ABN AMRO press release: Stress test confirms ABN AMRO's resilient capital position
02 Novembro 2018 - 2:11PM
Stress test confirms ABN AMRO's
resilient capital position
-
The EBA has performed an
EU-wide stress test which resulted in a decline of the CET1 capital
ratio of 2.68% to 14.85% at year-end 2020 under the adverse
scenario
-
The stress test does not
contain a pass or fail threshold
-
The regulator will use the
result of the stress test in the upcoming SREP process
Today, the European Banking Authority (EBA)
published the results of the 2018 EU-wide stress test for European
banks, including ABN AMRO. The starting point for the stress test
was a 17.53% CET1 ratio, adjusted for IFRS9, at year-end 2017. The
stress test resulted in a CET1 capital ratio of 19.70% under the
baseline scenario and a CET1 capital ratio of 14.85% under the
adverse scenario, both at year-end 2020.
The stress test is designed by regulators and is
used in determining capital requirements as part of the upcoming
Supervisory Review and Evaluation Process (SREP). It allows the
regulator to assess the ability to meet prudential requirements
under stressed scenarios. It supports the regulator in discussing
risk mitigating actions. The stress test also aims to enhance
transparency among banks. This stress test does not contain a pass
or fail threshold.
Scenarios and
assumptions
The adverse stress test scenario was set by the European Central
Bank and the European Systemic Risk Board and covers a three-year
time horizon (2018-2020). The stress test has been carried out
applying a static balance sheet assumption and therefore does not
take into account future management actions. It is not a forecast
of ABN AMRO profits.
The baseline scenario, mainly impacting net
interest income, resulted in a fully loaded CET1 ratio of 19.70%
and a leverage ratio of 4.58%, both at year-end 2020. The adverse
scenario, also impacting loan impairments, operating costs and
risk-weighted assets, resulted in a decline of the CET1 ratio to
14.85% and a leverage ratio of 4.03%.
Key capital ratios |
|
Starting point |
EBA EU-wide stress test results |
|
|
Reported
YE2017 |
Restated for IFRS9
YE2017 |
Baseline
scenario
YE2020 |
Adverse
scenario
YE2020 |
CET1 ratio, fully
loaded |
|
17.65% |
17.53% |
19.70% |
14.85% |
Leverage
ratio |
|
4.04% |
4.02% |
4.58% |
4.03% |
The CET1 ratio in both scenarios was well above
the SREP requirement for 2018 of 10.425%[1].
The outcome of this stress test will be taken in consideration by
the regulator when determining the SREP requirements for 2019. ABN
AMRO continues to aim for strong capital ratios, even under stress,
as part of its moderate risk profile.
The outcome of this stress test reflects upgrades
of our stress testing models since 2016 to better accommodate
specific assumptions and methodological requirements prescribed in
the stress test.
Templates with detailed results of the EBA EU-wide
stress test are available on www.abnamro.com/financials
and www.eba.europa.eu.
ABN AMRO Press Office
pressrelations@nl.abnamro.com
+31 20 6288900 |
ABN AMRO Investor Relations
investorrelations@nl.abnamro.com
+31 20 6282282 |
[1]
The SREP for 2018 requires a CET1 of 10.425%,
which is composed of 4.5% Pillar I, 1.75% Pillar 2R, 75% of 5.5%
Combined Buffer Requirement and 5bps Countercyclical Capital
Buffer.
EBA stress test ABN AMRO
2018
This
announcement is distributed by West Corporation on behalf of West
Corporation clients.
The issuer of this announcement warrants that they are solely
responsible for the content, accuracy and originality of the
information contained therein.
Source: ABN AMRO via Globenewswire
Abn Amro (NYSE:ABN)
Gráfico Histórico do Ativo
De Mai 2024 até Jun 2024
Abn Amro (NYSE:ABN)
Gráfico Histórico do Ativo
De Jun 2023 até Jun 2024