ABN AMRO Bank successfully passes European stress test

Press release -

ABN AMRO Bank was subject to the 2010 EU-wide stress testing exercise coordinated by the Committee of European Banking Supervisors (CEBS), in cooperation with the European Central Bank (ECB), and the Dutch Central Bank (DNB).


ABN AMRO Bank acknowledges the outcome of the EU-wide stress test for ABN AMRO Bank N.V. ABN AMRO Bank confirms today that the estimated stressed tier 1 capital ratio of 10.3% in 2011 comfortably exceeds the minimum tier 1 capital ratio of 6% as set by the CEBS under the scenario developed for the purpose of this EU-wide exercise. Further details on the stress test can be found on pages 3 to 5 of the pdf attached​ (PDF 108 KB).

This stress test is in addition to the risk management procedures and regular stress testing programmes set up in ABN AMRO Bank under the Pillar 2 framework of the Basel II and Capital Requirements Directive (CRD), as incorporated in the relevant Dutch legislation.

The exercise was conducted using the scenarios, methodology and key assumptions provided by CEBS (for further details, please see the aggregate report published on the CEBS website www.c-ebs.org). As a result of the assumed shock under the adverse scenario, the estimated Tier 1 capital ratio would be 10.3% in 2011. An additional sovereign risk scenario would have a further impact of 40 basis points on the estimated Tier 1 capital ratio, bringing it to 9.9% at the end of 2011.

The results of the stress test suggest a buffer of EUR 5,531 million of Tier 1 capital against the threshold of 6% of Tier 1 capital adequacy ratio for ABN AMRO Bank agreed exclusively for the purposes of this exercise. This threshold should by no means be interpreted as a regulatory minimum (the regulatory minimum BIS ratio for the Tier 1 capital is set at 4%), nor as a capital target reflecting the risk profile of ABN AMRO Bank determined as a result of the supervisory review process in Pillar 2 of the CRD.

ABN AMRO Bank was subject to the 2010 EU-wide stress testing exercise coordinated by the Committee of European Banking Supervisors (CEBS), in cooperation with the European Central Bank (ECB), and the Dutch Central Bank (DNB). ABN AMRO Bank acknowledges the outcome of the EU-wide stress test for ABN AMRO Bank N.V. ABN AMRO Bank confirms today that the estimated stressed tier 1 capital ratio of 10.3% in 2011 comfortably exceeds the minimum tier 1 capital ratio of 6% as set by the CEBS under the scenario developed for the purpose of this EU-wide exercise. Further details on the stress test can be found on pages 3 to 5.

The results of the stress test were extensively discussed with and endorsed by DNB.

Given that the stress test was carried out under a number of key common simplifying assumptions (e.g. constant balance sheet) the information on the benchmark scenario is provided only for comparison purposes and should in no way be construed as a forecast.

In the interpretation of the outcome of the exercise, it is imperative to differentiate between the results obtained under the different scenarios developed for the purposes of the EU-wide exercise. The results of the adverse scenario should not be considered as representative of the current situation or possible present capital needs. A stress testing exercise does not provide forecasts of expected outcomes since the adverse scenarios are designed as "what-if" scenarios including plausible but extreme assumptions, which are therefore not very likely to materialise. Different stresses may produce different outcomes depending on the circumstances of each institution.

For further information, please contact:

ABN AMRO Bank Press Office
pressrelations@nl.abnamro.com
+ 31 (0)20 6288900

ABN AMRO Bank Investor Relations
Investorrelations@nl.abnamro.com
+ 31 (0)20 3830517


 

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