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Risk management (Tables)
 6 Months Ended
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 € million12-month ECL (Stage 1)Lifetime ECL not credit impaired (Stage 2)Lifetime ECL credit impaired (Stage 3)Total
30 June 2024
Rating classGross Carrying AmountProvisionsGross Carrying AmountProvisionsGross Carrying AmountProvisionsGross Carrying AmountProvisions
Investment grade1 (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 grade11-13 (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 grade18 (CC)    4,617  318    4,617  318  
19 (C)    1,967  179    1,967  179  
Non-performing loans20-22 (D)        13,459  4,432  13,459  4,432  
Total975,522  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 classGross Carrying AmountProvisionsGross Carrying AmountProvisionsGross Carrying AmountProvisionsGross Carrying AmountProvisions
Investment grade1 (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 grade11-13 (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 grade18 (CC)  4,617 402   4,617 402 
19 (C)  1,919 221   1,919 221 
Non-performing loans20-22 (D)    11,956 3,887 11,956 3,887 
Total937,633 517 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 € million12-month ECL (Stage 1)Lifetime ECL not credit impaired (Stage 2)Lifetime ECL credit impaired (Stage 3)Total
30 June 2024Gross carrying amountProvisionsGross carrying amountProvisionsGross carrying amountProvisionsGross carrying amountProvisions
Opening balance as at 1 January 2024937,633 517 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 purchased106,366 117     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 provisions2
-19 -247  819  553 
Write-offs  -379 -379 -379 -379 
Disposals3
-1 -2  -3 
Recoveries of amounts previously written off  23 23 
Foreign exchange and other movements-3 5 83 85 
Closing balance975,522 494 68,969 1,190 13,459 4,432 1,057,950 6,117 
1Stage 3 Lifetime credit impaired provision includes €7 million on Purchased or Originated Credit Impaired.
2The 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.
3Disposals 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 2023Gross carrying amountProvisionsGross carrying amountProvisionsGross carrying amountProvisionsGross carrying amountProvisions
Opening balance as at 1 January885,222 581 70,725 1,679 11,708 3,841 967,655 6,101 
Impact of changes in accounting policies37,078 9 4,704 13 158 73 41,939 95 
Adjusted opening balance922,300 590 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 purchased195,775 204     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-offs3
-3 -3 -787 -787 -790 -790 
Disposals3
-38 -38 -283 -283 -321 -321 
Recoveries of amounts previously written off     71  71 
Foreign exchange and other movements -12  -15  258  231 
Closing balance937,633 517 75,454 1,435 11,956 3,887 1,025,043 5,839 
1Stage 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.
3Table 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 € million30 June 202431 December 2023
Economic sector based adjustments16 36 
Inflation and Interest rate increases adjustments233 351 
Mortgage portfolio adjustments128 126 
Other post model adjustments38 64 
Total management adjustments415 577 
Sensitivity analysis for credit risk
Sensitivity analysis as at 30 June 2024 (*)
202420252026
Un-weighted ECL (€ mln)
Probability-weighting
Reportable ECL (€ mln)1
Netherlands
Upside scenario
Real GDP1.0 3.2 3.1 171 20 %251 
Unemployment3.8 3.4 3.3 
HPI9.0 18.8 5.8 
Baseline scenarioReal GDP0.6 1.5 1.6 231 60 %
Unemployment4.0 4.1 4.3 
HPI6.2 5.3 3.7 
Downside scenarioReal GDP0.0 -1.2 -0.6 393 20 %
Unemployment5.0 6.6 7.7 
HPI2.6 -11.1 0.8 
Germany
Upside scenario
Real GDP0.7 3.2 2.4 494 20 %543 
Unemployment2.8 2.4 1.9 
HPI0.7 6.4 7.9 
Baseline scenarioReal GDP0.21.1 1.3 533 60 %
Unemployment3.1 3.0 2.9 
HPI-0.4 3.0 4.5 
Downside scenarioReal GDP-0.5 -2.0 -0.6 626 20 %
Unemployment3.8 5.0 5.5 
HPI-1.8 -1.9 0.7 
Belgium
Upside scenario
Real GDP1.5 2.8 2.4 549 20 %599 
Unemployment5.0 4.8 4.7 
HPI4.0 4.7 4.5 
Baseline scenarioReal GDP1.2 1.5 1.7 588 60 %
Unemployment5.6 5.5 5.4 
HPI3.5 3.9 4.0 
Downside scenarioReal GDP0.6 -0.8 0.6 683 20 %
Unemployment6.4 7.4 7.7 
HPI2.4 1.9 2.6 
United States
Upside scenario
Real GDP2.7 3.2 3.5 50 20 %90 
Unemployment3.8 2.9 2.3 
HPI5.2 6.0 8.2 
Baseline scenarioReal GDP2.4 1.7 2.1 78 60 %
Unemployment4.1 4.1 4.1 
HPI5.0 2.8 2.6 
Downside scenarioReal GDP1.7 -1.4 -0.6 169 20 %
Unemployment4.9 6.8 7.8 
HPI3.8 -2.8 -3.9 
1Excluding management adjustments.
Sensitivity analysis as at 31 December 2023 (*)
202420252026Un-weighted ECL (€ mln)Probability-weighting
Reportable ECL (€ mln)1
Netherlands
Upside scenario
Real GDP1.3 3.3 2.8 214 20 %310 
Unemployment3.7 3.3 3.3 
HPI10.4 11.2 4.0 
Baseline scenarioReal GDP0.8 1.6 1.5 282 60 %
Unemployment4.1 4.3 4.5 
HPI0.9 3.0 3.9 
Downside scenarioReal GDP-1.7 -1.2 0.1 487 20 %
Unemployment5.9 7.2 8.1 
HPI-10.9 -7.4 3.7 
Germany
Upside scenario
Real GDP1.4 3.1 1.6 472 20 %525 
Unemployment2.6 2.0 1.7 
HPI0.9 6.6 8.0 
Baseline scenarioReal GDP0.5 1.3 1.2 513 60 %
Unemployment3.0 3.0 3.0 
HPI-1.4 3.4 4.5 
Downside scenarioReal GDP-2.4 -1.4 0.3 615 20 %
Unemployment4.5 5.2 5.5 
HPI-6.0 -0.8 0.4 
Belgium
Upside scenario
Real GDP1.5 2.7 2.3 568 20 %619 
Unemployment5.3 5.0 4.9 
HPI1.3 5.6 4.5 
Baseline scenarioReal GDP0.91.5 1.8 604 60 %
Unemployment5.6 5.5 5.4 
HPI0.4 5.2 3.9 
Downside scenarioReal GDP-1.3 -0.2 1.2 713 20 %
Unemployment7.3 8.0 7.9 
HPI-2.2 3.9 2.6 
United States
Upside scenario
Real GDP1.8 3.2 3.4 102 20 %165 
Unemployment4.1 3.3 3.1 
HPI0.6 8.7 8.7 
Baseline scenarioReal GDP0.9 1.9 2.1 144 60 %
Unemployment4.5 4.5 4.4 
HPI-0.7 3.5 3.3 
Downside scenarioReal GDP-1.3 -1.4 -0.1 292 20 %
Unemployment6.6 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 € million30 June 202431 December 2023
Total model ECL2,919 2,856 
ECL from individually assessed impairments2,783 2,406 
ECL from management adjustments415 577 
Total ECL6,117 5,839 
Asset class category average threshold investment grade
Quantitative SICR thresholds (*)
30 June 202431 December 2023
Average threshold ratioInvestment 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
Mortgages2.6 2.3 2.5 2.3 
Consumer Lending2.9 2.2 2.9 2.1 
Business Lending2.7 2.1 2.7 2.1 
Governments and fin. institutions3.0 1.8 3.0 1.9 
Other Wholesale Banking2.7 1.9 2.8 1.8