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Fitch Rates ABN AMRO's AT1 Notes 'BB+'
September 28, 2017 / 5:02 PM / in 19 days

Fitch Rates ABN AMRO's AT1 Notes 'BB+'

(The following statement was released by the rating agency) LONDON, September 28 (Fitch) Fitch Ratings has assigned ABN AMRO Bank N.V.'s (A+/Stable/a) EUR1 billion additional Tier 1 (AT1) notes a final long-term rating of 'BB+'. The notes pay a semi annual fixed coupon of 4.75% in the first 10 years. KEY RATING DRIVERS The notes are CRD IV-compliant undated, deeply subordinated, fixed-rate resettable AT1 debt securities. The notes have fully discretionary non-cumulative coupon payments and are subject to partial or full write-down if ABN AMRO Group's consolidated common equity Tier 1 (CET1) ratio falls below 7% or ABN AMRO Bank's standalone CET1 ratio falls below 5.125%. The write-down could be reversed under certain conditions and at the discretion of the bank. The rating is five notches below ABN AMRO Bank's Viability Rating (VR) of 'a'. This reflects two notches for loss severity in light of the notes' deep subordination and three notches for additional non-performance risk relative to the VR given a high write-down trigger and fully discretionary coupons. Fitch expects the non-payment of interest on this instrument will occur when the bank's CET1 ratio approaches its Supervisory Review and Evaluation Process requirement set at 9% for 2017. ABN AMRO Group's consolidated phased-in CET1 ratio (where the 7% conversion trigger applies) was 17.7% (fully-loaded CET1 ratio of 17.6%) at end-June 2017. Given ABN AMRO's group's solid capital ratios, which provide a buffer over the conversion and the expected coupon omission triggers, and Fitch's expectations for their evolution, we have limited the notching for non-performance to three notches. RATING SENSITIVITIES The rating of the notes is sensitive to changes of ABN AMRO Bank's VR. The latter is sensitive to a material deterioration in the bank's earnings generation or asset quality, affecting its capital or access to/cost of wholesale funding. The notes' rating is also sensitive to changes in Fitch's assessment of their non-performance risk relative to that captured in the bank's VR. Date of the relevant committee: 23 February 2017 Contact: Primary Analyst Bjorn Norrman Senior Director +44 20 3530 1330 Fitch Ratings Limited 30 North Colonnade London E14 5GN Secondary Analyst Konstantin Yakimovich Director +44 20 3530 1789 Committee Chairperson Olivia Perney Guillot Senior Director +33 144 299 174 Media Relations: Peter Fitzpatrick, London, Tel: +44 20 3530 1103, Email: peter.fitzpatrick@fitchratings.com. 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Users of Fitch’s ratings and reports should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings and forecasts can be affected by future events or conditions that were not anticipated at the time a rating or forecast was issued or affirmed. The information in this report is provided “as is” without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. 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