Handout to the introduction by
Jan Sijbrand
during the press conference announcing the Comprehensive
Assessment
Amsterdam, 26 October 2014
1. Results of the Asset Quality Review (AQR)
Common Equity Tier 1 capital as a percentage of risk-weighted assets
23.7%
15.5%
14.9% 14.5% 14.5%
75.5%
21.8%
72.5%
12.8%
12.0% 12.2% 12.1%
10.4% 10.1%
8.0%
ING Bank
Rabobank
ABN Amro
SNS Bank
Year-end 2013
RBS NV
Adjusted for AQR
Source: AQR, Stress Test and Join-up templates, Strategy& analysis
BNG Bank
NWB Bank
2. Results of the Comprehensive Assessment (CA)
– baseline scenario
Common Equity Tier 1 capital as a percentage of risk-weighted assets
23.7%
15.5%
12.8%
10.4% 10.4%
11.2%
15.0%
12.2% 12.5%
14.5%
13.3%
21.3%
75.5%
72.6%
8.0%
ING Bank
Rabobank
ABN Amro
SNS Bank
Year-end 2013
RBS NV
Results of baseline scenario
Source: AQR, Stress Test and Join-up templates, Strategy& analysis
BNG Bank
NWB Bank
3. Results of the Comprehensive Assessment (CA)
– adverse scenario
Common Equity Tier 1 capital as a percentage of risk-weighted assets
23.7%
15.5%
12.8%
14.5%
12.2%
10.4%
8.7%
17.3%
8.4%
75.5%
9.1%
6.8%
54.0%
7.2%
5.5%
ING Bank
Rabobank
ABN Amro
Year-end 2013
SNS Bank
RBS NV
Results of adverse scenario
Source: AQR, Stress Test and Join-up templates, Strategy& analysis
BNG Bank
NWB Bank
4. AQR results by country
Total and average CET1 impact by country before taxes
Total CET1
capital impact
before taxes
in EUR billion
Average 1)
CET1 ratio
impact
12.0
12
4.0%
11
3.5%
10
9
8
3.0%
7.6
2.5%
6.7
7
5.6
6
5
2.0%
1.5%
3.8
4
3.0
3.0
3
2
1.6
1.1
1
0.2
0
GR
CY
SI
0.1
PT
AT
LV
0.1
IT
EE
0.8
FI
1.2
0.0 0.1
MT
Average CET1 ratio adjustment
1) Risk-weighted assets (RWA) of the banks
Source: Disclosure templates, Strategy& analysis
SK
0.0
BE
NL
DE
LT
0.7
IE
1.0%
0.5%
0.1
LU
0.0%
FR
ES
Impact on CET1 capital (before taxes)
5
5. CA results by country
Total and average CET1 impact by country, after taxes
Total CET1
capital impact
after taxes,
in EUR billion
Average1)
CET1 ratio
impact
50
47.2
49.2
46.9
18%
45
16%
40
14%
35
12%
30
25
22.5
20
5
0
6%
13.0
10.9
8.0
10
0.1
8%
18.5
15.2
15
10%
22.5
3.2
1.4
4%
3.7
1.2
0.2 0.1
2%
0.1
0%
-0.2
-5
MT
SI
GR
BE
PT
IE
CY
Average CET1 ratio adjustment
LU
IT
AT
DE
FI
NL
FR
SK
LV
LT
ES
-2%
EE
Impact on CET1 capital (after taxes, incl. RWA increase2))
1) Risk-weighted assets (RWA) of the banks
2) Impact based on 5.5% capital requirement
Source: Disclosure templates, Strategy& analysis
6
6. Build-up of AQR capital impact
Dutch banks - In EUR billion
0.5
3.8
-1.0
3.8
20%
1.4
2.8
0.6
1.2
Loan files Extrapolation Collective
provisions
Trading
book &
CVA1)
Impact
before
taxes
Tax
effect
Impact
after
taxes
IFRS /
non-IFRS
Possible IFRS findings
1) Credit valuation adjustment is credit risk for derivatives
Source: AQR templates, Strategy& analysis
7
7. AQR results by type of portfolio
Before taxes - In EUR million
Corporate
1,743
NL commercial
real estate
858
Trading book
& CVA1)
549
Mortgages
Small SME
ING Bank
397
226
Rabobank
ABN Amro
SNS Bank
RBS NV
BNG Bank
1) Credit valuation adjustment is credit risk for derivatives
Note: NL commercial real estate contains the Dutch portfolios of ING, Rabobank and ABN Amro
Source: AQR templates, Strategy& analysis
NWB Bank
8
8. Comparison with commercial real estate AQR
For ING, Rabobank and ABN Amro in the Netherlands after taxes – in EUR million
858
224
Tax effect
634
Capital impact
~650
Additional capital requirement1)
Commercial real estate AQR
2013
Impact
SSM AQR
2014
1) Capital impact for commercial real estate AQR relates to an estimate for the Dutch portfolios.
Note: The methodology used was different for both examinations.
Source: DNB, Strategy& analysis
9
9. Aggregated impact on the capital
For the Dutch banks in adverse stress test scenario – in EUR billion
32.3
-7.6
-28.5
-3.3
-3.0
Operating
profit
Decrease in Credit losses on
interest
loans
income
AFS nonrealised
losses
1) Impact based on 5.5% capital requirement
Source: Stress test templates, Strategy& analysis
Other
-5.6
-15.6
Increase
of RWA1)
Impact
after
taxes
10
10. Capital strengthening 2008 - 2014
Total for all SSM banks – in EUR billion
50,0
48.8
9.5
Shortage in CA
after taxes
40.5
Capital
strengthening
38.8
32.1
26.3
2008
2009
2010
25.5
2011
2012
26.9
2013
As at
October
2014
Note: Figures for 2018-2013 relate to capital strengthenings for the 30 largest participating banks.
Source: ECB aggregate report on the Comprehensive Assessment, Strategy& analysis
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