abn amro clearing annual report 2011 (pdf 2 mb)
TRANSCRIPT
ABN AMRO Clearing Bank N.V.annual accounts
2011
table of contents
5 >> Report by the Executive Board
10 >> Report by the Supervisory Board
12 >> Board Structure
13 >> Consolidated Financial statements of ABN AMRO Clearing Bank N.V. for the year 2011
60 >> Company Financial Statements of ABN AMRO Clearing Bank N.V. for the year 2011
67 >> Other information
3
Hereby we present the ABN AMRO Clearing Bank N.V.
(AACB) annual report 2011.
AACB is a wholly owned subsidiary of ABN AMRO Bank N.V.,
The financial statements of AACB are incorporated in the
consolidated financial statements of ABN AMRO Group N.V.
The legal entity AACB forms part of the business unit
ABN AMRO Clearing.
ABN AMRO Clearing is recognised as a global leader
in derivatives and equity clearing and one of the few
players currently able to offer global market access and
clearing services on more than 85 of the world’s leading
exchanges. ABN AMRO Clearing operates from 12
locations across the globe and offers an integrated
package of direct market access, clearing and custody
services covering futures, options, equity, commodities,
energy and fixed income.
The ABN AMRO Clearing operating model is, where
possible, self-supporting due to the nature of business,
where speed and responsiveness are critical and regu-
lators and clients expect separation of clearing activities
from the general banking activities. The clearing activities
are therefore undertaken out of AACB; a dedicated legal
entity which has a banking licence and is regulated
and supervised by DNB, being the central bank of the
Netherlands.
History The ABN AMRO Clearing concept was established in
1982 in Amsterdam. At a later stage clearing sites in
London, Frankfurt, Hong Kong, Sydney, Chicago, New York,
Kansas City, Singapore, Tokyo, Paris and Brussels were
opened.
In principle ABN AMRO Clearing is not engaged in any
proprietary trading, operating at arm’s length of ABN AMRO
BANK N.V. and therefore, provides clearing services as
an independent market participant with its focus on third
parties. ABN AMRO Clearing’s business model revolves
around comprehensive services to wholesale counter-
parties and professional clients. This requires that
ABN AMRO Clearing covers the full market chain from
market access, execution services to clearing, settlement
and multi-product asset servicing on a global basis.
Among other elements of the product offering, ABN AMRO
Clearing, in its capacity as a General Clearing Member
(‘GCM’) guarantees clients to counterparties and performs
near to real time risk management. ABN AMRO Clearing
offers 24-5 global services, on a multi asset class basis
(on exchange and Over the Counter (‘OTC’) market
coverage for futures, options, equity, commodities,
energy and fixed income). In addition, ABN AMRO
Clearing provides collateralized financing and securities
borrowing and lending services to its clients.
Third party clearing means that ABN AMRO Clearing
guarantees its clients towards exchanges and central
counterparties. ABN AMRO Clearing also handles the
administration of positions and the financing of these
positions for clients. The clients are predominantly
on-exchange traders and professional trading groups,
but ABN AMRO Clearing also services financial institutions,
banks, fund managers and brokers with its product
portfolio. ABN AMRO Clearing does not service retail
customers directly.
With a top three ranking in every time zone based on
turnover and market share, ABN AMRO Clearing is a robust
part of the global financial infrastructure. Additionally
indirect world-wide coverage of further markets or
exchanges respectively is offered through a network of
Executing and/or Clearing brokers.
Legal structureABN AMRO Clearing Bank N.V. is 100% owned by
ABN AMRO Bank N.V., a company incorporated in the
Netherlands.
report by theexecutive board
5
ABN AMRO Group N.V. (AAG) owns all shares (100%)
in ABN AMRO Bank N.V. (AAB). On 29 September
2011 the Dutch State transferred its shares in AAG and
ABN AMRO Preferred Investments B.V. to Stichting
administratiekantoor beheer financiële instellingen (‘NLFI’).
This Dutch Foundation, with an Independent Board, has
been set up to manage the financial interests held by
the State in Dutch financial institutions. NLFI issued
exchangeable depositary receipts in return for acquiring
the shares held by the Dutch State in ABN AMRO. NLFI
is responsible for managing these shares and exercising
all rights associated with these shares under Dutch law,
including voting rights. Material decisions require the
prior approval of the Minister of Finance. NLFI holds
all ordinary shares in AAG, representing 92.6% of the
voting rights. The non-cumulative preference shares in
AAG, representing 7.4% of the voting rights, are held
by ABN AMRO Preferred Investments B.V. This entity
issued shares are held by NLFI (70%, all priority shares)
and two institutional investors (30%, all ordinary shares).
AACB is a registered credit institution since 30 September
2003. Pursuant to the Act on the Supervision of the
Credit System 1992 DNB has been charged with the
supervision of the banking system in the Netherlands.
This statutory act has been replaced in 2007 by the
Financial Supervision Act (‘Wft’). AACB has been granted
authorisation in the Netherlands, Belgium, Germany,
United Kingdom and Singapore to engage in universal
banking business.
ABN AMRO Clearing provides its European clearing and
related services out of a public limited liability company
in the Netherlands and through branches in Frankfurt,
London and Brussels.
AACB provides non European Clearing services by its 100%
subsidiaries ABN AMRO Clearing Sydney, ABN AMRO
Clearing Tokyo, ABN AMRO Clearing Hong Kong, ABN AMRO
Clearing Singapore and ABN AMRO Clearing Chicago.
AACB incorporated the European Multilateral Clearing
Facility N.V. (EMCF) on February 28th 2007. The financial
statements of European Multilateral Clearing Facility N.V.
are ‘included in the consolidated financial statements of
AACB and as well into the consolidated financial statements
of ABN AMRO Group N.V. The EMCF provides European
CCP services in a public limited company in the Netherlands.
In order to improve client asset segregation, a dedicated
safekeeping company ABN AMRO Clearing Safekeeping
N.V. (AACS) has been incorporated as of March 20th
2007. On 11 November 2011 a legal merger took place
between ABN AMRO Global Services N.V. (AAGCS) and
AACS. ABN AMRO Bank N.V. transferred its certificates
of shares in AAGCS to ABN AMRO Clearing Bank N.V. as
part of this merger.
Financial result AACB 20112011 has been a challenging year for the global economy.
Fear, gloom and weakening confidence have been the
main characteristics. The year started with the Arab Spring
which pushed up oil prices, damaging the global economy.
Then there were the catastrophic events in Japan which
caused distortions to global supply chains. This all led to
rising inflation and fear for recession. The US Fed respon-
ded by committing to keeping official interest rates at
low levels while the ECB raised the rates.
Then the debate over the US debt ceiling erupted and
the US sovereign rating was cut. European leaders
organized several summits but failed to convince markets
to ease the debt crisis. Italy and Spain threatened to lose
access to market funding and rating agencies reviewed
the rating of many euro zone countries.
However, the US economy did not fall into recession as
was expected and the economic growth accelerated in
the second half of 2011. European banks on the other
hand were being forced into deleveraging processes
which damaged the euro zone economy. All in all, these
events have had major impacts on global financial markets
leading to high volatilities which consequently have had
a positive effect on cleared volumes.
AACB recorded a net profit of € 114.7 million in 2011. In
comparison to previous year, 2011 was more profitable
as a result of the global increase in cleared volume and
due to new client inflow and increase in market share.
Income from financing activities where also above 2010
but utilisation of credit remained below average.
The ABN AMRO Clearing clients continued to stay loyal
and showed trust and comfort to the ABN AMRO Clearing
brand and its staff. Like in 2010 and 2009 AACB did not
suffer any major losses on client defaults.
6 Report by the Executive Board
The normalized expenses levels increased marginally
in 2011. However, AACB maintains a strong operating
leverage and cost income efficiency ratio.
AACB’s Amsterdam office uses the centralised services of
ABN AMRO Bank N.V., its parent company. The costs of
these services include charges for information technology
(e.g. hardware, software, computer specialists), facilities,
personnel and corporate overhead. As ABN AMRO
Bank N.V. does not apportion these expenses, they have not
been included in the results. As of 2012 these expenses
will be charged to AACB and therefore be fully incorporated.
Our parent company ABN AMRO Bank N.V. and AACB
on a stand alone basis are adequately capitalized and
therefore well positioned to meet the upcoming Basel III
capital and liquidity requirements, which will be phased-in
as of 2013.
The ABN AMRO group policy is to upstream dividends from
subsidiaries where appropriate. The dividend 2011 will be
based on our current and projected consolidated capital
ratio’s and local regulatory and exchange requirements in
combination with our growth strategy upon distribution.
The 2011 dividend amount will be decided at the General
Meeting of Shareholders in May 2012.
CapitalIssued and paid-up share capital of AACB did not change
in the year 2011. Authorised share capital amounts to
€ 50,000,000 distributed over 50,000 shares each having
a nominal value of € 1,000. At year-end 2011, all shares
were held by ABN AMRO Bank N.V.
Information TechnologyDerivatives and Securities trading create an extensive and
complex demand for information and data processing.
A key focus is the continuous investments in performance
upgrades of software and hardware to cater for exponential
growth in market volumes in 2011 and beyond.
In the coming years ABN AMRO Clearing will transform
from a multi local and multi (core) system business unit to
a truly global organization. The execution of our IT strategy
has started and will result in the implementation of an overall
banking system with ancillary systems and applications
in 2012. The foreseen IT Roadmap will continuously
enable us to meet the demands of our clients and key
stakeholders for the short and long term future.
An increasing number of ABN AMRO Clearing clients
operate on a global basis and/or have global presence.
These clients are also responsible for the bigger part of
the ABN AMRO Clearing turnover.
They ask ABN AMRO Clearing to provide them with:
▶ The same service worldwide;
▶ Standardized reporting;
▶ Limited client-supplier relationships and
documentation;
▶ Consolidation on global level from risk perspective.
ABN AMRO Clearing will make ongoing investments
in Information Technology to maintain and optimise its
present standard of service.
Dutch Banking CodeThe Banking Code that was drawn up by the Netherlands
Bankers’ Association (NVB) came into effect on 1 January
2010. The Code sets out principles that banks should adhere
to in terms of corporate governance, risk management,
audit and remuneration. The Banking Code applies to
AACB as a licensed bank under the Wft.
AACB forms part of the ABN AMRO group of companies
(ABN AMRO). The principles of the Banking Code are
applied by ABN AMRO in full to all relevant entities
within its group of companies on a consolidated basis. In
accordance with ABN AMRO’s management framework,
all members of the group are an integral part of the
ABN AMRO organisation. The management framework
entails that the bank’s policies and standards related to
compliance with internal and external regulations and
best practises are applicable to the full group and con-
sequently are defined at group level for implementation
within the different parts of the organisation. AACB
implemented the applicable parts of the Dutch Banking
Code. The annual report of ABN AMRO Group N.V.
provides further details on the application of the Dutch
Banking Code.
RegulatoryThe regulatory environment in which we operate continues
to be an extremely challenging one. The number and
impact of rule changes continues to increase, and regulators
are expecting shorter lead times between finalising
7
rules and the date of implementation. All of this creates
a need for a comprehensive overview of the rules that
impact our business and careful use of resources to gain
efficiency in the implementation of the changes about
which we have no choice and little control.
We are coming towards the end of the period for imple-
mentation of the G20 requirements for OTC derivatives
that were agreed after the credit crisis. Although the
finalisation of the rules has been substantially delayed,
the leading piece of legislation in this area remains the
Dodd Frank Act, which will have an extra-territorial
application beyond the boundaries of the United States.
We are dealing with these developments on a global
basis, as the requirements evolve and will seek to meet
the various deadlines for compliance. Following Dodd
Frank during 2012 and into 2013, EMIR in Europe and
various separate pieces of OTC legislation in Asia that
will cover the same ground and which we hope to
leverage from our previous experience.
In addition, the drafting of MIFID2, a revised Market
Abuse Directive, and various pieces of regulatory
guidance continues in Brussels and across Europe.
We are participating in consultations on these rules
changes, both through trade bodies and directly by
interacting with regulators such as the AFM and ESMA.
The collapse of MF Global towards the end of 2011
further highlighted the pivotal role played by market
infrastructure firms in ensuring the stability of the
financial system. We were pleased that a significant
number of clients affected by this incident turned to
us to enable a continuation of their trading activities
and thank our staff for working tirelessly to be able
to accept them smoothly, quickly, and without risk.
However as an outcome, we foresee further regulatory
oversight on our business as well.
Future developmentsThe post-financial crisis regulatory reforms has a significant
effect on the course of business within ABN AMRO
Clearing. Capital requirements will increase, more
products will be pushed into a Central Clearing House
and execution criteria continue to change.
The commercial focus in Europe will be on retaining
market leadership, while in the United States and Asia
ABN AMRO Clearing will continue to pursue further
growth, especially in clearing and financing of equity
option players. Initiatives launched in recent years to
sustain future growth can now be marketed to clients
and prospects. ABN AMRO Clearing will roll out its
global energy and commodities clearing product world-
wide and the enhanced FX offering that started out in
Europe, will be gradually expanded to other regions of
the world.
ABN AMRO Clearing also continues to look at oppor-
tunities to further increase its geographic footprint by
establishing offices in other countries.
By geographic expansion and adding new product lines
ABN AMRO Clearing makes its product scope appealing
to not only the proprietary trading community but also more
and more to Financial Institutions, Retail Aggregators,
Corporate Hedgers and Alternative Investors.
We have again achieved a great deal in 2011, none of which
would have been possible without the commitment,
dedication and hard work of our highly motivated
employees. We would like to thank them for their
vital contribution to our success.
We also thank our customers for their continuing trust
and loyalty during a turbulent and exceptional year.
In July 2011 Erik Bosmans, a long standing member of
the Supervisory Board stepped down. We would like to
express our appreciation to him for his commitment and
support in the past years.
Amsterdam, 9 May 2012
Executive Board
M.C. Jongmans
J.B.M. de Boer
A.P. Boers
ABN AMRO Clearing Bank N.V.,
registered in Amsterdam.
Gustav Mahlerlaan 10,
1082 PP Amsterdam,
The Netherlands Amsterdam
Trade Register entry no. 33170459
8 Report by the Executive Board
9
From left to right:
Jan Bart de Boer,
Marcel Jongmans and
Aldwin Boers.
10
report by thesupervisory board
Responsibilities of the Supervisory BoardThe Supervisory Board supervises the Managing Board
as well as the general course of affairs of ABN AMRO
Clearing Bank and of its affiliated entities. In addition, it
is assisting the Management Board.
In performing their duties, the members of the Super-
visory Board are guided by the interests and continuity
of ABN AMRO Clearing Bank and of its affiliated entities
and take into account the relevant interests of ABN AMRO
Clearing Bank’s stakeholders. Certain powers are vested
with the Supervisory Board, including the approval of
certain resolutions proposed by the Managing Board.
ABN AMRO Clearing Bank has established regulations
for the Management Board and Supervisory Board to
govern their activities and responsibilities.
Appointment, suspension and dismissalAMRO Clearing Bank is part of ABN AMRO and therefore
bound to the ABN AMRO governance and internal policies.
The Supervisory Board of ABN AMRO Clearing Bank is
composed of members of ABN AMRO’s management.
All members of the Supervisory Board are employed
by ABN AMRO Bank and do not receive separate
compensation as Supervisory Board member.
Furthermore, candidates are generally appointed in
the Supervisory Board on the basis of their position
and related knowledge within ABN AMRO.
A specific programme of permanent education will be
launched at group level for members of the Managing
Board and Supervisory Board of ABN AMRO Clearing
Bank. Since ABN AMRO Clearing Bank is an integral
part of the ABN AMRO organisation and all members of
the Supervisory Boards are members of ABN AMRO’s
management, these members are assessed annually
by ABN AMRO on, amongst other things, relevant
knowledge and leadership qualities.
Members of the Supervisory Board are formally appointed
by the General Meeting of Shareholders. Upon their
appointment, all members of the Supervisory Board follow
an introductory programme designed to ensure that they
have the relevant knowledge to fulfil their duties, including
thorough knowledge of ABN AMRO Clearing Bank.
The programme provides the information needed for
participation in the permanent education programme.
As the knowledge, background and experience of newly
appointed members of the Supervisory Board differ,
the exact curriculum of the introductory programme is
determined on an ad hoc basis.
Members of the Supervisory Board may be suspended
or dismissed by the General Meeting of Shareholders.
Composition of the members of the Supervisory Board The Supervisory Board is satisfied with its composition
especially with regard to expertise. The Supervisory Board
as a whole possesses sufficient knowledge, expertise
and experience to adequately perform its duties.
The members of the Supervisory Board hold executive
positions within ABN AMRO. The Supervisory Board
does not expect any changes in its composition in 2012.
In July 2011, E.T.P.T.M. Bosmans stepped down from the
Supervisory Board of ABN AMRO Clearing Bank whilst
A.J.B.M. Peek, J. Ketelaar and F. Woelders were appointed.
The new members of the Supervisory Board followed an
introductory programme with ABN AMRO Clearing Bank N.V.
By the end of 2011, the Supervisory Board is composed
as follows:
J.G. ter Avest (Chairman) (52, M), J.R. Dijst (40, M),
A.J.B.M. Peek (56, M), J. Ketelaar (51, M), F. Woelders
(46, M). Age and gender between brackets. All members
of the Supervisory Board have the Dutch nationality.
11
Supervisory Board meetings The Supervisory Board met on 9 occasions during the
period under review. Eight meetings were scheduled
plenary sessions together with the Managing Board.
One meeting took place by conference call.
The Chairman and the Company Secretary prepared the
agenda for the meetings of the Supervisory Board in 2011.
Regular agenda items included financial performance, risks,
compliance, legal and regulatory issues, audit findings
and organisational changes.
A more detailed description of the matters discussed is
provided below.
The company’s financial performance was discussed at
the Supervisory Board meetings after the end of each
quarter. Comprehensive information provided by the
Managing Board with the assistance of internal and
external auditors gave the Supervisory Board a clear
picture of the company’s risks, results, capital and
liquidity positions.
At its meeting in May, the Supervisory Board reviewed,
discussed and approved the Annual Report 2010, the
external auditor attended the meeting to present its
Audit Report 2010. Throughout the year, the Supervisory
Board and the Managing Board discussed economic
developments including the default of MF Global.
The Company’s strategy and budget 2012 were discus-
sed during a special meeting in October. The Managing
Board regularly informed the Supervisory Board about
intended organisational changes and the implementation
and level of effectiveness of the ABN AMRO three lines
of defence model.
Corporate governance and the implementation of the
Dutch Banking Code were discussed in the beginning
of the year.
Outside the Supervisory Board meetings, members of
the Supervisory Board and the Managing Board were
in contact on a regular basis, and the Chairman of the
Supervisory Board and the Chairman of the Managing
Board met on a bi-weekly basis.
ABN AMRO applies the Banking Code’s principles on
risk appetite, risk policy and risk management on a
consolidated basis. Consequently, ABN AMRO Clearing
Bank N.V. does not have installed separate committees
of the Supervisory Board (i.e. Audit/Risk/Remuneration
Committee). Once a year, Group internal audit and the
external auditor attend the Supervisory Board meeting.
Amsterdam, 9 May 2012
Supervisory Board
J.G. ter Avest
J.R. Dijst
J. Ketelaar
A.J.B.M. Peek
F. Woelders
Executive BoardAt year-end 2011, the Management Board consisted of
the following statutory members:
M.C. Jongmans
J.B.M. de Boer
A.P. Boers
Supervisory Board On 1 July 2011 E.T.P.T.M. Bosmans resigned from the
Supervisory Board
J. Ketelaar, A.J.B.M. Peek and F. Woelders are appointed
as members of the Supervisory Board as of 1 July 2011.
At year-end 2011, the Supervisory Board consisted of the
following members:
J.G. ter Avest
J.R. Dijst
J. Ketelaar
A.J.B.M. Peek
F. Woelders
consolidated financial statementsof ABN AMRO Clearing Bank N.V. for the year 2011
board structure
12
consolidated financial statementsof ABN AMRO Clearing Bank N.V. for the year 2011
14 >> Consolidated income statement for the period ended 31 December 2011
15 >> Consolidated statement of comprehensive income
16 >> Consolidated balance sheet as at 31 December 2011
18 >> Consolidated statement of changes in Equity
19 >> Consolidated cash flow statement for the year 2011
20 >> Accounting Policies
32 >> Risk Management
38 >> Geographical information
43 >> Notes to the consolidated income statement for the year 2011
47 >> Notes to the consolidated balance sheet as at 31 December 2011
13
consolidated income statementfor the period ended 31 December 2011
14
(x € 1.000) Note 2011 2010
IncomeInterest income 241.682 227.321
Interest expense (183.954) (172.504)
Net interest income 1 57.728 54.817
Commission and fee income 656.996 603.327
Commission and fee expenses (468.561) (435.235)
Net commisions and fees 2 188.435 168.092
Dividend and other Investment Income 3 591 918
Realised capital gains on investments 4 19.979 64
Other (un)realised gains and losses 5 258 (625)
Other income 6 2.326 2.530
Total income 269.317 225.796
Change in provision for impairment 7 1.619 2.185
Net revenues 270.936 227.981
Expenses
Personnel expenses 8 (48.333) (43.341)
Depreciation and amortisation of (in)tangible assets 9 (7.029) (5.382)
General and administrative expenses 10 (57.912) (58.866)
Total expenses (113.274) (107.589)
Result before taxation 157.662 120.392
Taxation 11 (41.745) (35.531)
Profit for the year 115.917 84.861
Non-Controlling Interests 12 (1.200) (2.390)
Net profit attributable to parent company 114.717 82.471
consolidated statementof comprehensive income
15
(x € 1.000) 2011 2010
Net profit 114.717 82.471
Other Comprehensive income
Currency translation results on unrealised gains and losses 10.055 39.915
Available for sale investments (9.383) 927
Income tax relating to AFS investments 2.340 (147)
Net investment hedges (2.276) (42.103)
Income tax relating to NIH 580 10.737
1.316 9.329
Total Comprehensive income 116.033 91.800
Total comprehensive income attrributable to:
Owners of the parent company 117.233 94.190
Non-Controlling interests (1.200) (2.390)
Total Comprehensive income 116.033 91.800
consolidated balance sheetas at 31 December 2011
16
Before profit appropriation (x € 1.000) Note 2011 2010
Assets
Cash and cash equivalents 13 3.760.297 4.281.443
Short term deposits 14 37.930 -
Loans and receivables - banks 15 3.868.246 4.365.505
Loans and receivables - customers 16 12.563.088 9.363.399
Financial assets held for trading 17 3.622 5.037
Investments available for sale 18 50.222 49.154
Trade and other receivables 19 1.750.269 1.031.623
Property and equipment 20 15.537 11.637
Intangible assets 21 2.555 1.506
Current tax assets 22 2.804 148
Deferred tax assets 23 12.817 1.677
Other assets 24 48.063 79.168
Total assets 22.115.450 19.190.297
Contingent Assets 25 3.749.453 4.711.652
Liabilities
Due to banks 26 15.352.149 13.327.968
Due to customers 27 5.207.057 4.378.749
Financial liabilities held for trading 28 5.366 12.794
Current tax liabilities 29 27.564 13.223
Deferred tax liabilities 30 1.098 3.674
Accrued interest, expenses and other liabilities 31 749.278 803.360
Provisions 32 8.180 3.044
Total liabilities 21.350.692 18.542.812
17
Note 2011 2010
EquityShare capital 15.000 15.000
Share premium 250 -
Retained earningss 619.869 537.607
AFS reserve 2.083 9.126
Translation reserve 53.283 43.228
Revaluation reserve (45.873) (44.177)
Unappropriated result of the year 114.717 82.471
Equity attributable to the shareholder 33 759.329 643.255
Non-Controlling Interests 34 5.429 4.230
Total Equity 764.758 647.485
Total Liabilities and Equity 22.115.450 19.190.297
Contingent Liabilities 35 5.324.233 7.121.217
(x € 1.000) 2010
Share capital
Premium share
Retained earnings
Unrealised gains and
losses
Result of the year
Share-holders
Equity
Minority Interest
Total Equity
Opening balance at 1 January 15.000 427.067 (1.152) 108.737 549.652 3.365 553.017
Profit appropriation 108.737 (108.737) - -
AFS reserve 780 780 780
Translation reserve (31.366) (31.366) (31.366)
Revaluation reserve 1.803 39.915 41.718 41.718
Dividend paid to minorities - (1.525) (1.525)
Unappropriated result of the year 82.471 82.471 2.390 84.861
Closing balance as at 31 December 15.000 - 537.607 8.177 82.471 643.255 4.230 647.485
(x € 1.000) 2011
Share capital
Premium share
Retained earnings
Unrealised gains and
losses
Result of the year
Share-holders
Equity
Minority Interest
Total Equity
Opening balance at 1 January 15.000 - 537.607 8.177 82.471 643.255 4.230 647.485
Profit appropriation 82.471 (82.471) - -
AFS reserve (7.043) (7.043) (7.043)
Translation reserve 10.055 10.055 10.055
Revaluation reserve (209) (1.695) (1.905) (1.905)
Dividend paid to minorities - - -
Increase of Capital 250 250 250
Unappropriated result of the year 114.717 114.717 1.199 115.916
Closing balance as at 31 December 15.000 250 619.869 9.493 114.717 759.329 5.429 764.758
consolidated statementof changes in Equity
18
consolidated cash flow statementfor the year 2011
(x € 1.000) 2011 2010
Cash and cash equivalents - Balance as at 31 December 4.281.443 10.359.358
Reclassification - (4.063.668)
Cash and cash equivalents - Balance as at 1 January 4.281.443 6.295.690
Profit before taxation 157.662 120.392
Adjustment result ineffectiveness Net investment hedge - 325
Depreciation, amortisation of (in)tangible assets 7.029 5.382
Change in provision for impairment 1.128 4.821
Effect of exchange rate variance on cash and cash equivalents 42.530 239.626
Adjusted profit for non-cash items 208.349 370.546
Changes in operating assets and liabilities:
Loans and receivables - banks 466.176 (450.928)
Loans and receivables - customers (2.998.931) (383.324)
Trade and other receivables (614.673) (141.946)
Due to banks 2.107.059 807.280
Due to customers 826.931 (1.724.289)
Net changes in all other operational assets and liabilities (406.931) (440.785)
Income taxes paid (50.448) (35.212)
Net cash from operating activities (462.468) (1.998.658)
Purchases of investments (9.590) (12.406)
Proceeds from sales, maturities and redemptions 8.795 5.199
Purchases of property and equipment (9.395) (5.677)
Purchases of other (in)tangible assets (2.020) (1.116)
Dividend paid to shareholders (incl. dividend to minorities) - (1.525)
Net realised gains (losses) on sales (8.538) (64)
Cash flow from investing activities (20.748) (15.589)
Cash and short term deposits - Balance as at 31 December 3.798.227 4.281.443
Supplementary disclosures of operating cash flow information
Interest income received 237.532 231.751
Interest expense paid (185.865) (175.171)
Dividend income received 591 918
19
accounting policies
Corporate informationABN AMRO Clearing Bank N.V. has her statutory domicile
in Amsterdam and is a wholly owned subsidiary of
ABN AMRO Bank N.V. The financial statements of
ABN AMRO Clearing Bank N.V. and ABN AMRO Bank N.V.
are incorporated in the consolidated financial statements
of ABN AMRO Group N.V.
The annual financial statements were prepared by
the Managing Board and authorised for issue by the
Supervisory Board and Managing Board on May 9, 2012.
Basis of presentation
ABN AMRO Clearing Bank N.V.’s , Consolidated Financial
Statements, including the 2010 comparative figures, are
prepared in accordance with IFRS – including International
Accounting Standards (‘IAS’) and Interpretations – at 31
December 2011 and as adopted by the European Union
and with part 9 of book 2 of the Dutch Civil Code.
Where accounting policies are not specifically mentioned
below, reference should be made to the IFRS’s as adopted
by the European Union.
The accounting policies used to prepare these 2011
Consolidated Annual Financial Statements are consistent
with those applied for the year ended 31 December 2010.
As of 6 November 2003 Fortis Bank Nederland (Holding) N.V.
deposited a Notice of Liability pursuant to article 2:403
of the Dutch civil code with respect to Fortis Bank Global
Clearing N.V. with the trade register of the Chamber of
Commerce in Amsterdam. This 403 declaration was
renewed and deposited as of July 1st 2010 by ABN AMRO
Group N.V. with respect to ABN AMRO Clearing Bank N.V.
In principal, ABN AMRO Clearing Bank N.V. is not engaged
in any proprietary trading, operates at arm’s length of
ABN AMRO Bank N.V. and therefore, provides clearing
services as an independent market participant with its
focus on third parties.
Third party clearing means that ABN AMRO Clearing
Bank N.V. guarantees its clients towards the exchanges
and central counterparties and takes care of the risk
management of the (financial) position of these clients.
ABN AMRO Clearing Bank N.V. also handles the admini-
stration of positions and the financing of these positions
for clients. The clients are predominantly on-exchange
traders and professional trader groups but ABN AMRO
Clearing Bank N.V. also services financial institutions, banks,
fund managers and brokers with its product portfolio.
ABN AMRO Clearing Bank N.V. does not service retail
customers directly.
Accounting EstimatesThe preparation of financial statements in conformity with
IFRS requires the use of certain accounting estimates. It
also requires management to exercise its judgement in the
process of applying these accounting principles. Actual
results may differ from those estimates and judgemental
decisions.
The subsidiaries and branches of ABN AMRO Clearing Bank N.V. are:
Name Entitlements Est.
year
OCA POM B.V. 100% 1990
ABN AMRO Clearing Bank Frankfurt Branch 100% 2004
ABN AMRO Clearing Bank London Branch 100% 2004
ABN AMRO Clearing Singapore Pte 100% 2005
ABN AMRO Clearing Tokyo Co Ltd 100% 2007
European Multilateral Clearing Facility N.V. 77% 2007
ABN AMRO Clearing Hong Kong Ltd 100% 2008
ABN AMRO Clearing Sydney Pty Ltd 100% 2008
ABN AMRO Clearing Chicago LLC 100% 2009
ABN AMRO Clearing Bank Brussels Branch 100% 2009
ABN AMRO Clearing Bank Singapore Branch 100% 2009
Holland Clearing House N.V. 100% 2011
20
Judgements and estimates are principally made in the
following areas:
▶ recoverable amounts in case of indebtedness of clients.
Recoverable amount is based on mark-to-market of
client position vis-à-vis future obligations of ABN AMRO
Clearing Bank N.V. in function as General Clearing
Member;
▶ determination of fair values of non-quoted financial
instruments;
▶ determination of the useful life and the residual value
of property and equipment, investment property and
intangible assets;
▶ actuarial assumptions related to the measurement of
pension liabilities and assets;
▶ estimation of present obligations resulting from past
events in the recognition of provisions.
Changes in accounting policiesNew and amended IFRSs adopted by ABN AMRO
Bank N.V. applicable and relevant for ABN AMRO
Clearing Bank N.V.
For 2011, the International Accounting Standards Board
(the IASB) and the International Financial Reporting
Interpretations Committee (the IFRIC) did not issue any
new and revised Standards an Interpretations that apply
to ABN AMRO Clearing Bank’s annual accounts.
New accounting standards and interpretations
IFRS 9 Financial instrumentsIFRS 9 as issued reflects the first phase of the IASBs
work on the replacement of IAS 39 and applies to
classification and measurement of financial assets and
liabilities as defined in IAS 39. The standard is effective
for annual periods beginning on or after 1 January 2015.
The standard is not yet endorsed by the European Union
and therefore not available for early adoption. In subsequent
phases, the Board will address impairment and hedge
accounting. Exposure drafts have been issued.
The completion of these projects is expected in 2012.
ABN AMRO Clearing Bank N.V. is currently assessing the
impact of both the first phase and the second phase on
its financial statements.
IFRS 10 Consolidated Financial StatementsIFRS 10 replaces all of the consolidation guidance of IAS 27
Consolidated and separate Financial Statements and SIC
12 Consolidation – Special Purpose Entities. Consolidation
is required when there is control that is defined as a
combination of power, exposure to variability in returns
and a link between the two. IAS 28, Investments in
Associates and Joint Ventures is also amended for
conforming changes based on the issuance of IFRS 10.
IFRS 10 is effective for annual periods beginning on
or after 1 January 2013. ABN AMRO Clearing Bank is
currently reviewing this new IFRS 10 and will assess
the impact on its financial statements.
IAS 1 Presentation of Financial StatementsIAS1 addresses changes in the presentation of Other
Comprehensive Income. The amended standard emphases
that profit or loss and Other Comprehensive Income
should be grouped together, i.e. either as a single
‘statement of profit or loss’ or a ‘statement of compre-
hensive income’. This last option is existing practice for
ABN AMRO Clearing Bank. ABN AMRO Clearing Bank
will assess if it will continue this practice or convert to
the other option included in the amended IAS 1. This
standard is applicable for annual periods beginning on
or after 1 July 2012, with early adoption permitted.
Endorsement by the European Commission has not
taken place yet, and is therefore not yet available for
early adoption.
IAS 12 Income taxesThe amendments to IAS 12 provide a practical approach
for measuring deferred tax liabilities and deferred tax
assets when investment property is measured using
the fair value model in IAS 40 Investment property.
The amendment introduces a presumption that an
investment property is recovered entirely through sale.
This presumption is rebutted if the investment property
is held within a business model whose objective is
to consume substantially all of the economic benefits
embodied in the investment property over time, rather
than through sale. This standard is applicable for annual
periods beginning on or after 1 January 2012, with early
adoption permitted. Endorsement by the European
Commission has not taken place yet, and is therefore
not yet available for early adoption.
IAS 19 Employee BenefitsThe amended IAS 19 states that changes in the defined
benefit obligation and fair value of plan assets are recog-
nised in the period as they occur. The ‘corridor’ method is
eliminated and actuarial gains and losses and unrecognised
21
Consolidation Principles
Basis of consolidationThe consolidated financial statements of ABN AMRO
Clearing Bank N.V. include the financial statements of
the parent and its controlled entities. It incorporates
assets, liabilities, revenues and expenses of ABN AMRO
Clearing Bank N.V. and its subsidiaries. Non controlling
interests, held by third parties, in both equity and results of
Group companies are stated separately in the consolidated
financial statements.
Subsidiaries are included using the same reporting period
and consistent accounting policies. Intercompany balances
and transactions, and any related unrealised gains and
losses, are eliminated in preparing the consolidated
financial statements.
Unrealised gains arising from transactions with associates
and jointly controlled entities are eliminated to the extent
of ABN AMRO Clearing’s interest in the enterprise.
Unrealised losses are also eliminated unless the transaction
provides evidence of impairment in the asset transferred.
SubsidiariesSubsidiaries are those enterprises controlled by ABN AMRO
Clearing. Control is deemed to exist when ABN AMRO
Clearing has the power, directly or indirectly, to govern
the financial and operating policies of an enterprise so
as to obtain benefits from its activities. The existence
and effect of potential voting rights that are presently
exercisable or convertible are taken into account when
assessing whether control exists. Unless, in exceptional
circumstances, it can be demonstrated that such
ownership does not constitute control. Control also
exists when the parent owns one half or less of voting
power but has the power to govern the financial and
operating policies.
The financial statements of subsidiaries are included
in the consolidated financial statements from the date
on which control commences until the date on which
control ceases. Equity attributable to non-controlling
interests is shown separately in the consolidated balance
sheet as part of total equity. Current period profit or loss
attributable to non-controlling interests is presented as
an attribution of profit for the year.
past service costs are recognised directly in Other
Comprehensive Income. Because actuarial gains and
losses are no longer deferred, both the net defined
benefit liability/asset and the amounts recognised in
profit or loss are affected.
The amended standard splits changes in defined benefit
liabilities/assets in:
▶ service cost (including past service costs, curtailments
and settlements) – in profit or loss;
▶ net interest costs (i.e., net interest on the net defined
benefit liability) – in profit or loss;
▶ remeasurement of the defined benefit liability/asset –
in other comprehensive income.
The amended IAS 19 is effective for periods beginning on
or after 1 January 2013. ABN AMRO Clearing Bank N.V.
currently uses the ‘corridor’ method. ABN AMRO Bank N.V.
is currently assessing the impact of this amended
standard on the financial statements. The European
Commission has not endorsed this standard yet, and
is therefore not yet available for early adoption.
Improvements to IFRSs
Amendments resulting from Improvements to IFRSs to
the following standards did not have any impact on the
accounting policies, financial position or performance of
the Bank during this financial year:
▶ IFRS 7 Financial Instruments: Disclosures
▶ IAS 1 Presentation of Financial Statements
▶ IAS 27 Consolidated and Separate Financial
Statements
▶ IFRIC 13 Customer Loyalty Programmes
Geographical informationA geographical area is engaged in providing products or
services within a particular economic environment that are
subject to risks and returns that are different from those
of segments operating in other economic environments.
ABN AMRO Clearing Bank’s reported geographical areas
are as follows:
22 Accounting policies
Netherlands Singapore
Germany Japan
Great Britain Hong Kong
Belgium Australia
United States
The consolidated financial statements include those of
ABN AMRO Clearing Bank N.V. and its subsidiaries:
Foreign CurrencyThe consolidated financial statements are stated in
euro’s, which is the functional currency of the parent
company of ABN AMRO Clearing Bank N.V.
Foreign Currency differencesThe financial performance of ABN AMRO Clearing’s foreign
operations, conducted through branches, subsidiaries,
associates and joint ventures, is reported using the
currency (‘functional currency’) that best reflects the
economic substance of the underlying events and
circumstances relevant to that entity.
The assets and liabilities of foreign operations, including
goodwill and purchase accounting adjustments, are
translated to ABN AMRO Clearing’s presentation currency,
the euro, at the foreign exchange rates prevailing at the
reporting date. The income and expenses of foreign
operations are translated to the euro at the rate that
approximates the rates prevailing at the transaction date.
Currency translation differences arising on these translations
are recognised directly in equity (‘Unrealised gains and
losses Currency result’).
Name Place registered office
Country
ABN AMRO Clearing Chicago LLC
Chicago United States
ABN AMRO Clearing Sydney Pty Ltd
Sydney Australia
ABN AMRO Clearing Hong Kong Ltd
Hong Kong Hong Kong
ABN AMRO Clearing Tokyo Co Ltd
Tokyo Japan
ABN AMRO Clearing Singapore Pte
Singapore Singapore
European Multilateral Clearing Facility N.V.
Amsterdam The Netherlands
OCA POM B.V. Amsterdam The Netherlands
Holland Clearing House N.V.
Amsterdam The Netherlands
Exchange differences arising on monetary items,
borrowings and other currency instruments, designated
as hedges of a net investment in a foreign operation,
are recorded in equity (under ‘Unrealised gains and
losses Currency result’) in the consolidated financial
statements, until the disposal of the net investment,
except for any hedge ineffectiveness that is immediately
recognised in the income statement.
Transactions in a currency that differs from the functional
currency of the transacting entity are translated into
the functional currency at the foreign exchange rate at
transaction date. Monetary assets and liabilities denomi-
nated in foreign currencies at reporting date are translated
to the functional currency at the exchange rate at that date.
Non-monetary assets accounted for at cost and denomi-
nated in foreign currency are translated to the functional
currency at transaction date.
Translation of non-monetary items depends on whether
the non-monetary items are carried at historical cost or
at fair value. Non-monetary items carried at historical
cost are translated using the historical exchange rate
that existed at the date of the transaction. Non-monetary
items that are carried at fair value are translated using
the exchange rate on the date that the fair values are
determined. The resulting exchange differences are
recorded in the income statement as foreign currency
gains (losses) except for those non-monetary items whose
fair value change is recorded as a component of the equity.
Currency translation differences on all monetary financial
assets and liabilities are included in foreign exchange gains
and losses in trading income. Translation differences on
non monetary items (such as equities) held at fair value
through profit or loss are also reported through income
and, for those classified as available for sale, directly
in equity within ‘Net unrealised gains and losses on
available-for-sale assets’.
23
The following table shows the rates of the relevant
currencies for ABN AMRO Clearing Bank N.V.:
Trade Date and Settlement Date AccountingAll purchases and sales of financial assets requiring
delivery within the time frame established by regulation
or market convention are recognised on the trade date,
which is the date on which ABN AMRO Clearing Bank N.V.
becomes a party to the contractual provisions of the
financial assets.
Forward purchases and sales other than those requiring
delivery within the time frame established by regulation or
market convention are recognised as derivative forward
transactions until settlement.
OffsettingFinancial assets and liabilities are offset and the net
amount is reported on the balance sheet if there is a
legally enforceable right to set off the recognised amounts
and there is an intention to settle on a net basis, or realise the
asset and settle the liability simultaneously. Assets are recor-
ded net of any accumulated provision for impairment loss.
Classification and Measurement of Financial Assets and LiabilitiesABN AMRO Clearing Bank N.V. classifies financial assets
and liabilities based on the business purpose of entering
into these transactions.
All assets and liabilities have a maturity less than 3
months, unless indicated otherwise in the disclosure.
Financial AssetsConsequently, financial assets can be classified as for
example assets held for trading, investments, due from
banks and due from customers.
The measurement and income recognition in the income
statement depend on the IFRS classification of the financial
assets, being: (a) cash and cash equivalents; (b) loans and
receivables; (c) held-to-maturity investments; (d) financial
assets at fair value through profit or loss and (e) available-
for-sale financial assets. This IFRS classification determines
the measurement and recognition as follows:
▶ Loans and receivables are initially measured at fair
value (including transaction costs) and subsequently
measured at amortised cost using the effective
interest method, with the periodic amortisation
recorded in the income statement.
▶ Held-to-maturity investments consist of instruments
with fixed or determinable payments and fixed
maturity for which the positive intention and ability to
hold to maturity is demonstrated. They are initially
measured at fair value (including transaction costs)
and subsequently measured at amortised cost using
the effective interest method, with the periodic
amortisation recorded in the income statement.
▶ Financial assets at fair value through profit or loss
include:
I financial assets held for trading, including derivative
instruments that do not qualify for hedge
accounting
II financial assets that ABN AMRO Clearing Bank N.V.
has irrevocably designated at initial recognition or
first-time adoption of IFRS as held at fair value
through profit or loss, because:
the host contract includes an embedded derivative
that would otherwise require separation;
it eliminates or significantly reduces a
measurement or recognition inconsistency
(‘accounting mismatch’);
it relates to a portfolio of financial assets and/or
liabilities that are managed and evaluated on a fair
value basis.
▶ Available-for-sale financial assets are those assets that
are otherwise not classified as loans and receivables,
held-to-maturity investments, or financial assets
designated at fair value through profit or loss.
Available-for-sale financial assets are initially measured
at fair value (including transaction costs), and are
subsequently measured at fair value with unrealised
gains or losses from fair value changes reported in
equity. For impaired available-for-sale assets, unrealised
24 Accounting policies
Rates at year end- Average rates
2011 2010 2011 2010
1 EURO =
Pound Sterling 0,84 0,86 0,86 0,86
Singapore Dollar 1,68 1,72 1,75 1,81
Japanese Yen 100,01 108,89 110,93 116,36
Hong Kong Dollar 10,09 10,40 10,84 10,30
Australian Dollar 1,27 1,32 1,35 1,44
US Dollar 1,30 1,34 1,39 1,33
losses previously recognised in equity are transferred
to the income statement when the impairment occurs.
Incurred but not identified defaults
Incurred but not identified (IBNI) impairments on loans
represents losses inherent in components of the non-
impaired portfolio that have not yet been specifically
identified.
The scope of the calculation of the IBNI impairments
covers all financial assets found not to be individually
impaired from the categories Loans and receivables –
banks, Loans and receivables – clients and Trade receivables.
All related off-balance items such as unused credit facilities
and credit commitments are also included.
The IBNI calculation combines the Basel II concept of
expected loss on a one-year time horizon with intrinsic
elements such as loss identification period (LIP), cycle
adjustment factor and expert views.
Above is in accordance with ABN AMRO Bank N.V.
policies.
Financial LiabilitiesFinancial liabilities are classified as liabilities held for trading,
due to banks, due to customers, debt certificates,
subordinated liabilities and other borrowings.
The measurement and recognition in the income statement
depends on the IFRS classification of the financial
liabilities being: (a) financial liabilities at fair value through
profit or loss, and (b) other financial liabilities. This IFRS
classification determines the measurement and recognition
in the income statement as follows:
a) Financial liabilities at fair value through profit or loss
include: (i) financial liabilities held for trading, including
derivative instruments that do not qualify for hedge
accounting, and (ii) financial liabilities that ABN AMRO
Clearing Bank N.V. has irrevocably designated at initial
recognition or first-time adoption of IFRS as held at
fair value through profit or loss.
b) Other financial liabilities are initially recognised at fair
value (including transaction costs), and subsequently
measured at amortised cost using the effective interest
method, with the periodic amortisation recorded in
the income statement.
Fair Value of Financial InstrumentsThe fair value of a financial instrument is determined based
on quoted prices in active markets. When quoted prices
in active markets are not available, valuation techniques
are used. Valuation techniques make maximum use of
market inputs but are affected by the assumptions used,
including discount rates and estimates of future cash flows.
Such techniques include market prices of comparable
investments, discounted cash flows, option pricing models
and market multiples valuation methods. In the rare case
where it is not possible to determine the fair value of a
financial instrument, it is accounted for at cost.
On initial recognition, the fair value of a financial instrument
is the transaction price, unless the fair value is evidenced
by observable current market transactions in the same
instrument, or is based on a valuation technique that
includes inputs only from observable markets.
The principal methods and assumptions used by ABN AMRO
Clearing Bank N.V. in determining the fair value of finan-
cial instruments are:
▶ Fair values for securities available for sale or at fair
value through profit or loss are determined using
market prices from active markets. If no quoted prices
are available from an active market, the fair value is
determined using discounted cash flow models.
Discount factors are based on the swap curve plus a
spread reflecting the characteristics of the instrument.
▶ Fair values for derivative financial instruments are
obtained from active markets or determined using, as
appropriate, discounted cash flow models and option
pricing models.
▶ Fair values for loans are determined using discounted
cash flow models based upon ABN AMRO Clearing
Bank N.V.’s current incremental lending rates for
similar type loans. For variable-rate loans that re-price
frequently and have no significant change in credit risk,
fair values are approximated by the carrying amount.
▶ Off-balance sheet commitments or guarantees are fair
valued based on fees currently charged to enter into
similar agreements, taking into account the remaining
terms of the agreements and the counterparties’
credit standings.
▶ For short-term payables and receivables, the carrying
amounts are considered to approximate fair values.
25
Measurement of Impaired AssetsAn asset is impaired when its carrying amount exceeds
its recoverable amount. ABN AMRO Clearing Bank N.V.
reviews all of its assets at each reporting date for objective
evidence of impairment.
The carrying amount of impaired assets is reduced
to the net present value of its estimated recoverable
amount and the amount of the change in the current
year provision is recognised in the income statement.
Recoveries, write-offs and reversals of impairment are
included in the income statement as part of change in
provisions for impairment.
If in a subsequent period, the amount of the impairment
on assets other than goodwill or available-for-sale equity
instruments decreases, due to an event occurring after
the write-down, the amount is reversed by adjusting
the provision account and is recognised in the income
statement.
Financial Assets
A financial asset (or group of financial assets) is impaired
if there is objective evidence of impairment as a result
of one or more events that occurred after the initial
recognition of the asset and that loss event (or events)
has an impact on the estimated future cash flows of the
financial asset (or group of financial assets) that can be
reliably estimated.
Depending on the type of financial asset, the recoverable
amount can be estimated as follows:
▶ the fair value using an observable market price;
▶ present value of expected future cash flows discounted
at the instrument’s original effective interest rate (for
financial assets carried at amotised cost); or
▶ based on the fair value of the collateral.
Impairment to available-for-sale equity instruments
cannot be reversed through the income statement in
subsequent periods.
Other Assets
For non-financial assets, the recoverable amount is
measured as the higher of the fair value less cost to
sell and the value in use. Fair value less cost to sell is
the amount obtainable from the sale of an asset in an
arm’s length transaction between knowledgeable, willing
parties, after deducting any direct incremental disposal
costs. Value in use is the present value of estimated future
cash flows expected to arise from continuing use of an
asset and from its disposal at the end of its useful life.
Due from Banks and due from Customers
A specific loan provision is established if there is objective
evidence that the ABN AMRO Clearing Bank N.V. will
not be able to collect all amounts due in accordance
with contractual terms. The amount of the provision
is the difference between the market-to-market of the
client position vis-à-vis the third party obligations of
the ABN AMRO Clearing Bank N.V. in its function as
a clearing member.
Impairments are recorded as a decrease in the carrying
value of due from banks and due from customers.
When a specific loan is identified as uncollectible and
all legal and procedural actions have been exhausted,
the loan is written off against the related charge for
impairment; subsequent recoveries are credited to
change in provisions for impairment in the income
statement.
Balance sheet items
Cash and Cash EquivalentsCash and cash equivalents comprise cash on hand,
freely available balances with central banks and other
non-derivative financial instruments with less than
three months maturity from the date of acquisition.
Cash Flow StatementABN AMRO Clearing Bank N.V. reports cash flows from
operating activities using the indirect method, whereby
the net result is adjusted for the effects of transactions
of a non-cash nature, any deferrals or accruals of past or
future operating cash receipts or payments, and items of
income or expense associated with investing or financing
cash flows.
Interest received and interest paid is presented as cash
flows from operating activities in the cash flow statement.
Dividends received are classified as cash flows from
operating activities. Dividends paid are classified as cash
flows from financing activities.
26 Accounting policies
Due from Banks and due from CustomersDue from banks and due from customers include loans
originated by ABN AMRO Clearing Bank N.V. by providing
money directly to the borrower or to a sub-participation agent.
Securities Borrowing and LendingSecurities borrowed and securities loaned transactions are
generally reported as collateralized financings. Securities
borrowed transactions require ABN AMRO Clearing
Bank N.V. to deposit cash and/or other collateral with the
lender. When loaning securities, ABN AMRO Clearing
Bank N.V. receives cash collateral generally in excess of the
market value of the securities loaned. ABN AMRO Clearing
Bank N.V. monitors the market value of securities borrowed
and loaned on a daily basis with additional collateral
obtained or refunded as necessary. Interest rates paid
on the cash collateral fluctuate with short-term interest
rates. Securities purchased under agreements to resell and
securities sold under agreements to repurchase, which are
short-term in nature, are treated as collateralized financing
transactions and are carried at the amounts at which the under-
lying securities will be subsequently resold or repurchased
as specified in the respective agreements. It is ABN AMRO
Clearing Bank N.V.’s policy to take possession of securities,
subject to resale agreements. The fair value of the securities
is determined daily and collateral added whenever necessary
to bring the market value of the underlying collateral equal
to or greater than the resale price specified in the contract.
Assets and Liabilities Held for TradingA financial asset or financial liability is classified as held
for trading if it is:
▶ acquired or incurred principally for the purpose of
selling or repurchasing it in the near term, or
▶ part of a portfolio of identified financial instruments
that are managed together and for which there is
evidence of a recent actual pattern of short-term
profit taking, or
▶ a derivative (except for a derivative that is a
designated and effective hedging instrument).
Assets and liabilities held for trading are initially recognised
and subsequently measured at fair value through profit
or loss. ABN AMRO Clearing Bank N.V. is principal in the
transactions between the client and the counterparty.
Counterparty risk is monitored by ABN AMRO Clearing
Bank N.V. risk management at ABN AMRO Bank N.V. level.
The (realised and unrealised) results are included in ‘Other
realised and unrealised gains and losses’. Interest received
(paid) on assets (liabilities) held for trading is reported as
interest income (expense). Dividends received are included
in ‘dividend and other investment income’.
Investments available for saleAvailable-for-sale investment securities are held at fair
value. Changes in the fair value are recognised directly
in the equity until the asset is sold unless the asset is
hedged by a derivative. If an investment is determined to
be impaired, the impairment is recognised in the income
statement. An investment is considered impaired if its car-
rying value exceeds the recoverable amount by an amount
considered significant or for a period considered prolonged.
For impaired available-for-sale investments, unrealised los-
ses previously recognised in the equity are transferred to
the income statement when the impairment occurs.
If, in a subsequent period, the fair value of a debt instrument
classified as available for sale increases and the increase
can be objectively related to an event occurring after the
impairment loss was recognised in the income statement,
the impairment loss is reversed, with the amount of the
reversal recognised in the income statement. Impairment
losses recognised in the income statement for an investment
in an equity instrument classified as available for sale are
not reversed through the income statement.
Available-for-sale investment securities that are hedged by
a derivative are carried at fair value through profit or loss.
Investments in associates and joint venturesAssociates are those enterprises in which ABN AMRO
Clearing Bank N.V. has significant influence (this is
generally assumed when ABN AMRO Clearing Bank N.V.
holds between 20% and 50% of the voting rights), but
not control, over the operating and financial policies.
Joint ventures are contractual agreements whereby
ABN AMRO Clearing Bank N.V. and other parties undertake
an economic activity that is subject to joint control.
Investments in associates and joint ventures are accounted
for using the ‘Net equity method’. Under this method the
investment is initially recorded at cost and subsequently
increased (or decreased) for post acquisition net income
(or loss), other movements impacting the equity of the
investee and any adjustments required for impairment.
27
Trade and Other ReceivablesTrade and other receivables arising from the normal
course of business and originated by ABN AMRO
Clearing Bank N.V. are initially recorded at fair value
and subsequently measured at amortised cost using
the effective interest method, less impairments.
Property and EquipmentFixed assets are stated at cost less accumulated
depreciation and any accumulated impairment losses.
Cost is the amount of cash or cash equivalents paid or
the fair value of the other consideration given to acquire
an asset at the time of its acquisition or construction.
Generally, depreciation is calculated on the straight-line
method to write down the cost of such assets to their
residual values over their estimated useful lives. The resi-
dual value and the useful life of property and equipment
is reviewed at each year-end.
Repairs and maintenance expenses are charged to the
income statement when the expenditure is incurred.
Expenditures that enhance or extend the benefits of
real estate or fixed assets beyond their original use are
capitalised and subsequently depreciated.
Useful life for property and equipment is between 5 and
25 years.
Intangible AssetsAn intangible asset is an identifiable non-monetary asset
and is recognised at cost if and only if it will generate
future economic benefits and if the cost of the asset can
be measured reliably.
Software
Software for computer hardware that cannot operate
without that specific software, such as the operating
system, is an integral part of the related hardware and
it is treated as property and equipment. If the software
is not an integral part of the related hardware, the costs
incurred during the development phase for which
ABN AMRO Clearing Bank N.V. can demonstrate all of the
above-mentioned criteria are capitalised as an intangible
asset and amortised using the straight-line method over
the estimated useful life. In general, such intangible assets
have an expected useful life of 5 years at most.
Other intangible assets
Other intangible assets include intangible assets with
definite lives, such as trademarks and licences that are
generally amortised over their useful lives using the
straight-line method.
Intangible assets with finite lives are reviewed at each
reporting date for indicators of impairment.
Derivative Financial Instruments and HedgingDerivatives are financial instruments such as swaps,
forward and future contracts and options (both written
and purchased). These financial instruments have values
that change in response to changes of various underlying
variables, require little or no net initial investment, and
are settled at a future date. All derivatives are recognised
on the balance sheet at fair value on the trade date as
Assets held for trading and Liabilities held for trading.
Subsequent changes in the clean fair value (i.e. excluding
the interest accruals) of derivatives are reported in the
income statement under ‘other realised and unrealised
gains and losses’.
Due to Banks and due to CustomersDue to banks and due to customers include deposits
and time deposits originated by clients.
Pension LiabilitiesIn the Netherlands the vast majority of the employees
participate in the pension plan of ABN AMRO Bank N.V.
The employees have a contract of employment directly
with ABN AMRO Bank N.V. with the exception of the
employees of the subsidiary European Multilateral
Clearing Facility N.V.
For employees outside the Netherlands, pension or other
retirement plans have been established in accordance
with the regulations and practices of the countries
in question. Separate pension funds or third parties
administer most of these plans. The plans include both
defined contribution plans and defined benefit plans. In
the case of defined contribution plans, contributions are
charged directly to the income statement in the year to
which they relate.
28 Accounting policies
The net obligations under defined benefit plans are
regarded as ABN AMRO Clearing’s own commitments
regardless of whether these are administered by a pension
fund or in some other manner. The net obligation of each
plan is determined as the difference between the present
value of the defined benefit obligations and the fair value of
plan assets, together with adjustments for unrecognised
past service costs.
Pension obligations
Defined benefit plan pension commitments are calculated
by independent actuaries in accordance with the projected
unit credit method of actuarial cost allocation. Under this
method, the present value of pension commitments is
determined on the basis of the number of active years of
service up to the balance sheet date and the estimated
employee salary at the time of the expected retirement
date, and is discounted using the market rate of interest
on high-quality corporate bonds.
Pension costs for the year are established at the beginning
of the year based on the expected service and interest
costs and the expected return on the plan assets, plus
the impact of any current period curtailments or plan
changes. Differences between the expected and the
actual return on plan assets, as well as actuarial gains
and losses, are only recognised as income or expense
when the net cumulative unrecognised actuarial gains
and losses at the end of the previous reporting year
exceed 10% of the greater of the commitments under
the plan and the fair value of the related plan assets. The
part in excess of 10% is recognised in income over the
expected remaining years of service of the employees
participating in the plans. Differences between the pension
costs determined in this way and the contributions
payable are accounted for as provisions or prepayments.
Commitments relating to early retirement of employees
are treated as pension commitments.
The impact of any plan amendment is broken down into
elements which relate to past service (for example, discount
rate) and elements which are dependent on future service
(such as the impact of future salary increases included
in the defined benefit obligation) having bifurcated the plan
amendment into mutually exclusive past and future service
elements, negative past service cost or curtailment accoun-
ting treatment is applied for the respective elements.
Net cumulative unrecognised actuarial gains and losses
for defined benefit plans exceeding the corridor (greater
than 10% of the present value of the defined benefit
obligation or 10% of the fair value of any plan assets) are
recognised in the income statement over the average
remaining services lives of the employees.
When the benefits of a plan are improved, the portion of
the increased benefit relating to past service by employees
is recognised as an expense in the income statement on
a straight-line basis over the average period until the
benefits become vested. To the extent that the benefits
vest immediately, the past service cost is recognised
immediately in the income statement.
Assets that support the pension liabilities of an entity
must meet certain criteria in order to be classified as
‘qualifying pension plan assets’. These criteria relate
to the fact that the assets should be legally separated
from its sponsor or its creditors. If these criteria are not
met, the assets are included in the relevant item on the
balance sheet (such as financial investments, property
and equipment).
If the assets meet the criteria, they are netted against
the pension liability. When the fair value of plan assets
is netted against the present value of the obligation of
a defined benefit plan, the resulting amount could be a
negative (an asset). In this case, the recognised asset
cannot exceed the total of any cumulative unrecognised
net actuarial losses and service costs and the present value
of any economic benefits available in the form of refunds
from the plan or reductions in future contributions to the plan.
Employee EntitlementsEmployee entitlements to annual leave and long-service
leave are recognised when they accrue to employees.
A provision is made for the estimated liability for annual
leave and long-service leave as a result of services
rendered by employees up to the balance sheet date.
ProvisionsProvisions are liabilities with uncertainties in the amount
or timing of payments. Provisions are recognised if there
is a present obligation to transfer economic benefits, such
as cash flows, as a result of past events and a reliable
estimate can be made at the balance sheet date. Provisions
are established for certain guarantee contracts for which
29
ABN AMRO Clearing Bank N.V. is responsible to pay upon
default of payment. Provisions are estimated based on all
relevant factors and information existing at the balance sheet
date, and typically are discounted at the risk-free rate.
Contingent Assets and LiabilitiesContingent assets and liabilities are those uncertainties
where an amount cannot be reasonably estimated or
when it is not probable that payment will be required to
settle the obligation.
Transactions with Related PartiesIn the normal course of business, the ABN AMRO Clearing
Bank N.V. enters into various transactions with related
companies. Parties are considered to be related if one
party has the ability to control or exercise significant
influence over the other party in making financial or
operating decisions. Within the context of these financial
statements related parties comprise of ABN AMRO
Bank N.V. and its group companies. The parent company
(ABN AMRO Bank N.V. ) does not charge ABN AMRO
Clearing Bank N.V. for centralised services in Amsterdam.
These services include staff, information technology
(e.g. hardware, software, computer specialists), facilities
(e.g. accommodation and cleaning) and corporate over-
head. Transactions are based on contractual agreements,
are effected on the basis of normal market conditions,
and relate mainly to funding, clearing, settlement and
securities borrowing. The amounts receivable or payable
to related companies are disclosed in the notes to the
financial statements.
Share Capital Incremental costs directly attributable to the issue of
new shares or share options, other than on a business
combination, are deducted from equity net of any related
income taxes.
Other Equity ComponentsOther elements recorded in the equity are related to:
▶ foreign currency;
▶ available-for-sale investments revaluations
Income Statement items
Interest Income and ExpenseInterest income and interest expense are recognised
in the income statement for all interest bearing instru-
ments (whether classified as available for sale, held
at fair value through profit or loss or derivatives) on an
accrual basis using the effective interest method based
on the actual purchase price including direct transaction
costs. Interest income includes coupons earned on fixed
and floating rate income instruments and the accretion
or amortisation of the discount or premium.
The Interest Income is a result of current account balances,
(exchange) margin and securities financing.
Once a financial asset has been written down to its esti-
mated recoverable amount, interest income is thereafter
recognised based on the effective interest rate that was
used to discount the future cash flows for the purpose
of measuring the recoverable amount.
Realised and Unrealised Gains and LossesFor financial instruments classified as available for sale, re-
alised gains or losses on sales and divestments represent
the difference between the proceeds received and the
initial book value of the asset or liability sold, minus any
impairment losses recognised in the income statement
after adjusting for the impact of any fair value hedge
accounting adjustments. Realised gains and losses on
sales are included in the income statement in the caption
realised capital gains (losses) on investments.
For financial instruments carried at fair value through pro-
fit or loss, the difference between the carrying value at
the end of the current reporting period and the previous
reporting period is included in other realised and unreali-
sed gains and losses.
For derivatives, the difference between the carrying
clean fair value (i.e. excluding the unrealised portion of
the interest accruals) at the end of the current reporting
period and the previous reporting period is included in
other realised and unrealised gains and losses.
30 Accounting policies
Previously recognised unrealised gains and losses
recorded directly into equity are transferred to the
income statement upon derecognition or upon the
financial asset becoming impaired.
Fees, Commission Income and Transaction CostsFees that are an integral part of the effective interest rate
of a financial instrument are generally treated as an
adjustment to the effective interest rate. This is the case for
origination fees, received as compensation for activities
such as evaluating the borrower’s financial condition,
evaluating and recording guarantees, etc., and also for
origination fees received on issuing financial liabilities
measured at amortised cost. Both types of fees are deferred
and recognised as an adjustment to the effective interest
rate. However, when the financial instrument is measured
at fair value through profit or loss, the fees are recognised
as revenue when the instrument is initially recognised.
Fees earned as services provided are generally recognised
as revenue as the services are provided. If it is unlikely that
a specific lending arrangement will be entered into and
the loan commitment is not considered as a derivative,
the commitment fee is recognised as revenue on a time
proportion basis over the commitment period.
Fees arising from negotiating, or participating in the
negotiation of a transaction for a third party, are recognised
upon completion of the underlying transaction.
Commission revenue is recognised when the performance
obligation is complete.
Transaction costs are included in the initial measurement of
financial assets and liabilities other than those measured
at fair value through profit or loss. Transaction costs refer
to incremental costs directly attributable to the acquisition
or disposal of a financial asset or liability. They include
fees and commissions paid to agents, advisers, brokers
and dealers levies by regulatory agencies and securities
exchanges, and transfer taxes and duties.
Income Tax ExpenseIncome tax payable on profits is recognised as an expense
based on the applicable tax laws in each jurisdiction in the
period in which profits arise. The tax effects of income tax
losses available for carry-forward are recognised as a deferred
tax asset if it is probable that future taxable profit will be
available against which those losses can be utilised.
Deferred tax is provided in full, using the balance sheet
liability method, on temporary differences arising between
the tax bases of assets and liabilities and their carrying
amounts in the consolidated financial statements.
The rates enacted or substantively enacted at the balance
sheet date are used to determine deferred taxes.
Deferred tax assets are recognised to the extent that it is
probable that sufficient future taxable profit will be available
to allow the benefit of part or the entire deferred tax asset
to be utilised.
Deferred tax liabilities are provided on taxable temporary
differences arising from investments in subsidiaries, except
where the timing of the reversal of the temporary difference
can be controlled and it is probable that the difference will
not reverse in the foreseeable future.
Current and deferred tax related to fair value re-measurement
of available-for-sale investments which are charged or credited
directly to the equity, is also credited or charged directly to
equity and is subsequently recognised in the income
statement together with the deferred gain or loss.
The Dutch operations of ABN AMRO Clearing N.V. form part
of a fiscal unity with ABN AMRO Group N.V. for corporate
income tax purposes. As a consequence, it receives a tax
allocation from the mother company. Such fiscal unity
is also in place for value added tax as well as wage tax
purposes. Abroad, the local operations form part of a
tax grouping when possible under local legislation.
Otherwise, it is seen as a separate taxpaying entity.
31
In its daily operational activities, ABN AMRO Clearing
Bank N.V. is confronted with various risks, the most
important of which are market, credit, operational and
information technology risks. Accurate identification and
control of these risks constitute an important part of
ABN AMRO Clearing Bank N.V. day-to-day operations.
The purpose of risk control is to optimise the relationship
between risk and return.
Market RiskMarket risk is the current or prospective impact on the
ABN AMRO Clearing Bank N.V.’s earnings and capital
resulting from fluctuation in market risk factors, which
include prices of securities, commodities and derivatives,
interest rates and exchange rates. Due to the nature of our
business, market and credit risk are strongly intertwined
and are therefore monitored simultaneously.
The ABN AMRO Clearing Bank N.V. encounters market risk
as a result of its main function as a third party clearing
member, being guarantor of its client positions towards
clearing houses, exchanges and other third parties. In order
to minimise the market risk a stringent set of policies
and procedures have been adopted to monitor the client
positions on a daily basis.
In principal ABN AMRO Clearing Bank N.V. is not engaged
in any proprietary trading. It operates at arm’s length of
ABN AMRO Bank N.V. and therefore provides a clearing
service as an independent market participant with its
focus on third parties. Being a guarantor towards exchanges
and clearing houses for our clients, requires us to have
market risk systems and controls in place.
ABN AMRO Clearing Bank N.V. operates a Risk Manage-
ment department, which monitors the value of collateral
pledged to ABN AMRO Clearing Bank N.V., worst case
scenarios by which the value of collateral may change
and outstanding credit and margin limits on a daily basis
as part of the management of credit risks and market risks.
Moreover, the exposure of liquidity risk for ABN AMRO
Clearing Bank N.V. as such is minimal as ABN AMRO
Bank N.V. has committed to providing immediate and
sufficient access to funds.
Owing to the nature of ABN AMRO Clearing’s activities,
its financial assets and liabilities are generally of a short-
term nature. Consequently, the book values do not differ
materially from the market values. Since the terms and
interest rates for the invested and drawn-down monies
are virtually identical, the interest rate and liquidity risks
are limited.
In terms of measurement of the price risk encountered by
the clients of AACB N.V., the risk management system is
based on the internally developed methodology named
Correlation Haircut (CoH) and the external systems TIMS1
and/or SPAN2.
Client positions are primarily monitored on the mark to
market value of the total position in comparison to the
maximum theoretical loss of the portfolio this maximum
theoretical loss is calculated by CoH. In the case of a
violation, a client is requested to deposit additional
collateral and/or reduce the risk in their portfolio (i.e. net
liquidation balance vs. CoH figure). Ultimately, in case of
a default, the portfolio of the client will be taken over by
AACB N.V.
CoH is a risk system that calculates the market risk of
clients on a daily basis after batch processing and real time
based on intraday positions and intraday market prices.
CoH not only takes price and volatility movements into
account, but also other risk factors as dividends, time value
and interest payments. Most significantly the correlations
between the different products in the portfolio of the
client are taken into account by means of a statistical
model (principal component analysis). On a daily (batch)
1 Theoretical Intermarket Margin System2 Standard analysis of Risk. SPAN is based on a sophisticated set of algorithms that determine margin according to a global (total portfolio) assessment of the one day risk for a trader’s account.
risk management
32
33
and intraday basis stress calculations are performed, the
overall haircut figure is the summation of the worst case
scenarios of the four product groups (Equity, Commodity,
Currency and Fixed Income). It is within each product group
that we take into account correlation offset between
products.
In addition to the net liquidation balance vs. CoH limit the
client positions are monitored on the following parameters:
credit and margin usage, long premium, liquidity risk,
concentration risk and extreme stress scenarios.
The extreme stress scenarios analyse price movements
in extreme market conditions. In these calculations, prices or
yields are stressed simultaneously. Based on the outcome
of these tests the risk managers judge whether the client
has to be contacted or not, and what course of action is
necessary. The outcome of the risk management process
is recorded for management in the daily report that is
distributed within AACB N.V.
Credit RiskCredit risk is the current or prospective impact on the
earnings and capital of ABN AMRO Clearing as a result
of clients and / or counterparties failure to meet with a
financial or other contractual obligation. Credit risk arises
as a result of ABN AMRO Clearing’s normal business
operations and is strongly intertwined to market risk.
Credit risk is monitored daily as part of our risk manage-
ment policies and procedures. In principle, credit risk
only arises if a client has an increased market risk due
to violation of net liquidation balance vs. CoH figure. At
all other times the value of collateral or margin held by
AACB N.V. should exceed the client’s current liabilities.
ABN AMRO Clearing uses appropriate instruments, policies
and processes to manage credit risk. These include
maintenance of a fully independent credit approval and
review process with set creditworthiness limits and
oversight procedures.
Impairment for specific credit risk is established if there
is objective evidence that ABN AMRO Clearing will not
be able to collect all amounts due in accordance with its
contractual terms. The amount of the provision is the dif-
ference between the mark-to-market of the client position
compared to the third party obligations of ABN AMRO
Clearing in its function as a clearing member for the client.
Total outstanding client credit facilities, excluding ABN AMRO
Group companies, including utilisation are as follows:
Based on the above described risk framework and
measures taken, it is noted that client positions are fully
collateralized during the year.
In 2011 ABN AMRO Clearing Bank N.V. had an average
default rate of 0,00 bps on the overall outstanding credit
lines of € 22,9bn (2010: 0,16 bps).
Fair Value Hierarchy
The financial instruments carried at fair value have been
categorized under the three levels of the IFRS fair value
hierarchy as follows:
▶ Quoted prices in active markets (Level 1);
▶ Valuation Techniques with observable market data
(Level 2);
▶ Valuation Techniques with significant unobservable
market data (Level 3).
€ billion 2011 2010 2009 2008
Total outstanding client credit facilities 22,9 19,9 17,7 15,0
Total utilisation 6,5 7,1 5,1 2,5
Total debit cash utilisation 3,0 3,8 2,9 1,4
Total short stock utilisation 3,5 3,3 2,2 1,1
The following table presents the carrying value of the financial instruments held at fair value across the three levels of the fair value hierarchy.
Liquidity RiskThe liquidity risk concerns the risk that the bank will be
unable to meet its financial obligations on time. The basic
approach to managing the liquidity risk is to ensure that
adequate liquidities are available to meet the financial
obligations in both normal and difficult circumstances.
The operating systems and departments notify ABN AMRO
Clearing Bank’s Treasury on a daily basis concerning inward
and outward flows of funds, financial assets and liabilities
shortly falling due and requirements for collateral lodged
with clearing institutions and central banks to facilitate
settlement and payment processes on behalf of clients.
Using this information, Treasury department keeps a
day-to-day watch on the banks liquidity position and
ensures that sufficient collateral is on deposit. This daily
liquidity position is sent to ABN AMRO’s Asset & Liability
Management on a daily basis.
As a result of this tight control and the processes in
place within the Group to ensure that liquidity is available
when required, exposure on liquidity risk is judged to be
minimal.
The overall liquidity position is reported on a monthly
basis by ABN AMRO Bank N.V. in cooperation with
ABN AMRO Clearing Bank N.V. to De Nederlandsche Bank.
(x € 1.000)
At 31 December 2011
Quoted prices in active market
Valuation technique observable
market data
Valuation technique unobservable
market data
Total
Financial assets held at fair value
Trading assets - 3.622 - 3.622
Investments available for sale 31.188 19.034 - 50.222
Total financial assets held at fair value 31.188 22.656 - 53.844
Financial liabilities held at fair value
Trading liabilities 1.744 3.622 - 5.366
(x € 1.000)
At 31 December 2010
Quoted prices in active market
Valuation technique observable
market data
Valuation technique unobservable
market data Total
Financial assets held at fair value
Trading assets 52 4.985 - 5.037
Investments available for sale 31.757 17.397 - 49.154
Total financial assets held at fair value 31.809 22.382 - 54.191
Financial liabilities held at fair value
Trading liabilities 7.809 4.985 - 12.794
34 Risk Management
35
Liquidity sensitivity gapsThe table below shows ABN AMRO Clearing Bank N.V.’s
assets and liabilities classified into relevant maturity
groupings based on the remaining period to the contractual
maturity date. The liquidity gap of € (69.313) is relating
to intercompany term loans. Operationally ABN AMRO
Clearing Bank N.V. has sufficient access to liquidity to
cover normal course of business.
Operational RiskOperational risk is the risk of loss resulting from inade-
quate or failed internal processes or systems, human
error, external events.
Operational risk is monitored and controlled by two
complementary departments. First, operational risk
is dealt with by the Business Control/Enterprise Risk
Management Function (Business Control/ERM). This
function monitors and manages operational risk, including
enterprise risk, internal controls and operational incident
(loss/profit) collection etc. The Business Control Function/
ERM initiates and coordinates the implementation
of risk-reducing, mitigating actions as decided by the
management of ABN AMRO Clearing Bank N.V. involved.
Key risk indicators are used to monitor the level of risk
control. This function is also responsible for Business
Continuity Management and Information Security
Management.
Secondly, the Operational Risk Department within
ABN AMRO Risk Management performs reviews of the
Operational Risk profile of ABN AMRO Clearing Bank
N.V. based on the Advanced Measurement Approach
(AMA) criteria in accordance with Basel II. Although
ex-Fortis Bank Netherlands was AMA compliant, the
Dutch Central Bank (DNB) did not approve the AMA
methodology for the new combined bank. Awaiting the
new AMA framework (currently being developed by
ABN AMRO Risk Management) and its approval by
the DNB, the ABN AMRO Operational Risk department
(x € 1.000)
At 31 December 2011 0-3 months 3-12 months 1-5 years Total
Assets
Fixed rate financial instruments 5.943.549 674.219 - 6.617.768
Variable rate financial instruments 103.611.793 - - 13.611.793
Non-interest bearing financial instruments 1.803.489 248 376 1.804.113
Non-financial assets 81.776 - - 81.776
Total Assets 21.440.607 674.467 376 22.115.450
Liabilities
Fixed rate financial instruments 16.846.645 705.602 - 17.552.247
Variable rate financial instruments 2.969.029 37.930 - 3.006.959
Non-interest bearing financial instruments 4.742 248 376 5.366
Non-financial liabilities 786.120 - - 786.120
Total Liabilities 20.606.536 743.780 376 21.350.692
Net liquidity gap 834.071 (69.313) - 764.758
Information Security Management
As a financial services provider, information is of critical
importance to ABN AMRO Clearing Bank N.V. The clearing
business is knowledge and information intensive enter-
prise and the confidentiality, integrity and availability of
information is crucial. In order to effectively manage the
threats and risks an information security management
system has been implemented for all ABN AMRO Clearing
Bank N.V. locations. Effectiveness of this plan is reported
on a quarterly base in our Enterprise Risk Management
reporting to our Global Management Team at the ERM
committee. Where necessary, improvements are addressed
in action plans to increase the level of control over
implemented controls.
Information Technology risk
In order to limit business risks related to the usage of infor-
mation technology (IT) to a minimum, several measures of
internal control have been implemented, such as deploying
an own Business Support department, being the intermediary
between AMRO Clearing Bank N.V.’s users and its IT
development and Business Development department,
being engaged with long term development and planning.
Moreover ABN AMRO Clearing Bank N.V. has incorporated
internal controls to guarantee the accuracy and comple-
teness of data processing.
Foreign exchange riskDue to the activities of ABN AMRO Clearing in London,
Singapore, Japan, Hong Kong, Sydney and Chicago
foreign exchange risk is born on the net working capital
of London Branch and the equity of Singapore, Japan,
Hong Kong, Sydney and Chicago subsidiaries. Entering
into foreign currency transactions with related parties
economically mitigates this foreign exchange risk for
ABN AMRO Clearing Bank N.V.
ABN AMRO Bank N.V. has committed to providing
immediate and sufficient access to funds. The liquidity
management department will calculate its intra-day and
overnight cash position using internal cash forecasting
systems. As ABN AMRO Clearing Bank N.V. will have
immediate access to funds when required based on the
Master Clearing Agreement and all borrowings are made in
matching currency the foreign exchange risk on funding will
be minimal.
The foreign exchange risk that is born as a result of day-to
will continue applying the current AMA methodolgy
for economic capital calculation and The Standardised
Approach for regulatory capital calculation. They also
perform yearly Risk Self Assessments of the ABN AMRO
Clearing Bank N.V. business to inform the management
team of ABN AMRO Clearing Bank N.V. ’s risk profile.
ABN AMRO Clearing Bank N.V. is fully compliant with the
current ABN AMRO Advanced Measurement Approach.
ABN AMRO Clearing Bank N.V. is subject to an annual
Strategic Risk Self Assessment workshop (SRA) where
ABN AMRO Clearing Bank N.V.’s management and Risk
representatives discussed the risks to the realisation of
ABN AMRO Clearing Bank N.V.’s strategic objectives.
Follow up is monitored by the Operational Risk Department
and Business Control/ERM.
Internal Control
Operational risk management is promoted through the
ABN AMRO Clearing Bank N.V. internal control arrange-
ments. Procedures and work instructions are in place
to safeguard a controlled operational environment. The
organisational structure of ABN AMRO Clearing Bank N.V.
ensures a separation of duties, clearly defined powers
and the allocation of responsibilities, including powers of
representation.
Business continuity management
Business Continuity Management (BCM) provides a
framework to respond to all possible crises endangering
the continuity of business activities, BCM is embedded
throughout ABN AMRO Clearing Bank N.V. and ABN AMRO
Clearing Bank N.V. complies with ABN AMRO BCM policies
and procedures.
Business Continuity Plans (BCP) are in place for each
individual ABN AMRO Clearing Bank N.V. site with the goal
to limit the impact of unexpected events on the continuity
of services. The BCP describes the procedures to be
followed in order to maintain critical activities of the bank
in the event of an emergency that leads to the loss of one
of our critical products/services or systems.
On a continuous basis, training is provided to Business
Crisis Team members. Existing staff members are obligated
to participate in BCP awareness sessions and receive BCP
up-dates. New staff members, receive the BCP awareness
session during their introduction program.
36 Risk Management
37
day operating activities is mitigated by entering into foreign
currency transactions with other ABN AMRO Group com-
panies. As a result of the foreign currency transactions,
the net position in foreign currency is nil.
Net Investment HedgeIn previous years the total equity (share capital, retained
earnings and result of the year) in foreign currency was
hedged by a short position of the same amount in the
same currency on a monthly basis to offset foreign
exchange risk. The offset ratio is the ratio of ytd revaluation
of hedging instrument (short position) divided by the
revaluation of the participation (total equity). To be effective
the offset ratio had to be between 80% and 125%. In case
of effectiveness the result regarding the hedging instrument
(short position) was transferred to a FX Translation reserve
within the Unrealised gains and losses of the equity in the
consolidated balance sheet. As of 2011 ABN AMRO Bank N.V.
decided to change this methodology from ABN AMRO
Clearing Bank N.V. level to ABN AMRO Bank N.V. level.
Management of capital requirementsOn a stand alone basis ABN AMRO Clearing Bank N.V.
meets the minimum capital and regulatory solvency
requirements. The 403 declaration deposited by
ABN AMRO Group N.V. safeguards the going concern
basis of ABN AMRO Clearing Bank N.V..
The regulatory capital position is calculated and
managed on ABN AMRO Bank N.V. level.
On the level of ABN AMRO Clearing Bank N.V. the following capital
amounts and ratio’s are applicable:
(x € 1.000)
Capital 31-12-2011 31-12-2010
IFRS equity 759.329 643.255
Tier 1 capital 696.198 633.548
Regulatory capital 751.565 641.483
Risk Weighted Assets 5.599.534 5.075.890
Core tier 1 ratio 13,32% 12,55%
Tier 1 ratio 12,43% 12,48%
Total capital ratio 13,42% 12,64%
geographical information
ABN AMRO Clearing’s reporting reflects the gross
economic contribution of the geographical areas within the
business operations of ABN AMRO Clearing. Geographical
information is prepared based on the same accounting
policies as those used in preparing and presenting
ABN AMRO Clearing’s consolidated financial statements.
Transactions between the different geographical areas
are executed under standard commercial terms and
conditions.
The negative asset amounts are caused by revaluations
and consolidation eliminations.
Geographical information of the consolidated balance sheet
38
39
(x € 1.000) 2011
IncomeNether-
landsGreat
Britain Germany Belgium Singapore Japan Hong Kong AustraliaUnited States Total
Interest income 176.350 8.924 72 9 6.984 9 3.534 21.098 24.702 241.682
Interest expense (147.771) (3.878) - (31) (3.940) (217) (2.239) (13.374) (12.504) (183.954)
Net interest income 28.579 5.046 72 (22) 3.044 (208) 1.295 7.724 12.198 57.728
Commission and fee income 111.948 25.641 20.746 8.441 22.324 14.996 452.900 656.996
Commission and fee expenses (24.850) (1.318) (3) (14.008) (2.800) (1.435) (3.314) (420.833) (468.561)
Net commissions and fees 87.098 24.323 (3) - 6.738 5.641 20.889 11.682 32.067 188.435
Dividend an other Investment Income 404 111 - - - - - - 76 591
Realised capital gains on investments 11.439 8.663 - - 2 - (131) - 6 19.979
Other (un) realised gains and losses 140 - - - (28) 102 27 43 (26) 258
Other income 27 877 62 - 2 390 - 23 945 2.326
Total income 127.687 39.020 131 (22) 9.758 5.925 22.080 19.472 45.266 269.317
Change in provision for impairment 1.131 11 - - 24 32 215 17 189 1.619
Net revenues 128.818 39.031 131 (22) 9.782 5.957 22.295 19.489 45.455 270.936
Expenses
Personnel expenses (3.290) (11.512) (3.495) (1.815) (3.149) (1.947) (2.570) (5.144) (15.411) (48.333)
Depreciation and amortisation of intangible assets (742) (2.278) (193) (22) (365) (324) (464) (785) (1.856) (7.029)
General and administrative expenses (21.804) (13.242) 4.108 2.086 (3.141) (5.715) (3.419) (3.529) (13.256) (57.912)
Total expenses (25.836) (27.032) 420 249 (6.655) (7.986) (6.453) (9.458) (30.523) (113.274)
Result before taxation 102.982 11.999 551 227 3.127 (2.029) 15.842 10.031 14.932 157.662
Taxation (33.644) (1.710) (257) (77) (552) (9) (2.368) (3.128) - (41.745)
Result before minority interest 69.338 10.289 294 150 2.575 (2.038) 13.474 6.903 14.932 115.917
Non-Controlling Interests (1.200) - - - - - - - - (1.200)
Net profit 68.138 10.289 294 150 2.575 (2.038) 13.474 6.903 14.932 114.717
Geographical information of the income statement
Geographical income 2011
■ Europe■ Asia■ America
■ Europe■ Asia■ America
63%
21%16%
80%
6%14%
Geographical income 2010
Geographical information of the income statement
■ Europe■ Asia■ America
■ Europe■ Asia■ America
62%
20%18%
80%
6%14%
40 Geographical information
(x € 1.000) 2010
IncomeNether-
landsGreat
Britain Germany Belgium Singapore Japan Hong Kong AustraliaUnited States Total
Interest income 168.172 10.351 378 1 4.826 14 2.856 18.662 22.061 227.321
Interest expense (149.191) 2.513 (75) (11) (2.297) (84) (1.366) (10.056) (11.937) (172.504)
Net interest income 18.981 12.864 303 (10) 2.529 (70) 1.490 8.606 10.124 54.817
Commission and fee income 104.541 150.705 - - 16.907 4.088 17.900 10.708 298.478 603.327
Commission and fee expenses (16.668) (133.622) (36) (2) (11.169) (2.890) (1.377) (699) (268.772) (435.235)
Net commissions and fees 87.873 17.083 (36) (2) 5.738 1.198 16.523 10.009 29.706 168.092
Dividend an other Investment Income 681 112 - - - - - - 125 918
Realised capital gains on investments - - - - 1 - - - 63 64
Other (un)realised gains and losses (553) 74 (13) - 53 (4) (1) (204) 23 (625)
Other income 125 1.800 178 - - 116 - 9 302 2.530
Total income 107.107 31.933 432 (12) 8.321 1.240 18.012 18.420 40.343 225.796
Change in provision for impairment 1.590 (11) - - 104 (42) 29 459 56 2.185
Net revenues 108.697 31.922 432 (12) 8.425 1.198 18.041 18.879 40.399 227.981
Expenses
Personnel expenses (1.316) (10.605) (3.456) (1.888) (2.509) (1.560) (1.860) (4.832) (15.315) (43.341)
Depreciation and amortisation of (in)tangible assets (169) (1.557) (182) (21) (406) (243) (559) (726) (1.519) (5.382)
General and administrative expenses (22.088) (15.223) 4.238 2.205 (3.697) (6.680) (2.911) (2.891) (11.819) (58.866)
Total expenses (23.573) (27.385) 600 296 (6.612) (8.483) (5.330) (8.449) (28.653) (107.589)
Result before taxation 85.124 4.537 1.032 284 1.813 (7.285) 12.711 10.430 11.746 120.392
Taxation (28.625) (1.513) (545) (106) (358) (24) (1.151) (3.303) 94 (35.531)
Result before minority interest 56.499 3.024 487 178 1.455 (7.309) 11.560 7.127 11.840 84.861
Non-Controlling Interests (2.390) - - - - - - - - (2.390)
Net profit 54.109 3.024 487 178 1.455 (7.309) 11.560 7.127 11.840 82.471
Geographical information of the consolidated balance sheet
41
(x € 1.000) 31 December 2011
AssetsNether-
landsGreat
Britain Germany Belgium Singapore Japan Hong Kong AustraliaUnited States Total
Cash and cash equivalents 2.477.585 64.282 460 2.474 87.041 55.837 355.437 390.097 327.084 3.760.297
Short term deposits 37.930 - - - - - - - - 37.930
Loans and receivables - banks 3.511.414 (2) - - 1.424 2.765 (5) (23) 352.673 3.868.246
Loans and receivables - customers 8.301.783 235.251 12 - 825.025 - 227.167 239.038 2.734.812 12.563.088
Financial assets held for trading 3.622 - - - - - - - - 3.622
Investments available for sale 4.875 7.934 - - 31.188 - - - 6.225 50.222
Participated interest in group companies 271.267 - - - (1.901) (32.773) (41.845) (77.852) (116.896) -
Trade and other receivables 172.775 634.012 - - 419.538 102.537 252.593 112.200 56.614 1.750.269
Property and equipment 972 5.235 444 47 616 2.307 420 1.848 3.648 15.537
Intangible assets 830 - 29 5 40 87 25 112 1.427 2.555
Current Tax assets 1.651 - 196 46 - - - 911 - 2.804
Deferred tax assets 11.000 - - - - - - 1.817 - 12.817
Other assets 22.542 7.091 250 866 2.315 1.801 539 8.803 3.856 48.063
Total assets 14.818.246 953.803 1.391 3.438 1.365.286 132.561 794.331 676.951 3.369.443 22.115.450
Liabilities
Due to banks 14.932.364 39.446 5.109 - 69.761 - 1.040 287.909 16.520 15.352.149
Due to customers 1.144.944 579.757 - - 416.875 - 482.544 173.898 2.409.039 5.207.057
Financial liabilities held for trading 5.366 - - - - - - - - 5.366
Current tax liabilities 24.310 1.604 - - 719 - 931 - - 27.564
Deferred tax liabilities - 1.098 - - - - - - - 1.098
Accrued interest, expenses and other liabilities (1.974.284) 318.169 (4.012) 3.288 874.125 138.198 267.479 221.314 905.001 749.278
Provisions 18 - - - - - - 8.162 - 8.180
Total liabilities 14.132.718 940.074 1.097 3.288 1.361.480 138.198 751.994 691.283 3.330.560 21.350.692
Equity
Share capital 15.000 - - - - - - - - 15.000
Share premium 250 - - - - - - - - 250
Retained earnings 636.905 - - - 506 (14.662) 20.785 (38.631) 14.966 619.869
Unrealised gains and losses AFS - 3.045 - - - - - - (962) 2.083
Unrealised gains and losses currency result 5.679 395 - - 725 11.063 8.078 17.396 9.947 53.283
Unrealised gains and losses other (45.873) - - - - - - - - (45.873)
Result of the year 68.138 10.289 294 150 2.575 (2.038) 13.474 6.903 14.932 114.717
Equity attributable by the parent 680.099 13.729 294 150 3.806 (5.637) 42.337 (14.332) 38.883 759.329
Non-Controlling Interests 5.429 - - - - - - - - 5.429
Total Equity 685.528 13.729 294 150 3.806 (5.637) 42.337 (14.332) 38.883 764.758
Total Liabilities and Equity 14.818.246 953.803 1.391 3.438 1.365.286 132.561 794.331 676.951 3.369.443 22.115.450
42 Geographical information
Geographical information of the consolidated balance sheet
(x € 1.000) 31 December 2011
AssetsNether-
landsGreat
Britain Germany Belgium Singapore Japan Hong Kong AustraliaUnited States Total
Cash and cash equivalents 3.384.034 37.294 785 1.674 15.593 15.983 290.629 256.262 279.189 4.281.443
Loans and receivables - banks 2.912.199 (14) - - 2.974 3.553 (229) (39) 1.447.061 4.365.505
Loans and receivables - customers 7.365.687 349.473 12 - 338.740 - 146.545 427.133 735.809 9.363.399
Financial assets held for trading 5.037 - - - - - - - - 5.037
Investments available for sale 3.000 17.019 - - 22.716 - - - 6.419 49.154
Participated interest in group companies 271.267 - - - (1.901) (32.773) (41.845) (77.852) (116.896) -
Trade and other receivables 91.739 402.278 85 - 314.898 36.559 143.843 1.881 40.340 1.031.623
Property and equipment 1.226 3.249 431 57 477 1.130 694 1.240 3.133 11.637
Intangible assets 792 - 33 17 98 130 69 148 219 1.506
Current Tax assets 92 - 36 20 - - - - - 148
Deferred tax assets 126 - - - - - - 1.316 235 1.677
Other assets 66.318 3.324 358 1.759 881 2.202 549 387 3.390 79.168
Total assets 14.101.517 812.623 1.740 3.527 694.476 26.784 540.255 610.476 2.398.899 19.190.297
Liabilities
Due to banks 13.229.191 89.645 5.012 - - - 726 3.394 - 13.327.968
Due to customers 1.276.188 629.438 - - 322.318 2.991 335.879 221.197 1.590.738 4.378.749
Financial liabilities held for trading 12.794 - - - - - - - - 12.794
Current tax liabilities 5.840 4.898 - - 369 17 1.676 423 - 13.223
Deferred tax liabilities - 3.674 - - - - - - - 3.674
Accrued interest, expenses and other liabilities (998.850) 72.511 (3.759) 3.349 367.857 29.549 176.238 367.764 788.701 803.360
Provisions 7 - - - - - - 3.037 - 3.044
Total liabilities 13.525.170 800.166 1.253 3.349 690.544 32.557 514.519 595.815 2.379.439 18.542.812
Equity
Share capital 15.000 - - - - - - - - 15.000
Retained earnings 541.506 - - - 1.769 (7.353) 9.224 (10.666) 3.127 537.607
Unrealised gains and losses AFS - 9.446 - - - - - - (320) 9.126
Unrealised gains and losses currency result 5.679 (13) - - 708 8.889 4.952 18.200 4.813 43.228
Unrealised gains and losses other (44.177) - - - - - - - - (44.177)
Result of the year 54.109 3.024 487 178 1.455 (7.309) 11.560 7.127 11.840 82.471
Equity attributable by the parent 572.117 12.457 487 178 3.932 (5.773) 25.736 14.661 19.460 643.255
Non-Controlling Interests 4.230 - - - - - - - - 4.230
Total Equity 576.347 12.457 487 178 3.932 (5.773) 25.736 14.661 19.460 647.485
Total Liabilities and Equity 14.101.517 812.623 1.740 3.527 694.476 26.784 540.255 610.476 2.398.899 19.190.297
43
Notes to the income statement for the year 2011
(x € 1.000) 2011 2010
1. Net interest income 57.728 54.817
This item includes interest income and interest expense from banks and customers.
Interest income 241.682 227.321
Interest expense (183.954) (172.504)
Net interest income 57.728 54.817
Of the Interest income item the following amounts were with:
Interest income ABN AMRO Group companies 95.221 102.407
Interest income third party customers/banks 146.461 124.914
Total interest income 241.682 227.321
Interest expense ABN AMRO Group companies (138.173) (131.103)
Interest expense third party customers/banks (45.781) (41.401)
Total interest expense (183.954) (172.504)
2. Net commissions and fees 188.435 168.092
The commissions and fees item can be broken down as follows:
Commission income 656.996 603.327
Commission expense (468.561) (435.235)
Net commissions and fees 188.435 168.092
The components of net fee and commission are:
Net commissions payment services (443) (837)
Net commissions securities 180.377 169.601
Net commissions other 8.501 (672)
Net commissions and fees 188.435 168.092
Of the net commissions and fees item the following amounts were with:
Net commissions and fees ABN AMRO Group companies (17.478) (13.785)
Net commissions and fees third party customers/banks 205.913 181.877
Net commissions and fees 188.435 168.092
44 Notes to the income statement for the year 2011
2011 2010
3. Dividend and other investment income 591 918
This item consist of dividends received relating to the investments available for sale.
4. Realised capital gains on investments 19.979 64
The item of 2011 consist mainly the sale of shares by subsidiary ABN AMRO Clearing London Branch (€ 8.663) and a realised gain on foreign currency translations concerning the subsidiaries (€ 11.440).
5. Other unrealised gains and losses 258 (625)
This item consists mainly of foreign exchange differences on monetary items and other trading assets and hedge ineffectiveness relating to the net investment.
This item can be specified as follows:
Foreign exchange differences 258 (751)
Hedge ineffectiveness - (325)
fair value difference derivatives - 451
Other unrealised gains and losses 258 (625)
6. Other income 2.326 2.530
This item consists the Non-recurring income relating to operational activities
7. Change in provisions for impairment 1.619 2.185
For details on the impairments we refer to the Due from customers and due from banks items in the balance sheet.
In 2011 a part of loans written off in 2007 was recovered in the amount of 988 (x € 1.000) in relation to a debt recovery agreement.
8. Personnel expenses (48.333) (43.341)
Staff expenses are specified as follows:
Salaries and wages (38.714) (35.032)
Social security charges (4.377) (3.799)
Pension expenses (2.478) (1.467)
Other (2.764) (3.043)
Personnel expenses (48.333) (43.341)
The pension expenses relate to the defined contribution plan of the subsidiaries and the defined benefit plan in Frankfurt and EMCF.
The remuneration to the Board of Directors in 2011 was nil (2010: nil). Also the remuneration to Supervisory Board members in 2011 was nil (2010: nil). Members of the ABN AMRO Clearing Bank N.V. Board of Directors participate in the remuneration and bonus scheme operated by ABN AMRO Bank N.V.
45
2011 2010
The average number of FTEs related to staff expenses:
Netherlands -* -*
United Kingdom 95 90
Germany 29 29
Belgium 11 11
Singapore 29 26
Japan 11 8
Australia 42 38
Hong Kong 21 16
United States 159 137
Total 397 355
* The majority off the employees of the Netherlands have a contract with ABN AMRO Bank N.V. Therefore they are not included in the schedule above.
The parent company does not charge ABN AMRO Clearing Bank N.V. for salary expenses in Amsterdam. The total amount is € 25,5 million before tax (after tax € 19,1 million). In 2010 the comparable amount was € 18,9 million before tax (after tax € 14,2 million). As of 2012 these expenses will be charged to AACB and therefore be fully incorparated.
9. Depreciation and amortisation of (in)tangible assets (7.029) (5.382)
This item refers to the depreciation and amortisation of equipment and software in Germany, Singapore, Japan, Hong Kong, Australia and United States.
Leasehold improvements – depreciation (422) (294)
Equipment – depreciation (318) (246)
IT equipment – depreciation (5.223) (4.090)
Purchased software - Amortisation (1.066) (752)
Depreciation and amortisation expenses (7.029) (5.382)
10. General and administrative expenses (57.912) (58.866)
Other general and administrative expenses can be broken down as follows:
Rental expenses and related expenses (5.134) (5.775)
Technology and system costs (12.251) (13.534)
Professional fees (13.023) (14.038)
Traveling expenses (2.215) (2.122)
Recharges from ABN AMRO Clearing Group companies * (14.333) (13.080)
Other (10.956) (10.317)
General and administrative expenses (57.912) (58.866)
* Centralised services e.g. information technology, facilities and corporate overhead
46
2011 2010
The parent company does not charge ABN AMRO Clearing Bank N.V. for operating expenses and centralised services in Amsterdam. The total amount is € 25,3 million before tax (after tax € 19,0 million). The comparable amount of 2010 was € 38,5 million before tax (after tax € 28,9 million). The services include information technology (e.g. hardware, software, computer specialists), facilities and corporate overhead. As of 2012 these expenses will be charged to AACB and therefore be fully incorporated.
11. Taxation (41.745) (35.531)
The details of the current and deferred income tax expense are presented below:
Current tax (53.042) (35.872)
Deferred tax 11.297* 341
Total income tax expenses (41.745) (35.531)
* An amount of € 10,7 million of the deferred tax is caused by the change in the methodology of the NIH.
Below is a reconciliation of the expected income tax expense to the actual income tax expense. The expected income tax expense has been determined by relating the profit before tax to the weighted average rate between branches and subsidiaries.
Profit before taxation 157.662 120.392
Weighted applicable tax rate 25,85% 27,34%
Expected income tax expense 40.756 32.914
Decrease in taxes resulting from:
Adjustments for current tax of prior period 887* 2.630
Other 102 (13)
Actual income tax expenses 41.745 35.531
* The adjustment relates mainly to an incorrect applied exemption for subsidiaries on recieved cash dividend in 2010.
Effective tax rate 26,48% 29,51%
12. Non-Controlling Interests - -
This item consists of the net profit attributable to minority Interest, relating to the subsidiary European Multilateral Clearing Facility N.V., of which 22% is held by a third party and 1% is held by ABN AMRO Bank N.V.
Notes to the income statement for the year 2011
47
notes to the consolidated balance sheet as at 31 december 2011
(x € 1.000)
ASSETS 2011 2010
13. Cash and cash equivalents 3.760.297 4.281.443
All cash and cash equivalents are available for use in ABN AMRO Clearing Bank N.V. day-to day operations.
Of the cash and cash equivalents the following amounts were due from:
ABN AMRO Group companies 2.220.287 2.950.396
Third parties 1.540.010 1.331.047
Total Cash and cash equivalents 3.760.297 4.281.443
14. Short term deposits 37.930 -
The short term deposits has a maturity of more than 3 months but no longer than 12 months.
15. Loans and receivables - banks 3.868.246 4.365.505
This item includes all accounts receivable from credit institutions and central banks that relate to business operations and do not belong to cash and cash equivalents or Trade and other receivables.
As of 31 December 2011 no amount has a maturity of more than one year.
Due from banks consisted of the following at 31 December:
Interest bearing deposits 2.778 3.599
Mandatory reserve deposits with central banks 1.431 530
Loans and advances - 2.476
Cash Collateral related to securities lending transactions 3.864.134 4.359.654
Total due from banks 3.868.343 4.366.259
Less: impairments (97) (754)
Net due from Banks 3.868.246 4.365.505
None of the amounts in the Due from banks items were subordinated in 2011 or 2010.
The receivable relating to the securities lending transactions refers to the cash collateral requirements of counterparties.
Of the Due from banks item the following amounts were due from:
ABN AMRO Group companies 3.511.311 2.989.868
Third parties 356.935 1.375.637
Total due from banks 3.868.246 4.365.505
48 Notes to the consolidated balance sheet as at 31 December 2011
2011 2010
16. Loans and receivables - customers 12.563.088 9.363.399
This includes all account receivable from customers relating to business operations, insofar as these are not categorised as cash and cash equivalents or Trade and other receivables.
As of 31 December 2011 a total amount of 636.290 (x € 1.000) has a maturity of more than 3 months but less than one year.
The composition of due from customers at 31 December is as follows:
Commercial loans 10.804.071 9.099.903
Cash Collateral related to securities lending transactions 1.781.035 284.865
Total due from customers 12.585.106 9.384.768
Less: impairments (22.018) (21.369)
Net due from customers 12.563.088 9.363.399
Of the commercial loans an amount of € 5.792 million was granted to ABN AMRO Group companies (2010 € 4.068 million). The effective interest rate is the applicable market reference rate (i.e. Eonia, Sonia) including mark up at arms length.
All due from customers are fully collateralised (i.e. cash, equities, bonds).
Of the Due from customers item the following amounts were due from:
ABN AMRO Group companies 7.227.204 4.137.791
Third parties 5.335.884 5.225.608
Total due from customers 12.563.088 9.363.399
17. Financial assets held for trading 3.622 5.037
Trading assets contains mainly derivatives. Derivatives include forwards, futures, swaps and options contracts, all of which derive their value from underlying interest rates, foreign exchange rates, equity instruments or credit instruments.
The risk of the OTC derivatives is offset by the identical contracts (trading liabilities), therefore risk is limited
The trading assets consist of the following financial instruments:
Over the counter (OTC) 3.622 4.985
Other trading assets - 52
Total financial assets held for trading 3.622 5.037
The notional amounts of OTC derivative contracts are not recorded in the balance sheet as assets or liabilities and do not represent the potential for gain or loss association with such transactions. ABN AMRO Clearing Bank N.V.’s exposure to the credit risk associated with counterparty non-performance is limited to the net positive replacement costs of the derivative contracts.
The notional amounts of the OTC derivatives are € 207 million as per 31 December 2011 and € 322 million as per 31 December 2010.
49
2011 2010
18. Investments available for sale 50.222 49.154
Movements in the investments available for sale were as follows:
Opening balance as at 1 January 49.154 37.168
Sales to third parties (127) (5.136)
Additions 9.590 12.406
Gross revaluation to equity (9.383) 927
Exchange rate differences 988 3.789
Closing balance as at December 31 50.222 49.154
There were no impairments on the investments available for sale in 2010 or 2011.
19. Trade and other receivables 1.750.269 1.031.623
This item includes all trade and other receivables arising from the normal course of business.
There were no impairments recorded for the trade and other receivables in 2011 or 2010.
50
2011 2010
20. Property and equipment 15.537 11.637
The table below shows the categories of property and equipment at 31 December against net book value.
2011
Leasehold improvements Equipment IT equipment Total
Cost basis at 1 January 3.150 2.634 23.138 28.922
Additions 1.549 313 7.533 9.395
Disposal (310) (377) (717) (1.404)
Foreign exchange differences 169 35 1.121 1.325
Cost basis at 31 December 4.558 2.605 31.075 38.238
Accumulated depreciation 1 January (1.853) (1.042) (14.390) (17.285)
Depreciation expense (422) (318) (5.223) (5.963)
Disposal 257 301 715 1.273
Foreign exchange differences (30) (20) (676) (726)
Accumulated depreciation at 31 December (2.048) (1.079) (19.574) (22.701)
Closing balance as at 31 December 2.510 1.526 11.501 15.537
2010
Leasehold improvements Equipment IT equipment Total
Cost basis at 1 January 2.432 1.618 16.962 21.012
Additions 464 844 4.386 5.694
Disposal - (11) (76) (87)
Foreign exchange differences 254 183 1.866 2.303
Cost basis at 31 December 3.150 2.634 23.138 28.922
Accumulated depreciation 1 January (1.392) (697) (9.263) (11.352)
Depreciation expense (294) (246) (4.090) (4.630)
Disposal - 11 76 87
Foreign exchange differences (167) (110) (1.113) (1.390)
Accumulated depreciation at 31 December (1.853) (1.042) (14.390) (17.285)
Closing balance as at 31 December 1.297 1.592 8.748 11.637
No impairments have been recorded to the property and equipment during 2010 and 2011. Property and equipment are depreciated in 10 years, hardware in 3 years.
Notes to the consolidated balance sheet as at 31 December 2011
51
2011 2010
21. Intangible assets 2.555 1.506
The Intangible assets item consists solely of software that is not an integral part of the related hardware.
Cost basis as at 1 January 4.858 3.382
Purchase subsidiary - -
Additions 2.020 1.116
Disposal (90) (2)
Foreign exchange differences 225 362
Cost basis at 31 December 7.013 4.858
Accumulated depreciation 1 January (3.352) (2.351)
Purchase subsidiary - -
Depreciation expense (1.066) (753)
Disposal 88 -
Foreign exchange differences (128) (248)
Accumulated depreciation as at 31 December (4.458) (3.352)
Closing balance as at 31 December 2.555 1.506
Software is amortised in 3 years.
22. Current tax assets 2.804 148
The current tax asset is the calculated tax position based on actual income over the year less the prepayments made during the year based on the profit estimations.
23. Deferred tax assets 12.817 1.677
The deferred tax assets refers to the tax effect of a different valuation of assets and liabilities under local tax laws compared to the IFRS valuation.
An amount of € 10,7 million of the deferred tax is caused by the change in the methodology of the NIH.
24. Other assets 48.063 79.168
The table below shows the components of Other assets at 31 December:
Accrued interest income 11.436 7.210
Accrued other income 4.730 2.774
Accrued assets related to transactions 16.073 52.187
Prepayments 14.158 3.506
Other 1.666 13.491
Closing balance as at December 31 48.063 79.168
For the details on the income tax receivable we refer to the Current and deferred tax liability item.
52 Notes to the consolidated balance sheet as at 31 December 2011
2011 2010
25. Contingent Assets 3.749.453 4.711.652
The contingent assets consist of the following:
Securities lending 3.534.352 4.657.347
Other contingent assets 215.101 54.305
Total contingent assets 3.749.453 4.711.652
Contingent assets arising from securities lending consists almost entirely of related parties.
In its capacity as a clearing member for market makers, ABN AMRO Clearing Bank N.V. makes use of the collateral deposited with De Nederlandsche Bank by ABN AMRO Bank N.V.
The other contingent assets relates to a debt recovery agreement and collateral from third parties.
Total contingent assets 3.749.453 4.711.652
Secured by collateral 3.742.410 4.704.147
Net contingent assets 7.043 7.505
53
LIABILITIES 2011 2010
26. Due to banks 15.352.149 13.327.968
The table below shows the components of due to banks at 31 December:
Demand deposits due to banks 2.282.621 2.377.125
Time deposits due to banks 13.069.528 10.950.843
Closing balance as at 31 December 15.352.149 13.327.968
Of the due to banks item the following amounts were with:
Demand deposits due to banks ABN AMRO Group 1.887.803 2.073.302
Time deposits due to banks ABN AMRO Group 12.994.675 10.949.749
Total ABN AMRO Group companies 14.882.478 13.023.051
Demand deposits due to third party banks 394.818 303.823
Time deposits due to third party banks 74.853 1.094
Total third party banks 469.671 304.917
Closing balance as at 31 December 15.352.149 13.327.968
Contractual terms of deposits held by banks
In 2011 a total amount of 705.602 (x € 1.000) has a maturity of more than 3 months but less than one year.
27. Due to customers 5.207.057 4.378.749
The components of due to customers at 31 December are as follows:
Demand deposits due to customers 4.482.720 3.499.816
Time deposits due to customers 309.585 691.109
Repurchase agreements with customers 2.260 1.467
Cash Collateral related to securities lending transactions 249.253 42.190
Other borrowings 163.239 144.167
Closing balance as at 31 December 5.207.057 4.378.749
Other borrowings mostly relate to margin accounts.
54
2011 2010
The due to customers item can be split up between ABN AMRO Group customers and third party customers as follows:
Demand deposits due to customers ABN AMRO Group 28.542 9.450
Time deposits due to customers ABN AMRO Group 309.347 690.937
Total ABN AMRO Group companies 337.889 700.387
Demand deposits due to customers third party 4.454.178 3.490.366
Time deposits due to customers third party 238 172
Reverse repurchase agreements 2.260 1.467
Cash collateral related to securities lending transactions 249.253 42.190
Other borrowings 163.239 144.167
Total third party customers 4.869.168 3.678.362
Closing balance as at 31 December 5.207.057 4.378.749
In 2011 a total amount of 37.930 (x € 1.000) has a maturity of more than 3 months but less than one year.
28. Financial liabilities held for trading 5.366 12.794
The trading liabilities consist of the following:
Over the counter (OTC) 3.622 4.985
Other trading liabilities 1.744 7.809
Total financial liabilities held for trading 5.366 12.794
The notional amounts of OTC derivative contracts are not recorded in the balance sheet as assets or liabilities and do not represent the potential for gain or loss association with such transactions. ABN AMRO Clearing Bank N.V.’s exposure to the credit risk associated with counterparty non-performance is limited to the net positive replacemnet costs of the derivative contracts.
The notional amounts of the OTC derivatives are € 207 million as per 31 December 2011 and € 322 million as per 31 December 2010.
Other trading liabilities consists of trading portfolios, which are a remainder of defaulted client trading portfolios. These portfolios are managed by ABN AMRO Clearing Bank N.V. and will be liquidated in due course.
29. Current tax liabilities 27.564 13.223
The current tax liability is the calculated tax position based on actual income over the year less the prepayments made during the year based on the profit estimations. However, as two main group companies form part of a local tax unity, prepayments are made and booked at central level. Therefore, at year-end the full amount of tax is still considered to be paid at the level of the entities.
Notes to the consolidated balance sheet as at 31 December 2011
55
2011 2010
30. Deferred tax liabilities 1.098 3.674
The deferred tax liabilities are related to investments AFS.
In AACB London branch, we own equity investments in the exchanges (LCH, LME, BATS). These investments will be taxed upon on a realisation basis. The deferred tax liability of 1,098 (x € 1.000) reflects the tax effect of an upward re-valuation of the AFS investments in the annual accounts. Taxation will become due on the potential capital gain when the asset is disposed of.
In 2009 and 2010 the Tax rate in the Netherlands was 25,5%. Deferred tax liabilities at 31 December 2011 in the Netherlands are reported against 25%, the enacted tax rate.
There were no write-downs of deferred tax liabilities during 2010 or 2011.
31. Accrued interest, expenses and other liabilities 749.278 803.360
As at 31 December the composition of accrued interest and other liabilities is as follows:
Accrued interest charges 12.844 14.675
Accrued other charges 76.718 52.629
Defined benefit obligations 2.973 2.945
Payables related to securities transactions 619.029 348.569
Payables related to hedge instruments -* 347.685
Accounts payable 5.991 7.400
Other 31.723 29.457
Closing balance as at 31 December 749.278 803.360
* Due to the change of the Net Investment Hedge methodology this amount is zero.
ABN AMRO Clearing Bank N.V. is operating a defined benefit pension plan for some employees in Germany and for all the employees of the subsidiary EMCF. The pension plan in Germany is closed to new employees and none of the employees entitled to benefits of the plan is in active service. The pension plan for EMCF employees started in 2011. The current beneficiaries are only employees in active service.
Pension obligations are determined by mortality, wage drift and economic assumptions such as inflation, value of plan assets and discount rate. The defined benefit plan is not funded by plan assets, which means that no return on plan assets has been taken into account.
The following table reflects the changes in net-pension liabilities:
Defined benefit liability as at 1 January 2.945 3.140
Total defined benefit expense 464 (17)*
Benefits paid (436) (178)
Defined benefit liability as at 31 December 2.973 2.945
* This amount comprises an adjustment for previous year of 161 (x € 1.000).
2011 2010
The following table provides details on the amounts shown in the balance sheet at 31 December regarding pensions and other post employment benefits.
Present value of defined benefit obligations 3.171 3.140
Fair value of plan assets (158) -
Unrecognised actuarial loss (40) (195)
Defined benefit liability as at 31 December 2.973 2.945
Net loss (gain) in excess of 10% of the Defined benefit liability is charged to the income statement in the year of occurrence as the remaining service of active participants is nil. The corridor of 10% of the defined benefit liability is € 297.300 (2010 € 301.200)
Economic assumptions Germany The discount rate for pension cost purposes is the rate at which the pension obligations could be effectively settled. This rate is based on high-grade bond yields, after allowing for call and default risk. The following bond yields illustrate how the economic environment has changed since the prior year.
2011 2011
German Government Fixed Interest 10-year bond 2,24% 2,61%
German Government Fixed Interest 30-year bond 2,91% 3,15%
iBoxx 10 year+ Annual AA Allstock Corporate Bond index 5,10% 4,45%
The assumptions for pension cost purposes are:
Discount rate: 5,01%* 5,30%*
Future Pension increases 2,00% 2,00%
Salary increase rate n/a n/a
* The discount rate of 5,01% has been advised by the German Central Bank and is used by ABN AMRO entities in Germany. The German Central Bank rate is based on an average rate of the last seven years.
Economic assumptions E.M.C.F. The discount rate is based upon the yields available on high quality corporate bonds at the valuation date with a term that matches that of the liabilities. AA-credit rates bonds are generally considered to satisfy the quality criterion using Bloomberg data, a yield curve was derived from it to determine the appropriate discount rate based on the cash flows of the liabilities.
2011 2011
The assumptions for pension cost purposes are:
Discount rate: 5,90% 5,70%
Future Pension increases 2,00% 2,00%
Salary increase rate 2,50% 2,50%
Defined contribution plansABN AMRO Clearing Bank N.V. operates a number of defined contribution plans worldwide. The employer’s commitment in a defined contribution plan is limited to the payment of contributions calculated in accordance with the plan regulations. Employer contribution plans amounted to € 2.041 in 2011 (2010: € 1.467 and are included in Staff expenses.
56 Notes to the consolidated balance sheet as at 31 December 2011
2011 2010
32. Provisions 8.180 3.044
This item mainly consists of a claim received with respect to the settlement of a default client in 2008. The addition is made due to new information.
The movements in this provision were:
Opening balance as at 1 January 3.044 1.263
Additions for the period 5.136 1.788
Release for the period - (7)
Closing balance as at 31 December 8.180 3.044
33. Equity 759.329 643.255
Issued and paid-up share capital of ABN AMRO Clearing Bank N.V. was not changed in the year 2011. Authorised share capital amounts to € 50.000.000 distributed over 50.000 shares each having a nominal value of 1.000. Of this authorised share capital, 15.000 stock were issued and paid up against a nominal value of 1.000. At year-end 2011, all shares were held by ABN AMRO Bank N.V.
Share capital 15.000 15.000
Share premium 250* -
Retained earnings 619.869 537.607
Unrealised gains and losses 9.493 8.177
Unappropriated result of the year 114.717 82.471
Shareholders’ equity 759.329 643.255
* On 11 November 2011 a legal merger took place between ABN AMRO Global Services N.V. (AAGCS) and ABN AMRO Clearing Safekeeping N.V. (AACS). ABN AMRO Bank N.V. transferred its certificates of shares in AAGCS to ABN AMRO Clearing Bank N.V. as part of this merger. Stichting ABN AMRO Global Custody holds the shares of AAGCS and issued certificates of shares in AAGCS. The value of these certificates is reported as a share premium.
For the details on the changes in shareholders’ equity we refer to the consolidated statement of changes in shareholders’ equity.
The composition and movements in unrealised gains and losses are shown in the table below:
Gross AFS reserve 3.181 12.564
Related tax (1.098) (3.438)
AFS reserve 2.083 9.126
Translation reserve 53.283 43.228
Gross Revaluation reserve (61.575) (59.299)
Related tax 15.702 15.122
Revaluation reserve (45.873) (44.177)
Unrealised gains as at 31 December 9.493 8.177
The related tax on revaluation reserve can be split in two categories. From the total amount of € 15.7 mio an amount of € 10.7 mio is related to the deferred tax asset of the NIH (see note 23). The remaining amount of € 5.0 mio is related to the changes in the NIH up to and including 2009. Untill that year the tax amount of the NIH was already settled with the tax authorithies.
57
58 Notes to the consolidated balance sheet as at 31 December 2011
2011 2010
The unrealised currency translation differences are referring to the revaluation of the share capital of the subsidiaries in Singapore, Japan, Hong Kong, Australia, United States and the activities in United Kingdom.
Unrealised gains as at 1 January 8.177 (1.152)
Unrealised gain during the year (8.739) (29.692)
Unrealised currency translation differences 10.055 39.021
Unrealised gains as at 31 December 9.493 8.177
34. Non-Controlling Interests 5.429 4.230
The non-Controlling Interests relates to the subsidiary European Multilateral Clearing Facility N.V., of which 22% is held by a third party and 1% is held by ABN AMRO Bank N.V.
35. Contingent Liabilities 5.324.233 7.121.217
The contingent liabilities consist of the following:
Securities borrowing 5.009.307 6.817.831
Guarantees 314.926 303.386
Total contingent liabilities 5.324.233 7.121.217
The guarantees have been given to third parties and are devided as follows:
Guarantees given to subsidiaries 291.092 281.682
Guarantees given to Exchanges 23.834 21.704
Total Guarantees 314.926 303.386
Contingent liabilities arising from securities borrowing consists almost entirely of related parties. All these securities are borrowed from the parent company (ABN AMRO BANK N.V.).
Total contingent liabilities 5.324.233 7.121.217
Secured by collateral 5.009.307 6.817.831
Net contingent liabilities 314.926 303.386
ABN AMRO Clearing Bank N.V. and its subsidiaries are
involved in court procedures.
In August 2007, Sentinel Management Group, Inc.
(‘Sentinel’), a futures commission merchant that managed
certain customer segregated funds for ABN AMRO Clearing
Chicago LLC, filed for bankruptcy. Shortly before Sentinel
filed for bankruptcy, Sentinel sold certain securities to
Citadel Equity Fund, Ltd. (“Citadel”). The U.S. Bankruptcy
Court ordered funds from the sale to Citadel be distributed
to certain Sentinel customers. ABN AMRO Clearing
Chicago LLC received its pro rata share which totalized
$52,755,815. On or about September 15, 2008, the
bankruptcy trustee filed an adversary proceeding (the
‘Complaint’) against all of the recipients of the court
ordered distribution of funds from the Citadel sale,
including ABN AMRO Clearing Chicago LLC. The
Complaint also includes a claim for money ABN AMRO
Clearing Chicago LLC received shortly before Sentinel
filed for bankruptcy in the amount of $4,000,399.
Management of ABN AMRO Clearing Chicago LLC,
after consultation with legal counsel cannot yet express
an opinion as to the ultimate outcome of the proceeding.
Management believes the claims are without merit.
ABN AMRO Clearing Chicago LLC intends to vigorously
defend against the Complaint. Accordingly, no provision
has been made in the financial statements for any loss
that may result from the Complaint.
ABN AMRO Clearing Sydney has also provided for an
ongoing legal dispute which has arisen in the course of
normal business relating to ownership of certain asset
holding positions. The case is currently under appeal
and is due to be considered by the court in late 2012.
The outcome of the dispute will depend upon the legal
proceedings.
legal procedures
59
company financial statements of ABN AMRO Clearing Bank N.V. for the year 2011
60
company income statement for the period ended 31 december 2011
61
(x € 1.000) 2011 2010
Result from participating interests after tax 34.636 30.978
Other result after taxes 80.081 51.493
Net profit attributable to shareholders 114.717 82.471
company balance sheet as at 31 December 2011
Before profit appropriation (x € 1.000) 2011 2010
Assets
Cash and cash equivalents 2.577.631 3.282.606
Short term deposits 37.930 -
Loans and receivables - banks 3.777.296 2.912.819
Loans and receivables - customers 12.694.383 10.523.320
Financial assets held for trading 3.622 5.037
Investments available for sale 43.997 42.735
Participating interest in group companies 357.275 341.847
Trade and other receivables 4.978 4.201
Property and equipment 6.342 4.213
Intangible assets 74 149
Current tax assets 912 56
Deferred tax assets 11.000 126
Other assets 29.897 69.452
Total assets 19.545.337 17.186.561
Contingent Assets 3.749.453 4.711.652
Liabilities
Due to banks 14.941.327 13.230.597
Due to customers 3.745.584 2.868.833
Financial liabilities held for trading 5.366 12.794
Current tax liabilities 26.295 11.083
Deferred tax liabilities 1.098 3.674
Accrued interest, expenses and other liabilities 66.320 416.318
Provisions 18 7
Total liabilities 18.786.008 16.543.306
62
63
2011 2010
Shareholders’ equity
Share capital 15.000 15.000
Share premium 250 -
Retained earnings 611.035 528.564
Unrealised gains and losses AFS 4.649 11.052
Unrealised gains and losses Currency translation 59.551 50.346
Unrealised gains and losses Other (45.873) (44.178)
Unappropriated result of the year 114.717 82.471
Total Equity 759.329 643.255
Total Liabilities and Shareholders’ equity 19.545.337 17.186.561
Contingent Liabilities 5.324.233 7.121.217
64
notes to the company financial statements for the year 2011
General ABN AMRO Clearing’s company financial statements
have been prepared in accordance with Title 9, Book 2 of
the Netherlands Civil Code, applying the same accounting
policies as for the consolidated financial statements.
Principles for the measurement of assets and liabilities and the determination of the resultFor setting the principles for the recognition and measu-
rement of assets and liabilities and determination of the
result for its Company Financial Statements, ABN AMRO
Clearing Bank N.V. makes use of the option provided
in section 2:362(8) of the Netherlands Civil Code. By
making use of the option reconciliation is maintained
between the Consolidated and the Company’s equity.
This means that the principles for the recognition and
measurement of assets and liabilities and determination
of the result (hereinafter referred to as principles for
recognition and measurement) of the Company Finan-
cial Statements of ABN AMRO Clearing Bank N.V. are
the same of those applied for the Consolidated IFRS
Financial Statements. Participating interests, over which
significant influence is exercised, are stated on the basis
of the equity method. The Consolidated IFRS Financial
Statements are prepared according to the standards laid
down by the International Accounting Standards Board
and adopted by the European Union.
See the notes to the consolidated balance sheet and
income statement for items, which are not explained.
In the separate profit and loss account of ABN AMRO
Clearing Bank N.V. the exemption referred to in Section
402 of Book 2 of the Dutch Civil Code has been applied.
2011 2010
Participating interest in group companies 357.275 341.847
The wholly owned subsidiaries are:
OCA POM B.V., with registered office in Amsterdam, The Netherlands;
ABN AMRO Clearing Singapore Pte., with registered office in Singapore;
ABN AMRO Clearing Tokyo Co Ltd, with registered office in Tokyo, Japan;
European Multilateral Clearing Facility NV, with registered office in Amsterdam, The Netherlands;
ABN AMRO Clearing Hong Kong Ltd, with registered office in Hong Kong;
ABN AMRO Clearing Sydney Pty Ltd, with registered office in Sydney, Australia;
ABN AMRO Clearing Chicago LLC., with registered office in Chicago, United States.
Holland Clearing House N.V., with registered office in Amsterdam, The Netherlands
The movements in the participating interest in group companies, which are valued at net equity value, were as follows:
Balance as at 1 January 341.847 302.263
Acquisition (transfer) - -
Increase of capital 8.000 (19.144)
Dividend paid out (38.051) (5.106)
Exchange differences 10.843 32.856
Sale of shares - -
Result for the year 34.636 30.978
Balance as at 31 December 357.275 341.847
65
The following table shows the details of the investments to be consolidated:
Entitle-ments
Currency Shareholders’ equity 2011
Net result 2011
Shareholders’ equity 2011
in EUR
(x 1.000) (x 1.000) (x 1.000)
ABN AMRO Clearing Chicago LLC 100% USD 201.084 19.400 154.862
ABN AMRO Clearing Sydney Pte.Ltd 100% AUD 80.547 8.716 63.521
ABN AMRO Clearing (Options) Hong Kong Ltd 100% HKD 848.981 146.005 84.182
ABN AMRO Clearing Shoken Kabushiki Kaisha 100% JPY 2.713.886 (226.020) 27.136
ABN AMRO Clearing Singapore Pte 100% SGD 5.142 42 3.056
European Multilateral Clearing Facility N.V. 77% EUR 18.176 4.016 18.176
Holland Clearing House N.V. 100% EUR 6.241 (1.759) 6.241
OCA POM B.V. 100% EUR 101 - 101
357.275
(x € 1.000) 2011
Share capital
Premium Share
Retained earnings
Unrealised gains and
losses
Result of the year
Total Equity
Opening balance at 1 January 15.000 528.566 17.218 82.471 643.255
Profit appropriation 82.471 (82.471) -
AFS reserve (6.403) (6.403)
Translation reserve -2 9.207 9.205
Revaluation reserve (1.695) (1.695)
Increase of Capital 250 250
Unappropriated result of the year - 114.717 114.717
Closing balance as at December 15.000 250 611.035 18.327 114.717 759.329
(x € 1.000) 2010
Share capital
Premium Share
Retained earnings
Unrealised gains and
losses
Result of the year
Total Equity
Opening balance at 1 January 15.000 419.829 6.086 108.737 549.652
Profit appropriation 108.737 (108.737) -
AFS reserve 1.267 1.267
Translation reserve (30.698) (30.698)
Revaluation reserve 40.563 40.563
Unappropriated result of the year 82.471 82.471
Closing balance as at December 15.000 - 528.566 17.218 82.471 643.255
Movements in equity
aquisitions
There were no acquisitions made in 2011 by ABN AMRO Clearing Bank N.V:
Amsterdam, 9 May 2012
Executive Board
M.C. Jongmans
J.B.M. de Boer
A.P. Boers
66
67
other informationindependent auditor’s report
We have audited the accompanying financial statements
2011 of ABN AMRO Clearing Bank N.V., Amsterdam.
The financial statements include the consolidated financial
statements and the company financial statements. The
consolidated financial statements comprise the consolidated
statement of financial position as at 31 December
2011, the consolidated statements of comprehensive
income, consolidated statement of changes in Equity
and the consolidated cash flow statement for the year
then ended, and notes, comprising a summary of the
significant accounting policies and other explanatory
information. The company financial statements comprise
the company balance sheet as at 31 December 2011,
the company income statement for the year then ended
and the notes, comprising a summary of the accounting
policies and other explanatory information.
Management’s responsibilityManagement is responsible for the preparation and fair
presentation of the financial statements in accordance
with International Financial Reporting Standards as
adopted by the European Union and with Part 9 of Book
2 of the Netherlands Civil Code, and for the preparation
of the report by the Executive Board and the report
of the Supervisory Board in accordance with Part 9 of
Book 2 of the Netherlands Civil Code. Furthermore,
management is responsible for such internal control as it
determines is necessary to enable the preparation of the
financial statements that are free from material
misstatement, whether due to fraud or error.
Auditor’s responsibilityOur responsibility is to express an opinion on these
financial statements based on our audit. We conducted
our audit in accordance with Dutch law, including the
Dutch Standards on Auditing. This requires that we comply
with ethical requirements and plan and perform the audit
to obtain reasonable assurance about whether the finan-
cial statements are free from material misstatement.
An audit involves performing procedures to obtain audit
evidence about the amounts and disclosures in the finan-
cial statements. The procedures selected depend on the
auditor’s judgment, including the assessment of the risks
of material misstatement of the financial statements, whether
due to fraud or error. In making those risk assessments,
the auditor considers internal control relevant to the
entity’s preparation and fair presentation of the financial
statements in order to design audit procedures that
are appropriate in the circumstances, but not for the
purpose of expressing an opinion on the effectiveness
of the entity’s internal control. An audit also includes
evaluating the appropriateness of accounting policies
used and the reasonableness of accounting estimates
made by management, as well as evaluating the overall
presentation of the financial statements.
We believe that the audit evidence we have obtained is
sufficient and appropriate to provide a basis for our audit
opinion.
Opinion with respect to the consolidated financial statementsIn our opinion, the consolidated financial statements
give a true and fair view of the financial position of
ABN AMRO Clearing Bank N.V. as at 31 December 2011
and of its result and its cash flows for the year then ended
in accordance with International Financial Reporting
Standards as adopted by the European Union and with
Part 9 of Book 2 of the Netherlands Civil Code.
Opinion with respect to the company financial statementsIn our opinion, the company financial statements give a
true and fair view of the financial position of ABN AMRO
Clearing Bank N.V. as at 31 December 2011 and of its
result for the year then ended in accordance with Part 9
of Book 2 of the Netherlands Civil Code.
Report on the financial statements
Pursuant to the legal requirements under Section 2:393
sub 5 at e and f of the Netherlands Civil Code, we have
no deficiencies to report as a result of our examination
whether the management board report, to the extent we
can assess, has been prepared in accordance with part 9
of Book 2 of this Code, and if the information as required
under Section 2:392 sub 1 at b - h has been annexed.
Further, we report that the report by the Executive
Board and the report by the Supervisory Board, to the
extent we can assess, is consistent with the financial
statements as required by Section 2:391 sub 4 of the
Netherlands Civil Code.
Amsterdam, 9 May 2012
KPMG ACCOUNTANTS N.V.
M.A. Hogeboom RA
Report on other legal and regulatory requirements
68 Other information. Independent auditor’s report
69
Post-balance sheet date events
According to the dividend policies within ABN AMRO
Group N.V. an amount of € 125.000.000 is paid out as
dividend to ABN AMRO Bank N.V. on February 1st, 2012.
Rules on profit appropriation as set out in the Articles of Association
The profit shown in the Profit and Loss Account as
adopted by the General Meeting of Shareholders has
been placed at the disposal of the General Meeting of
Shareholders.
Profit appropriation
The ABN AMRO group policy is to upstream dividends
from subsidiaries where appropriate. The dividend 2011
will be based on our current and projected consolidated
capital ratio’s and local regulatory and exchange require-
ments in combination with our growth strategy. The 2011
dividend amount will be decided at the General Meeting
of Shareholders in May 2012.
71
ABN AMRO Clearing Bank N.V.
Gustav Mahlerlaan 10
1082 PP Amsterdam
Mailing address:
P.O. Box 283
1000 EA Amsterdam
address
abnamroclearing.com