Stress test confirms ABN AMRO’s resilient capital position

Press release -

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 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

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

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.

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