ABN AMRO Bank N : Pillar 3 Report 2023

ABN AMRO Bank N.V.

Pillar 3 Report 2023

ABN AMRO Pillar 3 report 2023

Table of contents

1. Pillar 3 intro⁜

Notes to the reader⁜⠠尨⁜⠠	5
Key metrics and overview of RWEA⁜⠠尨⁜	7
EU KM1 - Key metrics template	8
EU OV1 - Overview of total risk exposure amounts	9
EU OVC - ICAAP information	10

Risk management objectives and policies	11
EU OVA - Institution risk management approach	11
EU OVB - Information on governance arrangements	11
Scope of application	28
EU LI1 - Differences between the accounting scope and the scope of prudential consolidation and
mapping of financial statement categories with regulatory risk categories	28
EU LI2 - Main sources of differences between regulatory exposure amounts and carrying values in
financial statements	30
EU LI3 - Outline of the differences in the scopes of consolidation (entity by entity)	31
EU LIA - Explanations of differences between accounting and regulatory exposure amounts	32
EU LIB - Other qualitative information on the scope of application	32
EU PV1 - Prudent valuation adjustments (PVA)	33

2. Own funds, leverage & liquidity⁜

Own funds	35
EU CC1 - Composition of regulatory own funds	36
EU CC2 - Reconciliation of regulatory own funds to balance sheet in the audited financial statements	40
EU CCA - Main features of regulatory own funds instruments and eligible liabilities instruments	41

Countercyclical capital buffer	46
EU CCyB1 - Geographical distribution of credit exposures relevant for the calculation of the
countercyclical capital buffer	46
EU CCyB2 - Amount of institution-specific countercyclical capital buffer	50

Leverage ratio	51
EU LR1 - LRSum - Summary reconciliation of accounting assets and leverage ratio exposures	51
EU LR3 - LRSpl -Split-up of on-balance sheet exposures (excluding derivatives, SFTs and
exempted exposures)	51
EU LR2 - LRCom - Leverage ratio common disclosure	52
EU LRA - Disclosure of LR qualitative information	53

Liquidity requirements	54
EU LIQA - Liquidity risk management	54
EU LIQ1 - Quantitative information of LCR	55
EU LIQB - Qualitative information on LCR, which complements template EU LIQ1	56
EU LIQ2 - Net Stable Funding Ratio	57

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ABN AMRO Pillar 3 report 2023

3. Credit risk⁜

Credit risk quality⁜⠠尨	61
EU CRA - General qualitative information about credit risk	61
EU CRB - Additional disclosure related to the credit quality of assets	64
EU CR1 - Performing and non-performing exposures and related provisions	69
EU CR1-A - Maturity of exposures	75
EU CR2 - Changes in the stock of non-performing loans and advances	75
EU CQ1 - Credit quality of forborne exposures	76
EU CQ3 - Credit quality of performing and non-performing exposures by past due days	78
EU CQ4 - Quality of non-performing exposures by geography	82
EU CQ5 - Credit quality of loans and advances by industry	85
EU CQ7 - Collateral obtained by taking possession and execution processes	87

Use of credit risk mitigation techniques	88
EU CRC - Qualitative disclosure requirements related to CRM techniques	88
EU CR3 - CRM techniques overview: Disclosure of the use of CRM techniques	90
Use of the standardised approach	91
EU CRD - Qualitative disclosure requirements related to standardised approach	91
EU CR4 - Standardised approach - Credit risk exposure and CRM effects	91
EU CR5 - Standardised approach	93
Use of the IRB approach to credit risk	97
EU CRE - Qualitative disclosure requirements related to IRB approach	97
EU CR6 - IRB approach - Credit risk exposures by exposure class and PD range	99
EU CR6-A - Scope of the use of IRB and SA approaches	118
EU CR7-A - IRB approach - Disclosure of the extent of the use of CRM techniques	119
EU CR8 - RWEA flow statements of credit risk exposures under the IRB approach	124
EU CR9 - IRB approach - Back-testing of PD per exposure class (fixed PD scale)	124
Specialised lending	133
EU CR10.5 - Equity exposures under the simple risk-weighted approach	133
Counterparty credit risk	135
EU CCRA - Qualitative disclosure related to counterparty credit risk (CCR)	135
EU CCR1 - Analysis of CCR exposure by approach	136
EU CCR2 - Transactions subject to own funds requirements for CVA risk	137
EU CCR3 - Standardised approach - CCR exposures by regulatory exposure class and risk weights	137
EU CCR4 - IRB approach - CCR exposures by portfolio and PD scale	139
EU CCR5 - Composition of collateral for exposures to CCR	150
EU CCR6 - Credit derivatives exposures	151
EU CCR8 - Exposures to CCPs	152

4. Securitisation, market & operational risk⁜

Exposure to securitisation positions	154
EU SECA - Qualitative disclosure requirements related to securitisation exposures	154
EU SEC1 - Securitisation exposures in the non-trading book	154
EU SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital
requirements - institution acting as investor	157

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ABN AMRO Pillar 3 report 2023

Market risk	160
EU MRA - Qualitative disclosure requirements related to market risk	160
EU MR1 - Market risk under the standardised approach	162
EU MRB - Qualitative disclosure requirements for institutions using the Internal Market Risk Models	162
EU MR2-A - Market risk under the Internal Market Approach	164
EU MR2-B - RWEA flow statements of market risk exposures under the IMA	164
EU MR3 - IMA values for trading portfolios	165
EU MR4 - Comparison of VaR estimates with gains/losses	165
EU IRRBBA - Qualitative information on interest rate risk of non-trading book activities	166
EU IRRBB1 - Interest rate risks of non-trading book activities	167

Operational risk	168
EU ORA - Qualitative information on operational risk	168
EU OR1 - Operational risk own funds requirements and risk-weighted exposure amounts⁜⠀	170

5. Remuneration⁜

Remuneration policy	173
EU REMA - Remuneration policy	173
EU REM1 - Remuneration awarded for the financial year	187
EU REM2 - Special payments to staff whose professional activities have a material impact on institutions'
risk -profile (identified staff)	188
EU REM3 - Deferred remuneration	189
EU REM4 - Remuneration of EUR 1 million or more per year	191
EU REM5 - Information on remuneration of staff whose professional activities have a material impact on
institutions' risk profile (identified staff)	191

6. Other⁜

Encumbered and unencumbered assets	193
EU AE1 - Encumbered and unencumbered assets	193
EU AE2 - Collateral received and own debt securities issued	194
EU AE3 - Sources of encumbrance	194
EU AE4 - Accompanying narrative information	195

ESG disclosures	196
Table 1, 2 and 3 - Qualitative information on Environmental risk, Social risk and Governance risk	196
ESG1 - Banking book- Climate Change transition risk: Credit quality of exposures by sector, emissions and
residual maturity	233
ESG2 - Banking book - Climate change transition risk: Loans collateralised by immovable property -
Energy efficiency of the collateral	242
ESG4 - Banking book - Climate change transition risk: Exposures to top 20 carbon-intensive firms	245
ESG5 - Banking book - Climate change physical risk: Exposures subject to physical risk	246
ESG6 - Summary of GAR KPIs	250
ESG7 - Mitigating actions: Assets for the calculation of GAR	251
ESG8 - GAR (%)	255
ESG10 - Other climate change mitigating actions that are not covered in the EU Taxonomy	258
Disclaimer & cautionary statements	261

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1.Pillar 3 intro

ABN AMRO Pillar 3 Report 2023

About this report

Welcome to ABN AMRO's 2023 Pillar 3 Report.

The purpose of this report is to provide information about ABN AMRO's regulatory capital adequacy, risk exposure, risk management, remuneration and ESG exposures and risks.

Our annual reporting suite

Every year we publish our annual reporting suite, combining relevant annual disclosures on our performance of the year and other topics. Our Integrated Annual Report is our primary statutory and regulatory reporting disclosure. In addition, we publish other reports, including the bank's Impact Report, Pillar 3 Report and Human Rights Update.

Though published as part of our annual reporting suite, all reports (including this Pillar 3 Report) have their own individual purpose and should be read as a separate report. Content in this report may draw on the Integrated Annual Report, but should not be seen as a substitute for it.

Notes to the reader

This Pillar 3 Report provides the consolidated disclosures of ABN AMRO Bank N.V. required by Capital Requirements Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms (Part Eight) and the final draft Implementing Technical Standards (ITS) on public disclosures by institutions of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013. The Pillar 3 Report 2023 includes all the required disclosures, which have been prepared in accordance with the regulations mentioned above.

Presentation of information

This report is presented in euros (EUR), which is ABN AMRO's functional and presentation currency, rounded to the nearest million (unless otherwise stated). Certain figures in this report may not tally exactly due to rounding. Furthermore, certain percentages in this document have been calculated using rounded figures. The capital figures in the Pillar 3 Report are based on CRR fully-loaded figures, as the phase-in period came to an end on 1 January 2023. The figures presented in this document are not required to be, nor have they been, audited or reviewed by our external auditor. In this report, the terms 'risk-weighted assets (RWA)' and 'risk-weighted exposure amount (RWEA)' are used interchangeably. Similarly, this report may use the terms 'banking book' and 'non-trading book' interchangeably.

Waiver policy (omitting templates and tables)

In accordance with Article 432 of the CRR, ABN AMRO may omit one or more of the required disclosures where the information provided by those disclosures is not regarded as material or is not applicable to its operations. Information in disclosures is regarded as material where its omission or misstatement could change or influence the assessment or decision of a user of that information relying on it for the purpose of making economic decisions.

ABN AMRO shall, in accordance with Article 432 of the CRR, explain the reasons for omitting any information required in the templates and tables included in the final draft ITS.

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ABN AMRO Pillar 3 Report 2023

The following templates have been identified as not applicable to ABN AMRO and are therefore not included in this report:

• EU INS1 - Insurance participations and EU INS2 - Financial conglomerates information on own funds and capital adequacy ratio are not applicable as we do not apply the option provided for in CRR article 49.1 of not deducting investments in insurance subsidiaries from regulatory capital. Instead, we record investments in insurance subsidiaries under significant investments in accordance with CRR article 48.
• This ITS applies a 5% NPE ratio threshold at Consolidated level. ABN AMRO is below this 5% threshold and for that reason parts of and/or complete tables for EU CR2a, EU CQ2, EU CQ6 and EU CQ8 are not applicable.
• EU CR7 - IRB approach - Effect on the RWEA of credit derivatives used as CRM techniques: ABN AMRO does not typically secure its credit exposure by buying protection via credit derivatives. At present, the credit derivatives ABN AMRO has are not used for RWEA reduction via credit risk mitigation. ABN AMRO does use credit derivatives to hedge CVA risk.
• EU CR9.1 - IRB approach - Back-testing of PD per exposure class (only for PD estimates according to point (f) of article 180(1) CRR) is not applicable as we do not apply Article 180(1)(f).
• EU CR10 - Specialised lending and equity exposures under the simple risk-weighted approach: Templates EU CR10.1 - EU CR10.4 are for specialised lending calculated based on the slotting approach, which is not applied by ABN AMRO. These templates are therefore not applicable to ABN AMRO.
• EU CCR7 - RWEA flow statements of CCR exposures under the IMM: ABN AMRO does not use the Internal Model Method (IMM) methodology for measuring the EAD for counterparty credit risk exposures. Instead, we apply the Standardised Approach for Counterparty Credit Risk (SA-CCR)to calculate the EAD for derivatives and the Financial Collateral Comprehensive Method (FCCM) for securities financing transactions (CRR 220/222). Therefore, this template is not applicable.
• EU SEC2 - Securitisation exposures in the trading book: ABN AMRO does not have any exposure to securitisation positions in its trading book.
• EU SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - Bank acting as originator or as sponsor: As at 31 December 2023 there are no securitisation positions of which ABN AMRO is the originator or sponsor.
• EU SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments: ABN AMRO does not have the role of originator or sponsor in any of the securitisation transactions, therefore there are no 'exposures securitised by the institution'.

Comparative figures for first-time reporting of new or adjusted templates

Comparative figures for first-time reporting of new templates or templates adjusted by the final draft ITS are not required to be disclosed. ABN AMRO discloses comparative figures for comparability and analytical purposes, if available. As a result, narratives of new or adjusted templates might not provide explanations at a detailed level.

Regulation implemented

As from 31 December 2022, ABN AMRO has disclosed information on environmental, social and governance risks (ESG risks), including physical risks and transition risks. Additional ESG disclosure requirements became effective from Q4 2023 Pillar 3 reporting onwards. In March 2021 EBA published a Consultation Paper, followed by the final ITS on ESG disclosures on 24 January 2022. The ITS supports comparable disclosures that show how climate change may exacerbate other risks within banks' balance sheets, how banks are mitigating those risks and banks' exposures to sustainable activities. The framework allows investors and stakeholder to compare sustainability performances of banks. The ITS entered into force in June 2022. ABN AMRO's first disclosure was included in the 2022 Pillar 3 Report. From then onwards, disclosure is made biannually. The qualitative disclosures (tables 1, 2 and 3) and templates 1, 2, 4, 5 and 10 were applicable from 31 December 2022, whereas templates 6, 7 and 8 are effective from 31 Decemeber 2023, template 3 from 30 June 2024 and template 9 (voluntary) from 31 December 2024.

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ABN AMRO Pillar 3 Report 2023

Key metrics and overview of RWEA

Highlights

• The CET1 ratio under Basel III decreased to 14.3% (30 September 2023: 15.0%), mainly due to the decrease in CET1 capital and an increase in RWEA.
• Total RWEA increased to EUR 140.2 billion (30 September 2023: EUR 136.6 billion), mainly reflecting a rise in credit risk RWEA and, to a lesser extent, market risk RWEA, partly offset by a decrease in operational risk RWEA. Credit risk RWEA increased mainly due to model updates, partly offset by seasonal business developments.
• Total capital decreased to EUR 26.3 billion (30 September 2023: EUR 27.0 billion), mainly due to the permission granted by the ECB for a third share buyback of EUR 500 million.
• The leverage ratio increased to 5.3% as of 31 December 2023 (30 September 2023: 5.2%), mainly due to a seasonal decrease in on-balance sheet exposures, partly offset by the deduction of the share buyback from Tier 1 capital.
• The banks' consolidated LCR was 144% at the end of December 2023, based on a 12-month rolling average. This is in line with the previous quarter (30 September 2023: 144%).
• The NSFR increased to 140% (30 September 2023: 135%). This was mainly due to the increase in available stable funding as a result of increased client deposit volume.

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ABN AMRO Pillar 3 Report 2023

EU KM1 - Key metrics template

		A	B	C	D	E
(in millions)	31 December	30 September	30 June	31 March	31 December
2023	2023	2023	2023	2022
	Available own funds (amounts)
1	Common Equity Tier 1 (CET1) capital	20,003	20,544	20,051	19,727	19,507
2	Tier 1 capital	21,985	22,526	22,033	21,709	21,489
3	Total capital	26,264	26,981	26,522	25,587	26,938
	Risk-weighted exposure amounts (RWEA)
4	Total RWEA	140,187	136,570	134,487	131,748	128,593
	Capital ratios (as % of RWEA)
5	Common Equity Tier 1 ratio (%)	14.3%	15.0%	14.9%	15.0%	15.2%
6	Tier 1 ratio (%)	15.7%	16.5%	16.4%	16.5%	16.7%
7	Total capital ratio (%)	18.7%	19.8%	19.7%	19.4%	20.9%

Additional own funds requirements to address risks other than the risk of excessive leverage (as % of RWEA)

EU 7a Additional own funds requirements to address risks other than the risk of excessive leverage (%)

EU 7b - of which to be made up of CET1 capital (percentage points) EU 7c - of which to be made up of Tier 1 capital (percentage points) EU 7d Total SREP own funds requirements (%)

Combined buffer requirement (as % of RWEA)

8 Capital conservation buffer (%)

EU 8a Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%)

1. Institution specific countercyclical capital buffer (%) EU 9a Systemic risk buffer (%)
2. Global Systemically Important Institution buffer (%)

EU	Other Systemically Important Intitution buffer
10a
11	Combined buffer requirement (%)
EU	Overall capital requirements (%)
11a

12 CET1 available after meeting the total SREP own funds requirements

(%)

Leverage ratio

1. Total exposure measure
2. Leverage ratio (%)

	Additional own funds requirements to address risks of
	excessive leverage (as % of total exposure amount)
EU	Additional own funds requirements to address the risk of excessive
14a	leverage (%)
EU	- of which to be made up of CET1 capital (percentage points)
14b
EU	Total SREP leverage ratio requirements (%)
14c	Leverage ratio buffer and overall leverage ratio requirement
	(as % of total exposure measure)
EU	Leverage ratio buffer requirement (%)
14d
EU	Overall leverage ratio requirements (%)
14e	Liquidity Coverage Ratio
15	Total high-quality liquid assets (HQLA) (Weighted value-average)
EU	Cash outflows - Total weighted value
16a
EU	Cash inflows - Total weighted value
16b

1. Total net cash outflows (adjusted value)
2. Liquidity coverage ratio (%)
   Net Stable Funding Ratio
3. Total available stable funding
4. Total required stable funding
5. NSFR ratio (%)

2.0%	2.0%	2.0%	2.0%	2.0%
1.1%	1.1%	1.1%	1.1%	1.1%
1.5%	1.5%	1.5%	1.5%	1.5%
10.0%	10.0%	10.0%	10.0%	10.0%
2.5%	2.5%	2.5%	2.5%	2.5%
0.95%	0.95%	0.90%	0.13%	0.10%
1.5%	1.5%	1.5%	1.5%	1.5%
4.95%	4.95%	4.90%	4.13%	4.10%
14.95%	14.95%	14.90%	14.13%	14.10%
8.18%	8.99%	8.88%	8.98%	9.21%
412,957	433,088	436,936	437,797	413,525
5.3%	5.2%	5.0%	5.0%	5.2%

3.0%

3.0%

3.0%

3.0%

3.0%

3.0%	3.0%	3.0%	3.0%	3.0%
97,015	99,135	101,705	101,867	103,019
96,333	97,979	100,475	102,075	103,038
29,122	28,991	29,721	30,734	31,664
67,211	68,988	70,754	71,341	71,374
144%	144%	144%	143%	144%
263,379	256,293	258,856	254,557	252,330
188,458	189,393	188,669	186,860	189,530
140%	135%	137%	136%	133%

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ABN AMRO Pillar 3 Report 2023

On 31 December 2023, the CET1 ratio under Basel III was 14.3% (30 September 2023: 15.0%). In comparison with Q3 2023, the CET1 ratio decreased mainly due to a decrease in CET1 capital and an increase in RWEA. Total RWEA increased by EUR 3.6 billion compared to 30 September 2023, mainly reflecting a rise in credit risk RWEA due to EUR

3.8 billion for model updates, partly offset by seasonal business developments. The model updates are related to a review of the Corporates PD model and the transfer of portfolios to the Standardised and IRB/Foundation approach. CET1 capital decreased, mainly due to the permission granted by the ECB for a third share buyback of EUR 500 million. This decrease was partly offset by the addition of the Q4 2023 net profit of EUR 545 million, excluding a 50% dividend reservation. All capital ratios were in line with the bank's risk appetite and comfortably above regulatory requirements.

EU OV1 - Overview of total risk exposure amounts

		A	B	C	D	E	F
			31 December 2023	30 September 2023	31 December 2022
(in millions)		Total own funds		Total own funds		Total own funds
TREA	requirements	TREA	requirements	TREA	requirements
1	Credit risk (excluding CCR)	115,996	9,280	111,711	8,937	104,939	8,395
2	- of which the Standardised Approach	5,848	468	6,176	494	7,134	571
3	- of which the foundation IRB (F-IRB)	10,848	868	11,086	887	10,144	812
	approach1)
4	- of which slotting approach
EU 4a	- of which equities under the simple risk-
	weighted approach	2,358	189	2,160	173	1,923	154
5	- of which the advanced IRB (A-IRB)
	approach	63,895	5,112	63,201	5,056	61,533	4,923

1. Counterparty Credit Risk (CCR)
2. - of which the Standardised Approach
3. - of which internal model method (IMM) EU 8a - of which exposures to a CCP

EU 8b - of which credit valuation adjustment (CVA)

9 - of which other CCR

1. Settlement risk
2. Securitisation exposures in the non-trading book (after the cap)
3. - of which SEC-IRBA approach
4. - of which SEC-ERBA (including IAA)
5. - of which SEC-SA approach

EU 19a - of which 1250%

1. Position, foreign exchange and commodities risks (Market risk)
2. - of which Standardised Approach
3. - of which IMA

EU	Large exposures
22a

23 Operational risk

EU 23a - of which basic indicator approach

EU

23b - of which Standardised Approach EU 23c - of which advanced measurement

approach

6,494	519	6,966	557	5,428	434
3,027	242	3,160	253	2,794	224
713	57	568	45	413	33
261	21	302	24	274	22
2,492	199	2,937	235	1,947	156

277	22	237	19	253	20
47	4	22	2	19	1
230	18	215	17	235	19
1,956	156	2,191	175	2,005	160
2		2		2
1,954	156	2,189	175	2,003	160
15,465	1,237	15,465	1,237	15,967	1,277
				533	43
15,465	1,237	15,465	1,237
				15,434	1,235

24 Amounts below the thresholds for deduction (subject to 250% risk

weight) (For information)	1,304	104	1,297	104	1,495	120
29 Total	140,187	11,215	136,570	10,926	128,593	10,287

1. Following EBA's instructions for this template, the amount reported under F-IRB also includes Other non-credit obligation assets.
2. Following EBA's instructions for this template, the amount of which the advanced IRB approach is excluding Equity exposures subject to risk weights and CIU exposures subject to the fall-back approach.

Total RWEA increased by EUR 3.6 billion compared to 30 September 2023, mainly reflecting a rise in credit risk RWEA due to model updates, partly offset by seasonal business developments. The model updates are related to a review of the Corporates PD model and the impact of future portfolio transfers to the standardised and IRB/Foundation

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