ABN AMRO Clearing Bank N.V.

Transcription

annual accounts 2010
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Annual Accounts 2010
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table of contents
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>> Report by the Executive Board
10
>> Board Structure
11
>> Consolidated Financial statements of ABN AMRO Clearing Bank N.V. for the year 2010
60
>> Company Financial Statements for the year 2010
66
>> Other information
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>
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report by the
executive board
Hereby we present the ABN AMRO Clearing Bank N.V.
around comprehensive services to wholesale counter-
(AACB) annual report 2010.
parties and professional clients. This requires that
ABN AMRO Clearing covers the full market chain
AACB is a wholly owned subsidiary of ABN AMRO Bank
from market access, execution services to clearing,
N.V., The financial statements of AACB are incorporated
settlement and multi-product asset servicing on a global
in the consolidated financial statements of ABN AMRO
basis. Among other elements of the product offering,
Group N.V. The legal entity AACB forms part of the
ABN AMRO Clearing, in its capacity as a General Clearing
business unit ABN AMRO Clearing.
Member (‘GCM’) guarantees clients to counterparties and
performs near to real time risk management. ABN AMRO
ABN AMRO Clearing is recognised as a global leader in
Clearing offers 24-5 global services, on a multi asset class
derivatives and equity clearing and one of the few players
basis (on exchange, and Over the Counter (‘OTC’) market
currently able to offer global market access and clearing
coverage for futures, options, equity, commodities, energy
services on more than 85 of the world’s leading exchanges.
and fixed income). In addition, ABN AMRO Clearing provi-
ABN AMRO Clearing operates from 12 locations across
des collateralized financing and securities borrowing and
the globe and offers an integrated package of direct market
lending services to its clients.
access, clearing and custody services covering futures,
options, equity, commodities, energy and fixed income.
Third party clearing means that ABN AMRO Clearing
guarantees its clients towards exchanges and central
The ABN AMRO Clearing operating model is, where
counterparties. ABN AMRO Clearing also handles the
possible, completely self-supporting due to the nature of
administration of positions and the financing of these
business, where speed and responsiveness are critical
positions for clients. The clients are predominantly on-
and regulators and clients expect separation of clearing
exchange traders and professional trading groups, but
activities from the general banking activities. The clearing
ABN AMRO Clearing also services financial institutions,
activities are therefore undertaken out of AACB;
banks, fund managers and brokers with its product
a dedicated legal entity which has a banking licence
portfolio. ABN AMRO Clearing does not service retail
and is regulated and supervised by DNB, being the
customers directly.
central bank of the Netherlands.
With a top three ranking in every time zone based on
History
turnover and market share, ABN AMRO Clearing is
The ABN AMRO Clearing concept was established in
a robust part of the global financial infrastructure.
1982 in Amsterdam. At a later stage clearing sites in
Additionally indirect world-wide coverage of further
London, Frankfurt, Hong Kong, Sydney, Chicago, New
markets or exchanges respectively is offered through
York, Singapore, Tokyo and Brussels were established.
a network of Executing and/or Clearing brokers.
In principle ABN AMRO Clearing is not engaged in any proprietary trading, operating at arm’s length of ABN AMRO
Legal structure
BANK N.V. and therefore, provides clearing services as an
ABN AMRO Clearing Bank N.V. is 100% owned by
independent market participant with its focus on third
ABN AMRO Bank N.V., a company incorporated in the
parties. ABN AMRO Clearing’s business model revolves
Netherlands.
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On 1 July 2010 the legal merger between ABN AMRO
statements of European Multilateral Clearing Facility N.V.
Bank N.V. and Fortis Bank (Nederland) N.V. was completed,
are incorporated in the consolidated financial statements
creating a combined entity called ABN AMRO Bank N.V.
of AACB and as well into the consolidated financial
statements of ABN AMRO Group N.V. The EMCF
Prior to the legal merger, ABN AMRO Clearing Bank N.V.
provides European CCP services in a public limited
was named Fortis Bank Global Clearing N.V. and 100% of
company in the Netherlands.
its shares were held by Fortis Bank (Nederland) N.V. As a
consequence of the legal merger, branches and subsidia-
In order to improve client asset segregation, a dedicated
ries of Fortis Bank Global Clearing N.V. were renamed by
safekeeping company ABN AMRO Clearing Safekeeping
replacing Fortis with ABN AMRO.
N.V. has been incorporated as of March 20th 2007.
The Dutch State holds all ordinary shares of ABN AMRO
In June 2007 ABN AMRO Clearing Tokyo was incorpo-
Group N.V. In addition, the Dutch State holds a number
rated as a subsidiary of AACB. The Tokyo office streng-
of shares in ABN AMRO Preferred Investments B.V. The
thens our position as pre-eminent third party clearer to
Dutch State has full control over ABN AMRO Group with
proprietary traders and market makers in the Asia Pacific
a total financial interest of 97.8%. The remaining 2.2% is
region. In the third quarter of 2009 ABN AMRO Clearing
held by institutional investors via ABN AMRO Preferred
Tokyo obtained all necessary licenses and memberships
Investments.
to provide third-party clearing services on the Tokyo
Futures Exchange (TFX) and the Osaka and Tokyo Stock
AACB is a registered credit institution since 30 September
Exchange.
2003. Pursuant to the Act on the Supervision of the
Credit System 1992 DNB has been charged with the
In order to align the Business line governance structure
supervision of the banking system in the Netherlands.
with the legal structure, the ownership of ABN AMRO
This statutory act has been replaced in 2007 by the
Clearing (Options) Hong Kong limited was transferred
Financial Supervision Act (‘Wft’). AACB has been granted
to AACB from another ABN AMRO group company in
authorisation in the Netherlands, Belgium, Germany,
January 2008. In addition, the ownership of ABN AMRO
United Kingdom and Singapore to engage in universal
Clearing Sydney was acquired as a direct subsidiary of
banking business.
AACB in October 2008.
ABN AMRO Clearing provides its European clearing and
In 2009, AACB undertook several restructuring activities
related services out of a public limited liability company
to legally and operationally separate itself from Fortis Bank
in the Netherlands and through branches in Frankfurt,
SA/NV and to secure client services. The Brussels branch
London and Brussels. The AACB Frankfurt branch was
of ABN AMRO Clearing Bank N.V. was established on 30
established 1 January 2004. The AACB London branch
April 2009. This branch hosts Brussels-based sales and
was established 1 July 2004. The AACB Brussels branch
customer support staff who form part of the ABN AMRO
was established 30 April 2009.
Clearing organisation.
AACB provides non European Clearing services by
As a result of the separation from Fortis Bank SA/NV in
its 100% subsidiaries ABN AMRO Clearing Sydney,
October 2008, ABN AMRO Clearing’s Chicago office was
ABN AMRO Clearing Tokyo, ABN AMRO Clearing Hong Kong,
legally assigned to Fortis Bank SA/NV, despite being an
ABN AMRO Clearing Singapore and ABN AMRO Clearing
integral part of the ABN AMRO Clearing organisation.
Chicago.
As presence in the United States is vital for maintaining
ABN AMRO Clearing’s global position, AACB acquired
AACB incorporated the European Multilateral Clearing
Facility N.V. (EMCF) on February 28th 2007. The financial
ABN AMRO Clearing Chicago LLC on 4 August 2009.
>
Financial result AACB 2010
Information Technology
AACB recorded a net profit of EUR 82.0 million in 2010.
Derivatives and Securities trading create an extensive and
In comparison to previous year, 2010 was less profitable
complex demand for information and data processing.
as a result of the global decline in cleared volume
ABN AMRO Clearing will therefore make ongoing
caused by significant lower volatility complemented by
investments in Information Technology to maintain and
less interest income due to lower credit utilization and
optimise its present standard of service.
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interest levels.
A key focus is the continuous investments in performance
The ABN AMRO Clearing clients continued to stay loyal
upgrades of software and hardware to cater for exponential
and showed trust and comfort to the ABN AMRO Clearing
growth in market volumes in 2011 and beyond.
brand and its staff. AAB Clearing did not suffer any major
losses on client defaults as was also the case in 2009.
In the coming years ABN AMRO Clearing will transform
from a multi local and multi (core) system business unit to
The normalized expense levels increased marginally
a truly global organization. The execution of our IT strategy
in 2010. However AACB maintains a strong operating
has started and will result in the implementation of an
leverage and cost income efficiency ratio.
overall banking system with ancillary systems and
applications in 2012. The foreseen IT Roadmap will
AACB’s Amsterdam office uses the centralised services
continuously enable us to meet the demands of our clients
of ABN AMRO Bank N.V., its parent company. The costs
and key stake holders for the short and long term future.
of these services include charges for information technology (e.g. hardware, software, computer specialists),
An increasing number of ABN AMRO Clearing clients
facilities, personnel and corporate overhead.
operate on a global basis and/or have global presence.
As ABN AMRO Bank does not apportion these expenses,
These clients are also responsible for the bigger part of
they have not been included in the results.
the ABN AMRO Clearing turnover.
Our parent company ABN AMRO Bank N.V. and AACB
They ask ABN AMRO Clearing to provide them with:
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
he same service worldwide
 T
tandardized reporting
 S
imited client-supplier relationships and documentation
 L
as of 2013.
onsolidation on global level from risk perspective.
 C
The ABN AMRO group policy is to upstream dividends
Dutch Banking Code
from subsidiaries where appropriate. Based on our
The Banking Code that was drawn up by the Netherlands
current consolidated capital ratio’s and local regulatory/
Bankers’ Association (NVB) came into effect on 1
exchange requirements in combination with our growth
January 2010. The Code sets out principles that banks
strategy we recommend that the General Meeting of
should adhere to in terms of corporate governance, risk
Shareholders adds the profit of EUR 82.0 million to the
management, audit and remuneration. The Banking Code
retained earnings.
applies to AACB as a licensed bank under the Wft.
Capital
AACB forms part of the ABN AMRO group of companies
Issued and paid-up share capital of AACB did not change
(ABN AMRO). The principles of the Banking Code are
in the year 2010. Authorised share capital amounts to
applied by ABN AMRO in full to all relevant entities
EUR 50,000,000 distributed over 50,000 shares each
within its group of companies on a consolidated basis.
having a nominal value of 1,000. At year-end 2010, all
In accordance with ABN AMRO’s management framework,
shares were held by ABN AMRO Bank N.V.
all members of the group are an integral part of the
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ABN AMRO organisation. The management framework
volumes and increase in credit utilization. Barring unfore-
entails that the bank’s policies and standards related to
seen circumstances, we expect that AACB will equal the
compliance with internal and external regulations and
net operating profit of 2010 in 2011.
best practises are applicable to the full group and consequently are defined at group level for implementation
The focus in Europe will be on retaining market leader-
within the different parts of the organisation. The annual
ship, while in the United States and Asia ABN AMRO
report of ABN AMRO Group N.V. provides further details
Clearing will pursue growth, especially in clearing and
on the application of the Dutch Banking Code.
financing of equity option players. Initiatives launched
in recent years to sustain future growth can now be
Regulatory
marketed to clients and prospects. ABN AMRO Clearing
The turmoil of late 2008 and the government interven-
will roll out its global energy and commodities clearing
tions which followed the near collapse of the financial
product worldwide and launch its new futures clearing
system continue to shape our industry. Legislators and
service for Commodity Trading Advisors in the United States.
regulators in most financial jurisdictions have turned
their attention to market infrastructure, and clearing in
ABN AMRO Clearing is the premier multi-asset clearer and
particular. We see a push to encourage and, in some
financing bank for on-exchange traders and professional
cases, oblige the clearing of OTC derivative contracts,
trading groups at all relevant exchanges in the world. By
resulting in the Dodd/Frank legislation in the US and the
adding OTC products, FX, Energy & Commodities, CFDs and
proposed EMIR regulation in the European Union.
IRS, ABN AMRO Clearing will make its product scope appealing to not only exchange members but also to Financial
We believe the overall effect of these changes might
Institutions, Corporate Hedgers and Alternative Investors.
be beneficial to our firm. Our push into the clearing of
Interest Rate Swaps through LCH SwapClear for instance
We have again achieved a great deal in 2010, none of
is one way of us benefitting from this market change.
which would have been possible without the commitment,
dedication and hard work of our highly motivated
Yet, we also see an increase in the attention regulators,
employees. We would like to thank them for their vital
central banks and governments have for clearing firms
contribution to our success.
and Central Counterparties and how these firms interact.
And we see a lot of interest in the functioning of market
We also thank our customers for their continuing trust
makers, liquidity providers and HFT firms in the markets.
and loyalty during a turbulent and exceptional year. In
Rule making on short selling, sponsored or naked access
December Jan van Rutte, a long standing member of the
to markets and high frequency trading might impact our
Supervisory Board, decided to step down. We would like
clients or our ability to service our clients.
to express our appreciation to him for his commitment
and support in the past years.
To date we do not feel our business model is a risk as a result
of potential changes in how the markets and our clients
Finally,
operate or are allowed to operate. But we try to stay on top
all staff in ABN AMRO Clearing truly sympathise with
of this debate. Through industry interest groups (FOA, FIA,
the people of Japan and our colleagues and their families
NVB) or in direct contacts with legislators or regulators at
in specific following the earthquake and subsequent
a national or a European level we aim to explain our model
events in March 2011. The efforts that our colleagues in
and our thoughts for the future shape of the markets.
Tokyo have made to ensure the orderly continuation of
our operations is enormous. We have deep respect for
Future developments
their commitment, especially considering the difficult
In comparison to Q4 2010, the first quarter of 2011 is
circumstances and all uncertainties they all are currently
more profitable due to a global increase of (exchange)
being confronted with.
From left to right:
Aldwin Boers,
Marcel Jongmans and
Jan Bart de Boer.
Amsterdam, 10 May 2011
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
>
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board structure
Executive Board
At year-end 2010, the Management Board consisted of
the following statutory members:
M.C. Jongmans
J.B.M. de Boer
A.P. Boers
Supervisory Board
On 1 December 2010 J.C.M. van Rutte resigned from
the Supervisory Board.
J.G. ter Avest is appointed as member of the Supervisory
Board as of 1 December 2010.
At year-end 2010, the Supervisory Board consisted of the
following members:
J.G. ter Avest
J.R. Dijst
E.T.P.T.M. Bosmans
>
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consolidated financial statements
of ABN AMRO Clearing Bank N.V. for the year 2010
12
>> Consolidated balance sheet as at 31 December 2010
14
>> Consolidated income statement for the period ended 31 December 2010
16
>> Consolidated statement of changes in Equity
17
>> Consolidated cash flow statement for the year 2010
18
>> Accounting Principles
31
>> Risk Management
38
>> Geographical information
43
>> Notes to the consolidated balance sheet as at 31 December 2010
55
>> Notes to the income statement for the year 2010
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consolidated balance sheet
as at 31 December 2010
Before profit appropriation (x EUR 1.000)
Note
2010
2009
Assets
Cash and cash equivalents
1
4.281.443
10.359.358
Due from banks
2
4.365.505
3.870.292
Due from customers
3
9.363.399
4.853.676
Trading assets
4
5.037
91.763
Investments available for sale
5
49.154
37.168
Trade and other receivables
6
1.031.623
812.250
Property and equipment
7
11.637
9.660
Intangible assets
8
1.506
1.031
Current tax assets
9
148
405
Deferred tax assets
10
1.677
7.658
Other assets
11
79.168
72.561
19.190.297
20.115.822
4.711.652*
5.531.731
Total assets
Contingent Assets
12
*From this amount is EUR 4.704.147 thousand secured by collateral (2009: EUR 5.522.231 thousand)
Liabilities
Due to banks
13
13.327.968
12.479.206
Due to customers
14
4.378.749
6.240.293
Trading Liabilities
15
12.794
103.534
Current tax liabilities
16
13.223
28.384
Deferred tax liabilities
17
3.674
4.238
Accrued interest, expenses and other liabilities
18
803.360
705.888
Provisions
19
3.044
1.263
18.542.812
19.562.805
Total liabilities
Note
2010
2009
15.000
15.000
537.607
427.067
8.177
(1.152)
82.471
108.737
Equity
Share capital
Retained earnings
Unrealised gains and losses
Result of the year
Equity attributable to the shareholder
20
643.255
549.652
Minority Interest
21
4.230
3.365
647.485
553.017
19.190.297
20.115.822
7.121.217*
10.911.195
Total Equity
Total Liabilities and Equity
Contingent Liabilities
*From this amount is 6.817.831 (x EUR 1.000) secured by collateral (2009: 9.680.164)
22
>
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consolidated income statement
for the period ended 31 December 2010
2010
2009
Interest income
227.321
379.726
Interest expense
(172.504)
(327.389)
(x EUR 1.000)
Note
Income
Net interest income
23
54.817
52.337
Dividend and other Investment Income
24
918
2.025
Realised capital gains on investments
25
64
9.243
Other (un) realised gains and losses
26
(625)
(1.335)
Net commissions and fees
27
168.092
115.162
Other income
28
2.530
26.880
225.796
204.312
2.185
7.041
227.981
211.353
Total income
Change in provision for impairment
29
Net revenues
Expenses
Staff expenses
30
(43.341)
(27.028)
Depreciation expenses and amortisation of (in)tangible assets
31
(5.382)
(3.393)
Other operating and administrative expenses
32
(58.866)
(45.243)
(107.589)
(75.664)
120.392
135.689
(35.531)
(25.427)
84.861
110.262
(2.390)
(1.525)
82.471
108.737
Total expenses
Result before taxation
Taxation
33
Net profit
Minority Interest
Net profit attributable to parent company
34
>
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consolidated statement
of comprehensive income
(x EUR 1.000)
2010
2009
82.471
108.737
39.915
12.927
927
2.488
(147)
(729)
(42.103)
(16.846)
10.737
4.296
9.329
2.136
91.800
110.873
Owners of the parent company
94.190
112.398
Non- controlling interests
(2.390)
(1.525)
Total Comprehensive income
91.800
110.873
Net profit
Other Comprehensive income
Currency translating results on unrealised gains and losses
Available for sale investments
Income tax relating to AFS investments
Net investment hedges
Income tax relating to NIH
Total Comprehensive income
Total comprehensive income attrributable to:
16 <
consolidated statement
of changes in equity
2010
(x EUR 1.000)
Opening balance at 1 January
Share
capital
Retained
earnings
Unrealised
gains and
losses
Result of
the year
Shareholders
Equity
Minority
Interest
Total
Equity
15.000
427.067
(1.152)
108.737
549.652
3.365
553.017
(108.737)
-
-
780
780
780
(31.366)
(31.366)
(31.366)
39.915
41.718
41.718
Profit appropriation
108.737
Unrealised gains and losses AFS
Unrealised gains and losses currency result
Foreign exchange translation effects
1.803
Dividend paid to minorities
Result for the year
Closing balance as at 31 December
15.000
537.607
8.177
-
(1.525)
(1.525)
82.471
82.471
2.390
84.861
82.471
643.255
4.230
647.485
2009
(x EUR 1.000)
Share
capital
Retained
earnings
Unrealised
gains and
losses
Result of
the year
Shareholders
Equity
Minority
Interest
Total
Equity
15.000
344.208
(3.288)
79.673
435.593
50
435.643
(79.673)
-
-
1.759
1.759
1.759
(12.550)
(12.550)
(12.550)
12.927
16.143
16.143
79.673
3.216
Share Minority interest
(30)
Result for the year
15.000
427.067
(1.152)
(30)
1.790
1.760
108.737
108.737
1.525
110.262
108.737
549.652
3.365
553.017
>
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consolidated cash flow statement
for the year 2010
2010
2009
Cash and cash equivalents - Balance as at 31 December
10.359.358
10.857.442
Reclassification
(4.063.668) *
Cash and cash equivalents - Balance as at 1 January
Profit before taxation
Adjustment result ineffectiveness Net investment hedge
Depreciation, amortisation of (in)tangible assets
change in provision for impairment
-
6.295.690
10.857.442
120.392
135.689
325
1.552
5.382
3.393
4.821
1.669
Effect of exchange rate variance on cash and cash equivalents
239.626
114.920
Adjusted profit for non-cash items
370.546
257.223
Changes in operating assets and liabilities:
Due from banks
(450.928) *
Loans to customers
(383.324)
(191.327)
(141.946)
310.747
Due to banks
Due to customers
Net changes in all other operational assets and liabilities
Income taxes paid
Net cash generated by operating activities
Purchases of investments
Proceeds from sales, maturities and redemptions
Investments in associates and joint ventures
Purchases of property and equipment
(3.867.187)
807.280
3.959.163
(1.724.289)
(1.942.755)
(440.785)
(147.347)
(35.212)
(27.755)
(1.998.658)
(1.649.238)
(12.406)
(10.968)
5.199
8
-
-
(5.677)
(4.576)
Disposal of subsidiaries
-
11.000
Acquisition of subsidiaries, net of cash acquired
-
1.164.752
Purchases of other (in)tangible assets
(1.116)
(479)
Dividend paid to shareholders (incl. dividend to minorities)
(1.525)
-
Net realised gains (losses) on sales
(64)
(8.583)
Cash flow from investing activities
(15.589)
1.151.154
4.281.443
10.359.358
231.751
456.062
918
2.025
(175.171)
(396.389)
Cash and cash equivalents - Balance as at 31 December
Supplementary disclosures of operating cash flow information
Interest income received
Dividend income received
Interest expense paid
* Reclassification in line with ABN AMRO Bank N.V. central policies. See note 1.
18 <
accounting principles
General
Where accounting policies are not specifically mentioned
ABN AMRO Clearing Bank N.V. has her statutory domicile
below, reference should be made to the IFRS’s as adopted
in Amsterdam and is a wholly owned subsidiary of
by the European Union.
ABN AMRO Bank N.V. The financial statements of
ABN AMRO Clearing Bank N.V. are incorporated in the
The accounting policies used to prepare these 2010
consolidated financial statements of ABN AMRO Group N.V.
Consolidated Annual Financial Statements are consistent
with those applied for the year ended 31 December 2009.
Restructuring of ABN AMRO
The shares in ABN AMRO Bank N.V. and Fortis Bank
As of 6 November 2003 Fortis Bank Nederland (Holding) N.V.
(Nederland) N.V. were transferred into ABN AMRO Group
deposited a Notice of Liability pursuant to article 2:403
N.V. on 1 April 2010.
of the Dutch civil code with respect to Fortis Bank Global
Clearing N.V. with the trade register of the Chamber
On 1 July the legal merger between ABN AMRO Bank N.V.
of Commerce in Amsterdam. This 403 declaration was
and Fortis Bank (Nederland) N.V. was completed, creating
renewed and deposited as of July 1st 2010 by ABN AMRO
a combined entity called ABN AMRO Bank N.V.
Group N.V. with respect to ABN AMRO Clearing Bank N.V.
Prior to the legal merger, ABN AMRO Clearing Bank N.V.
In principal, ABN AMRO Clearing Bank N.V. is not
was named Fortis Bank Global Clearing N.V. and 100%
engaged in any proprietary trading, operates at arm’s
of its shares were held by Fortis Bank (Nederland) N.V.
length of ABN AMRO Bank N.V. and therefore, provides
As a consequence of the legal merger, branches and
clearing services as an independent market participant
subsidiaries of Fortis Bank Global Clearing N.V. were
with its focus on third parties.
renamed by replacing Fortis with ABN AMRO.
Third party clearing means that ABN AMRO Clearing
The Dutch State holds all ordinary shares of ABN AMRO
Bank N.V. guarantees its clients towards the exchanges
Group N.V. In addition, the Dutch State holds a number
and central counterparties and takes care of the risk
of shares in ABN AMRO Preferred Investments B.V.
management of the (financial) position of these clients.
The Dutch State has full control over ABN AMRO Group
ABN AMRO Clearing Bank N.V. also handles the admini-
with a total financial interest of 97,8%. The remaining
stration of positions and the financing of these positions
2,2% is held by institutional investors via ABN AMRO
for clients. The clients are predominantly on-exchange
Preferred Investments.
traders and professional trader groups but ABN AMRO
Clearing Bank N.V. also services financial institutions,
Basis of presentation
banks, fund managers and brokers with its product
ABN AMRO Clearing Bank N.V. ‘s, Consolidated Financial
portfolio. ABN AMRO Clearing Bank N.V. does not
Statements, including the 2009 comparative figures, are
service retail customers directly.
prepared in accordance with IFRS – including International Accounting Standards (‘IAS’) and Interpretations – at
31 December 2010 and as adopted by the European
Union and with part 9 of book 2 of the Dutch Civil Code.
>
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The subsidiaries and branches of ABN AMRO Clearing Bank N.V. are:
Name
Entitlements
Established
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
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
ABN AMRO Global Nominees Ltd
100%
2010
European Multilateral Clearing Facility N.V.
Accounting Estimates
Changes in accounting policies
The preparation of financial statements in conformity with
New and amended IFRSs adopted by ABN AMRO
IFRS requires the use of certain accounting estimates.
Bank N.V. applicable and relevant for ABN AMRO
It also requires management to exercise its judgement
Clearing Bank N.V.
in the process of applying these accounting principles.
For 2010, the International Accounting Standards Board
Actual results may differ from those estimates and
(the IASB) and the International Financial Reporting
judgmental decisions.
Interpretations Committee (the IFRIC) did not issue any
new and revised Standards an Interpretations that apply
Judgements and estimates are principally made in the
to ABN AMRO Clearing Bank’s annual accounts.
following areas:
 r ecoverable amounts in case of indebtedness of clients.
New and amended IFRSs not yet effective
Recoverable amount is based on mark-to-market of client
Improvements to IFRSs
position vis-à-vis future obligations of ABN AMRO
Amendments resulting from Improvements to IFRSs to
Clearing Bank N.V. in function as General Clearing
the following standards did not have any impact on the
Member;
accounting policies, financial position or performance of
etermination of fair values of non-quoted financial
 d
instruments;
etermination of the useful life and the residual value
 d
of property and equipment, investment property and
intangible assets;
 a ctuarial assumptions related to the measurement of
pension liabilities and assets;
stimation of present obligations resulting from past
 e
events in the recognition of provisions.
the Bank during this financial year:
 IFRS 2 Share-based Payment
 IAS 1 Presentation of Financial Statements
 IAS 17 Leases
 IAS 38 Intangible Assets
 IAS 39 Financial Instruments: Recognition and
Measurement
 IFRIC 9 Reassessment of Embedded Derivatives
20 <
IFRS 9 as issued reflects the first phase of the IASBs
Consolidation Principles
work on the replacement of IAS 39 and applies to
classification and measurement of financial assets and
Subsidiaries
liabilities as defined in IAS 39. The standard is effective
Subsidiaries are those companies, in which ABN AMRO
for annual periods beginning on or after 1 January 2013.
Clearing Bank N.V., directly or indirectly, has the power to
However IFRS 9 has not been endorsed by the European
govern the financial and operating policies of the entity
Union. In subsequent phases, the Board will address
so as to obtain benefits from its activities (‘control’).
impairment and hedge accounting. The completion of
Subsidiaries are consolidated from the date on which
this project is expected in mid 2011. The adoption of the
effective control is transferred to ABN AMRO Clearing
first phase of IFRS 9 will primarily have an effect on the
Bank N.V. and are no longer consolidated from the date
classification and measurement of the bank’s financial
that control ceases.
assets. ABN AMRO Clearing Bank N.V. is currently
assessing the impact of adopting IFRS 9 Classification
The consolidated financial statements include those of
and Measurement. Preliminary conclusions are that no
ABN AMRO Clearing Bank N.V. and its subsidiaries:
major adjustments are anticipated.
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
 IFRS 7 Financial Instruments: Disclosures
ABN AMRO Clearing
Tokyo Co Ltd
Tokyo
Japan
 IAS 27 Consolidated and Separate Financial
ABN AMRO Clearing
Singapore Pte
Singapore
Singapore
Amsterdam
The Netherlands
ABN AMRO Clearing Bank N.V. however, expects no
European Multilateral Clearing
Facility N.V.
significant impact from the adoption of the amendments
OCA POM B.V.
Amsterdam
The Netherlands
on its financial position or performance.
ABN AMRO Global
Nominees Ltd
London
Great Britain
Improvements to IFRSs (issued in May 2010)
The IASB issued Improvements to IFRSs, an omnibus
of amendments to its IFRS standards. The amendments
have not been adopted as they become effective for
annual periods on or after either 1 July 2010 or 1 January
2011. The amendments are listed below.
 IAS 1 Presentation of Financial Statements
Statements
 IFRIC 13 Customer Loyalty Programmes
Geographical information
A geographical area is engaged in providing products or
services within a particular economic environment that are
Intercompany transactions, balances and gains and los-
subject to risks and returns that are different from those of
ses on transactions between the ABN AMRO Clearing
segments operating in other economic environments.
Bank N.V. companies were eliminated. Minority interests
in the net assets and net results of consolidated subsi-
ABN AMRO Clearing Bank’s reported geographical areas
diaries are shown separately on the balance sheet and
are as follows:
income statement. Minority interests are stated at the
Europe (the Netherlands)
fair value of the net assets at the date of acquisition.
Europe (excluding the Netherlands)
Subsequent to the date of acquisition, minority interests
Singapore
comprise the amount calculated at the date of acquisi-
Japan
tion and the minority’s share of changes in equity since
Hong Kong
the date of acquisition.
Australia
United States
>
21
Foreign Currency
Translation of non-monetary items depends on whether
The consolidated financial statements are stated in
the non-monetary items are carried at historical cost or
euro’s, the functional currency of the parent company of
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
Foreign Currency Transactions
items that are carried at fair value are translated using
For individual entities of ABN AMRO Clearing Bank N.V.,
the exchange rate on the date that the fair values are
foreign currency transactions are accounted for using
determined. The resulting exchange differences are
the exchange rate at the date of the transaction.
recorded in the income statement as foreign currency
gains (losses) except for those non-monetary items
Outstanding balances in foreign currencies at year-end
whose fair value change is recorded as a component of
are translated at year-end exchange rates for monetary
shareholders’ equity.
items.
Goodwill and fair value adjustments arising on the acquiThe distinction between exchange differences (recognised
sition of a foreign entity are treated as assets and liabili-
in the income statement) and unrealised fair value results
ties of the foreign entity and are translated at the closing
(recognised in shareholders’ equity) on available-for-sale fi-
exchange rate on the balance sheet date. All resulting
nancial assets is determined according to the following rules:
differences are recognised in equity until disposal of the
 t he exchange differences are determined based on
the evolution of the exchange rate calculated on the
foreign entity when a recycling to the income statement
takes place.
previous balances in foreign currency, and
 t he unrealised (fair value) results are determined
based on the difference between the balances in
The following table shows the rates of the relevant
currencies for ABN AMRO Clearing Bank N.V.:
euro’s of the previous and the new period, converted
at the new exchange rate.
Rates at year end-
Foreign Currency Translation
Average rates
2010
2009
2010
2009
On consolidation, the income statement and cash flow
1 EURO =
statement of entities whose functional currency is not
Pound Sterling
0,86
0,89
0,86
0,89
denominated in euro are translated into the presentation
Singapore Dollar
1,72
2,02
1,81
2,02
108,89
133,00
116,36
130,00
Hong Kong Dollar
10,40
11,18
10,30
10,81
rates prevailing at the balance sheet date. Translation
Australian Dollar
1,32
1,60
1,44
1,77
exchange differences are recognised in shareholders’
US Dollar
1,34
1,44
1,33
1,39
currency ABN AMRO Clearing Bank N.V., the euro, at
exchange rate at the date of the transaction and their
balance sheets are translated using the exchange
Japanese Yen
equity. On disposal of a foreign entity, such exchange
differences are recognised in the income statement as
part of the gain or loss on the sale.
Trade Date and Settlement Date
Accounting
Exchange differences arising on monetary items,
All purchases and sales of financial assets requiring
borrowings and other currency instruments, designated
delivery within the time frame established by regulation
as hedges of a net investment in a foreign operation are
or market convention are recognised on the trade date,
recorded in equity in the consolidated financial statements,
which is the date on which ABN AMRO Clearing Bank N.V.
until the disposal of the net investment, except for any
becomes a party to the contractual provisions of the
hedge ineffectiveness that is immediately recognised in
financial assets.
the income statement.
Forward purchases and sales other than those requiring
22 <
delivery within the time frame established by regulation
maturity is demonstrated. They are initially measured
or market convention are recognised as derivative forward
at fair value (including transaction costs) and subse-
transactions until settlement.
quently measured at amortised cost using the effective
interest method, with the periodic amortisation recorded
Offsetting
Financial assets and liabilities are offset and the net
in the income statement.
inancial assets at fair value through profit or loss
 F
amount is reported on the balance sheet if there is a
include:
legally enforceable right to set off the recognised amounts
I financial assets held for trading, including derivative
instruments that do not qualify for hedge accounting
and there is an intention to settle on a net basis, or realise
II financial assets that ABN AMRO Clearing Bank N.V.
the asset and settle the liability simultaneously. Assets
are recorded net of any accumulated provision for
has irrevocably designated at initial recognition or
impairment loss.
first-time adoption of IFRS as held at fair value
through profit or loss, because:
Classification and Measurement of Financial
Assets and Liabilities
 the
derivative that would otherwise require
ABN AMRO Clearing Bank N.V. classifies financial assets
and liabilities based on the business purpose of entering
host contract includes an embedded
separation;
 it eliminates
or significantly reduces a
measurement or recognition inconsistency
into these transactions.
(‘accounting mismatch’);
All assets and liabilities have a maturity less than 3
 it relates
to a portfolio of financial assets
and/or liabilities that are managed and
months, unless indicated in the disclosure.
evaluated on a fair value basis.
Financial Assets
vailable-for-sale financial assets are those assets that
 A
Consequently, financial assets can be classified as for
are otherwise not classified as loans and receivables,
example assets held for trading, investments, due from
held-to-maturity investments, or financial assets
banks and due from customers.
designated at fair value through profit or loss.
The measurement and income recognition in the income
Available-for-sale financial assets are initially measured
statement depend on the IFRS classification of the financial
at fair value (including transaction costs), and are
assets, being:
subsequently measured at fair value with unrealised
a) cash and cash equivalents;
gains or losses from fair value changes reported in
b) loans and receivables;
equity. For impaired available-for-sale assets, unrealised
c) held-to-maturity investments;
losses previously recognised in equity are transferred to
d) financial assets at fair value through profit or
the income statement when the impairment occurs.
loss and
e) available-for-sale financial assets.
Incurred but not identified defaults
This IFRS classification determines the measurement
Incurred but not identified (IBNI) impairments on loans
and recognition as follows:
represents losses inherent in components of the
 Loans and receivables are initially measured at fair
value (including transaction costs) and subsequently
non-impaired portfolio that have not yet been specifically
identified.
measured at amortised cost using the effective interest
method, with the periodic amortisation recorded in
The scope of the calculation of the IBNI impairments
the income statement.
covers all financial assets found not to be individually
 Held-to-maturity investments consist of instruments
impaired from the categories Loans and receivables -
with fixed or determinable payments and fixed maturity
banks, Loans and receivables - clients and Trade receivables.
for which the positive intention and ability to hold to
All related off-balance items such as unused credit
facilities and credit commitments are also included.
>
23
determine the fair value of a financial instrument, it is
accounted for at cost.
The IBNI calculation combines the Basel II concept of
On initial recognition, the fair value of a financial instrument
expected loss on a one-year time horizon with intrinsic
is the transaction price, unless the fair value is evidenced
elements such as loss identification period (LIP), cycle
by observable current market transactions in the same
adjustment factor and expert views.
instrument, or is based on a valuation technique that
includes inputs only from observable markets.
Above is in accordance with ABN AMRO Bank N.V. policies.
The principal methods and assumptions used by
Financial Liabilities
ABN AMRO Clearing Bank N.V. in determining the
Financial liabilities are classified as liabilities held for
fair value of financial instruments are:
trading, due to banks, due to customers, debt certificates,
subordinated liabilities and other borrowings.
air values for securities available for sale or at fair
 F
value through profit or loss are determined using
market prices from active markets. If no quoted
The measurement and recognition in the income state-
prices are available from an active market, the fair
ment depends on the IFRS classification of the financial
value is determined using discounted cash flow
liabilities being: (a) financial liabilities at fair value through
models. Discount factors are based on the swap
profit or loss, and (b) other financial liabilities. This IFRS
curve plus a spread reflecting the characteristics of
classification determines the measurement and recognition
the instrument.
in the income statement as follows:
a)Financial liabilities at fair value through profit
air values for derivative financial instruments are
 F
obtained from active markets or determined using, as
or loss include: (i) financial liabilities held for
appropriate, discounted cash flow models and option
trading, including derivative instruments that
pricing models.
do not qualify for hedge accounting, and (ii)
air values for loans are determined using discounted
 F
financial liabilities that ABN AMRO Clearing
cash flow models based upon ABN AMRO Clearing
Bank N.V. has irrevocably designated at initial
Bank N.V.’s current incremental lending rates for
recognition or first-time adoption of IFRS as
similar type loans. For variable-rate loans that re-price
held at fair value through profit or loss.
frequently and have no significant change in credit
b)Other financial liabilities are initially recognised
at fair value (including transaction costs), and
subsequently measured at amortised cost using
risk, fair values are approximated by the carrying
amount.
ff-balance sheet commitments or guarantees are
 O
the effective interest method, with the periodic
fair valued based on fees currently charged to enter
amortisation recorded in the income statement.
into similar agreements, taking into account the
remaining terms of the agreements and the counter-
Fair Value of Financial Instruments
The fair value of a financial instrument is determined
based on quoted prices in active markets. When quoted
parties’ credit standings.
or short-term payables and receivables, the carrying
 F
amounts are considered to approximate fair values.
prices in active markets are not available, valuation
techniques are used. Valuation techniques make
Measurement of Impaired Assets
maximum use of market inputs but are affected by the
An asset is impaired when its carrying amount exceeds
assumptions used, including discount rates and estimates
its recoverable amount. ABN AMRO Clearing Bank N.V.
of future cash flows. Such techniques include market
reviews all of its assets at each reporting date for
prices of comparable investments, discounted cash flows,
objective evidence of impairment.
option pricing models and market multiples valuation
The carrying amount of impaired assets is reduced
methods. In the rare case where it is not possible to
to the net present value of its estimated recoverable
24 <
amount and the amount of the change in the current
Due from Banks and due from Customers
year provision is recognised in the income statement.
A credit risk for specific loan provision is established if
Recoveries, write-offs and reversals of impairment are
there is objective evidence that the ABN AMRO Clearing
included in the income statement as part of change in
Bank N.V. will not be able to collect all amounts due in
provisions for impairment.
accordance with contractual terms. The amount of the
provision is the difference between the market-to-market
If in a subsequent period, the amount of the impairment
of the client position vis-à-vis the third party obligations
on assets other than goodwill or available-for-sale equity
of the ABN AMRO Clearing Bank N.V. in its function as a
instruments decreases, due to an event occurring after
clearing member.
the write-down, the amount is reversed by adjusting
the provision account and is recognised in the income
Impairments are recorded as a decrease in the carrying
statement.
value of due from banks and due from customers.
Financial Assets
When a specific loan is identified as uncollectible and all
A financial asset (or group of financial assets) is impaired
legal and procedural actions have been exhausted, the loan
if there is objective evidence of impairment as a result
is written off against the related charge for impairment;
of one or more events that occurred after the initial
subsequent recoveries are credited to change in provisions
recognition of the asset and that loss event (or events)
for impairment in the income statement.
has an impact on the estimated future cash flows of the
financial asset (or group of financial assets) that can be
Balance sheet items
reliably estimated.
Cash and Cash Equivalents
Depending on the type of financial asset, the recoverable
Cash and cash equivalents comprise cash on hand,
amount can be estimated as follows:
freely available balances with central banks and other
 t he fair value using an observable market price;
resent value of expected future cash flows discounted
 p
non-derivative financial instruments with less than three
months maturity from the date of acquisition.
at the instrument’s original effective interest rate (for
financial assets carried at amotised cost); or
ased on the fair value of the collateral.
 b
Cash Flow Statement
ABN AMRO Clearing Bank N.V. reports cash flows from
operating activities using the indirect method, whereby
Impairment to available-for-sale equity instruments
the net result is adjusted for the effects of transactions
cannot be reversed through the income statement in
of a non-cash nature, any deferrals or accruals of past or
subsequent periods.
future operating cash receipts or payments, and items of
income or expense associated with investing or financing
Other Assets
cash flows.
For non-financial assets, the recoverable amount is
measured as the higher of the fair value less cost to sell
Interest received and interest paid is presented as cash
and the value in use. Fair value less cost to sell is the
flows from operating activities in the cash flow statement.
amount obtainable from the sale of an asset in an arm’s
Dividends received are classified as cash flows from
length transaction between knowledgeable, willing parties,
operating activities. Dividends paid are classified as cash
after deducting any direct incremental disposal costs.
flows from financing activities.
Value in use is the present value of estimated future cash
flows expected to arise from continuing use of an asset
Due from Banks and due from Customers
and from its disposal at the end of its useful life.
Due 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.
>
25
Bank N.V. risk management at ABN AMRO Bank N.V.
level. The (realised and unrealised) results are included in
Securities Borrowing and Lending
‘Other realised and unrealised gains and losses’. Interest
Securities borrowed and securities loaned transactions are
received (paid) on assets (liabilities) held for trading is
generally reported as collateralized financings. Securities
reported as interest income (expense). Dividends received
borrowed transactions require ABN AMRO Clearing Bank
are included in ‘dividend and other investment income’.
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
Available-for-sale investment securities are held at fair
the market value of the securities loaned. ABN AMRO
value. Changes in the fair value are recognised directly
Clearing Bank N.V. monitors the market value of securities
in shareholders’ equity until the asset is sold unless
borrowed and loaned on a daily basis with additional
the asset is hedged by a derivative. If an investment is
collateral obtained or refunded as necessary. Interest
determined to be impaired, the impairment is recognised
rates paid on the cash collateral fluctuate with short-term
in the income statement. For impaired available-for-sale
interest rates. Securities purchased under agreements to
investments, unrealised losses previously recognised
resell and securities sold under agreements to repur-
in shareholders’ equity are transferred to the income
chase, which are short-term in nature, are treated as
statement when the impairment occurs.
collateralized financing transactions and are carried at
the amounts at which the underlying securities will be
If, in a subsequent period, the fair value of a debt instrument
subsequently resold or repurchased as specified in the
classified as available for sale increases and the increase
respective agreements. It is ABN AMRO Clearing Bank
can be objectively related to an event occurring after the
N.V.’s policy to take possession of securities, subject
impairment loss was recognised in the income statement,
to resale agreements. The fair value of the securities
the impairment loss is reversed, with the amount of the
is determined daily and collateral added whenever
reversal recognised in the income statement. Impairment
necessary to bring the market value of the underlying
losses recognised in the income statement for an invest-
collateral equal to or greater than the resale price
ment in an equity instrument classified as available for
specified in the contract.
sale are not reversed through the income statement.
Assets and Liabilities Held for Trading
Available-for-sale investment securities that are hedged
A financial asset or financial liability is classified as held
by a derivative are carried at fair value through profit or
for trading if it is:
loss.
 a cquired or incurred principally for the purpose of selling
or repurchasing it in the near term, or
art of a portfolio of identified financial instruments
 p
Investments in associates and joint ventures
Associates are those enterprises in which ABN AMRO
that are managed together and for which there is
Clearing Bank N.V. has significant influence (this is
evidence of a recent actual pattern of short-term
generally assumed when ABN AMRO Clearing Bank N.V.
profit taking, or
holds between 20% and 50% of the voting rights), but
 a derivative (except for a derivative that is a designated
not control, over the operating and financial policies.
and effective hedging instrument).
Joint ventures are contractual agreements whereby
Assets and liabilities held for trading are initially recognised
ABN AMRO Clearing Bank N.V. and other parties under-
and subsequently measured at fair value through profit
take an economic activity that is subject to joint control.
or loss. ABN AMRO Clearing Bank N.V. is principal in the
transactions between the client and the counterparty.
Investments in associates and joint ventures are
Counterparty risk is monitored by ABN AMRO Clearing
accounted for using the ‘Net equity method’. Under this
26 <
method the investment is initially recorded at cost and
plus any costs directly attributable to the business com-
subsequently increased (or decreased) for post acquisition
bination over ABN AMRO Clearing Bank N.V.’s interest
net income (or loss), other movements impacting the
in the fair value of assets acquired and liabilities and
equity of the investee and any adjustments required for
contingent liabilities assumed. Goodwill arising on the
impairment.
acquisition of a subsidiary is reported on the balance
sheet as an intangible asset. Goodwill arising on busi-
Trade and Other Receivables
ness combinations before 1 January 2004 was deducted
Trade and other receivables arising from the normal
from equity and has not been restated under IFRS. At
course of business and originated by ABN AMRO
acquisition date, it is allocated to those cash-generating
Clearing Bank N.V. are initially recorded at fair value
units that are expected to benefit from the synergies of
and subsequently measured at amortised cost using
the business combination. It is not amortised, but tested
the effective interest method, less impairments.
for impairment. Goodwill arising on the acquisition of an
associate is presented as part of the investment in the
Property and Equipment
associate.
Fixed assets are stated at cost less accumulated
depreciation and any accumulated impairment losses.
Any excess of the acquired interest in the net fair value
Cost is the amount of cash or cash equivalents paid or
of the acquiree’s assets, liabilities and contingent liabili-
the fair value of the other consideration given to acquire
ties over the acquisition cost is recognised immediately
an asset at the time of its acquisition or construction.
in the income statement.
Generally, depreciation is calculated on the straight-line
method to write down the cost of such assets to their
ABN AMRO Clearing Bank N.V. assesses the carrying
residual values over their estimated useful lives. The resi-
value of goodwill annually or, more frequently, if events
dual value and the useful life of property and equipment is
or changes in circumstances indicate that such carrying
reviewed at each year-end.
value may not be recoverable. If such indication exists,
the recoverable amount is determined for the cash-
Repairs and maintenance expenses are charged to the
generating unit to which goodwill belongs. This amount
income statement when the expenditure is incurred.
is then compared to the carrying amount of the cash-
Expenditures that enhance or extend the benefits of
generating unit and an impairment loss is recognised if
real estate or fixed assets beyond their original use are
the recoverable amount is less than the carrying amount.
capitalised and subsequently depreciated.
Impairment losses are recognised immediately in the
income statement.
Useful life for property and equipment is between 5 and
25 years.
In the event of an impairment loss, ABN AMRO Clearing
Bank N.V. first reduces the carrying amount of goodwill
Intangible Assets
allocated to the cash generating unit and then reduces
An intangible asset is an identifiable non-monetary asset
the other assets in the cash-generating unit pro rata on
and is recognised at cost if and only if it will generate
the basis of the carrying amount of each asset in the
future economic benefits and if the cost of the asset can
cash generating unit. Previously recognised impairment
be measured reliably.
losses relating to goodwill are not reversed.
Goodwill
In bargain purchase situations the negative goodwill
Acquisitions of companies are accounted for using the
is immediately recognised as gain in the income
purchase method of accounting. Goodwill represents
statement.
the excess of the fair value of the assets given, liabilities
incurred or assumed, and equity instruments issued,
>
27
Software
accordance with local conditions or industry practices.
Software for computer hardware that cannot operate
The pension plans are funded through payments to
without that specific software, such as the operating
insurance companies or trustee administered plans,
system, is an integral part of the related hardware and
determined by periodic actuarial calculations.
it is treated as property and equipment. If the software
is not an integral part of the related hardware, the costs
In the Netherlands employees participate in the pension
incurred during the development phase for which
plan of ABN AMRO Bank N.V. The employees have a con-
ABN AMRO Clearing Bank N.V. can demonstrate all
tract of employment directly with ABN AMRO Bank N.V.
of the above-mentioned criteria are capitalised as an
intangible asset and amortised using the straight-line
The separate defined benefit plan sponsored by
method over the estimated useful life. In general, such
ABN AMRO Clearing Bank N.V. relating to the former
intangible assets have an expected useful life of 5 years
Bank Mees & Hope, Hamburg, is not applicable to any
at most.
employees in service and is closed to new employees.
Therefore actuarial gains and losses exceeding the
Other intangible assets
corridor are charged to the income statement at once.
Other intangible assets include intangible assets with
definite lives, such as trademarks and licences that are
A defined benefit plan is a pension plan that defines an
generally amortised over their useful lives using the
amount of pension benefit that an employee will receive
straight-line method.
on retirement, usually dependant on one or more factors
such as age and years of service. A defined contribution
Intangible assets with finite lives are reviewed at each
plan is a pension plan under which ABN AMRO Clearing
reporting date for indicators of impairment.
Bank N.V. pays fixed contributions. ABN AMRO Clearing
Bank N.V. has no legal or constructive obligations to pay
Derivative Financial Instruments and Hedging
further contributions if the assets are not sufficient to
Derivatives are financial instruments such as swaps, for-
pay all employees the benefits relating to employee
ward and future contracts and options (both written and
service in the current and prior periods.
purchased). These financial instruments have values that
change in response to change with various underlying
At least annually qualified actuaries calculate the pension
variables, require little or no net initial investment, and
assets and liabilities.
are settled at a future date. All derivatives are recognised
on the balance sheet at fair value on the trade date as
For defined benefit plans, the pension costs and related
Assets held for trading and Liabilities held for trading.
pension asset or liability are estimated using the
projected unit credit method. This method sees each
Subsequent changes in the clean fair value (i.e. excluding
period of service as giving rise to an additional unit of
the interest accruals) of derivatives are reported in the
benefit entitlement and measures each unit separately
income statement under ‘other realised and unrealised
to build up the final liability. Under this method, the cost
gains and losses’.
of providing these benefits is charged to the income
statement to spread the pension cost over the service
Due to Banks and due to Customers
lives of employees. The pension liability is measured at
Due to banks and due to customers include deposits
the present value of the estimated future cash outflows
and time deposits originated by clients.
using interest rates determined by reference to market
yields on high quality corporate bonds that have terms to
Pension Liabilities
maturity approximating the terms of the related liability.
ABN AMRO Clearing Bank N.V. operates a defined
Net cumulative unrecognised actuarial gains and losses
contribution plan throughout its global activities, in
for defined benefit plans exceeding the corridor (greater
28 <
of 10% of the present value of the defined benefit
Clearing Bank N.V. enters into various transactions with
obligation or 10% of the fair value of any plan assets)
related companies. Parties are considered to be related if
are recognised in the income statement over the
one party has the ability to control or exercise significant
average remaining service lives of the employees.
influence over the other party in making financial or
operating decisions. Within the context of these financial
Past-service costs are recognised immediately in the
statements related parties comprise of ABN AMRO Bank
income statement, unless the changes to the pension
N.V. and its group companies. The parent company
plan are conditional on the employees remaining in
(ABN AMRO Bank N.V. ) does not charge ABN AMRO
service for a specified period of time (the vesting
Clearing Bank N.V. for centralised services in Amsterdam.
period). In this case, the past-service costs are
These services include staff, information technology
amortised on a straight-line basis over the vesting
(e.g. hardware, software, computer specialists), facilities
period.
(e.g. accommodation and cleaning) and corporate
overhead. Transactions are based on contractual
ABN AMRO Clearing Bank N.V.’s contributions to defined
agreements, are effected on the basis of normal market
contribution pension plans are charged to the income
conditions, and relate mainly to funding, clearing,
statement in the year to which they relate.
settlement and securities borrowing. The amounts
receivable or payable to related companies are disclosed
Employee Entitlements
in the notes to the financial statements.
Employee entitlements to annual leave and long-service
leave are recognised when they accrue to employees.
Share Capital
A provision is made for the estimated liability for annual
Incremental costs directly attributable to the issue of
leave and long-service leave as a result of services
new shares or share options, other than on a business
rendered by employees up to the balance sheet date.
combination, are deducted from equity net of any related
income taxes.
Provisions
Provisions are liabilities with uncertainties in the amount
Other Equity Components
or timing of payments. Provisions are recognised if there
Other elements recorded in shareholders’ equity are
is a present obligation to transfer economic benefits,
related to:
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 ABN AMRO Clearing Bank N.V. is
responsible to pay upon default of payment. Provisions
 foreign currency
 available-for-sale investments revaluations
 net investment hedges
Income Statement items
are estimated based on all relevant factors and information
existing at the balance sheet date, and typically are
Interest Income and Expense
discounted at the risk-free rate.
Interest income and interest expense are recognised in
the income statement for all interest bearing instruments
Contingent Assets and Liabilities
(whether classified as available for sale, held at fair
Contingent assets and liabilities are those uncertainties
value through profit or loss or derivatives) on an accrual
where an amount cannot be reasonably estimated or
basis using the effective interest method based on the
when it is not probable that payment will be required to
actual purchase price including direct transaction costs.
settle the obligation.
Interest income includes coupons earned on fixed and
floating rate income instruments and the accretion or
Transactions with Related Parties
In the normal course of business, the ABN AMRO
amortisation of the discount or premium.
>
The Interest Income is a result of current account balances,
measured at amortised cost. Both types of fees are
(exchange) margin and securities financing.
deferred and recognised as an adjustment to the
29
effective interest rate. However, when the financial
Once a financial asset has been written down to its
instrument is measured at fair value through profit or
estimated recoverable amount, interest income is
loss, the fees are recognised as revenue when the
thereafter recognised based on the effective interest
instrument is initially recognised.
rate that was used to discount the future cash flows
for the purpose of measuring the recoverable amount.
Fees earned as services provided are generally recognised as revenue as the services are provided. If it is
Realised and Unrealised Gains and Losses
unlikely that a specific lending arrangement will be entered
For financial instruments classified as available for
into and the loan commitment is not considered as a
sale, realised gains or losses on sales and divestments
derivative, the commitment fee is recognised as revenue
represent the difference between the proceeds received
on a time proportion basis over the commitment period.
and the initial book value of the asset or liability sold,
minus any impairment losses recognised in the income
Fees arising from negotiating, or participating in the
statement after adjusting for the impact of any fair value
negotiation of a transaction for a third party, are recognised
hedge accounting adjustments. Realised gains and losses
upon completion of the underlying transaction.
on sales are included in the income statement in the
caption realised capital gains (losses) on investments.
Commission revenue is recognised when the performance
obligation is complete.
For financial instruments carried at fair value through
profit or loss, the difference between the carrying value at
Transaction costs are included in the initial measurement of
the end of the current reporting period and the previous
financial assets and liabilities other than those measured at
reporting period is included in other realised and unrealised
fair value through profit or loss. Transaction costs refer to
gains and losses.
incremental costs directly attributable to the acquisition
or disposal of a financial asset or liability. They include
For derivatives, the difference between the carrying
fees and commissions paid to agents, advisers, brokers
clean fair value (i.e. excluding the unrealised portion of
and dealers levies by regulatory agencies and securities
the interest accruals) at the end of the current reporting
exchanges, and transfer taxes and duties.
period and the previous reporting period is included in
Other realised and unrealised gains and losses.
Income Tax Expense
Income tax payable on profits is recognised as an expense
Previously recognised unrealised gains and losses
based on the applicable tax laws in each jurisdiction
recorded directly into equity are transferred to the
in the period in which profits arise. The tax effects
income statement upon derecognition or upon the
of income tax losses available for carry-forward are
financial asset becoming impaired.
recognised as a deferred tax asset if it is probable that
future taxable profit will be available against which those
Fees, Commission Income and Transaction Costs
losses can be utilised.
Fees that are an integral part of the effective interest
rate of a financial instrument are generally treated as an
Deferred tax is provided in full, using the balance sheet
adjustment to the effective interest rate. This is the case
liability method, on temporary differences arising between
for origination fees, received as compensation for activities
the tax bases of assets and liabilities and their carrying
such as evaluating the borrower’s financial condition,
amounts in the consolidated financial statements.
evaluating and recording guarantees, etc., and also for
origination fees received on issuing financial liabilities
The rates enacted or substantively enacted at the
30 <
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 shareholders’ 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
risk management
In its daily operational activities, ABN AMRO Clearing
towards clearing houses, exchanges and other third parties.
Bank N.V. is confronted with various risks, the most
In order to minimise the market risk a stringent set of
important of which are market, credit, operational and
policies and procedures have been adopted to monitor
information technology risks. Accurate identification and
the client positions on a daily basis.
control of these risks constitute an important part of
ABN AMRO Clearing Bank N.V. day-to-day operations.
In principal ABN AMRO Clearing Bank N.V. is not
The purpose of risk control is to optimise the relation-
engaged in any proprietary trading. It operates at arm’s
ship between risk and return. ABN AMRO Clearing Bank
length of ABN AMRO Clearing Bank N.V. and therefore,
N.V. operates a Risk Management department, which
provides a clearing service as an independent market
monitors the value of collateral pledged to ABN AMRO
participant with its focus on third parties.
Clearing Bank N.V., worst case scenarios by which the
Being a guarantor towards Exchanges and Clearing
value of collateral may change and outstanding credit and
houses for our clients, requires us to have market risk
margin limits on a daily basis as part of the management
systems and controls in place.
of credit risks and market risks. Moreover the exposure
of liquidity risk for ABN AMRO Clearing Bank N.V. as
In terms of price risk encountered by the clients of the
such is minimal as ABN AMRO Bank N.V. has committed
ABN AMRO Clearing Bank N.V., the risk management
to providing immediate and sufficient access to funds.
system is based on the internally developed methodology
named Correlation Haircut (CoH) and external systems
Owing to the nature of ABN AMRO Clearing’s activities,
TIMS1 and/or SPAN2.
its financial assets and liabilities are generally of a shortterm nature. Consequently, the book values do not differ
Client positions are primarily monitored on the mark to
materially from the market values. Since the terms and
market value of the total position in comparison to the
interest rates for the invested and drawn-down monies
maximum theoretical loss of the portfolio (this maximum
are virtually identical, the interest rate and liquidity risks
theoretical loss is calculated by CoH). In the case of
are limited.
a violation, a client is requested to deposit additional
collateral and/or reduce the risk in their portfolio (i.e.
Market Risk
Net Liquidation balance vs. CoH figure). In case of
Market risk is the current or prospective impact on the
default, the portfolio of the client will be taken over by
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,
Correlation Haircut is a risk system that calculates
interest rates and exchange rates. Due to the nature of our
the market risk of clients on a daily basis after batch
business, market and credit risk are strongly intertwined
processing and real time based on intraday positions
and are therefore monitored simultaneously.
and intraday market-prices.
The ABN AMRO Clearing Bank N.V. encounters market
CoH not only takes price and volatility movements into
risk as a result of its main function as a third party
account, but also other risk factors as dividend, time
clearing member, being guarantor of its client positions
and interest. Also the correlation between the different
1
2
Theoretical Intermarket Margin System
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.
32 <
products in the portfolio of the client are taken into
the difference between the mark-to-market of the client
account by means of a statistical model (principal
position vis-à-vis the third party obligations of the ABN
component analysis). On a daily (batch) and intraday
AMRO Clearing Bank N.V. in its function as a clearing
basis stress calculations are performed, the overall
member.
haircut figure is the summation of the worst case
scenarios of the four product groups (Equity, Commodity,
Total outstanding client credit facilities, excluding ABN AMRO
Currency and Fixed Income), within each product group
Group companies, including utilisation are as follows:
we take into account correlation offset.
EURO billion
2010
2009
2008
Total outstanding client credit facilities
19,9
17,7
15,0
Total utilisation
7,1
5,1
2,5
liquidity risk concentration risk and extreme stress
Total debit cash utilisation
3,8
2,9
1,4
scenarios.
Total short stock utilisation
3,3
2,2
1,1
Besides the net liquidation balance vs CoH limit the
client positions are monitored on the following clearing
parameters: credit and margin usage, long premium,
The extreme stress scenarios analyze price movements
Based on the above described risk framework and
in extreme market conditions. In these calculations prices
measures taken, it is noted that client positions are fully
or yields are stressed simultaneously. Based on the
collateralized during the year.
outcome the risk managers judge whether the client has
to be contacted or not.
In 2010 ABN AMRO Clearing Bank N.V. had an average
default rate of 0,16bp on the overall outstanding credit
Credit Risk
lines of EUR 20bn (2009: 0,00bp).
Credit risk is the current or prospective impact on the
ABN AMRO Clearing Bank N.V.’s earnings and capital as
Fair Value Hierarchy
a result of clients and / or counterparties failure to meet
The financial instruments carried at fair value have been
with a financial or other contractual obligation. Credit risk
categorized under the three levels of the IFRS fair value
arises as a result of the ABN AMRO Clearing Bank N.V.’s
hierarchy as follows:
normal business operations and is strongly intertwined
 Quoted prices in active markets (Level 1);
to Market risk. Credit risk is daily monitored as part of
 Valuation Techniques with observable market data
our risk management policies and procedures. Basically,
credit risk only arises if a client has an increased market
risk due to violation of Net Liquidation balance vs CoH
figure.
The ABN AMRO Clearing Bank N.V. is reducing its Credit
risk exposure through credit mitigation techniques and
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 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
(Level 2);
aluation Techniques with significant unobservable
 V
market data (Level 3).
>
33
The following table presents the carrying value of the financial instruments held at fair value across the three levels of the fair
value hierarchy.
Valuation technique
observable
market data
Valuation technique
unobservable
market data
Total
52
4.985
-
5.037
31.757
17.397
-
49.154
Total financial assets held at fair value
31.809
22.382
-
54.191
7.809
4.985
-
12.794
Quoted prices in
active market
Valuation technique
observable
market data
Valuation technique
unobservable
market data
Total
25
91.738
-
91.763
18.876
18.292
-
37.168
Total financial assets held at fair value
18.901
110.030
-
128.931
11.796
91.738
-
103.534
At 31 December 2010
Quoted prices in
active market
Financial assets held at fair value
Trading assets
Financial liabilities held at fair value
Trading liabilities
At 31 December 2009
Financial assets held at fair value
Trading assets
Financial liabilities held at fair value
Trading liabilities
Liquidity Risk
liquidity position and ensures that sufficient collateral is
The liquidity risk concerns the risk that the bank will be
on deposit. This daily liquidity position is sent to Asset &
unable to meet its financial obligations on time.
Liability Management on a daily basis. As a result of this
The basic approach to managing the liquidity risk is to
tight control, exposure on liquidity risk is minimal.
ensure that adequate liquidities are available to meet
the financial obligations in both normal and difficult
Liquidity position to the Nederlandsche Bank is reported on
circumstances.
a monthly basis by ABN AMRO Bank N.V. in cooperation
with ABN AMRO Clearing Bank N.V.
Controlling the liquidity risk
The operating systems and departments notify
Liquidity sensitivity gaps
ABN AMRO Clearing Bank’s Treasury on a daily basis
The table on the following page shows ABN AMRO
concerning inward and outward flows of funds, financial
Clearing Bank N.V.’s assets and liabilties classified into
assets and liabilities shortly falling due and requirements
relevant maturity groupings based on the remaining
for collateral lodged with clearing institutions and central
period to the contractual maturity date. The liquidity gap
banks to facilitate settlement and payment processes
of EUR (69.483) is relating to intercompany term loans.
on behalf of clients. Using this information, Treasury
Operationally ABN AMRO Clearing Bank N.V. has sufficient
department keeps a day-to-day watch on the banks
access to liquidity to cover normal course of business.
34 <
At 31 December 2010
1-3 months
3-12 months
1-5 years
Total
Assets
Fixed rate financial instruments
Variable rate financial instruments
6.371.655
1.046.993
53.232
7.471.880
10.264.737
-
-
10.264.737
-
1.359.544
Non-interest bearing financial instruments
1.359.544
Non-financial assets
94.136
-
-
94.136
18.090.072
1.046.993
53.232
19.190.297
10.126.345
1.116.476
53.232
11.296.053
Variable rate financial instruments
5.879.182
-
-
5.879.182
Non-interest bearing financial instruments
1.240.532
-
-
1.240.532
127.045
-
-
127.045
Total Liabilities
17.373.104
1.116.476
53.232
18.542.812
Net liquidity gap
716.968
(69.483)
-
647.485
Total Assets
Liabilities
Fixed rate financial instruments
Non-financial liabilities
Operational Risk
(RSA’s). A yearly review of ABN AMRO Clearing Bank
Operational risk is the risk of loss resulting from inadequate
N.V. business is performed by the team to inform the
or failed internal processes or systems, human error,
management team of ABN AMRO Clearing Bank N.V.
external events or changes in the competitive environment
about each entity’s risk profile. ABN AMRO Clearing
that damage the franchise or operating economics of a
Bank N.V. is fully compliant with the ABN AMRO
business.
Advanced operational risk management approach (AMA).
Operational risk is monitored and controlled by two
ABN AMRO Clearing Bank N.V. is subject to an annual
complementary departments. First, operational risk is
Strategic Risk Self Assessment workshop (SRA) where
dealt with by the Business Control / Enterprise Risk
ABN AMRO Clearing Bank N.V.’s management and Risk
Management Function (Business Control / ERM).
representatives discussed the risks to the realisation of
This function monitors and manages operational risk,
ABN AMRO Clearing Bank N.V.’s strategic objectives.
including enterprise risk, internal controls etc. The
Follow up is monitored quarterly by the Operational Risk
Business Control Function /ERM initiates and coordinates
Department and Business Control / ERM.
the implementation of risk-reducing, mitigating actions
as decided by the management of the entity involved.
Internal Control
Key risk indicators are used to monitor progress. This
Operational risk management is promoted through the
function is also responsible for Business Continuity
ABN AMRO Clearing Bank N.V. internal control arrange-
Management and Information Security Management.
ments. Procedures and work instructions are in place
to safeguard a controlled operational environment.
Secondly, the Operational Risk Department within
The organisational structure of ABN AMRO Clearing
ABN AMRO Risk Management performs Operational
Bank N.V. ensures a separation of duties, clearly defined
incident (loss/profit) collection, modelling economic and
powers and the allocation of responsibilities, including
regulatory capital according to the Advanced Measure-
powers of representation.
ment Approach (“AMA”) and event risk self assessments
>
35
Business continuity management
been integrated into all technology-based processes within
Downtime of infrastructure is unacceptable as the
ABN AMRO Clearing Bank N.V. and are documented and
customers must be able to clear their trading activities at
communicated to all relevant staff.
all time. The potential financial losses are unlimited
in case of disruption.
Information technology risk (IT)
Business Continuity Plans (BCP) are in place for each
In order to reduce the information technology (IT) risk
individual ABN AMRO Clearing Bank N.V. site with the
to a minimum several measures of internal control have
goal to limit the impact of unexpected events on the
been implemented. Such as having its own Business
continuity of services. The BCP describes the procedures
Support department, being the intermediary between
to be followed in order to maintain critical activities of
users and ABN AMRO IT development and Business
the bank in the event of an emergency that leads to
Development department, being engaged with long
the loss of one of our more critical products/services or
term development and planning. Moreover ABN AMRO
systems.
Clearing Bank N.V. has incorporated internal controls to
A printed copy of this document must be kept in the
guarantee the accurateness and completeness of data
Crisis Management Room, as well as at the offsite
processing.
Disaster Recovery Site. The BCP Coordinator has to
keep a copy on his/her laptop of the most recent version
Foreign exchange risk
of the Business Continuity Plan. All relevant crisis staff
Due to the activities of ABN AMRO Clearing in London,
keep a copy of this document at his/her home address.
Singapore, Japan, Hong Kong, Sydney and Chicago
foreign exchange risk is born on the net working capital
Information Security Management
of London Branch and the equity of Singapore, Japan,
As a financial services provider, information is of critical
Hong Kong, Sydney and Chicago subsidiaries. Entering
importance to ABN AMRO Clearing Bank N.V. The clearing
into foreign currency transactions with related parties
business is a knowledge and information intensive
economically mitigates this foreign exchange risk for
enterprise and reliable information is crucial. Information
must be protected. To realise this, a structured information security approach has been formalised into an
ABN AMRO Clearing Bank N.V. has committed to providing
Information Security Plan (ISP). ISP’s have been made
immediate and sufficient access to funds.
for all ABN AMRO Clearing Bank N.V. sites. ABN AMRO
The liquidity management department will calculate
Clearing Bank N.V. has appointed a Business Information
its intra-day and overnight cash position using internal
Security Officer (BISO). The BISO is responsible for the
cash forecasting systems. As ABN AMRO Clearing
coordination of the implementation of the Information
Bank N.V. will have immediate access to funds when
Security Policy within ABN AMRO Clearing Bank N.V.
required based on the Master Clearing Agreement and
and reports about the progress of the implementation to
all borrowings are made in matching currency the foreign
the ABN AMRO Clearing Bank N.V. Global Management
exchange risk on funding will be minimal.
Team at the ERM committee. Local Information Security
Officers (LISO) have been appointed for each site.
The foreign exchange risk that is born as a result of
day-to-day operating activities is mitigated by entering
Information Technology (IT)
into foreign currency transactions with other ABN AMRO
IT-related risks arise from the inability of an organisation
Group companies. As a result of the foreign currency
to manage the confidentiality, integrity and availability of
transactions, the net position in foreign currency is nil.
its information resources. Due to the fact that ABN AMRO
Clearing Bank N.V.’s operations, products and services
Net Investment Hedge
will rely heavily on its systems, ABN AMRO Clearing
With respect to Net Investment Hedging, total equity
Bank N.V. considers this a primary risk. IT policies have
(share capital, retained earnings and result of the year)
36 <
is hedged by a short position of the same amount in
In 2008, the subsidiaries ABN AMRO Clearing (Options)
the same currency on a monthly basis to offset foreign
Hong Kong and ABN AMRO Clearing Sydney were
exchange risk. The offset ratio is the ratio of ytd revaluation
acquired and in 2009 ABN AMRO Clearing Chicago LLC.
of hedging instrument (short position) divided by the
Subsequently net investment hedging was applied for all
revaluation of the participation (total equity), which has
the subsidiaries. Total equity (share capital, share premium
to be between 80%-125% to be effective. If the hedge
and result of the year in local currency) was hedged by a
is effective, the result regarding the hedging instrument
short position of the same amount in local currency on a
(short position) may be transferred to a FX Translation
monthly basis to offset foreign exchange risk.
reserve within the Unrealised gains and losses of the
Shareholders’ equity in the consolidated balance sheet.
At the end of each month retrospectively effectiveness
testing has been done to verify the effectiveness of the
ABN AMRO Clearing Bank N.V. entered into Net
hedges (Offset ratio has to be between 80%-125%).
Investment Hedging regarding the subsidiaries
ABN AMRO Clearing Bank N.V. has done this successfully.
Singapore and Japan.
The results are presented in the table below. Amounts
are in Euro x 1.000.
Net investment hedging was applied regarding London
Branch as paid up capital can be seen as a loan. Due to
For statutory account purposes ABN AMRO Clearing
the paid up capital Revaluations regarding trading seats
Bank N.V. recognised any hedge ineffectiveness (more
in the AFS-portfolio and results of the current year,
than 100%) in the income statement.
ABN AMRO Clearing Bank N.V. is exposed to foreign
exchange risk. To offset this foreign exchange risk the
positions are hedged by short positions of the same
amount in Pound Sterling on a monthly basis.
YTD revaluation
hedginginstrument
unrealised
currency translation
differences YTD
offset ratio
Date
Entities
31-12-2010
ABN AMRO Clearing Singapore Ltd.
1.671
1.542
108%
31-12-2010
ABN AMRO Clearing London Branch
1.022
883
116%
31-12-2010
ABN AMRO Clearing Japan Ltd.
5.386
5.402
100%
31-12-2010
ABN AMRO Clearing (Options) Hong Kong
3.832
3.773
102%
31-12-2010
ABN AMRO Clearing Sydney PTY LTD
15.720
15.706
100%
31-12-2010
8.682
8.814
99%
Management of capital requirements
On 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
31-12-2010
31-12-2009
IFRS equity
643.255
549.652
Tier 1 capital
633.548
543.640
Regulatory capital
641.483
551.986
5.075.890
4.446.816
Core tier 1 ratio
12,55%
12,34%
Tier 1 ratio
12,48%
12,23%
Total capital ratio
12,64%
12,41%
Risk Weighted Assets
>
37
38 <
geographical information
Geographical information of the
consolidated balance sheet
ABN AMRO Clearing’s reporting reflects the gross eco-
Europe (excl. Netherlands) contains Great Britain,
nomic contribution of the geographical areas within the
Germany, Belgium and Sweden. The geographical
business operations of ABN AMRO Clearing. Geographical
information include the consolidation elimination journals.
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.
(x EUR 1.000)
>
39
31 December 2010
Assets
Europe
(Netherlands)
Europe
(excl.
Netherlands)
Singapore
Japan
Hong
Kong
Australia
United
States
Total
3.384.034
39.753
15.593
15.983
290.629
256.262
279.189
4.281.443
Due from banks
2.912.199
(14)
2.974
3.553
(229)
(39)
1.447.061
4.365.505
Due from customers
7.365.687
349.485
338.740
-
146.545
427.133
735.809
9.363.399
Trading assets
5.037
-
-
-
-
-
-
5.037
3.000
17.019
22.716
-
-
-
6.419
49.154
271.267
-
(1.901)
(32.773)
(41.845)
(77.852)
(116.896)
0
91.739
402.363
314.898
36.559
143.843
1.881
40.340
1.031.623
1.226
3.737
477
1.130
694
1.240
3.133
11.637
Intangible assets
792
50
98
130
69
148
219
1.506
Current Tax assets
92
56
Deferred tax assets
126
Participated interest in group companies
Property, Plant and equipment
148
1.316
235
1.677
Other assets
66.315
5.444
881
2.202
549
387
3.390
79.168
Total assets
14.101.514
817.893
694.476
26.784
540.255
610.476
2.398.899
19.190.297
13.229.191
94.657
-
-
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
Trading Liabilities
12.794
-
-
-
-
-
-
12.794
5.836
4.902
369
17
1.676
423
-
13.223
-
3.674
-
-
-
-
-
3.674
(998.828)
72.080
367.857
29.549
176.238
367.764
788.700
803.360
7
-
-
-
-
3.037
-
3.044
13.525.188
804.751
690.544
32.557
514.519
595.815
2.379.438
18.542.812
15.000
-
-
-
-
-
(0)
15.000
Retained earnings
541.506
-
1.769
(7.353)
9.224
(10.666)
3.127
537.607
(38.499)
9.433
708
8.889
4.952
18.200
4.494
8.177
54.094
3.704
1.455
(7.309)
11.560
7.127
11.840
82.471
572.101
13.137
3.932
(5.773)
25.736
14.661
19.461
643.255
4.225
5
-
-
-
-
-
4.230
576.326
13.142
3.932
(5.773)
25.736
14.661
19.461
647.485
14.101.514
817.893
694.476
26.784
540.255
610.476
2.398.899
19.190.297
Liabilities
Due to banks
Accrued interest, expenses
and other liabilities
Provisions
Total liabilities
Equity
Share capital
Result of the year
Equity attributable by the parent
Minority Interest
Total Equity
40 <
Geographical information of the consolidated balance sheet
(x EUR 1.000)
31 December 2009
Assets
Europe
(Netherlands)
Europe
(excl.
Netherlands)
Singapore
Japan
Hong
Kong
Australia
United
States
Total
8.093.108
381.102
283.120
35.489
354.444
353.788
858.307
10.359.358
Due from banks
3.225.000
-
30.119
1.518
-
30.810
582.844
3.870.292
Due from customers
4.692.444
-
97.211
8.792
1.933
-
53.297
4.853.676
91.763
-
-
-
-
-
-
91.763
-
14.803
10.884
-
-
-
11.481
37.168
289.959
-
(28.576)
(24.789)
(41.845)
(77.852)
(116.896)
-
6.834
282.020
360.109
68
115.549
13.474
34.197
812.250
-
3.047
570
914
1.017
1.380
2.730
9.660
60
109
138
133
109
131
350
1.031
Trading assets
Participated interest in group companies
Property, Plant and equipment
Intangible assets
Current Tax assets
Deferred tax assets
405
405
5.727
1.155
775
7.658
Other assets
57.839
11.355
46
1.641
574
9
1.098
72.561
Total assets
16.462.734
693.996
753.621
23.766
431.781
322.515
1.427.408
20.115.822
11.869.289
293.376
492
-
23.390
6.872
285.787
12.479.206
Due to customers
4.190.529
466.298
383.947
-
183.056
156.204
860.259
6.240.293
Trading Liabilities
103.534
-
-
-
-
-
-
103.534
20.032
3.415
24
-
354
1.282
3.277
28.384
947
3.180
-
-
-
-
111
4.238
(260.435)
(85.964)
366.303
27.617
214.605
165.080
278.682
705.888
14
-
-
-
-
1.249
-
1.263
15.923.910
680.305
750.766
27.617
421.405
330.687
1.428.116
19.562.805
15.000
-
-
-
-
-
(0)
15.000
Retained earnings
435.166
-
2.114
(4.020)
6.460
(15.751)
3.098
427.067
(14.393)
8.195
1.122
4.113
1.151
2.494
(3.834)
(1.152)
99.689
5.495
(382)
(3.943)
2.764
5.084
29
108.737
535.462
13.690
2.854
(3.850)
10.375
(8.173)
(707)
549.652
3.365
-
-
-
-
-
-
3.365
538.827
13.690
2.854
(3.850)
10.375
(8.173)
(707)
553.017
16.462.737
693.995
753.620
23.767
431.780
322.514
1.427.409
20.115.822
Liabilities
Due to banks
Accrued interest, expenses
and other liabilities
Provisions
Total liabilities
Equity
Share capital
Result of the year
Equity attributable by the parent
Minority Interest
Total Equity
>
41
Geographical information of the income statement
(x EUR 1.000)
2010
Europe
(Netherlands)
Europe
(excl.
Netherlands)
Singapore
Japan
Hong
Kong
Australia
United
States
Total
Interest income
168.172
10.730
4.826
14
2.856
18.662
22.061
227.321
Interest expense
(149.191)
2.427
(2.297)
(84)
(1.366)
(10.056)
(11.937)
(172.504)
18.981
13.157
2.529
(70)
1.490
8.606
10.124
54.817
Dividend an other Investment Income
681
112
-
-
-
-
125
918
-
-
1
-
-
-
63
64
(553)
61
53
(4)
(1)
(204)
23
(625)
87.873
17.045
5.738
1.198
16.523
10.009
29.706
168.092
Other income
125
1.978
-
116
-
9
302
2.530
Total income
107.107
32.353
8.321
1.240
18.012
18.420
40.343
225.796
1.590
(11)
104
(42)
29
459
56
2.185
108.697
32.342
8.425
1.198
18.041
18.879
40.399
227.981
(1.153)
(16.112)
(2.509)
(1.560)
(1.860)
(4.832)
(15.315)
(43.341)
(169)
(1.760)
(406)
(243)
(559)
(726)
(1.519)
(5.382)
Other operating and administrative
expenses
(22.273)
(8.595)
(3.697)
(6.680)
(2.911)
(2.891)
(11.819)
(58.866)
Total expenses
(23.595)
(26.467)
(6.612)
(8.483)
(5.330)
(8.449)
(28.653)
(107.589)
85.102
5.875
1.813
(7.285)
12.711
10.430
11.746
120.392
(28.618)
(2.171)
(358)
(24)
(1.151)
(3.303)
94
(35.531)
Result before minority interest
56.484
3.704
1.455
(7.309)
11.560
7.127
11.840
84.861
Minority interest
(2.390)
-
-
-
-
-
-
(2.390)
Net profit
54.094
3.704
1.455
(7.309)
11.560
7.127
11.840
82.471
Income
Net interest income
Net revenues
Expenses
Staff expenses
Depreciation expenses and amortisation
of intangible assets
Taxation
Geographical income 2010
18%
20%
62%
■
■
■
Europe
Asia
America
42 <
Geographical information of the income statement
(x EUR 1.000)
2009
Europe
(Netherlands)
Europe
(excl.
Netherlands)
Singapore
Japan
Hong
Kong
Australia
United
States
Total
Interest income
255.382
94.114
1.609
19
1.849
19.507
7.246
379.726
Interest expense
(226.051)
(81.386)
(775)
(29)
(1.849)
(12.640)
(4.659)
(327.389)
29.331
12.728
835
(10)
-
6.867
2.587
52.337
Dividend an other Investment Income
780
1.134
-
-
-
-
111
2.025
9.240
-
-
-
(5)
-
8
9.243
(1.294)
(89)
34
(30)
(2)
47
-
(1.335)
67.042
18.754
4.735
156
7.952
7.472
9.051
115.162
Other income
26.055
124
-
56
455
8
181
26.880
Total income
131.154
32.651
5.604
173
8.400
14.394
11.938
204.312
7.641
71
(122)
-
(142)
(254)
(153)
7.041
138.795
32.722
173
8.257
14.139
11.785
211.353
-
(12.388)
(2.158)
(1.120)
(1.606)
(3.782)
(5.974)
(27.028)
(4)
(1.082)
(412)
(154)
(457)
(618)
(666)
(3.393)
Other operating and administrative
expenses
(17.420)
(11.380)
(3.468)
(2.834)
(2.884)
(2.230)
(5.028)
(45.243)
Total expenses
(17.424)
(24.850)
(6.038)
(4.108)
(4.947)
(6.630)
(11.667)
(75.664)
121.370
7.872
(556)
(3.935)
3.310
7.509
118
135.689
Taxation
(20.157)
(2.377)
174
(7)
(546)
(2.425)
(89)
(25.427)
Result before minority interest
101.213
5.495
(382)
(3.943)
2.764
5.084
29
110.262
Minority interest
(1.525)
-
-
-
-
-
-
(1.525)
Net profit
99.688
5.495
(382)
(3.943)
2.764
5.084
29
108.737
Income
Net interest income
Net revenues
%02
5.482
%81
Expenses
eporuE ■
aisA ■
aciremA ■
Staff expenses
of intangible assets
%26
Geographical income 2009
6% 18% 14%
eporuE
aisA
aciremA
■
■
■
20%
80%
62%
■
■
■
Europe
Asia
America
>
43
notes to the consolidated balance sheet
as at 31 december 2010
(x EUR 1.000)
ASSETS
2010
2009
4.281.443
10.359.358
ABN AMRO Group companies
2.950.396
5.478.740
Third parties
1.331.047
4.880.618
Total Cash and cash equivalents
4.281.443
10.359.358
2. Due from banks
4.365.505
3.870.292
3.599
1.518
530
451
2.476
29.699
Cash Collateral related to securities lending transactions
4.359.654
3.838.683
Total due from banks
4.366.259
3.870.351
(754)
(59)
4.365.505
3.870.292
2.989.868
3.225.000
Third parties
1.375.637
645.292
Total due from customers
4.365.505
3.870.292
1. Cash and cash equivalents
This item compreses cash on hand, freely available balances with central banks and
other financial institutions. In 2010 no amount has a maturity more than 3 months.
Due to the merger between Fortis Bank Nederland N.V. and ABN AMRO Bank N.V.
the classification of cash and cash equivalents has changed. In line with the new
classification rules we have reclassed an amount of 4.939.773 (x EUR 1.000) from
cash and cash equivalents to due from customers in 2010. For 2009 the amount of
the reclassification would be 4.063.668 (x EUR 1.000).
Of the cash and cash equivalents the following amounts were due from:
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.
In 2010 a total amount of 37.930 (x EUR 1.000) has a maturity of more than one year.
Due from banks consisted of the following at 31 December:
Interest bearing deposits
Mandatory reserve deposits with central banks
Loans and advances
Less: impairments
Net due from Banks
None of the amounts in the Due from banks items were subordinated in 2010 or 2009.
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:
44 <
2010
2009
9.363.399
4.853.676
9.099.903
4.820.422
284.865
53.340
9.384.768
4.873.762
(21.369)
(20.086)
9.363.399
4.853.676
4.137.791
4.692.444
Third parties
5.225.608
161.232
9.363.399
4.853.676
5.037
91.763
4.985
91.739
Other trading assets
52
24
Total trading assets
5.037
91.763
3. Due from customers
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.
In line with ABN AMRO Bank N.V. central policies we have reclassed an amount
of 4.939.773 (x EUR 1.000) from cash and cash equivalents to due from customers in
2010. See also note 1.
In 2010 a total amount of 1.062.294 (x EUR 1.000) has a maturity of more than 3 months
of which 15.302 (x EUR 1.000) more than one year.
The composition of due from customers at 31 December is as follows:
Commercial loans
Less: impairments
Net due from Customers
Of the commercial loans an amount of EUR 4.068 million was granted to ABN AMRO
Group companies (2009 EUR 4.692 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:
4. Trading assets
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 OTC derivatives are offset by identical contracts (trading liabilities), therefore
risk is limited.
The trading assets consist of the following financial instruments:
Over the counter (OTC)
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’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 EUR 322 million as per 31 December
2010 and EUR 1.345 million as per 31 December 2009.
>
45
2010
2009
49.154
37.168
37.168
12.560
Purchase subsidiary
-
11.487
Sales to third parties
(5.136)
-
Additions
12.406
10.968
Gross revaluation to equity
927
1.804
Exchange rate differences
3.789
349
49.154
37.168
1.031.623
812.250
5. Investments available for sale
Movements in the investments available for sale were as follows:
Opening balance as at 1 January
Closing balance as at December 31
There were no impairments on the investments available for sale in 2009 or 2010.
6. Trade and other receivables
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 2010 or 2009.
46 <
7. Property and equipment
2010
2009
11.637
9.660
The table below shows the categories of property and equipment at 31 December against net book value.
2010
Cost basis at 1 January
Purchase subsidiary
Additions
Disposal
Foreign exchange differences
Cost basis at 31 December
Accumulated depreciation 1 January
Purchase subsidiary
Depreciation expense
Disposal
Accumulated depreciation at 31 December
Leasehold
improvements
Equipment
IT equipment
Total
2.432
1.618
16.962
21.012
-
-
-
-
464
844
4.386
5.694
-
(11)
(76)
(87)
254
183
1.866
2.303
3.150
2.634
23.138
28.922
(1.392)
(697)
(9.263)
(11.352)
-
-
-
-
(294)
(246)
(4.090)
(4.630)
-
11
76
87
(167)
(110)
(1.113)
(1.390)
(1.853)
(1.042)
(14.390)
(17.285)
1.297
1.592
8.748
11.637
2009
Leasehold
improvements
Equipment
IT equipment
Total
Cost basis at 1 January
1.096
1.021
7.475
9.592
Purchase subsidiary
1.147
420
4.584
6.151
181
96
4.301
4.578
Disposal
-
(1)
(38)
(39)
8
82
640
730
2.432
1.618
16.962
21.012
(801)
(349)
(3.752)
(4.902)
Purchase subsidiary
(326)
(125)
(2.519)
(2.970)
(241)
(171)
(2.589)
(3.001)
-
1
34
35
(24)
(53)
(437)
(514)
(1.392)
(697)
(9.263)
(11.352)
1.040
921
7.699
9.660
Additions
Disposal
Accumulated depreciation at 31 December
No impairments have been recorded to the property and equipment during 2009 and 2010. Property and equipment are
depreciated in 10 years, hardware in 3 years.
8. Intangible assets
>
47
2010
2009
1.506
1.031
The Intangible assets item consists solely of software that is not an integral part of the related hardware.
Cost basis as at 1 January
3.382
1.724
-
1.092
1.116
480
(2)
-
362
86
4.858
3.382
(2.351)
(1.266)
-
(609)
(753)
(393)
-
-
(248)
(83)
(3.352)
(2.351)
1.506
1.031
148
405
1.677
7.658
79.168
72.561
Accrued interest income
7.210
11.402
Accrued other income
2.774
3.761
Accrued assets related to transactions
52.187
33.442
Other
16.997
23.956
Closing balance as at December 31
79.168
72.561
Purchase subsidiary
Additions
Disposal
Purchase subsidiary
Disposal
Accumulated depreciation as at 31 December
Software is amortised in 3 years.
9. Current tax assets
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.
10. Defered tax assets
The deferred tax asset refers to the tax effect of a different valuation of assets and
liabilities under local tax laws compared to the IFRS valuation
11. Other assets
The table below shows the components of Other assets at 31 December:
For the details on the income tax receivable we refer to the Current and deferred tax liability item.
48 <
2010
2009
4.711.652
5.531.731
4.657.347
5.498.744
Other contingent assets
54.305
32.987
Total contingent assets
4.711.652
5.531.731
12. Contingent Assets
The contingent assets consist of the following:
Securities lending
Contigent 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.
LIABILITIES
>
49
2010
2009
13.327.968
12.479.206
2.377.125
2.444.691
10.950.843
9.748.728
-
285.787
13.327.968
12.479.206
2.073.302
2.094.127
Time deposits due to banks ABN AMRO Group
10.949.749
9.743.823
Total ABN AMRO Group companies
13.023.051
11.837.950
303.823
350.564
1.094
4.905
-
285.787
304.917
641.256
13.327.968
12.479.206
4.378.749
6.240.293
3.499.816
2.366.604
691.109
3.456.899
1.467
761
42.190
192.621
144.167
223.408
4.378.749
6.240.293
9.450
249.298
Time deposits due to customers ABN AMRO Group
690.937
3.456.774
700.387
3.706.072
13. Due to banks
The table below shows the components of due to banks at 31 December:
Demand deposits due to banks
Time deposits due to banks
Of the due to banks item the following amounts were with:
Demand deposits due to banks ABN AMRO Group
Demand deposits due to third party banks
Time deposits due to third party banks
Cash Collateral related to securities lending transactions to third party banks
Total third party banks
Contractual terms of deposits held by banks
In 2010 a total amount of 1.130.644 (x EUR 1.000) has a maturity of more than 3 months
of which 14.628 (x EUR 1.000) more than one year.
14. Due to customers
The components of due to customers at 31 December are as follows:
Demand deposits due to customers
Time deposits due to customers
Reverse repurchase agreements
Other borrowings
Other borrowings mostly relate to margin accounts.
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
50 <
2010
2009
700.387
3.706.072
3.490.366
2.117.306
172
125
1.467
761
42.190
192.621
144.167
223.408
Total third party customers
3.678.362
2.534.221
4.378.749
6.240.293
12.794
103.534
Over the counter (OTC)
4.985
98.775
Other trading liabilities
7.809
4.759
Total trading liabilities
12.794
103.534
13.223
28.384
Demand deposits due to customers third party
Time deposits due to customers third party
Reverse repurchase agreements
Cash collateral related to securities lending transactions
Other borrowings
In 2010 a total amount of 39.063 (x EUR 1.000) has a maturity of more than 3 months of which
38.603 (x EUR 1.000) more than one year.
15. Trading liabilities
The trading liabilities consist of the following:
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’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 EUR 322 million as per 31 December
2010 and EUR 1.345 million as per 31 December 2009.
Other trading liabilities consists of trading portfolios, which is a result of the closeout
netting of defaulted client trading portfolios. These portfolios are managed by
ABN AMRO Clearing Bank N.V. and will be liquidated in due course.
16. Current tax liabilities
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.
Therfore, at year-end the full amount of tax is still considered to be paid at the level of the entities.
17. Deferred tax liabilities
>
51
2010
2009
3.674
4.238
3.674
3.291
-
947
3.674
4.238
The deferred tax liabilities are related to:
Investments AFS
Net investment hedge branch London
Total deferred tax liabilities
In AACB London branch, we own equity investments in the exchanges (LCH, LME, ICE).
These investments will be taxed upon on a realisation basis. The deferred tax liability of 3.674 (x EUR 1.000)
reflects the tax effect of an upward re-valuation of the AFS investments in the annual accounts.
Taxation will be come due on the potential capital gain when the asset is disposed of.
The deferred tax liability over the net investment hedge is transferred to current tax. This is based on
an agreement concluded between Central Tax Department of ABN AMRO Bank N.V. and the Dutch tax
authorities to report the effect on the Net Investment Hedge in taxable income in the respective year.
In 2009 and 2010 the Tax rate in the Netherlands was 25,5%. Deferred tax liabilities at 31 December 2010
in the Netherlands are reported against 25%, the enacted tax rate.
There were no write-downs of deferred tax liabilities during 2009 or 2010.
18. Accrued interest, expenses and other liabilities
803.360
705.888
Accrued interest charges
14.675
17.034
Accrued other charges
52.629
38.960
2.945
3.140
Payables related to securities transactions
348.569
271.362
Payables related to hedge instruments
347.685
313.036
7.400
6.796
29.457
55.560
803.360
705.888
As at 31 December the composition of accrued interest and other liabilities is as
follows:
Defined benefit obligations
Accounts payable
Other
ABN AMRO Clearing Bank N.V. is operating a defined benefit pension plan for some
employees in Germany. This plan is closed to new employees and none of the employees
entitled to benefits of the plan is 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.
52 <
2010
2009
3.140
2.996
The following table reflects the changes in net-pension liabilities:
Defined benefit liability as at 1 January
Total defined benefit expense
Contributions received
(17)*
311
-
-
Benefits paid
(178)
(167)
Defined benefit liability as at 31 December
2.945
3.140
3.140
2.996
-
-
Unrecognised actuarial loss
(195)
144
Defined benefit liability as at 31 December
2.945
3.140
German Government Fixed Interest 10-year bond
2,61%
3,10%
German Government Fixed Interest 30-year bond
3,15%
3,89%
iBoxx 10 yr+ Annual AA Allstock Corporate Bond index
4,45%
4,97%
Discount rate
5,30%*
5,00%
Future Pension increases
2,00%
2,00%
n/a
n/a
* This amount comprises an adjustment for previous year of 161 (x EUR 1.000).
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 unfunded obligations
Fair value of plan assets
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 EUR 301.200
(2009 EUR 314.000).
Economic assumptions
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.
The assumptions for pension cost purposes are:
Salary increase rate
* The discount rate of 5,30% has been advise by the German Central Bank and is used by all
ABN AMRO entities in Germany. The German Central Bank rate is based on a average rate of the
last seven years.
Defined contribution plans
ABN 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 contributions plans amounted to
EUR 1.467 in 2010 (2009: EUR 1.143) and are included in Staff expenses. Defined contribution plans
with guaranteed interest are accounted for and represented as defined contribution plans, since
no material provisions are expected.
>
53
2010
2009
3.044
1.263
Opening balance as at 1 January
1.263
168
Additions for the period
1.788
1.101
(7)
(6)
3.044
1.263
643.255
549.652
19. Provisions
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:
Release for the period
20. Shareholders Equity
Issued and paid-up share capital of ABN AMRO Clearing Bank N.V. was not changed in the year 2010.
Authorised share capital amounts to EUR 50.000.000 distributed over 50.000 shares each having a
nominal value of 1.000. Of this authorised share capital, 15.000 stocks were issued and paid up against
a nominal value of 1.000. At year-end 2010, all shares were held by ABN AMRO Bank N.V.
Share capital
15.000
15.000
537.607
427.067
8.177
(1.152)
82.471
108.737
643.255
549.652
Gross unrealised gains investments AFS
12.564
11.637
Related tax
(3.438)
(3.291)
(59.299)
(17.196)
Related tax
15.122
4.385
Unrealised currency translation differences Gross
43.228
3.313
8.177
(1.152)
Unrealised gains as at 1 January
(1.152)
(3.288)
Unrealised gain during the year
(29.692)
(11.285)
39.021
13.421
8.177
(1.152)
Retained earnings
Result of the year
Shareholders’ equity
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 unrealised gains investments NIH
Unrealised gains as at 31 December
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 currency translation differences
Unrealised gains as at 31 December
54 <
21. Minority Interest
2010
2009
4.230
3.365
7.121.217
10.911.195
6.817.831
9.680.163
-
11.100
303.386
1.219.932
7.121.217
10.911.195
281.682
1.199.833
21.704
20.099
303.386
1.219.932
The minority Interest 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.
22. Contingent Liabilties
The contingent liabilities consist of the following:
Securities borrowing
Provision
Guarantees
Total contingent liabilities
Contigent 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.).
The provision relates to a possible claim with respect to the settlement of cash received from
a money manager company, which went into bankruptcy in 2007 (conform legal procedures in
other informations).
The guarantees have been given to third parties and are devided as follow:
Guarantees given to subsidiairies in need of third parties
Guarantees given to Exchanges in need of clients
Total Guarantees
>
55
Notes to the income statement
for the year 2010
(x EUR 1.000)
2010
2009
23. Net interest income
54.817
52.337
Interest income
227.321
379.726
Interest expense
(172.504)
(327.389)
54.817
52.337
Interest income ABN AMRO Group companies
102.407
178.650
Interest income third party customers/banks
124.914
201.076
Total interest income
227.321
379.726
(131.103)
(212.509)
(41.401)
(114.880)
(172.504)
(327.389)
918
2.025
64
9.243
(625)
(1.335)
(751)
217
Hedge ineffectiveness
(325)
(1.552)
451
-
(625)
(1.335)
This item includes interest income and interest expense from banks and customers.
Net interest income
Of the Interest income item the following amounts were with:
Interest expense ABN AMRO Group companies
Interest expense third party customers/banks
Total interest expense
24. Dividend and other investment income
This item consist of dividends received relating to the investments available for sale.
25. Realised capital gains on investments
The item of 2009 consist mainly the sale of shares and an equity investment by subsidiary
ABN AMRO Clearing Bank Chicago LLC.
26. Other unrealised gains and losses
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:
Fair value difference derivatives
Other unrealised gains and losses
56 <
2010
2009
168.092
115.162
Commission income
603.327
339.134
Commission expense
(435.235)
(223.972)
168.092
115.162
(837)
(1.160)
169.601
116.456
(672)
(134)
168.092
115.162
Net commissions and fees ABN AMRO Group companies
(13.785)
(13.578)
Net commissions and fees third party customers/banks
181.877
128.740
168.092
115.162
2.530
26.880
-
25.328
Non-recurring income relating to operational activities
2.530
1.552
Other income
2.530
26.880
29. Change in provisions for impairment
2.185
7.041
(43.341)
(27.028)
(35.032)
(21.933)
Social security charges
(3.799)
(2.065)
Pension expenses
(1.467)
(1.143)
Other
(3.043)
(1.887)
(43.341)
(27.028)
27. Net commissions and fees
The commissions and fees item can be broken down as follows:
The components of net fee and commission are:
Net commissions payment services
Net commissions securities
Net commissions other
Of the net commissions and fees item the following amounts were with:
28. Other income
Negative goodwill relating to the purchase of subsidiary Fortis Clearing Americas LLC
For details on the impairments we refer to the Due from customers and due from banks items in
the balance sheet.
In 2010 a part of loans written off in 2007 was recovered in the amount of 1.995 (x EUR 1.000)
in relation to a debt recovery agreement. A loan amount of 323 (x EUR 1.000) was written off in 2010.
30. Staff expenses
Staff expenses may be specified as follows:
Salaries and wages
Staff expenses
The pension expenses relate to the defined contribution plan in London and the defined benefit plan in Frankfurt.
The remuneration to the Board of Directors in 2010 was nil (2009: nil). Also the remuneration to Supervisory Board members in
2010 was nil (2009: 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.
2010
>
57
2009
The average number of FTEs related to staff expenses: -*
Netherlands
-
United Kingdom
90
71
Germany
29
25
Belgium
11
9
Singapore
26
22
8
4
Australia
38
32
Hong Kong
16
13
United States
137
117
Total
355
293
Japan
* The majority of 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 EUR 6,4 million before tax (after tax EUR 4,8 million). In 2009 the total amount was
EUR 6,5 million before tax (after tax EUR 4,9 million).
31. Depreciation expenses and amortisation of (in)tangible assets
(5.382)
(3.393)
Leasehold improvements – depreciation
(294)
(241)
Equipment – depreciation
(246)
(171)
(4.090)
(2.589)
(752)
(393)
(5.382)
(3.393)
(58.866)
(45.243)
(5.775)
(3.880)
(13.534)
(10.351)
Professional fees
(8.062)
(6.908)
External staff
(5.976)
(3.040)
Traveling expenses
(2.122)
(1.236)
Recharges from ABN AMRO Clearing Group companies*
(13.080)
(11.048)
Other
(10.317)
(8.779)
Other operating and administrative expenses
(58.866)
(45.243)
This item refers to the depreciation and amortisation of equipment and software in
Germany, Singapore, Japan, Hong Kong, Australia and United States.
IT equipment – depreciation
Purchased software - Amortisation
32. Other operating and administrative expenses
Other operating and administrative expenses can be broken down as follows:
Rental expenses and related expenses
Technology and system costs
* Centralised services e.g. information technology, facilities and corporate overhead
The parent company does not charge ABN AMRO Clearing Bank N.V. for operating expenses and centralised services in
Amsterdam. The total amount is EUR 19,0 million before tax (after tax EUR 14,2 million). In 2009 the total amount was EUR 18,8 million
before tax (after tax EUR 14,0 million). The services include information technology (e.g. hardware, software, computer specialists),
facilities and corporate overhead.
58 <
2010
2009
(35.531)
(25.427)
(32.914)
(31.629)
341
1.166
(2.958)
5.036
(35.531)
(25.427)
Profit before taxation
120.392
135.689
Effective tax rate
29,51%
18,74%
Weighted applicable tax rate
27,34%
26,45%
32.914
35.890
2.630
(5.036)
Participation exemption on capital gain
-
(8.814)
US Tax expense relating to acquisition
-
3.059
(13)
328
Actual income tax expenses
35.531
25.427
34. Minority Interest
(2.390)
(1.525)
33. Taxation
The details of the current and deferred income tax expense are presented below:
Current tax expenses for the current period
Deferred tax
Adjustment recognised in the period for current tax of prior periods
Total income tax expenses
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.
Expected income tax expense
Decrease in taxes resulting from:
Adjustments for current tax of prior period
Other
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.
>
59
legal procedures
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 the Company,
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. The Company 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 the Company. The Complaint
also includes a claim for money the Company received
shortly before Sentinel filed for bankruptcy in the amount
of $4,000,399. Management of the Company, 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.
The Company 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.
60 <
company financial statements
for the year 2010
>
61
company balance sheet
as at 31 December 2010
2010
2009
3.282.606
9.434.022
Due from banks
2.912.819
3.225.450
10.523.320
4.988.887
5.037
91.763
42.735
25.686
341.847
302.263
4.201
660.642
Property and equipment
4.213
3.617
149
248
Other assets
69.634
39.534
Total assets
17.186.561
18.772.112
4.711.652
5.531.731
13.230.597
12.064.377
Due to customers
2.868.833
5.523.341
Trading Liabilities
12.794
103.534
Current and deferred tax liabilities
14.757
26.688
416.318
504.506
7
14
16.543.306
18.222.460
15.000
15.000
528.564
419.829
17.220
6.086
Result of the year
82.471
108.737
643.255
549.652
17.186.561
18.772.112
7.133.171
10.911.195
Assets
Due from customers
Trading assets
Participating interest in group companies
Intangible assets
Contingent Assets
Liabilities
Due to banks
Accrued interest, expenses and other liabilities
Provisions
Total liabilities
Shareholders’ equity
Share capital
Retained earnings
Total Equity
Total Liabilities and Shareholders’ equity
Contigent Liabilities
62 <
company income statement
for the period ended 31 december 2010
(x EUR 1.000)
2010
2009
Result from participating interests after tax
30.978
9.096
Other result after taxes
51.493
99.641
Net profit attributable to shareholders
82.471
108.737
>
63
notes to the company financial statements
for the year 2010
General
of the result (hereinafter referred to as principles for
ABN AMRO Clearing’s company financial statements
recognition and measurement) of the Company Finan-
have been prepared in accordance with Title 9, Book 2 of
cial Statements of ABN AMRO Clearing Bank N.V. are
the Netherlands Civil Code, applying the same accoun-
the same of those applied for the Consolidated IFRS
ting policies as for the consolidated financial statements.
Financial Statements. Participating interests, over which
significant influence is exercised, are stated on the basis
Principles for the measurement of assets and
liabilities and the determination of the result
of the equity method. The Consolidated IFRS Financial
For setting the principles for the recognition and measu-
down by the International Accounting Standards Board
rement of assets and liabilities and determination of the
and adopted by the European Union.
Statements are prepared according to the standards laid
result for its Company Financial Statements, ABN AMRO
Clearing Bank N.V. makes use of the option provided in
See the notes to the consolidated balance sheet and
section 2:362(8) of the Netherlands Civil Code. By making
income statement for items, which are not explained.
use of the option reconciliation is maintained between
the Consolidated and the Company shareholders’ equity.
In the separate profit and loss account of ABN AMRO
This means that the principles for the recognition and
Clearing Bank N.V. the exemption referred to in Section
measurement of assets and liabilities and determination
402 of Book 2 of the Dutch Civil Code has been applied.
Participating interest in group companies
2010
2009
341.847
302.263
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.
The movements in the participating interest in group companies, which are valued at net equity value, were as follows:
Balance as at 1 January
302.263
188.795
-
116.896
Increase of capital
(19.144)
3.705
Dividend paid out
(5.106)
(31.219)
Exchange differences
32.856
16.750
-
(1.760)
30.978
9.096
341.847
302.263
Acquisition (transfer)
Sale of shares
Result for the year
Balance as at 31 December
64 <
The following table shows the details of the investments to be consolidated:
Entitlements
Currency
Shareholders’
equity 2010
Net result
2010
Shareholders’
equity 2010
in EUR
(x 1.000)
(x 1.000)
(x 1.000)
100%
USD
182.504
15.706
136.354
ABN AMRO Clearing Sydney Pte. Ltd
100%
AUD
121.832
10.230
92.513
ABN AMRO Clearing (Options) Hong Kong Ltd
100%
HKD
703.067
119.123
67.582
ABN AMRO Clearing Shoken Kabushiki
Kaisha
100%
JPY
2.939.906
(850.489)
27.000
ABN AMRO Clearing Singapore Pte
100%
SGD
7.100
(282)
4.137
77%
EURO
14.160
2.894
14.160
100%
EURO
101
-
101
European Multilateral Clearing Facility N.V.
OCA POM B.V.
341.847
Movements in shareholders equity
2010
(x EUR 1.000)
Share
capital
Retained
earnings
Unrealised
gains and
losses
Result
of the year
Total Equity
15.000
419.829
6.086
108.737
549.652
(108.737)
-
108.737
Result for the year
Closing balance as at December
1.267
1.267
(30.698)
(30.698)
40.563
40.563
15.000
528.566
17.218
82.471
82.471
82.471
643.255
2009
(x EUR 1.000)
Share
capital
Retained
earnings
Unrealised
gains and
losses
Result
of the year
Total Equity
15.000
340.157
763
79.672
435.592
(79.672)
-
79.672
3.495
3.495
(265)
(265)
2.093
2.093
Result for the year
Closing balance as at December
15.000
419.829
6.086
108.737
108.737
108.737
549.652
>
65
aquisitions
There were no material acquisitions made in 2010 by
ABN AMRO Clearing Bank N.V:
Executive Board
M.C. Jongmans
J.B.M. de Boer
A.P. Boers
66 <
other information
independent auditor’s report
Report on the financial statements
financial statements are free from material misstatement.
An audit involves performing procedures to obtain audit
evidence about the amounts and disclosures in the
financial statements. The procedures selected depend
We have audited the accompanying financial statements
on the auditor’s judgment, including the assessment
2010 of ABN AMRO Clearing Bank N.V., Amsterdam.
of the risks of material misstatement of the financial
The financial statements include the consolidated financial
statements, whether due to fraud or error. In making
statements and the company financial statements.
those risk assessments, the auditor considers internal
The consolidated financial statements comprise the
control relevant to the entity’s preparation and fair
consolidated statement of financial position as at 31
presentation of the financial statements in order to
December 2010, the consolidated statements of com-
design audit procedures that are appropriate in the
prehensive income, changes in equity and cash flows for
circumstances, but not for the purpose of expressing an
the year then ended, and notes, comprising a summary
opinion on the effectiveness of the entity’s internal control.
of the significant accounting policies and other expla-
An audit also includes evaluating the appropriateness
natory information. The company financial statements
of accounting policies used and the reasonableness of
comprise the company balance sheet as at 31 December
accounting estimates made by management, as well
2010, the company profit and loss account for the year
as evaluating the overall presentation of the financial
then ended and the notes, comprising a summary of the
statements.
accounting policies and other explanatory information.
We believe that the audit evidence we have obtained is
Management’s responsibility
sufficient and appropriate to provide a basis for our audit
Management is responsible for the preparation and fair
opinion.
presentation of the financial statements in accordance
adopted by the European Union and with Part 9 of Book 2
Opinion with respect to the consolidated
financial statements
of the Netherlands Civil Code, and for the preparation
In our opinion, the consolidated financial statements
of the report by the Executive Board in accordance with
give a true and fair view of the financial position of
Part 9 of Book 2 of the Netherlands Civil Code.
ABN AMRO Clearing Bank N.V. as at 31 December 2010
Furthermore, management is responsible for such internal
and of its result and its cash flows for the year then ended
control as it determines is necessary to enable the
in accordance with International Financial Reporting
preparation of the financial statements that are free from
Standards as adopted by the European Union and with
material misstatement, whether due to fraud or error.
Part 9 of Book 2 of the Netherlands Civil Code.
Auditor’s responsibility
Our responsibility is to express an opinion on these
Opinion with respect to the company financial
statements
financial statements based on our audit. We conducted
In our opinion, the company financial statements give a
our audit in accordance with Dutch law, including the
true and fair view of the financial position of ABN AMRO
Dutch Standards on Auditing. This requires that we comply
Clearing Bank N.V. as at 31 December 2010 and of its
with ethical requirements and plan and perform the
result for the year then ended in accordance with Part 9
audit to obtain reasonable assurance about whether the
of Book 2 of the Netherlands Civil Code.
with International Financial Reporting Standards as
Report on other legal and regulatory
requirements
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 Management
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.
KPMG ACCOUNTANTS N.V.
M.A. Hogeboom RA
>
67
68 <
Post-balance sheet date events
No post-balance sheet date events were identified
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.
The Board of Directors proposes to add the net profit for
2010 totalling EUR 82,5 million to the retained earnings.
To the Executive Board and Supervisory Board of
>
69
70 <
>
71
Gustav Mahlerlaan 10
1082 PP Amsterdam
Mailing address:
P.O. Box 243
1000 AE Amsterdam
abnamroclearing.com

ABN AMRO Clearing Bank N.V.

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