ABN AMRO confirms capital requirements for 2020

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The Supervisory Review and Evaluation Process ("SREP") for ABN AMRO Bank conducted by the ECB has resulted in a total CET1 requirement for 2020 of 12.09%.

The SREP requirement consists of a Pillar 1 minimum requirement of 4.5%, a 2% Pillar 2 requirement, a capital conservation buffer of 2.5% and a 3% systemic risk buffer imposed by the Dutch Central Bank. The counter cyclical buffer for 2020 is 0.09% currently.

The Pillar 2 requirement for 2020 increased by 0.25% compared to 2019 reflecting improvements required in credit risk models and processes, and our Detecting Financial Crime activities. As stated previously, we expect the TRIM reviews (the regulatory assessment and harmonisation of internal RWA models) to have an impact on RWAs in 2020.

ABN AMRO’s CET1 position of 18.2% at the end of the third quarter of 2019 is well above the required minimum of 12.09%. If year-to-date profit attributable to owners of the parent company, excluding AT1 capital securities, had been added based on last year’s 62% payout ratio, the pro forma CET1 ratio would have been 18.8%.

The Maximum Distributable Amount (MDA) trigger level under Basel III for 2020 is 12.09%.

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