated under Dutch law on 9 April 2009, and registered at Gustav Mahlerlaan 10, 1082 PP Amsterdam, the Netherlands (Chamber of Commerce number 34334259).
The Condensed consolidated Interim Financial Statements of ABN AMRO Bank N.V. for the six-month period ending on 30 June 2022 include financial information of ABN AMRO Bank N.V., its controlled entities, interests in associates and joint ventures. The Condensed consolidated Interim Financial Statements were prepared by the Executive Board and authorised for issue by the Supervisory Board and Executive Board on 9 August 2022.
The Condensed consolidated Interim Financial Statements have been prepared in accordance with IAS 34 Interim Financial Reporting as endorsed by the European Union (EU).
The Condensed consolidated Interim Financial Statements do not include all the information and disclosures required in the Annual Financial Statements and should be read in conjunction with ABN AMRO Bank's 2021 Consolidated Annual Financial Statements, which were prepared in accordance with the International Financial Reporting Standards (IFRS) as endorsed by the EU. The accounting policies applied in the Condensed consolidated Interim Financial Statements are the same as those applied in the 2021 Consolidated Annual Financial Statements of ABN AMRO Bank, except for the amendments explained in the Changes in accounting policies section.
The Condensed consolidated Interim Financial Statements are prepared under the going concern assumption and presented in euros, which is the functional and presentation currency of ABN AMRO, rounded to the nearest million (unless otherwise stated).
Please note that only the amendments applicable to ABN AMRO have been included. For a full description of the amendments, please refer to the 2021 Consolidated Annual Financial Statements.
The International Accounting Standards Board issued a number of amendments to existing standards (and endorsed by the EU), which became effective for the reporting period beginning 1 January 2022. The standards amended are IFRS 3 Business Combinations, IAS 16 Property, Plant and Equipment, IAS 37 Provisions, Contingent Liabilities and Contingent Assets and Annual Improvements to IFRS Standards 2018-2020. The impact of these changes on the consolidated financial statements, except for IAS 37 Provisions, are insignificant.
Only the amendments related to the Onerous Contracts – Cost of Fulfilling a Contract have resulted in a change in ABN AMRO's accounting policies.
In May 2020, the IASB issued amendments to IAS 37 to specify which costs an entity needs to include when assessing whether a contract is onerous or loss-making. The amendments apply a 'directly related cost approach'. The costs that relate directly to a contract to provide goods or services include both incremental costs and an allocation of costs directly related to contract activities. The amendments are effective for annual reporting periods beginning on or after 1 January 2022.
Based on the amendments, certain other directly related costs have been included by ABN AMRO in the measurement of provisions in scope of IAS 37.
Prior to 1 January 2022, the reconciliation between the carrying amounts at the beginning and the end of the period for each component of equity changes resulting from other comprehensive income were disclosed in a separate table as part of the statement of changes in equity. In 2022, the movement schedule explaining the equity components of other comprehensive income including the comparatives was moved to Note 19 Accumulated other comprehensive income.
Furthermore, in 2022, ABN AMRO changed the presentation of 'Items that may be reclassified to the income statement' in the Statement of Other Comprehensive Income including comparatives to provide more relevant information about the effect of the reclassification adjustments.
During the first half year of 2022, the war in Ukraine started and continued, while the impact of Covid-19 became less pronounced. Both the war in Ukraine and Covid-19 have an impact on the estimated Expected Credit Losses of the financial instruments in scope of IFRS 9. The impact on the estimates and assumptions is disclosed in more detail in the Risk, funding & capital section.
Effective from the start of 2022, ABN AMRO has simplified and centralised its operating model, further strengthened by a simplified organisational structure, under which the four business lines have been replaced by three units organised around client segments, 'client units'. ABN AMRO realigned its organisational structure change with internal reporting to the Executive Board (CODM):
The prior period figures of the financial information for these segments as included in the Segment Reporting Note of this report have been restated.
This client unit serves consumer and business clients with banking and partner offerings, providing the convenience of digital interactions and access to expertise when it matters most.
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.
Wealth Management operates under the brand name of ABN AMRO MeesPierson in the Netherlands, and internationally it operates as ABN AMRO Wealth Management or under various local brand names such as Banque Neuflize OBC in France and Bethmann Bank in Germany.
This expertise-driven client unit delivers tailored financing, capital structuring and transaction banking solutions for mid-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 consists of the following support function departments: Innovation & Technology, Finance, Risk Management, HR & Transformation, Group Audit, Strategy & Sustainability, Legal, Corporate Office and Brand, Marketing & Communications. Group Functions is not a client unit, but part of the reconciliation. The majority of Group Functions' costs are allocated to the client units.
| First half 2022 | ||||
|---|---|---|---|---|
| Personal & Business Banking |
Wealth Management |
Corporate Banking |
Group Functions |
Total |
| 1,321 | 330 | 1,010 | -78 | 2,583 |
| 251 | 311 | 346 | -13 | 895 |
| 1 | 15 | 69 | 111 | 197 |
| -1 | 118 | 118 | ||
| 7 | 4 | 5 | 3 | 19 |
| -4 | 10 | 5 | ||
| 1,580 | 661 | 1,544 | 33 | 3,817 |
| 236 | 187 | 302 | 493 | 1,219 |
| 357 | 112 | 258 | 798 | 1,525 |
| 3 | 14 | 1 | 67 | 85 |
| 720 | 178 | 327 | -1,225 | |
| 1,316 | 491 | 887 | 134 | 2,829 |
| 24 | 5 | -33 | 3 | |
| 1,340 | 496 | 854 | 138 | 2,828 |
| 239 | 164 | 690 | -105 | 989 |
| 60 | 45 | 158 | -45 | 219 |
| 179 | 119 | 531 | -59 | 770 |
| 179 | 119 | 531 | -59 | 770 |
| First half 2021 | |||||
|---|---|---|---|---|---|
| (in millions) | Personal & Business Banking |
Wealth Management |
Corporate Banking |
Group Functions |
Total |
| Income | |||||
| Net interest income | 1,411 | 320 | 928 | 9 | 2,669 |
| Net fee and commission income | 202 | 286 | 328 | -10 | 805 |
| Net income from other operating activities | 8 | 15 | 51 | 90 | 164 |
| Net trading income | -1 | 95 | -49 | 46 | |
| Share of result in equity-accounted investments | 17 | 5 | -16 | -3 | 3 |
| Net gains/ (losses) on derecognition of financial assets measured at amortised cost |
-107 | -1 | -108 | ||
| Operating income | 1,637 | 627 | 1,279 | 36 | 3,579 |
| Expenses | |||||
| Personnel expenses | 233 | 193 | 308 | 445 | 1,179 |
| General and administrative expenses | 336 | 100 | 222 | 1,134 | 1,793 |
| Depreciation, amortisation and impairment losses of tangible and intangible assets |
3 | 14 | 10 | 72 | 99 |
| Intersegment revenues/expenses | 710 | 173 | 332 | -1,215 | |
| Operating expenses | 1,282 | 480 | 872 | 436 | 3,071 |
| Impairment charges on financial instruments | -57 | -1 | -98 | 1 | -156 |
| Total expenses | 1,225 | 479 | 774 | 437 | 2,915 |
| Profit/(loss) before taxation | 411 | 148 | 505 | -401 | 664 |
| Income tax expense | 98 | 42 | 145 | 39 | 325 |
| Profit/(loss) for the period | 314 | 106 | 359 | -440 | 339 |
| Attributable to: | |||||
| Owners of the parent company | 314 | 106 | 359 | -442 | 337 |
| Non-controlling interests | 2 | 2 |
Net interest income amounted to EUR 1,321 million in H1 2022 (H1 2021: EUR 1,411 million). The decrease is largely attributable to continued margin pressure. Income on residential mortgages declined, reflecting slightly lower margins (in a competitive market) and redemptions with relatively high margins.
Net fee and commission income increased by EUR 49 million to EUR 251 million in H1 2022, largely due to higher income from payment services and credit cards (at ICS) as transaction volumes rose after Covid-19 restrictions had ended.
Personnel expenses remained broadly flat in H1 2022, going up EUR 3 million to EUR 236 million.
General and administrative expenses grew by EUR 21 million, totalling EUR 357 million in H1 2022. The increase was mainly attributable to additions to AML remediation programmes and higher regulatory levies.
Impairment charges amounted to EUR 24 million versus a release of EUR 57 million in H1 2021, reflecting a deteriorating economic outlook and an increase of the management overlays that capture risks in our residential mortgages portfolio.
Net interest income went up by EUR 10 million and amounted to EUR 330 million in H1 2022 due to the lower threshold for charging negative interest on client deposits.
Net fee and commission income increased to EUR 311 million in H1 2022 from EUR 286 million in H1 2021 due to positive stock market developments over the year 2021 (creating a higher fee base, especially in Q1 2022).
Personnel expenses decreased by EUR 6 million, totalling EUR 187 million in H1 2022, largely due to a release of the restructuring provision relating to the integration of Wealth Management Belgium.
General and administrative expenses increased by EUR 12 million, totalling EUR 112 million in H1 2022, partially due to higher external staffing costs.
Net interest income amounted to EUR 1,010 million in H1 2022 (H1 2021: EUR 928 million). The improvement was mainly driven by higher corporate loan volumes, despite the ongoing CB non-core wind-down, and stronger results on deposits.
Net fee and commission income improved by EUR 18 million, totalling EUR 346 million in H1 2022, mainly as a result of higher market volatility at Clearing, which was partly offset by the wind-down of the CB non-core portfolio.
Net income from other operating activities amounted to EUR 69 million in H1 2022 (H1 2021: EUR 51 million). The increase was largely attributable to more favourable results in equity participations.
Net trading income amounted to EUR 118 million in H1 2022 (H1 2021: EUR 95 million). The increase was mainly driven by stronger FX related results in markets business.
Net gains/ (losses) on derecognition of financial assets measured at amortised cost increased by EUR 103 million to EUR 4 million negative in H1 2022, mainly due to an unfavourable large incidental of EUR 121 million in H1 2021 related to the sale of a portfolio of energy loans as part of the CB non-core wind down.
Personnel expenses were EUR 6 million lower and amounted to EUR 302 million in H1 2022 (H1 2021: EUR 308 million), largely due to the CB non-core wind-down.
General and administrative expenses increased EUR 36 million to EUR 258 million in H1 2022, mainly due to an increase in regulatory levies driven by a higher contribution to the Single Resolution Fund.
Impairment charges totalled EUR 33 million due to a release in H1 2022 (H1 2021: EUR 98 million release), mainly as a result of improved credit quality of existing stage 3 loans, outflow to the performing portfolio and repayments and recovery/sale with lower than anticipated losses.
Net interest income amounted to EUR 78 million negative in H1 2022 (H1 2021: EUR 9 million). The decline was largely due to higher steering costs at Treasury and lower mortgage prepayment penalties.
Net fee and commission income slightly declined by EUR 3 million to EUR 13 million negative in H1 2022.
Net income from other operating activities increased by EUR 21 million, totalling EUR 111 million in H1 2022 (H1 2021: 90 million) due to stronger hedge accounting-related results and other asset and liability management results, partly offset by a revaluation gain on ABN AMRO's equity stake in Tink in H1 2021.
Net trading income was nil in H1 2022 versus EUR 49 million negative in H1 2021, due to the recognition of a provision for the repayment of German dividend withholding tax credits.
Personnel expenses increased by EUR 48 million to EUR 493 million in H1 2022, mainly due to the further upscaling of AML activities, strategy execution and CLA related one-offs.
General and administrative expenses amounted to EUR 798 in H1 2022 (H1 2021: EUR 1,134 million, including the EUR 480 million AML settlement). Excluding the AML settlement, general and administrative expenses increased due to additions to AML remediation provisions, higher IT costs and higher external staffing costs.
| 30 June 2022 | |||||
|---|---|---|---|---|---|
| (in millions) | Personal & Business Banking |
Wealth Management |
Corporate Banking |
Group Functions |
Total |
| Assets | |||||
| Financial assets held for trading | 2,421 | 2,421 | |||
| Derivatives | 6 | 4,523 | 567 | 5,096 | |
| Securities financing | 7,564 | 20,083 | 27,647 | ||
| Residential mortgages | 142,868 | 5,749 | -5,899 | 142,718 | |
| Consumer loans | 4,803 | 4,923 | 595 | 10,321 | |
| Corporate loans | 9,097 | 5,887 | 73,982 | 1,240 | 90,207 |
| Other loans and advances customers | 40 | 7 | 16,227 | 121 | 16,395 |
| Other | 2,438 | 2,167 | 16,408 | 105,688 | 126,700 |
| Total assets | 159,246 | 18,738 | 121,720 | 121,801 | 421,504 |
| Liabilities | |||||
| Financial liabilities held for trading | 1,394 | 1,394 | |||
| Derivatives | 7 | 3,345 | 447 | 3,799 | |
| Securities financing | 943 | 17,700 | 18,643 | ||
| Current accounts | 47,695 | 29,054 | 59,292 | 653 | 136,694 |
| Demand deposits | 67,196 | 29,922 | 2,638 | 99,756 | |
| Time deposits | 5,752 | 3,551 | 4,744 | 12,799 | 26,847 |
| Other due to customers | 138 | 1,734 | 23 | 1,895 | |
| Other | 38,465 | -43,796 | 47,629 | 67,651 | 109,949 |
| Total liabilities | 159,246 | 18,738 | 121,720 | 99,273 | 398,977 |
| 31 December 2021 | ||
|---|---|---|
| -- | ------------------ | -- |
| (in millions) | Personal & Business Banking |
Wealth Management |
Corporate Banking |
Group Functions |
Total |
|---|---|---|---|---|---|
| Assets | |||||
| Financial assets held for trading | 1,155 | 1,155 | |||
| Derivatives | 15 | 3,002 | 768 | 3,785 | |
| Securities financing | 5,624 | 10,514 | 16,138 | ||
| Residential mortgages | 141,098 | 5,171 | 1,442 | 147,711 | |
| Consumer loans | 5,318 | 4,937 | 263 | 10,518 | |
| Corporate loans | 9,376 | 5,739 | 68,706 | 1,193 | 85,014 |
| Other loans and advances customers | 31 | 6 | 14,858 | 113 | 15,008 |
| Other | 1,673 | 2,538 | 11,247 | 104,327 | 119,784 |
| Total assets | 157,495 | 18,405 | 104,856 | 118,357 | 399,113 |
| Liabilities | |||||
| Financial liabilities held for trading | 687 | 687 | |||
| Derivatives | 4 | 3,542 | 798 | 4,344 | |
| Securities financing | 2 | 9,493 | 9,494 | ||
| Current accounts | 42,898 | 29,457 | 59,875 | 753 | 132,983 |
| Demand deposits | 68,155 | 30,428 | 207 | 98,790 | |
| Time deposits | 6,057 | 3,449 | 3,867 | 5,408 | 18,780 |
| Other due to customers | 166 | 478 | 21 | 665 | |
| Other | 40,219 | -44,932 | 36,199 | 79,886 | 111,371 |
| Total liabilities | 157,495 | 18,405 | 104,856 | 96,358 | 377,114 |
| 30 June 2022 | |||||
|---|---|---|---|---|---|
| (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 | 69,784 | 69,784 | |||
| Financial assets held for trading | 2,421 | 2,421 | |||
| Derivatives | 4,517 | 579 | 5,096 | ||
| Financial investments | 618 | 40,145 | 40,762 | ||
| Securities financing | 27,647 | 27,647 | |||
| Loans and advances banks | 3,766 | 3,766 | |||
| Loans and advances customers | 259,602 | 39 | 259,641 | ||
| Assets held for sale | 18 | 18 | |||
| Other financial assets | 8,917 | 8,917 | |||
| Total financial assets | 369,716 | 6,938 | 1,253 | 40,145 | 418,051 |
| Financial liabilities | |||||
| Financial liabilities held for trading | 1,394 | 1,394 | |||
| Derivatives | 3,345 | 453 | 3,799 | ||
| Securities financing | 18,643 | 18,643 | |||
| Due to banks | 40,168 | 40,168 | |||
| Due to customers | 265,191 | 265,191 | |||
| Issued debt | 53,193 | 238 | 53,431 | ||
| Subordinated liabilities | 7,658 | 7,658 | |||
| Other financial liabilities | 4,845 | 4,845 | |||
| Total financial liabilities | 389,698 | 4,740 | 692 | 395,129 |
| (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 | 66,865 | 66,865 | |||
| Financial assets held for trading | 1,155 | 1,155 | |||
| Derivatives | 2,975 | 810 | 3,785 | ||
| Financial investments | 580 | 42,585 | 43,165 | ||
| Securities financing | 16,138 | 16,138 | |||
| Loans and advances banks | 2,801 | 2,801 | |||
| Loans and advances customers | 258,146 | 104 | 258,251 | ||
| Assets held for sale | 86 | 86 | |||
| Other financial assets | 3,257 | 3,257 | |||
| Total financial assets | 347,207 | 4,130 | 1,581 | 42,585 | 395,502 |
| Financial liabilities | |||||
| Financial liabilities held for trading | 687 | 687 | |||
| Derivatives | 3,545 | 799 | 4,344 | ||
| Securities financing | 9,494 | 9,494 | |||
| Due to banks | 38,076 | 38,076 | |||
| Due to customers | 251,218 | 251,218 | |||
| Issued debt | 58,796 | 892 | 59,688 | ||
| Subordinated liabilities | 7,549 | 7,549 | |||
| Other financial liabilities | 2,844 | 2,844 | |||
| Total financial liabilities | 367,977 | 4,231 | 1,691 | 373,899 |
| (in millions) | First half 2022 | First half 2021 |
|---|---|---|
| Net interest income | 2,583 | 2,669 |
| Net fee and commission income | 895 | 805 |
| Net income from other operating activities | 197 | 164 |
| Net trading income | 118 | 46 |
| Share of result in equity-accounted investments | 19 | 3 |
| Net gains/(losses) on derecognition of financial assets measured at amortised cost | 5 | -108 |
| Total operating income | 3,817 | 3,579 |
The net gains on derecognition of financial assets measured at amortised cost increased by EUR 113 million to EUR 5 million at 30 June 2022. This consisted mainly of EUR 24 million in gains and EUR 19 million in losses due to haircuts on loan disposals as part of the non-core wind-down recorded in Q2 2022.
Fee and commission income by segment is specified in the following tables.
| First half 2022 | |||||
|---|---|---|---|---|---|
| (in millions) | Personal & Business Banking |
Wealth Management |
Corporate Banking |
Group Functions |
Total |
| Fee and commission income from: | |||||
| Securities and custodian services | 9 | 31 | 287 | 1 | 328 |
| Payment services | 250 | 16 | 80 | 346 | |
| Portfolio management and trust fees | 25 | 278 | 2 | 305 | |
| Guarantees and commitment fees | 20 | 3 | 32 | 55 | |
| Insurance and investment fees | 23 | 21 | 44 | ||
| Other service fees | 12 | 8 | 49 | 69 | |
| Total fee and commission income | 338 | 358 | 449 | 1 | 1,147 |
| Timing fee and commission income | |||||
| Recognised at a point in time | 164 | 206 | 402 | 1 | 774 |
| Recognised over time | 174 | 151 | 47 | 373 | |
| Total fee and commission income | 338 | 358 | 449 | 1 | 1,147 |
| First half 2021 | |||||
|---|---|---|---|---|---|
| (in millions) | Personal & Business Banking |
Wealth Management |
Corporate Banking |
Group Functions |
Total |
| Fee and commission income from: | |||||
| Securities and custodian services | 10 | 31 | 301 | 1 | 343 |
| Payment services | 203 | 14 | 78 | 295 | |
| Portfolio management and trust fees | 25 | 260 | 2 | 287 | |
| Guarantees and commitment fees | 20 | 3 | 37 | 59 | |
| Insurance and investment fees | 21 | 18 | 39 | ||
| Other service fees | 11 | 8 | 43 | 63 | |
| Total fee and commission income | 290 | 334 | 460 | 1 | 1,085 |
| Timing fee and commision income | |||||
| Recognised at a point in time | 131 | 165 | 429 | 1 | 726 |
| Recognised over time | 159 | 169 | 31 | 359 | |
| Total fee and commission income | 290 | 334 | 460 | 1 | 1,085 |
| (in millions) | First half 2022 | First half 2021 |
|---|---|---|
| Personnel expenses | 1,219 | 1,179 |
| General and administrative expenses | 1,525 | 1,793 |
| Depreciation, amortisation and impairment losses of tangible and intangible assets | 85 | 99 |
| Total operating expenses | 2,829 | 3,071 |
| (in millions) | First half 2022 | First half 2021 |
|---|---|---|
| Salaries and wages | 877 | 855 |
| Social security charges | 121 | 118 |
| Expenses relating to Defined post employment benefit plans | 13 | 2 |
| Defined contribution plan expenses | 158 | 159 |
| Other | 50 | 46 |
| Total personnel expenses | 1,219 | 1,179 |
| (in millions) | First half 2022 | First half 2021 |
|---|---|---|
| Income tax expense | 219 | 325 |
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 and not as stand-alone asset and liability classes.
| (in millions) | 30 June 2022 | 31 December 2021 |
|---|---|---|
| Trading securities | ||
| Government bonds | 1,419 | 480 |
| Corporate debt securities | 992 | 670 |
| Equity securities | 5 | 3 |
| Total trading securities | 2,416 | 1,153 |
| Trading book loans | 5 | 2 |
| Total financial assets held for trading | 2,421 | 1,155 |
| (in millions) | 30 June 2022 | 31 December 2021 |
|---|---|---|
| Bonds | 1,346 | 654 |
| Equity securities | 1 | |
| Total short security positions | 1,346 | 654 |
| Other liabilities held for trading | 48 | 33 |
| Total financial liabilities held for trading | 1,394 | 687 |
This comprises derivatives held for trading and derivatives held for risk management purposes. Derivatives held for trading serve to help us facilitate the needs of our clients. Derivatives held for risk management purposes include all derivatives that qualify for hedge accounting and derivatives included in an economic hedge.
| 30 June 2022 | ||||||||
|---|---|---|---|---|---|---|---|---|
| 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 | 23 | 1 | 25 | |||||
| Fair value liabilities | 7 | 7 | ||||||
| Notionals | 9,703 | 55 | 9,758 | |||||
| Over-the-counter | ||||||||
| Central counterparties | ||||||||
| Fair value assets | ||||||||
| Fair value liabilities | ||||||||
| Notionals | 1,071,671 | 1,045 | 134,928 | 1,207,644 | ||||
| Other bilateral | ||||||||
| Fair value assets | 3,454 | 990 | 48 | 52 | 366 | 1 | 160 | 5,071 |
| Fair value liabilities | 2,021 | 1,272 | 46 | 99 | 79 | 275 | 3,792 | |
| Notionals | 161,157 | 96,941 | 306 | 675 | 13,109 | 23 | 88,557 | 360,768 |
| Total | ||||||||
| Fair value assets | 3,477 | 991 | 48 | 52 | 366 | 1 | 160 | 5,096 |
| Fair value liabilities | 2,028 | 1,272 | 46 | 99 | 79 | 275 | 3,799 | |
| Notionals | 1,242,531 | 96,995 | 306 | 1,720 | 13,109 | 23 | 223,485 | 1,578,170 |
| 31 December 2021 | ||||||||
|---|---|---|---|---|---|---|---|---|
| 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 | 3 | 3 | ||||||
| Notionals | 4,217 | 9 | 1 | 4,226 | ||||
| Over-the-counter | ||||||||
| Central counterparties | ||||||||
| Fair value assets | ||||||||
| Fair value liabilities | ||||||||
| Notionals | 1,026,420 | 1,195 | 106,305 | 1,133,920 | ||||
| Other bilateral | ||||||||
| Fair value assets | 2,385 | 509 | 78 | 68 | 177 | 13 | 552 | 3,781 |
| Fair value liabilities | 2,865 | 563 | 113 | 143 | 118 | 3 | 535 | 4,341 |
| Notionals | 148,764 | 48,213 | 1,498 | 1,048 | 10,621 | 74 | 59,651 | 269,869 |
| Total | ||||||||
| Fair value assets | 2,388 | 509 | 78 | 68 | 177 | 13 | 552 | 3,785 |
| Fair value liabilities | 2,866 | 567 | 113 | 143 | 118 | 3 | 535 | 4,344 |
| Notionals | 1,179,401 | 48,222 | 1,499 | 2,243 | 10,621 | 74 | 165,956 | 1,408,016 |
| (in millions) | 30 June 2022 | 31 December 2021 |
|---|---|---|
| Financial investments | ||
| Debt securities held at fair value through other comprehensive income | 40,145 | 42,585 |
| Held at fair value through profit or loss | 618 | 580 |
| Total financial investments | 40,762 | 43,165 |
Debt securities held at fair value through other comprehensive income consist mainly of goverment bonds.
The fair value of financial investments measured at FVOCI (including gross unrealised gains and losses) is specified in the following table.
| (in millions) | 30 June 2022 | 31 December 2021 |
|---|---|---|
| Interest-earning securities | ||
| Dutch government | 3,069 | 4,028 |
| US Treasury and US government | 7,312 | 6,628 |
| Other OECD government | 19,447 | 20,550 |
| Non-OECD government | 917 | 996 |
| International bonds issued by the European Union | 1,885 | 2,262 |
| European Stability Mechanism | 1,873 | 1,964 |
| Mortgage- and other asset-backed securities | 2,678 | 3,168 |
| Financial institutions | 2,963 | 2,989 |
| Non-financial institutions | 1 | 1 |
| Total investments held at fair value through other comprehensive income | 40,145 | 42,585 |
| 30 June 2022 | 31 December 2021 | |||||
|---|---|---|---|---|---|---|
| (in millions) | Banks | Customers | Total | Banks | Customers | Total |
| Assets | ||||||
| Reverse repurchase agreements | 3,037 | 16,455 | 19,492 | 3,181 | 6,733 | 9,914 |
| Securities borrowing transactions | 4,296 | 3,859 | 8,155 | 2,973 | 3,251 | 6,225 |
| Total | 7,333 | 20,314 | 27,647 | 6,154 | 9,984 | 16,138 |
| Liabilities | ||||||
| Repurchase agreements | 545 | 15,957 | 16,501 | 115 | 8,372 | 8,488 |
| Securities lending transactions | 1,513 | 629 | 2,142 | 4 | 1,003 | 1,007 |
| Total | 2,057 | 16,586 | 18,643 | 119 | 9,375 | 9,494 |
Securities financing transactions include balances relating to reverse repurchase activities and cash collateral on securities borrowed. ABN AMRO controls the credit risk associated with these activities by monitoring counterparty credit exposure and collateral values on a daily basis and requiring additional collateral to be deposited with ABN AMRO when deemed necessary.
The internal controls for fair value measurement, the valuation techniques and the inputs used for these valuation techniques are consistent with those set out in the notes to ABN AMRO's 2021 Consolidated Annual Financial Statements.
Fair value is defined as the price that would be received when selling an asset or paid when transferring a liability in an orderly transaction between market participants at the measurement date.
ABN AMRO analyses financial instruments held at fair value in the three categories described below.
Level 1 financial instruments are those that are valued using unadjusted quoted prices in active markets for identical financial instruments.
Level 2 financial instruments are those valued using techniques based primarily on observable market data. Instruments in this category are valued using quoted prices for similar instruments or identical instruments in markets that are not considered to be active, or using valuation techniques where all inputs that have a significant effect on the valuation are directly or indirectly based on observable market data.
Level 3 financial instruments are those valued using a valuation technique where at least one input with a significant effect on the instrument's valuation is not based on observable market data. The effect of fair value adjustments on the instrument's valuation is included in the assessment.
ABN AMRO recognises transfers between levels of the fair value hierarchy at the end of the reporting period during which the change occurred.
The following table presents the valuation methods used in determining the fair values of financial instruments carried at fair value.
| 30 June 2022 | 31 December 2021 | |||||||
|---|---|---|---|---|---|---|---|---|
| (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 | 1,419 | 1,419 | 480 | 480 | ||||
| Corporate debt securities | 781 | 211 | 992 | 472 | 198 | 670 | ||
| Equity securities | 5 | 5 | 3 | 3 | ||||
| Other financial assets held for trading | 5 | 5 | 2 | 2 | ||||
| Financial assets held for trading | 2,209 | 211 | 2,421 | 955 | 199 | 1,155 | ||
| Interest rate derivatives | 23 | 3,603 | 63 | 3,689 | 4 | 2,927 | 78 | 3,009 |
| Foreign exchange contracts | 1 | 1,351 | 5 | 1,357 | 676 | 10 | 686 | |
| Other derivatives | 49 | 49 | 90 | 90 | ||||
| Derivatives | 25 | 5,003 | 68 | 5,096 | 4 | 3,694 | 88 | 3,785 |
| Equity instruments | 84 | 57 | 477 | 618 | 90 | 57 | 433 | 580 |
| Financial investments at fair value through profit or loss |
84 | 57 | 477 | 618 | 90 | 57 | 433 | 580 |
| Government debt securities | 34,174 | 329 | 34,503 | 35,988 | 439 | 36,427 | ||
| Corporate debt securities | 2,925 | 1 | 38 | 2,964 | 2,947 | 1 | 42 | 2,990 |
| Other debt securities | 2,678 | 2,678 | 3,168 | 3,168 | ||||
| Financial assets held at fair value through other comprehensive income |
39,776 | 1 | 367 | 40,145 | 42,102 | 1 | 481 | 42,585 |
| Loans and advances at fair value through profit or loss |
39 | 39 | 104 | 104 | ||||
| Total financial assets | 42,094 | 5,312 | 913 | 48,318 | 43,151 | 4,056 | 1,002 | 48,209 |
| Liabilities | ||||||||
| Short positions in government debt | ||||||||
| securities | 1,011 | 1,011 | 255 | 255 | ||||
| Corporate debt securities | 258 | 77 | 335 | 320 | 79 | 399 | ||
| Equity securities | 1 | 1 | ||||||
| Other financial liabilities held for trading | 15 | 34 | 48 | 33 | 33 | |||
| Financial liabilities held for trading | 1,284 | 110 | 1,394 | 575 | 112 | 687 | ||
| Interest rate derivatives | 7 | 2,395 | 2,402 | 3,543 | 3,544 | |||
| Foreign exchange contracts | 1,351 | 1,351 | 3 | 681 | 684 | |||
| Other derivatives | 46 | 46 | 116 | 116 | ||||
| Derivatives | 7 | 3,792 | 3,799 | 3 | 4,341 | 4,344 | ||
| Issued debt | 238 | 238 | 892 | 892 | ||||
| Total financial liabilities | 1,291 | 4,140 | 5,431 | 578 | 5,344 | 5,922 |
During the first half of 2022, EUR 68 million in derivatives was transferred from level 2 to level 3. The transfer was partially offset by EUR 11 million in derivatives transferred to level 2.
The following table shows a reconciliation of the opening and closing amounts of level 3 financial assets carried 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 |
Issued debt |
| Balance at 1 January 2021 | 140 | 569 | 517 | ||
| Purchases | 18 | ||||
| Redemptions | -17 | ||||
| Gains/(losses) recorded in profit and loss1 | -6 | ||||
| Unrealised gains/(losses)2 | -33 | 44 | -26 | ||
| Transfer between levels | 26 | -36 | |||
| Other movements | -189 | ||||
| Balance at 30 June 2021 | 133 | 390 | 484 | ||
| Balance at 1 January 2022 | 88 | 433 | 481 | ||
| Purchases | 42 | ||||
| Sales | -9 | ||||
| Redemptions | -32 | ||||
| Gains/(losses) recorded in profit and loss1 | 5 | -6 | |||
| Unrealised gains/(losses)2 | -71 | 41 | -108 | ||
| Transfer between levels | 51 | ||||
| Other movements | -2 | ||||
| Balance at 30 June 2022 | 68 | 477 | 367 |
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.
ABN AMRO has a position in a Polish bond, denominated in euros (in Note 9 Financial investments, and part of Other OECD governments), for which the market is relatively illiquid. This bond is valued using a discounted cash flow model. The main inputs are the interest rate curve, liquidity spread and credit spread. The valuation spread is determined using an internal model. The sensitivity analysis is performed using a range of reasonable valuation spreads.
Preference shares are shares for which the dividend is fixed for a period of ten years, after which the dividend is redetermined and the shares can be redeemed. The position is valued using a discounted cash flow model for which the relevant inputs are the interest curve, liquidity spread and credit spread. The liquidity spread and credit spread are unobservable inputs and are derived from similar securities. The sensitivity of the preference shares is determined by using a range of reasonable spreads and by considering the call option that is held by the issuer.
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:
New investments are initially valued at fair value. Subsequently, the fair value technique – either the EVCA technique or NAV calculation – is applied for direct investments.
The sensitivity for using comparable pricing is determined by stressing the earnings multiples in a positive and negative market scenario, whereas sensitivity testing for the NAV calculation based on the quarterly performance cannot be applied.
ABN AMRO applies a credit valuation adjustment (CVA) that reflects counterparty credit risk in the fair value measurement of uncollateralised and partially collateralised OTC derivatives. For counterparties that do not have an observable credit spread, ABN AMRO applies a proxied credit spread extracted from counterparties of comparable credit quality that do have an observable credit spread. ABN AMRO performs a probability of default assessment for each counterparty and allocates an appropriate internal credit risk measure known as a Uniform Counterparty Rating (UCR).This UCR, which is significant to the entire fair value measurement of the derivative contracts included in the following table of level 3 sensitivity information, is generated internally and is therefore an unobservable input.
| Valuation technique |
Unobservable data |
Carrying value |
Possible alternative assumptions |
Unobservable data range |
Unobservable data base |
|||||
|---|---|---|---|---|---|---|---|---|---|---|
| (in millions) | Applying minimum |
Applying maximum |
Applying minimum |
Applying maximum |
||||||
| 30 June 2022 | ||||||||||
| Equity shares | Private equity valuation |
EBITDA multiples |
152 | -15 | 15 | |||||
| Equity shares | Private equity valuation |
Net asset value |
325 | -33 | 33 | |||||
| Interest-earning securities - government bonds |
Discounted cash flow |
Liquidity and credit spread |
329 | -1 | 13 | 83bps | 135bps | 122bps | ||
| Interest-earning securities - other | Discounted cash flow |
Liquidity and credit spread |
38 | -1 | 396bps | 597bps | 419bps | |||
| Derivatives held for trading | Discounted cash flow |
Probability of default |
68 | -4 | 6 | 0.0% | 100.0% | 16.2% | ||
| 31 December 2021 | ||||||||||
| Equity shares | Private equity valuation |
EBITDA multiples |
159 | -16 | 16 | |||||
| Equity shares | Private equity valuation |
Net asset value |
274 | -27 | 27 | |||||
| Interest-earning securities - government bonds |
Discounted cash flow |
Liquidity and credit spread |
439 | -8 | 13 | 19bps | 74bps | 53bps | ||
| Interest-earning securities - other | Discounted cash flow |
Liquidity and credit spread |
42 | -2 | 90bps | 381bps | 118bps | |||
| Derivatives held for trading | Discounted cash flow |
Probability of default |
88 | -5 | 8 | 0.4% | 100.0% | 33.7% |
The methods and assumptions applied to estimate the fair values of financial instruments not carried at fair value are consistent with those set out in Note 21 of the Consolidated Annual Financial Statements 2021.
| 30 June 2022 | ||||||
|---|---|---|---|---|---|---|
| Carrying value | Total fair value | Difference | ||||
| Quoted market | Valuation | Valuation techniques | ||||
| (in millions) | prices in active markets |
techniques -observable inputs |
-significant unobservable inputs |
|||
| Assets | ||||||
| Cash and balances at central banks | 69,784 | 69,784 | 69,784 | |||
| Securities financing | 27,647 | 27,647 | 27,647 | |||
| Loans and advances banks | 3,766 | 3,157 | 589 | 3,746 | -21 | |
| Loans and advances customers | 259,602 | 45,228 | 207,291 | 252,518 | -7,083 | |
| Total | 360,799 | 69,784 | 76,032 | 207,879 | 353,695 | -7,104 |
| Liabilities | ||||||
| Securities financing | 18,643 | 18,643 | 18,643 | |||
| Due to banks | 40,168 | 6,110 | 33,511 | 39,620 | -547 | |
| Due to customers | 265,191 | 92,085 | 159,106 | 251,191 | -14,001 | |
| Issued debt | 53,193 | 33,147 | 16,453 | 49,601 | -3,592 | |
| Subordinated liabilities | 7,658 | 5,588 | 1,919 | 7,507 | -151 | |
| Total | 384,853 | 38,736 | 135,209 | 192,617 | 366,562 | -18,291 |
| 31 December 2021 | ||||||
|---|---|---|---|---|---|---|
| Carrying value | Total fair value | Difference | ||||
| (in millions) | Quoted market prices in active markets |
Valuation techniques -observable inputs |
Valuation techniques -significant unobserv able inputs |
|||
| Assets | ||||||
| Cash and balances at central banks | 66,865 | 66,865 | 66,865 | |||
| Securities financing | 16,138 | 16,138 | 16,138 | |||
| Loans and advances banks | 2,801 | 2,461 | 336 | 2,797 | -3 | |
| Loans and advances customers | 258,146 | 30,175 | 240,273 | 270,448 | 12,302 | |
| Total | 343,950 | 66,865 | 48,775 | 240,609 | 356,249 | 12,299 |
| Liabilities | ||||||
| Securities financing | 9,494 | 9,494 | 9,494 | |||
| Due to banks | 38,076 | 4,309 | 33,773 | 38,082 | 6 | |
| Due to customers | 251,218 | 85,654 | 163,021 | 248,676 | -2,542 | |
| Issued debt | 58,796 | 43,608 | 18,914 | 62,522 | 3,726 | |
| Subordinated liabilities | 7,549 | 5,959 | 1,979 | 7,938 | 389 | |
| Total | 365,132 | 49,567 | 120,350 | 196,794 | 366,712 | 1,579 |
| (in millions) | 30 June 2022 | 31 December 2021 |
|---|---|---|
| Interest-bearing deposits | 2,207 | 1,189 |
| Loans and advances | 1,274 | 1,355 |
| Mandatory reserve deposits with central banks | 206 | 199 |
| Other loans and advances banks | 83 | 68 |
| Subtotal | 3,771 | 2,811 |
| Less: loan impairment allowances | 4 | 10 |
| Total loans and advances banks | 3,766 | 2,801 |
Mandatory reserve deposits are held with local central banks in accordance with statutory requirements. Most relevant to the bank are the minimum reserve requirements as determined by the ECB. The ECB prescribes how the minimum reserve amount should be calculated during pre-defined reserve periods. During such periods the balances are available for use by ABN AMRO. The bank manages and monitors that the minimum reserve requirements for the period are met.
| (in millions) | 30 June 2022 | 31 December 2021 |
|---|---|---|
| Residential mortgages (excluding fair value adjustment) | 148,773 | 146,351 |
| Fair value adjustment from hedge accounting on residential mortgages | -5,899 | 1,442 |
| Residential mortgages, gross | 142,873 | 147,793 |
| Less: loan impairment allowances - residential mortgage loans | 155 | 82 |
| Residential mortgages | 142,718 | 147,711 |
| Consumer loans, gross | 10,603 | 10,794 |
| Less: loan impairment allowances - consumer loans | 282 | 276 |
| Consumer loans | 10,321 | 10,518 |
| Corporate loans (excluding fair value adjustment) | 82,702 | 78,173 |
| Fair value adjustment from hedge accounting on corporate loans | 235 | 509 |
| Financial lease receivables | 4,731 | 4,972 |
| Factoring | 4,447 | 3,312 |
| Corporate loans, gross1 | 92,115 | 86,968 |
| Less: loan impairment allowances - corporate loans | 1,947 | 2,053 |
| Corporate loans at amortised cost | 90,168 | 84,915 |
| Corporate loans at fair value through P&L | 39 | 99 |
| Government and official institutions | 465 | 401 |
| Other loans1 | 15,936 | 14,606 |
| Other loans and advances customers, gross1 | 16,401 | 15,007 |
| Less: loan impairment allowances - other | 6 | 4 |
| Other loans at amortised cost | 16,395 | 15,003 |
| Other loans at fair value through P&L | 5 | |
| Other loans and advances customers | 16,395 | 15,008 |
| Total loans and advances customers | 259,641 | 258,251 |
1 Excluding loans at fair value through P&L.
For information on loan impairment allowances, please refer to the Risk, funding & capital section.
The 30 June 2022 held for sale position consisted of EUR 47 million in assets and EUR 18 million in liabilities. The assets relate to EUR 18 million in ABN AMRO Pensioeninstelling N.V., EUR 12 million in office buildings and EUR 18 million in other financial investments. The liabilities relate to ABN AMRO Pensioeninstelling N.V.
On 3 May 2022, ABN AMRO announced the sale of ABN AMRO Pensioeninstelling N.V., which is a wholly owned subsidiary of ABN AMRO and part of Group Functions. The sale is expected to be completed in the second half of this fiscal year. ABN AMRO expects a gain from the sale transaction.
On 1 June 2022, ABN AMRO announced the sale of MP Solar B.V., which is a wholly owned subsidiary of ABN AMRO. The sale was completed in July 2022. The gain from the sale transaction will be recognised in the third quarter of 2022 in the Corporate Banking segment.
This item comprises amounts due to banking institutions, including central banks and multilateral development banks.
| (in millions) | 30 June 2022 | 31 December 2021 |
|---|---|---|
| Current accounts | 2,373 | 1,525 |
| Demand deposits | 2 | 3 |
| Time deposits | 37,388 | 36,070 |
| Cash collateral on securities lent | 394 | 467 |
| Other | 10 | 10 |
| Total due to banks | 40,168 | 38,076 |
In 2022, ABN AMRO has reported interest income for TLTRO of:
This item is comprised of amounts due to non-banking clients.
| (in millions) | 30 June 2022 | 31 December 2021 |
|---|---|---|
| Current accounts | 136,694 | 132,983 |
| Demand deposits | 99,756 | 98,790 |
| Time deposits | 26,847 | 18,780 |
| Other | 1,895 | 665 |
| Total due to customers | 265,191 | 251,218 |
The following table shows the types of debt certificates issued by ABN AMRO and the amounts outstanding. Changes in these debt instruments involve a continual process of redemption and issuance of long-term and short-term funding.
| (in millions) | 30 June 2022 | 31 December 2021 |
|---|---|---|
| Bonds and notes issued | 43,753 | 49,619 |
| Certificates of deposit and commercial paper | 9,439 | 9,177 |
| Total at amortised cost | 53,193 | 58,796 |
| Designated at fair value through profit or loss | 238 | 892 |
| Total issued debt | 53,431 | 59,688 |
| - of which matures within one year | 12,268 | 16,734 |
The amounts of debt issued and redeemed during the period are shown in the Condensed consolidated statement of cash flows. Further details of the funding programmes are provided in the Risk, funding & capital section.
The following table shows outstanding subordinated liabilities issued by ABN AMRO and the amounts outstanding.
| (in millions) | 30 June 2022 | 31 December 2021 |
|---|---|---|
| Subordinated liabilities | 7,658 | 7,549 |
No perpetual loans were recorded at reporting date. The issued and outstanding loans qualifying as subordinated liabilities are subordinated to all other current and future liabilities.
| (in millions) | 30 June 2022 | 31 December 2021 |
|---|---|---|
| Legal provisions | 382 | 398 |
| Credit commitments provisions | 169 | 222 |
| Restructuring provision | 157 | 178 |
| Other staff provision | 139 | 137 |
| Provision for pension commitments | 84 | 79 |
| Insurance fund liabilities | 3 | 5 |
| Other provisions | 201 | 181 |
| Total provisions | 1,134 | 1,201 |
Total provisions decreased by EUR 67 million to EUR 1,134 million at 30 June 2022, compared with EUR 1,201 million at 31 December 2021. This was largely due to the release of provisions for credit commitments.
In 2015, ABN AMRO started a review, at the request of the Netherlands Authority for the Financial Markets (AFM) and the Dutch Ministry of Finance, to determine whether the bank had acted in accordance with its duty of care obligations in respect of the sale of interest rate derivatives to SME clients. In the second quarter of 2015, ABN AMRO first recognised a provision for compensating clients who had been disadvantaged in this respect and suffered loss or damage.
ABN AMRO has set up its own client reassessment process and the related checks and balances with respect to the Uniform Recovery Framework devised by a committee of independent experts ('the Committee') appointed by the Dutch Minister of Finance. In the first quarter of 2020, ABN AMRO finalised the process of sending all clients a letter containing the outcome of the reassessment. At various points in the process, the reassessments were checked by an independent external file reviewer (in ABN AMRO's case, by the audit firm PwC), supervised by the AFM. Except for a limited number of proceedings relating to the Uniform Recovery Framework before a dispute committee and the local courts, ABN AMRO has completed the execution of the Uniform Recovery Framework. The total provision for SME derivatives-related issues consisted of client compensation (EUR 0.6 billion) and project costs (EUR 0.3 billion). The remaining provision amounted to EUR 5 million at 30 June 2022.
ABN AMRO has sold mortgage loans with floating, often Euribor-based, interest rates to consumers. These rates include a margin charge. Under the applicable terms and conditions, ABN AMRO has the right to unilaterally adjust the margin charge. ABN AMRO's decision to increase the margin charge in 2012 resulted in two class actions, on top of multiple individual cases, being instigated. The central question in these cases is whether ABN AMRO's right in the terms and conditions to unilaterally adjust the margin charge is an unfair contractual clause. On 22 November 2019, the Supreme Court quashed the ruling of the Amsterdam Court of Appeal in the Euribor collective cases. The case has been referred to another Court of Appeal (The Hague) in order to be dealt with further. This Court will need to take all relevant aspects into account to judge if the clauses are unfair.
On 13 February 2020 ABN AMRO and the foundation Stichting Euribar reached an agreement on a settlement for clients with Euribor-Woninghypotheek mortgages. Key points of the agreement are compensation for the past and certainty for the future Euribor margin charge. By mid-June 2021, all respective clients who were eligible for the settlement had received a personal offer from ABN AMRO and 81% of this group has accepted the proposed settlement. Meanwhile, the other foundation, Stichting Stop de Banken, broke off the negotiations aimed at reaching an agreement and announced it will proceed with the class action. The hearing at the The Hague Court of Appeal took place on 9 November 2021 and currently the verdict is scheduled for 11 October 2022.
ABN AMRO has recognised a provision for the Euribor-based mortgage cases.
On 3 March 2021, the Kifid Appeals Committee confirmed a ruling of the Kifid Disputes Committee about the recalculation of the variable interest charged to a specific client on a revolving credit. In short, Kifid ruled that ABN AMRO should have followed the market rate while establishing the variable interest rate for certain revolving consumer credits.
In light of the Kifid ruling, ABN AMRO reached agreement with the Dutch Consumers' Association (Consumentenbond Claimservice) on 5 September 2021 regarding a compensation scheme for affected clients. The compensation scheme entailed a proactive recalculation of variable interest charged as from 1 January 2008 on various revolving consumer credits offered by ABN AMRO, ALFAM and ICS. In Q4 of 2021, ABN AMRO decided (where possible and applicable) to proactively recalculate variable interest charged as from 1 January 2001. ABN AMRO has provisioned around EUR 354 million for the interest to be compensated and the costs incurred in carrying out the scheme. To date, EUR 35 million of this provision has been used, while the remaining provision as at 30 June 2022 is EUR 319 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 products with variable interest rates, beyond the range of products covered by the compensation scheme. Recent rulings from Kifid regarding other credit providers (in relation to mortgage loans) suggest that Kifid envisages a broad scope. ABN AMRO cannot give a reliable estimate of the (potentially substantial) financial risk of these contingent liabilities not provided for.
Moreover, DNB has recently announced that as of May 2022 it has ceased to publish the statistics that are used by Kifid as a benchmark for the market rate for consumer credits and that ABN AMRO uses for its compensation scheme. This development causes uncertainty with respect to the correctness of individual compensation calculations for active customers as of May 2022.
Other expenses in 2022 included a EUR 50 million addition for Q1 and a EUR 34 million addition for Q2 to the provision for AML remediation programmes, recorded mainly at Group Functions. We are making progress in our AML remediation programmes, but more effort is required than expected and the programmes will continue into 2023. The Dutch central bank has been informed about these developments and is closely monitoring our progress.
| Remeasure ments on post-retirement |
Currency translation |
Fair value | Cash flow hedge |
Accumulated share of OCI of associates and |
Liability own credit |
||
|---|---|---|---|---|---|---|---|
| (in millions) | benefit plans | reserve | reserve | reserve | joint ventures | risk reserve | Total |
| Balance at 1 January 2021 | -24 | -29 | 162 | -1,854 | 36 | -24 | -1,733 |
| Net gains/(losses) arising during the period | 34 | -27 | 328 | 13 | 9 | 357 | |
| Less: Net realised gains/(losses) included in | |||||||
| income statement | 32 | 32 | |||||
| Net gains/(losses) in equity | 34 | - 27 | 296 | 13 | 9 | 325 | |
| Related income tax | -7 | 74 | 2 | 70 | |||
| Balance at 30 June 2021 | -24 | 5 | 141 | -1,632 | 48 | -17 | -1,478 |
| Balance at 1 January 2022 | -6 | 38 | 239 | -1,540 | 51 | -9 | -1,227 |
| Net gains/(losses) arising during the period | 79 | -43 | 1,114 | -26 | 6 | 1,131 | |
| Less: Net realised gains/(losses) included in | |||||||
| income statement | 2 | 1 | -14 | -11 | |||
| Net gains/(losses) in equity | 78 | -44 | 1,128 | -26 | 6 | 1,142 | |
| Related income tax | -11 | 291 | 2 | 281 | |||
| Balance at 30 June 2022 | -6 | 115 | 206 | -703 | 25 | -4 | -366 |
As of 2022, the movement schedule was moved from the statement of changes in equity to this note. Please refer to Note 1 Accounting policies in the Condensed consolidated Interim Financial Statements.
| (in millions) | 30 June 2022 | 31 December 2021 |
|---|---|---|
| Committed credit facilities | 55,464 | 54,642 |
| Guarantees and other commitments: | ||
| Guarantees granted | 1,464 | 1,544 |
| Irrevocable letters of credit | 4,657 | 4,752 |
| Recourse risks arising from discounted bills | 1,446 | 1,303 |
| Total guarantees and other commitments | 7,567 | 7,598 |
| Total | 63,031 | 62,240 |
The total of committed credit facilities, guarantees and other commitments increased by EUR 0.8 billion to EUR 63.0 billion at 30 June 2022, compared with EUR 62.2 billion at 31 December 2021. The increase was mainly attributable to a rise in committed credit facilties at Corporate Banking as business activities grew.
ABN AMRO is involved in a number of legal proceedings in the ordinary course of business in various jurisdictions. In presenting the consolidated Financial Statement, 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 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 contingencies.
ABN AMRO is in discussion with the Single Resolution Board (SRB) about the calculation method applied for levies paid in the past. At this time, the outcome of this discussion is still uncertain and it is possible but not probable that legal opinions, regulatory rulings or future proceedings might give rise to additional expenses.
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. 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 have resulted in more than one market participant claiming such credit or refund with respect to the same dividend payment. ABN AMRO's 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 roles. Certain criminal investigation proceedings relate to the activities of these entities and individuals involved at the time. This also resulted in search warrants being issued against ABN AMRO. ABN AMRO cooperates with these investigations. ABN AMRO has no knowledge of the results of any such investigation.
Furthermore, ABN AMRO frequently receives information requests from German authorities in relation to other related (criminal) investigations. ABN AMRO cooperates and provides the requested information to the extent possible. Although a number of subsidiaries associated with these transactions have been sold by means of a management buy-out, legal risks remain for ABN AMRO, in particular relating to criminal and civil law. All material tax issues with respect to ABN AMRO's reclaims for cum/ex transactions have been settled with the German tax authorities. With respect to cum/cum transactions, the German Federal Ministry of Finance released 2 circular rulings dated 9 July 2021 (published 15 July 2021) in which there is a change in interpretation of tax legislation compared to previous circular rulings. These new circular rulings require the German local tax authorities to recollect dividend withholding tax credited to taxpayers where such credits relate to cum/cum strategies. ABN AMRO has collected dividend withholding tax related to transactions that might be considered as cum/cum transactions under the new circular rulings. In anticipation of a decision of the German tax authorities, ABN AMRO has paid the relevant dividend withholding tax amounts. However, ABN AMRO has retained its rights to contest any such decision.
With respect to cum/cum securities lending transactions with German counterparties as borrowers, ABN AMRO is exposed to civil law compensation claims from these counterparties resulting from crediting entitlements that have been denied or will be reclaimed by the relevant German tax authorities. Based on the analyses performed, ABN AMRO considers it rather unlikely that such claims will be successful. However, it cannot be ruled out.
It cannot be excluded that ABN AMRO or subsidiaries will be faced with financial consequences as a result of their involvement in dividend stripping transactions, including penalties, interest charges and other measures under criminal law and civil law claims. It is currently unclear, however, how and when the German prosecution authorities' investigations will impact ABN AMRO and its subsidiaries and if and to what extent penalties or forfeiture orders will be imposed. It is also uncertain whether tax authorities or third parties will successfully claim amounts from ABN AMRO in (secondary) liability or other civil cases. Therefore, the financial impact cannot be reliably estimated at this time and no provision has been made in this respect.
The Netherlands Public Prosecution Service ("NPPS") is conducting an investigation regarding transactions which ultimately led to a set-off by a third party of dividend withholding tax credits against its corporate tax liabilities in the Netherlands during the period 2009-2013. The investigation of the NPPS is related to ongoing tax proceedings before the Dutch courts between the third party and the Dutch tax authority regarding the set-off by the third party of dividend withholding tax credits against its corporate tax liabilities. The District Court ruled in favour of this third party in 2018. The Court of Appeal annulled the ruling of the District Court and ruled in favour of the Netherlands tax authority in 2020. An appeal with the Supreme Court has been filed against the ruling of the Court of Appeal and is currently pending. The NPPS informed ABN AMRO that it is a suspect in the investigation due to its involvement in certain of these transactions. The NPPS is gathering information in connection with its investigation and ABN AMRO is cooperating with the investigation.
The timing of the completion of the investigation and the outcome are uncertain. It cannot be excluded that ABN AMRO will be faced with financial consequences as a result of the investigation. The potential financial impact of the investigation cannot be reliably estimated at this time and no provision has been made.
A number of proceedings have been initiated against ABN AMRO for alleged breach of its duty of care in transparency related standards. Where applicable, provisions for these matters have been made.
There can be no assurance that additional proceedings will not be instigated or that amounts demanded in claims brought to date will not rise. Current proceedings are pending and their outcome, as well as the outcome of any threatened proceedings, is uncertain, as is the timing of reaching any finality on these legal claims and proceedings. Although the consequences could be substantial for ABN AMRO and potentially affect its reputation, results of operations, financial condition and prospects, it is not possible to reliably estimate or quantify ABN AMRO's exposure at this time. These uncertainties are likely to continue for some time.
On 6 February 2010, the former ABN AMRO Bank N.V. demerged into two entities: NatWest Markets N.V. (formerly known as RBS N.V.) and ABN AMRO Bank N.V. On the division of an entity by demerger, Dutch law establishes a cross-liability between surviving entities for the benefit of the creditors at the time of the demerger. ABN AMRO's cross-liability amounts to EUR 1.2 billion (31 December 2021: EUR 1.2 billion), for which NatWestMarkets N.V. has posted collateral of EUR 0.4 billion (31 December 2021: EUR 0.4 billion).
Parties related to ABN AMRO Bank include NLFI, which has a controlling interest, the Dutch State, which has 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 described in IAS 24 paragraphs 25-27.
As part of its business operations, ABN AMRO frequently enters into transactions with related parties. Transactions conducted with the Dutch State are limited to normal banking transactions, taxation and other administrative relationships with the exception of items specifically disclosed in this note. Normal banking transactions relate to loans and deposits and are entered into under the same commercial and market terms that apply to non-related parties.
Loans and advances to the Executive Board members and their close family members, where applicable, consist mainly of residential mortgages granted under standard personnel conditions.
For further information, please refer to Note 35 of the Consolidated Annual Financial Statements 2021.
| (in millions) | Joint ventures | Associates | Other | Total |
|---|---|---|---|---|
| 30 June 2022 | ||||
| Assets | 20 | 39 | 59 | |
| Liabilities | 212 | 393 | 605 | |
| Guarantees given | ||||
| Irrevocable facilities | 22 | 22 | ||
| First half 2022 | ||||
| Income received | 21 | 1 | 22 | |
| Expenses paid | 5 | 49 | 142 | 196 |
| 31 December 2021 | ||||
| Assets | 15 | 180 | 195 | |
| Liabilities | 88 | 359 | 447 | |
| Guarantees given | 15 | 15 | ||
| Irrevocable facilities | 21 | 21 | ||
| First half 2021 | ||||
| Income received | 18 | 1 | 20 | |
| Expenses paid | 5 | 46 | 142 | 194 |
The EUR 141 million decrease in assets held in associates was mainly attributable to a decline in term loans held by financial corporations as a result of the divestment of Cofiloisirs S.A. in France.
The EUR 123 million increase in liabilities with joint ventures was mainly attributable to higher client deposits held in other financial corporations.
Expenses paid in the column Other reflects pension contributions paid to the ABN AMRO pension fund.
| (in millions) | 30 June 2022 | 31 December 2021 |
|---|---|---|
| Assets | ||
| Financial assets held for trading | 869 | 195 |
| Derivatives | 2 | 18 |
| Financial investments | 3,069 | 4,028 |
| Loans and advances customers | 96 | 168 |
| Liabilities | ||
| Financial liabilities held for trading | 581 | 192 |
| Derivatives | 43 | 125 |
| Due to customers | 457 | 466 |
| Other liabilities | 1 | 1 |
| First half 2022 | First half 2021 | |
| Income statement | ||
| Interest income | 28 | 36 |
| Interest expense | 13 | 13 |
| Net trading income | 40 | 76 |
On 1 April 2010, ABN AMRO signed an indemnity agreement with the Dutch State (currently represented by NLFI) for a shortfall in capital above a certain amount 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 increase of EUR 0.7 billion in financial assets held for trading was mainly attributable to higher positions in Dutch government bonds, as a result of primary dealership in the Netherlands and client facilitation. Most of these contracts are hedged with short positions in government bonds.
The decrease of EUR 1.0 billion in financial investments was mainly due to a decline in Dutch government bonds held, which are part of the liquidity buffer and are held for liquidity contingency purposes.
The increase of EUR 0.4 billion in financial liabilities held for trading related mainly to higher amounts of Dutch government bonds, as a result of primary dealership in the Netherlands and client facilitation. Most of these contracts are hedged with short positions in government bonds.
In anticipation of any future sell-downs by our majority shareholder, ABN AMRO has requested permission from the ECB in advance to buy back shares up to an amount of EUR 250 million. The share buyback aims to absorb part of the shares sold, regardless of a sell-down structure. The ECB has approved the buyback, conditional on a potential sell-down by the NLFI.
On 1 June 2022, ABN AMRO announced the sale of MP Solar B.V., which is a wholly owned subsidiary of ABN AMRO. The sale was completed in July 2022 and is expected to be a gain of around EUR 60 million. The gain from the sale will be recognised in the third quarter of 2022 in the Corporate Banking segment.
Interim Financial Statements 2022
We have reviewed the condensed consolidated interim financial statements included in the accompanying interim report of ABN AMRO Bank N.V. (hereinafter: ABN AMRO or the bank) based in Amsterdam for the period from 1 January 2022 to 30 June 2022.
Based on our review, nothing has come to our attention that causes us to believe that the condensed consolidated interim financial statements of ABN AMRO for the period from 1 January 2022 to 30 June 2022, are not prepared, in all material respects, in accordance with IAS 34, "Interim Financial Reporting" as adopted by the European Union.
The condensed consolidated interim financial statements comprise:
We conducted our review in accordance with Dutch law, including the Dutch Standard 2410, "Het beoordelen van tussentijdse financiële informatie door de accountant van de entiteit" (Review of interim financial information performed by the independent auditor of the entity). A review of interim financial information in accordance with the Dutch Standard 2410 is a limited assurance engagement. Our responsibilities under this standard are further described in the Our responsibilities for the review of the condensed consolidated interim financial statements section of our report.
We are independent of ABN AMRO in accordance with the Verordening inzake de onafhankelijkheid van accountants bij assurance-opdrachten (ViO, Code of Ethics for Professional Accountants, a regulation with respect to independence) and other relevant independence regulations in the Netherlands. Furthermore we have complied with the Verordening gedrags- en beroepsregels accountants (VGBA, Dutch Code of Ethics).
We believe the assurance evidence we have obtained is sufficient and appropriate to provide a basis for our conclusion.
Management is responsible for the preparation and presentation of the condensed consolidated interim financial statements in accordance with IAS 34, "Interim Financial Reporting" as adopted by the European Union. Furthermore, management is responsible for such internal control as it determines is necessary to enable the preparation of the condensed consolidated interim financial statements that are free from material misstatement, whether due to fraud or error.
The supervisory board is responsible for overseeing the bank's financial reporting process.
Our responsibility is to plan and perform the review in a manner that allows us to obtain sufficient and appropriate assurance evidence for our conclusion.
The level of assurance obtained in a review engagement is substantially less than the level of assurance obtained in an audit conducted in accordance with the Dutch Standards on Auditing. Accordingly, we do not express an audit opinion.
We have exercised professional judgment and have maintained professional skepticism throughout the review, in accordance with Dutch Standard 2410. Our review included among others:
Å Obtaining an understanding of internal control as it relates to the preparation of interim financial information.
Å Making inquiries of management and others within the bank.
Amsterdam, 9 August 2022
Ernst & Young Accountants LLP Signed by A.B. Roeders
[email protected] +31 20 6282 282
A conference call for analysts and investors will be hosted on Wednesday 10 August 2022 at 11:00 am CET (10:00 London time). To participate in the conference call, we strongly advise analysts and investors to pre-register for the call using the information provided on the ABN AMRO Investor Relations website. More information can be found on our website abnamro.com/ir.
[email protected] +31 20 6288 900
Gustav Mahlerlaan 10, 1082 PP Amsterdam P.O. Box 283, 1000 EA Amsterdam The Netherlands abnamro.com
Information on our website does not form part of this Interim Report, unless expressly stated otherwise.
ABN AMRO has included in this document, and from time to time may make certain statements in its public statements, that may constitute "forward-looking statements". This includes, without limitation, such statements that include the words "expect", "estimate", "project", "anticipate", "should", "intend", "plan", "probability", "risk", "Value-at-Risk ("VaR")", "target", "goal", "objective", "will", "endeavour", "outlook", "optimistic", "prospects" and similar expressions or variations of such expressions. In particular, the document may include forward-looking statements relating but not limited to ABN AMRO's potential exposures to various types of operational, credit and market risk. Such statements are subject to uncertainties.
Forward-looking statements are not historical facts and represent only ABN AMRO's current views and assumptions regarding future events, many of which are by nature inherently uncertain and beyond our control. Factors that could cause actual results to deviate materially from those anticipated by forward-looking statements include, but are not limited to, macroeconomic, demographic and political conditions and risks, actions taken and policies applied by governments and their agencies, financial regulators and private organisations (including credit rating agencies), market conditions and turbulence in financial and other markets, and the success of ABN AMRO in managing the risks involved in the foregoing.
Any forward-looking statements made by ABN AMRO are current views as at the date they are made. Subject to statutory obligations, ABN AMRO does not intend to publicly update or revise forward-looking statements to reflect events or circumstances after the date the statements were made, and ABN AMRO assumes no obligation to do so.
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