ABN AMRO discloses preliminary outcome of capital requirements for 2024

The Pillar 2 requirement (P2R) is proposed to increase by 0.25% to 2.25%. The increase mainly reflects improvements required in the area of BCBS 239 compliancy and the internal rating-based approach.

Under this preliminary outcome, the pro forma CET1 requirement at the end of second quarter 2023 would become 10.7%. This consists of a Pillar 1 requirement of 4.5%, a Pillar 2 requirement of 2.25%, a capital conservation buffer of 2.5%, a 1.5% O-SII buffer and a 0.9% countercyclical buffer. The Pillar 2 requirement may be partially filled by AT1 and T2 capital instruments.

ABN AMRO’s CET1 position of 14.9% at the end of the second quarter of 2023 is well above the CET1 requirement of 10.7% under this preliminary SREP outcome.