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Risk management (Tables) | 6 Months Ended
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Jun. 30, 2024
Risk management [abstract] |
Gross carrying amount per IFRS 9 stage and rating class |
Gross carrying amount per IFRS 9 stage and rating class (*) 2
in € million | 12-month ECL (Stage 1) | Lifetime ECL not credit impaired (Stage 2) | Lifetime ECL credit impaired (Stage 3) | Total
30 June 2024
Rating class | Gross Carrying Amount | Provisions | Gross Carrying Amount | Provisions | Gross Carrying Amount | Provisions | Gross Carrying Amount | Provisions
Investment grade | 1 (AAA) | 97,215 |  | 1 |  | 61 |  |  |  |  |  |  | 97,276 |  | 1 |
2-4 (AA) | 137,427 |  | 6 |  | 1,512 |  | 1 |  |  |  |  | 138,939 |  | 7 |
5-7 (A) | 240,731 |  | 19 |  | 4,419 |  | 7 |  |  |  |  | 245,151 |  | 25 |
8-10 (BBB) | 312,399 |  | 63 |  | 18,634 |  | 24 |  |  |  |  | 331,033 |  | 88 |
Non-Investment grade | 11-13 (BB) | 158,219 |  | 218 |  | 15,684 |  | 78 |  |  |  |  | 173,903 |  | 296 |
14-16 (B) | 28,681 |  | 173 |  | 17,843 |  | 380 |  |  |  |  | 46,523 |  | 554 |
17 (CCC) | 851 |  | 15 |  | 4,231 |  | 201 |  |  |  |  | 5,082 |  | 216 |
Substandard grade | 18 (CC) |  |  |  |  | 4,617 |  | 318 |  |  |  |  | 4,617 |  | 318 |
19 (C) |  |  |  |  | 1,967 |  | 179 |  |  |  |  | 1,967 |  | 179 |
Non-performing loans | 20-22 (D) |  |  |  |  |  |  |  |  | 13,459 |  | 4,432 |  | 13,459 |  | 4,432 |
Total | 975,522 |  | 494 |  | 68,969 |  | 1,190 |  | 13,459 |  | 4,432 |  | 1,057,950 |  | 6,117 |
Gross carrying amount per IFRS 9 stage and rating class (*)1,2
in € million | 12-month ECL (Stage 1) | Lifetime ECL not credit impaired (Stage 2) | Lifetime ECL credit impaired (Stage 3) | Total
31 December 2023
Rating class | Gross Carrying Amount | Provisions | Gross Carrying Amount | Provisions | Gross Carrying Amount | Provisions | Gross Carrying Amount | Provisions
Investment grade | 1 (AAA) | 87,071 |  | 1 |  | 439 |  |  |  |  |  |  |  | 87,510 |  | 1 |
2-4 (AA) | 132,159 |  | 8 |  | 2,553 |  | 2 |  |  |  |  |  | 134,711 |  | 9 |
5-7 (A) | 231,018 |  | 24 |  | 6,188 |  | 6 |  |  |  |  |  | 237,206 |  | 30 |
8-10 (BBB) | 302,967 |  | 85 |  | 17,004 |  | 24 |  |  |  |  |  | 319,971 |  | 108 |
Non-Investment grade | 11-13 (BB) | 157,387 |  | 226 |  | 19,273 |  | 93 |  |  |  |  |  | 176,661 |  | 319 |
14-16 (B) | 26,414 |  | 164 |  | 19,336 |  | 455 |  |  |  |  |  | 45,750 |  | 618 |
17 (CCC) | 617 |  | 10 |  | 4,125 |  | 233 |  |  |  |  |  | 4,742 |  | 242 |
Substandard grade | 18 (CC) |  |  |  |  | 4,617 |  | 402 |  |  |  |  |  | 4,617 |  | 402 |
19 (C) |  |  |  |  | 1,919 |  | 221 |  |  |  |  |  | 1,919 |  | 221 |
Non-performing loans | 20-22 (D) |  |  |  |  |  |  |  |  | 11,956 |  | 3,887 |  | 11,956 |  | 3,887 |
Total | 937,633 |  | 517 |  | 75,454 |  | 1,435 |  | 11,956 |  | 3,887 |  | 1,025,043 |  | 5,839 |
1 Includes impact from change in accounting policy as disclosed in table "Changes in gross carrying amounts and loan loss provisions" 2 Stage 3 lifetime credit impaired provision includes €7 million (2023: €11 million) on purchased or originated credit impaired
Changes in loan loss provisions and gross carrying amounts |
Changes in gross carrying amounts and loan loss provisions (*)1
in € million | 12-month ECL (Stage 1) | Lifetime ECL not credit impaired (Stage 2) | Lifetime ECL credit impaired (Stage 3) | Total
30 June 2024 | Gross carrying amount | Provisions | Gross carrying amount | Provisions | Gross carrying amount | Provisions | Gross carrying amount | Provisions
Opening balance as at 1 January 2024 | 937,633 |  | 517 |  | 75,454 |  | 1,435 |  | 11,956 |  | 3,887 |  | 1,025,043 |  | 5,839 |
Transfer into 12-month ECL (Stage 1) | 16,436 |  | 21 |  | -16,237 |  | -164 |  | -199 |  | -19 |  |  |  | -162 |
Transfer into lifetime ECL not credit impaired (Stage 2) | -21,990 |  | -32 |  | 22,489 |  | 291 |  | -498 |  | -65 |  |  |  | 194 |
Transfer into lifetime ECL credit impaired (Stage 3) | -1,457 |  | -6 |  | -2,360 |  | -180 |  | 3,817 |  | 1,002 |  |  |  | 817 |
Net remeasurement of loan loss provisions |  | -72 |  |  |  | -88 |  |  |  | -3 |  |  |  | -163 |
New financial assets originated or purchased | 106,366 |  | 117 |  |  |  |  |  |  |  |  |  | 106,366 |  | 118 |
Financial assets that have been derecognised | -58,961 |  | -45 |  | -6,485 |  | -93 |  | -1,048 |  | -95 |  | -66,495 |  | -232 |
Net drawdowns and repayments | -2,505 |  |  | -3,893 |  |  | -188 |  |  | -6,585 |  |
Changes in models/risk parameters |  | -2 |  |  | -15 |  |  |  | -2 |  |  |  | -19 |
Increase in loan loss provisions 2 |  | -19 |  |  | -247 |  |  |  | 819 |  |  |  | 553 |
Write-offs |  |  |  |  |  |  | -379 |  | -379 |  | -379 |  | -379 |
Disposals 3 |  | -1 |  |  | -2 |  |  |  |  |  | -3 |
Recoveries of amounts previously written off |  |  |  |  |  |  |  | 23 |  |  | 23 |
Foreign exchange and other movements |  | -3 |  |  | 5 |  |  | 83 |  |  | 85 |
Closing balance | 975,522 |  | 494 |  | 68,969 |  | 1,190 |  | 13,459 |  | 4,432 |  | 1,057,950 |  | 6,117 |
1 Stage 3 Lifetime credit impaired provision includes €7 million on Purchased or Originated Credit Impaired. 2 The addition to the loan loss provision in Profit or Loss amounts to €559 million of which €553 million relates to IFRS 9 eligible financial instruments and €6 million relates to the adjustments to CHF-indexed mortgages in Poland to reflect the changed expectation in future cash flows. 3 Disposals reported relate to asset sales recorded during the first six months in 2024.
Changes in gross carrying amounts and loan loss provisions (*)1, 2
in € million | 12-month ECL (Stage 1) | Lifetime ECL not credit impaired (Stage 2) | Lifetime ECL credit impaired (Stage 3)1 | Total
31 December 2023 | Gross carrying amount | Provisions | Gross carrying amount | Provisions | Gross carrying amount | Provisions | Gross carrying amount | Provisions
Opening balance as at 1 January | 885,222 |  | 581 |  | 70,725 |  | 1,679 |  | 11,708 |  | 3,841 |  | 967,655 |  | 6,101 |
Impact of changes in accounting policies | 37,078 |  | 9 |  | 4,704 |  | 13 |  | 158 |  | 73 |  | 41,939 |  | 95 |
Adjusted opening balance | 922,300 |  | 590 |  | 75,429 |  | 1,692 |  | 11,866 |  | 3,914 |  | 1,009,595 |  | 6,196 |
Transfer into 12-month ECL (Stage 1) | 11,832 |  | 28 |  | -11,583 |  | -239 |  | -249 |  | -36 |  |  |  | -247 |
Transfer into lifetime ECL not credit impaired (Stage 2) | -29,470 |  | -67 |  | 30,185 |  | 449 |  | -716 |  | -105 |  |  |  | 277 |
Transfer into lifetime ECL credit impaired (Stage 3) | -2,053 |  | -10 |  | -1,775 |  | -115 |  | 3,828 |  | 978 |  |  |  | 853 |
Net remeasurement of loan loss provisions |  |  | -149 |  |  |  | -94 |  |  |  | 59 |  |  |  | -184 |
New financial assets originated or purchased | 195,775 |  | 204 |  |  |  |  |  |  |  |  |  | 195,775 |  | 204 |
Financial assets that have been derecognised | -121,991 |  | -72 |  | -14,239 |  | -215 |  | -1,475 |  | -266 |  | -137,705 |  | -553 |
Net drawdowns and repayments | -38,758 |  |  |  | -2,525 |  |  |  | -229 |  |  |  | -41,511 |  |  |
Changes in models/risk parameters |  |  | 8 |  |  |  | 10 |  |  |  | 84 |  |  |  | 102 |
Increase in loan loss provisions |  |  | -58 |  |  |  | -204 |  |  |  | 714 |  |  |  | 452 |
Write-offs 3 | -3 |  | -3 |  |  |  | -787 |  | -787 |  | -790 |  | -790 |
Disposals 3 |  |  | -38 |  | -38 |  | -283 |  | -283 |  | -321 |  | -321 |
Recoveries of amounts previously written off |  |  |  |  |  |  |  |  |  |  | 71 |  |  |  | 71 |
Foreign exchange and other movements |  |  | -12 |  |  |  | -15 |  |  |  | 258 |  |  |  | 231 |
Closing balance | 937,633 |  | 517 |  | 75,454 |  | 1,435 |  | 11,956 |  | 3,887 |  | 1,025,043 |  | 5,839 |
1 Stage 3 Lifetime credit impaired provision includes €11 million on purchased or originated credit impaired. 2 The addition to the loan provision (in the consolidated statement of profit or loss) amounts to €520 million of which €483 million related to IFRS 9 eligible financial assets, €-31 million related to non-credit replacement guarantees and €68 million to modification gains and losses on restructured financial assets. 3 Table was updated for presentation purposes to disaggregate utilisation of the provision between write-offs and disposals. Comparatives have been updated accordingly.
Management adjustments |
Management adjustments to ECL models (*)
in € million | 30 June 2024 | 31 December 2023
Economic sector based adjustments | 16 |  | 36 |
Inflation and Interest rate increases adjustments | 233 |  | 351 |
Mortgage portfolio adjustments | 128 |  | 126 |
Other post model adjustments | 38 |  | 64 |
Total management adjustments | 415 |  | 577 |
Sensitivity analysis for credit risk |
Sensitivity analysis as at 30 June 2024 (*)
|  | 2024 | 2025 | 2026 | Un-weighted ECL (€ mln) | Probability-weighting | Reportable ECL (€ mln)1
Netherlands Upside scenario | Real GDP | 1.0 |  | 3.2 |  | 3.1 |  | 171 |  | 20 | % | 251 |
Unemployment | 3.8 |  | 3.4 |  | 3.3 |
HPI | 9.0 |  | 18.8 |  | 5.8 |
Baseline scenario | Real GDP | 0.6 |  | 1.5 |  | 1.6 |  | 231 |  | 60 | %
Unemployment | 4.0 |  | 4.1 |  | 4.3 |
HPI | 6.2 |  | 5.3 |  | 3.7 |
Downside scenario | Real GDP | 0.0 |  | -1.2 |  | -0.6 |  | 393 |  | 20 | %
Unemployment | 5.0 |  | 6.6 |  | 7.7 |
HPI | 2.6 |  | -11.1 |  | 0.8 |
Germany Upside scenario | Real GDP | 0.7 |  | 3.2 |  | 2.4 |  | 494 |  | 20 | % | 543 |
Unemployment | 2.8 |  | 2.4 |  | 1.9 |
HPI | 0.7 |  | 6.4 |  | 7.9 |
Baseline scenario | Real GDP | 0.2 | 1.1 |  | 1.3 |  | 533 |  | 60 | %
Unemployment | 3.1 |  | 3.0 |  | 2.9 |
HPI | -0.4 |  | 3.0 |  | 4.5 |
Downside scenario | Real GDP | -0.5 |  | -2.0 |  | -0.6 |  | 626 |  | 20 | %
Unemployment | 3.8 |  | 5.0 |  | 5.5 |
HPI | -1.8 |  | -1.9 |  | 0.7 |
Belgium Upside scenario | Real GDP | 1.5 |  | 2.8 |  | 2.4 |  | 549 |  | 20 | % | 599 |
Unemployment | 5.0 |  | 4.8 |  | 4.7 |
HPI | 4.0 |  | 4.7 |  | 4.5 |
Baseline scenario | Real GDP | 1.2 |  | 1.5 |  | 1.7 |  | 588 |  | 60 | %
Unemployment | 5.6 |  | 5.5 |  | 5.4 |
HPI | 3.5 |  | 3.9 |  | 4.0 |
Downside scenario | Real GDP | 0.6 |  | -0.8 |  | 0.6 |  | 683 |  | 20 | %
Unemployment | 6.4 |  | 7.4 |  | 7.7 |
HPI | 2.4 |  | 1.9 |  | 2.6 |
United States Upside scenario | Real GDP | 2.7 |  | 3.2 |  | 3.5 |  | 50 |  | 20 | % | 90 |
Unemployment | 3.8 |  | 2.9 |  | 2.3 |
HPI | 5.2 |  | 6.0 |  | 8.2 |
Baseline scenario | Real GDP | 2.4 |  | 1.7 |  | 2.1 |  | 78 |  | 60 | %
Unemployment | 4.1 |  | 4.1 |  | 4.1 |
HPI | 5.0 |  | 2.8 |  | 2.6 |
Downside scenario | Real GDP | 1.7 |  | -1.4 |  | -0.6 |  | 169 |  | 20 | %
Unemployment | 4.9 |  | 6.8 |  | 7.8 |
HPI | 3.8 |  | -2.8 |  | -3.9 |
1 Excluding management adjustments.
Sensitivity analysis as at 31 December 2023 (*)
|  | 2024 | 2025 | 2026 | Un-weighted ECL (€ mln) | Probability-weighting | Reportable ECL (€ mln)1
Netherlands Upside scenario | Real GDP | 1.3 |  | 3.3 |  | 2.8 |  | 214 |  | 20 | % | 310 |
Unemployment | 3.7 |  | 3.3 |  | 3.3 |
HPI | 10.4 |  | 11.2 |  | 4.0 |
Baseline scenario | Real GDP | 0.8 |  | 1.6 |  | 1.5 |  | 282 |  | 60 | %
Unemployment | 4.1 |  | 4.3 |  | 4.5 |
HPI | 0.9 |  | 3.0 |  | 3.9 |
Downside scenario | Real GDP | -1.7 |  | -1.2 |  | 0.1 |  | 487 |  | 20 | %
Unemployment | 5.9 |  | 7.2 |  | 8.1 |
HPI | -10.9 |  | -7.4 |  | 3.7 |
Germany Upside scenario | Real GDP | 1.4 |  | 3.1 |  | 1.6 |  | 472 |  | 20 | % | 525 |
Unemployment | 2.6 |  | 2.0 |  | 1.7 |
HPI | 0.9 |  | 6.6 |  | 8.0 |
Baseline scenario | Real GDP | 0.5 |  | 1.3 |  | 1.2 |  | 513 |  | 60 | %
Unemployment | 3.0 |  | 3.0 |  | 3.0 |
HPI | -1.4 |  | 3.4 |  | 4.5 |
Downside scenario | Real GDP | -2.4 |  | -1.4 |  | 0.3 |  | 615 |  | 20 | %
Unemployment | 4.5 |  | 5.2 |  | 5.5 |
HPI | -6.0 |  | -0.8 |  | 0.4 |
Belgium Upside scenario | Real GDP | 1.5 |  | 2.7 |  | 2.3 |  | 568 |  | 20 | % | 619 |
Unemployment | 5.3 |  | 5.0 |  | 4.9 |
HPI | 1.3 |  | 5.6 |  | 4.5 |
Baseline scenario | Real GDP | 0.9 | 1.5 |  | 1.8 |  | 604 |  | 60 | %
Unemployment | 5.6 |  | 5.5 |  | 5.4 |
HPI | 0.4 |  | 5.2 |  | 3.9 |
Downside scenario | Real GDP | -1.3 |  | -0.2 |  | 1.2 |  | 713 |  | 20 | %
Unemployment | 7.3 |  | 8.0 |  | 7.9 |
HPI | -2.2 |  | 3.9 |  | 2.6 |
United States Upside scenario | Real GDP | 1.8 |  | 3.2 |  | 3.4 |  | 102 |  | 20 | % | 165 |
Unemployment | 4.1 |  | 3.3 |  | 3.1 |
HPI | 0.6 |  | 8.7 |  | 8.7 |
Baseline scenario | Real GDP | 0.9 |  | 1.9 |  | 2.1 |  | 144 |  | 60 | %
Unemployment | 4.5 |  | 4.5 |  | 4.4 |
HPI | -0.7 |  | 3.5 |  | 3.3 |
Downside scenario | Real GDP | -1.3 |  | -1.4 |  | -0.1 |  | 292 |  | 20 | %
Unemployment | 6.6 |  | 8.2 |  | 8.8 |
HPI | -4.2 |  | -2.7 |  | -3.0 |
1 Excluding management adjustments.
Reconciliation of model ECL to total ECL |
Reconciliation of model (reportable) ECL to total ECL (*)
in € million | 30 June 2024 | 31 December 2023
Total model ECL | 2,919 |  | 2,856 |
ECL from individually assessed impairments | 2,783 |  | 2,406 |
ECL from management adjustments | 415 |  | 577 |
Total ECL | 6,117 |  | 5,839 |
Asset class category average threshold investment grade |
Quantitative SICR thresholds (*)
| 30 June 2024 | 31 December 2023
Average threshold ratio | Investment grade (rating grade 1-10) | Non-investment grade (rating grade 11-17) | Investment grade (rating grade 1-10) | Non-investment grade (rating grade 11-17)
Asset class category |  |  |  |
Mortgages | 2.6 |  | 2.3 |  | 2.5 |  | 2.3 |
Consumer Lending | 2.9 |  | 2.2 |  | 2.9 |  | 2.1 |
Business Lending | 2.7 |  | 2.1 |  | 2.7 |  | 2.1 |
Governments and fin. institutions | 3.0 |  | 1.8 |  | 3.0 |  | 1.9 |
Other Wholesale Banking | 2.7 |  | 1.9 |  | 2.8 |  | 1.8 |

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