Pillar 3 Report

Second quarter 2020

ABN AMRO Bank N.V.

2 > Table of Contents Table of Contents

Table of Contents

Notes to the reader

4

Covid-19 related disclosures

5

Template 1: Information on loans and advances subject to legislative and non-legislative moratoria

5

Template 2: Breakdown of loans and advances subject to legislative and non-legislative moratoria by residual

maturity of moratoria

6

Template 3: Information on newly originated loans and advances provided under newly applicable public

guarantee schemes introduced in response to COVID-19 crisis

7

Own funds

8

Capital instruments' main features

8

Own funds

15

Leverage ratio

18

Capital requirements

21

EU OV1 - Overview of RWAs

21

EU CR10 - IRB (equities)

22

Credit risk and credit risk mitigation - general information

23

EU CR1-A - Credit quality of exposures by exposure class and instrument

23

EU CR1-B - Credit quality of exposures by industry or counterparty type

24

EU CR1-C - Credit quality of exposures by geography

25

Template 1: Credit quality of forborne exposures

26

Template 3: Credit quality of performing and non-performing exposures by past due days

28

Template 4: Performing and non-performing exposures and related provisions

32

Template 9: Collateral obtained by taking possession and execution processes

36

EU CR2-A - Changes in the stock of general and specific credit risk adjustments

36

EU CR2-B - Changes in the stock of defaulted and impaired loans and debt securities

37

EU CR3 - CRM techniques - Overview

37

Credit risk and credit risk mitigation - Standardised Approach

38

EU CR4 - Standardised Approach - Credit risk exposure and CRM effects

38

EU CR5 - Standardised Approach - Exposures post CCF and CRM

40

Credit risk and credit risk mitigation - IRB approach

42

EU CR6 - IRB approach - Credit risk exposures by exposure class and PD range

42

EU CR8 - RWA flow statements of credit risk exposures under the IRB approach

44

ABN AMRO Bank Pillar 3 Report second quarter 2020

3 > Table of Contents Table of Contents

Counterparty credit risk

45

EU CCR1 - Analysis of CCR exposure by approach

45

EU CCR2 - CVA capital charge

46

EU CCR8 - Exposures to CCPs

46

EU CCR3 - Standardised Approach - CCR exposures by regulatory portfolio and risk

47

EU CCR4 - IRB approach - CCR exposures by portfolio and PD scale

48

EU CCR5-A - Impact of netting and collateral held on exposure values

49

EU CCR5-B - Composition of collateral for exposures to CCR

50

EU CCR6 - Credit derivatives exposures

50

Market risk

51

EU MR1 - Market risk under the Standardised Approach

51

EU MR2-A - Market risk under the IMA

51

EU MR2-B - RWA flow statements of market risk exposures under the IMA

52

EU MR3 - IMA values for trading portfolios

53

EU MR4 - Comparison of VaR estimates with gains/losses

53

Encumbered Assets

54

Disclaimer & cautionary statements

57

ABN AMRO Bank Pillar 3 Report second quarter 2020

4 > Introduction > Notes to the reader

Notes to the reader

This Pillar 3 Report provides the consolidated disclosures of ABN AMRO Bank N.V. required by Capital Requirements Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms (Part Eight) and the EBA Guidelines on disclosure requirements under Part Eight of Regulation (EU) No 575/2013. The second-quarter Pillar 3 includes the required semi-annual disclosures and should be read in conjunction with the ABN AMRO Bank N.V. Pillar 3 2019 Report, which provides more comprehensive information about risk, funding and capital management. The templates included in this Pillar 3 Report have been prepared in accordance with the abovementioned regulations and guidelines.

Presentation of information

This report is presented in euros (EUR), which is ABN AMRO's functional and presentation currency, rounded to the nearest million (unless otherwise stated). Certain figures in this report may not tally exactly due to rounding. Furthermore, certain percentages in this document have been calculated using rounded figures. The figures in the Pillar 3 Report are based on phased-in figures. The figures presented in this document are not required to be, nor have they been audited or reviewed by our external auditor.

Pillar 3 disclosure templates

The following templates are identified to be not applicable to ABN AMRO and are therefore not included in this report:

  • Template 6 of EBA PIII Guideline "EU INS1 - Non-deducted participations in insurance undertakings" is not applicable, as ABN AMRO does not apply the option in CRR article 49.1 of not deducting investments in insurance subsidiaries from regulatory capital. Instead, we record investments in insurance subsidiaries under significant investments as per CRR article 48.
  • Template 30 of EBA Guidelines "EU CCR7 - RWA flow statements of CCR exposures under the IMM" does not apply to ABN AMRO as we do not use the IMM methodology for measuring the EAD for counterparty credit risk exposures. Instead, we use the CEM method (CRR 274) to calculate the EAD for derivatives and the FCCM method for securities financing transactions (CRR 220/222). Template 30 is therefore not disclosed in this report.
  • Template 22 of EBA Pillar III guideline "EU CR7 - IRB approach - Effect on the RWA of credit derivatives used as CRM techniques" relates to credit derivatives in relation to RWA. ABN AMRO does not typically secure its credit exposure by credit derivatives to manage RWA and hence this disclosure is not applicable.
  • EU CR10 - IRB (specialised lending). ABN AMRO does not apply the approach prescribed by CRR 153.5 (specialised lending slotting criteria approach).

New regulation to be implemented

In June 2020, EBA published the final draft of Implementing Technical Standards (ITS) on institutions' public disclosures as per its mandate under Article 434 of the CRR2 to introduce uniform formats and associated instructions for disclosure requirements in order to optimise the Pillar 3 policy framework.

The new ITS aims to reinforce market discipline, by increasing consistency and comparability of institutions' public disclosures, and to implement the CRR2 regulatory changes in alignment with the revised Basel Pillar 3 standards. These requirements will introduce a comprehensive set of disclosure templates, tables and related instructions in order to ensure alignment and consistency with the Basel Committee's updated Pillar 3 framework.

New disclosure requirements will mostly be taking effect from June 2021. ABN AMRO is currently assessing the impact of ITS disclosure on its Pillar 3 Report.

Covid-19 impact update

In June 2020, EBA published the "Guidelines on reporting and disclosure of exposures subject to measures applied in response to the Covid-19 crisis". These additional reporting and disclosure requirements were introduced, on a temporary basis, for the application of the payment moratoria, forbearance measures applied in response to Covid-19 to the existing loans and public guarantees to new lending in response to the Covid-19 pandemic.

ABN AMRO Bank Pillar 3 Report second quarter 2020

5 > Pillar 3 > Covid-19 related disclosures

Covid-19 related disclosures

This chapter provides more details on the EBA-compliant moratoria and Covid-19 related credit facilities under public guarantee schemes. It also describes how these measures affect credit risk measurement.

Template 1: Information on loans and advances subject to legislative and non-legislative moratoria

30 June 2020

Gross carrying amount

Of which: instruments

Of which:

Of which: ex-

with significant

Of which: ex-

unlikely to

increase in credit risk

pay that are

posures with

since initial recognition

Non perfor-

posures with

not past-due

forbearance

but not credit-impaired

forbearance

or past-due ≤

(in millions)

Performing

measures

(Stage 2)

ming

measures

90 days

1

Loans and advances subject to moratorium

17,772

744

6,867

385

176

350

2

Of which: households

2,612

50

894

31

4

28

3

- of which collateralised by residential

immovable property

574

13

199

6

1

6

4

Of which: non-financial corporations

15,010

691

5,964

354

172

322

5

- of which SMEs

5,177

199

2,290

89

18

66

6

- of which collateralised by commercial

immovable property

9,612

527

3,984

152

64

145

30 June 2020

Gross carrying

Accumulated impairment, accumulated negative changes in fair value due to credit risk

amount

Of which:

instruments with

significant increase

Of which: ex- in credit risk since

Of which: ex- Of which: unlikely

posures with

initial recognition

Non perfor-

posures with

to pay that are not

Inflows to

forbearance

but not credit-im-

forbearance

past-due or past-

non-performing

(in millions)

Performing

measures

paired (Stage 2)

ming

measures

due ≤ 90 days

exposures

1 Loans and advances sub-

ject to moratorium

-160

-15

-128

-62

-25

-57

370

2

Of which: households

-25

-1

-20

-4

-1

-3

31

3 - of which collateralised by residential immovable

property

-3

-0

-2

-1

-0

-1

6

4

Of which: non-financial

corporations

-134

-14

-108

-58

-24

-55

340

5

- of which SMEs

-60

-5

-50

-19

-7

-16

74

6 - of which collateralised by commercial immovable

property

-70

-9

-56

-19

-13

-18

152

ABN AMRO Bank Pillar 3 Report second quarter 2020

(in millions)
Template 2: Breakdown of loans and advances subject to legislative and non-legislativemoratoria by residual maturity of moratoria
74,026 18,156
30 June 2020
Gross Of which: OfResidual maturity of moratoria
Number of carrying legislative which:> 3 months > 6 months > 9 months obligors amount moratoria expired ≤ 3 months ≤ 6 months ≤ 9 months ≤ 12 months > 1 year

6 > Pillar 3 > Covid-19 related disclosures

1 Loans and advances for which

moratorium was offered

2

Loans and advances subject

to moratorium (granted)

74,026 18,156

207

301

17,855

3

Of which: households

2,643

2,643

4

- of which collateralised by residential

immovable property

580

580

5

Of which: non-financial corporations

15,364

207

301

15,063

6

- of which SMEs

5,266

70

5,196

7

- of which collateralised by commercial

immovable property

9,764

2

9,763

The main programme that was started on 1 April 2020 is an automatic (opt-out) deferral for 6 months for corporate clients with a credit limit up to EUR 50 million within the business lines Commercial Banking and Retail Banking. Interest is charged on suspended payments of notional, but not on suspended interest payments. Repayment of revolving credit facilities will take place on or before 31 December 2021, but for corporate loans this will be no earlier than at the original maturity date.

Impact of relief measures on credit risk

The objective, scope and conditions of the relief measures co-determine how the regulatory framework should be applied in the context of these relief measures. Where relevant, application of the appropriate risk classification (e.g. forbearance, default or stage shifts) reflects supervisory guidance issued in the recent period.

Use of relief measures in determining SICR

ABN AMRO uses clearly defined triggers, most importantly 'unlikely-to-pay','days-past-due', and 'default', to assess whether a significant increase in credit risk (SICR) applies. Covid-19 and the relief measures we offered to clients illustrate the limitations of determining SICR solely on the basis of predefined triggers. The various regulatory bodies have also indicated that application of classifications (e.g. SICR) should not be based on a purely technical approach. Payment deferrals and moratoria would potentially trigger SICR. ABN AMRO takes the view that opt-out relief measures offered to clients in response to Covid-19 do not automatically indicate a SICR. This assessment is made on a client level. Note that other SICR triggers could still impact the stage and result in a stage transfer for these loans.

Use of relief measures and forbearance

Under the current regulatory framework, the CRR and EBA Guidelines on Payment Moratoria, the opt-out arrangements do not lead to a forbearance classification.

Modification due to relief measures

The relief measures provided by ABN AMRO, including payment moratoria, may result in a modification of the financial asset. The deferred collection of payments without charging compound interest on the delay will have a negative impact on the net present value of the financial asset. If the financial asset is modified, the gross carrying amount of the financial asset is recalculated, based on the net present value of the modified or renegotiated contractual cash flows. It is then discounted at the financial asset's original effective interest rate and accounted for as an adjustment of the financial asset's gross carrying value. The effect is recognised as a modification loss in the income statement. As Covid-19 related relief measures have not resulted in substantial modification, the financial assets have not been derecognised.

ABN AMRO Bank Pillar 3 Report second quarter 2020

7 > Pillar 3 > Covid-19 related disclosures

Template 3: Information on newly originated loans and advances provided under newly applicable public guarantee schemes introduced in response to Covid-19 crisis

30 June 2020

Maximum amount of

the guarantee that

Gross carrying amount

can be considered

Gross carrying amount

Public guarantees

Inflows to non-performing

(in millions)

Of which: forborne

received

exposures

1

Newly originated loans and advances

subject to public guarantee schemes

119

41

102

5

2

Of which: households

2

3 - of which collateralised by residential immovable property

4

Of which: non-financial corporations

116

40

100

5

5

- of which SMEs

50

1

6

- of which collateralised by commercial immovable

property

17

Clients who face short-term financial difficulty due to Covid-19 and that have been performing on their credit facilities can apply for government supported loans based on the terms and conditions set by the local or central government. The guarantee covers a significant amount of the financial asset exposure. In return for the credit guarantee, the client pays a fee to ABN AMRO, which subsequently transfers the fee to the government (the credit guarantor). In the Netherlands these facilities include the SME Credit Guarantee Scheme ("BMKB-C") scheme, the Corporate Finance Guarantee Scheme ("GO-C") and the small credit facility ("Klein Krediet Corona" or KKC) for self-employed individuals. Similar facilities are offered in other countries in which we operate, most notably in France. As many corporate clients of ABN AMRO indicated that the automatic payment deferral provided them sufficient liquidity, the number of applications for additional credit has been relatively limited.

ABN AMRO Bank Pillar 3 Report second quarter 2020

8 > Pillar 3 > Own funds

Own funds

Capital instruments' main features

Common Equity Tier 1

1

Issuer

ABN AMRO Bank N.V.

2

Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement)

NL0011540547

3

Governing law(s) of the instrument

Dutch Law

Regulatory treatment

4

Transitional CRR rules

Common equity tier 1

5

Post-transitional CRR rules

Common equity tier 1

6

Eligible at solo/ (sub-)consolidated/ solo & (sub-) consolidated

Solo & consolidated

7

Instrument type (types to be specified by each jurisdiction)

Ordinary shares A

8

Amount recognised in regulatory capital (in millions, as of most recent reporting date)

EUR 940

9

Nominal amount of instrument (as of most recent reporting date)

EUR 1

9a

Issue price

EUR 17.75; 20.40; 22.75;

23.50

9b

Redemption price

N/A

10

Accounting classification

Equity

11

Original date of issuance

07 July 1905

12

Perpetual or dated

Perpetual

13

Original maturity date

N/A

14

Issuer call subject to prior supervisory approval

N/A

15

Optional call date, contingent call dates, and redemption amount

N/A

16

Subsequent call dates, if applicable

N/A

Coupons / dividends

17

Fixed or floating dividend/coupon

N/A

18

Coupon rate and any related index

N/A

19

Existence of a dividend stopper

N/A

20a

Fully discretionary, partially discretionary or mandatory (in terms of timing)

Fully discretionary

20b

Fully discretionary, partially discretionary or mandatory (in terms of amount)

Fully discretionary

21

Existence of step up or other incentive to redeem

N/A

22

Non-cumulative or cumulative

Non-cumulative

23

Convertible or non-convertible

Non-convertible

24

If convertible, conversion trigger(s)

N/A

25

If convertible, fully or partially

N/A

26

If convertible, conversion rate

N/A

27

If convertible, mandatory or optional conversion

N/A

28

If convertible, specifiy instrument type convertible into

N/A

29

If convertible, specifiy issuer of instrument it converts into

N/A

30

Write-down features

No

31

If write-down,write-down trigger(s)

N/A

32

If write-down, full or partial

N/A

33

If write-down, permanent or temporary

N/A

34

If temporary write-down, description of write-up mechanism

N/A

35

Position in subordination hierachy in liquidation

Junior to Additional

Tier 1

36

Non-compliant transitioned features

No

37

If yes, specifiy non-compliant features

N/A

1. N/A inserted if the question is not applicable

ABN AMRO Bank Pillar 3 Report second quarter 2020

9 > Pillar 3 > Own funds

Additional Tier 1

1

Issuer

ABN AMRO Bank N.V.

ABN AMRO Bank N.V.

ABN AMRO Bank N.V.

2

Unique identifier (eg CUSIP, ISIN or Bloomberg

identifier­

for private placement)

XS1278718686

XS1693822634

XS2131567138

3

Governing law(s) of the instrument

Dutch law

Dutch law

Dutch law

Regulatory treatment

  1. Transitional CRR rules
  2. Post-transitionalCRR rules
  3. Eligible at solo/ (sub-)consolidated/ solo & (sub-) consolidated
  4. Instrument type (types to be specified by each jurisdiction)
  5. Amount recognised in regulatory capital (in millions, as of most recent reporting date)
  6. Nominal amount of instrument (in millions, as of most recent reporting date)

9a Issue price

9b Redemption price

  1. Accounting classification
  2. Original date of issuance
  3. Perpetual or dated
  4. Original maturity date
  5. Issuer call subject to prior supervisory approval
  6. Optional call date, contingent call dates, and redemp- tion amount
  7. Subsequent call dates, if applicable

Coupons / dividends

AdditionalTier 1

AdditionalTier 1

AdditionalTier 1

AdditionalTier 1

AdditionalTier 1

AdditionalTier 1

Solo & consolidated

Solo & consolidated

Solo & consolidated

AT1 EU 575/2013 art

AT1 EU 575/2013 art

AT1 EU 575/2013 art

489.5

489.5

489.5

EUR 994

EUR 994

EUR 993

EUR 1,000

EUR 1,000

EUR 1,000

100%

100%

100%

100%

100%

100%

Equity

Equity

Equity

22 September 2015

10 April 2017

15 June 2020

Perpetual

Perpetual

Perpetual

No maturity

No maturity

No maturity

Yes

Yes

Yes

22 Sept 2020 (100%

22 Sept 2027 (100%

22 Sept 2025 (100%

nominal amount),

nominal amount),

nominal amount),

regulatory & tax call

regulatory & tax call

regulatory & tax call

(prevailing principal

(prevailing principal

(prevailing principal

amount)

amount)

amount)

Callable annually after

Callable on each

Callable on each

first call date

interest payment date

interest payment date

after first call date

after first call date

17

Fixed or floating dividend/coupon

Fixed

Fixed

Fixed

18

Coupon rate and any related index

5.75% per year

4.75% per year

4.375% per year

19

Existence of a dividend stopper

No

No

No

20a

Fully discretionary, partially discretionary or mandatory­

(in terms of timing)

Fully discretionary

Fully discretionary

Fully discretionary

20b

Fully discretionary, partially discretionary or mandatory­

(in terms of amount)

Fully discretionary

Fully discretionary

Fully discretionary

21

Existence of step up or other incentive to redeem

No

No

No

22

Non-cumulative or cumulative

Non-cumulative

Non-cumulative

Non-cumulative

23

Convertible or non-convertible

Non-convertible

Non-convertible

Non-convertible

24

If convertible, conversion trigger(s)

N/A

N/A

N/A

25

If convertible, fully or partially

N/A

N/A

N/A

26

If convertible, conversion rate

N/A

N/A

N/A

27

If convertible, mandatory or optional conversion

N/A

N/A

N/A

28

If convertible, specifiy instrument type convertible into

N/A

N/A

N/A

29

If convertible, specifiy issuer of instrument it converts

N/A

N/A

N/A

into

30

Write-down features

Yes

Yes

Yes

31

If write-down,write-down trigger(s)

7%/5.125% CET1

7%/5.125% CET1

7%/5.125% CET1

32

If write-down, full or partial

Partial

Partial

Partial

33

If write-down, permanent or temporary

Temporary

Temporary

Temporary

34

If temporary write-down, description of write-up

Subject to profit MDA

Subject to profit MDA

Subject to profit MDA

and Max Write up

and Max Write up

and Max Write up

mechanism

Amount

Amount

Amount

35

Position in subordination hierachy in liquidation

Junior toTier 2

Junior toTier 2

Junior toTier 2

36

Non-compliant transitioned features

No

No

No

37

If yes, specifiy non-compliant features

N/A

N/A

N/A

1. N/A inserted if the question is not applicable

ABN AMRO Bank Pillar 3 Report second quarter 2020

10 > Pillar 3 > Own funds

Tier 2

1

Issuer

ABN AMRO Bank N.V.

ABN AMRO Bank N.V.

2

Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement)

XS0619548216

XS0619547838

3

Governing law(s) of the instrument

Dutch law

Dutch law

Regulatory treatment

4

Transitional CRR rules

Tier 2

Tier 2

5

Post-transitional CRR rules

Ineligible

Ineligible

6

Eligible at solo/ (sub-)consolidated/ solo & (sub-) consolidated

Solo & consolidated

Solo & consolidated

7

Instrument type (types to be specified by each jurisdiction)

Tier 2 (grandfathered)

Tier 2 (grandfathered)

EU 575/2013 art 63

EU 575/2013 art 63

8

Amount recognised in regulatory capital (in millions, as of most recent reporting date)

EUR 203

EUR 193

9

Nominal amount of instrument (in millions, as of most recent reporting date)

EUR 1,228

USD 595 (EUR 529)

9a

Issue price

99.603%

99.131%

9b

Redemption price

100%

100%

10

Accounting classification

Liability - amortised

Liability - amortised

cost

cost

11

Original date of issuance

27 April 2011

27 April 2011

12

Perpetual or dated

Dated

Dated

13

Original maturity date

27 April 2021

27 April 2022

14

Issuer call subject to prior supervisory approval

No

No

15

Optional call date, contingent call dates, and redemption amount

Tax call (100% nominal

Tax call (100% nominal

amount)

amount)

16

Subsequent call dates, if applicable

N/A

N/A

Coupons / dividends

17

Fixed or floating dividend/coupon

Fixed

Fixed

18

Coupon rate and any related index

6.375% per year

6.25% per year

19

Existence of a dividend stopper

No

No

20a

Fully discretionary, partially discretionary or mandatory (in terms of timing)

Mandatory

Mandatory

20b

Fully discretionary, partially discretionary or mandatory (in terms of amount)

Mandatory

Mandatory

21

Existence of step up or other incentive to redeem

No

No

22

Non-cumulative or cumulative

N/A

N/A

23

Convertible or non-convertible

Non-convertible

Non-convertible

24

If convertible, conversion trigger(s)

N/A

N/A

25

If convertible, fully or partially

N/A

N/A

26

If convertible, conversion rate

N/A

N/A

27

If convertible, mandatory or optional conversion

N/A

N/A

28

If convertible, specifiy instrument type convertible into

N/A

N/A

29

If convertible, specifiy issuer of instrument it converts into

N/A

N/A

30

Write-down features

No

No

31

If write-down,write-down trigger(s)

N/A

N/A

32

If write-down, full or partial

N/A

N/A

33

If write-down, permanent or temporary

N/A

N/A

34

If temporary write-down, description of write-up mechanism

N/A

N/A

35

Position in subordination hierachy in liquidation

Junior to senior

Junior to senior

unsecured

unsecured

36

Non-compliant transitioned features

No

No

37

If yes, specifiy non-compliant features

N/A

N/A

1. N/A inserted if the question is not applicable

ABN AMRO Bank Pillar 3 Report second quarter 2020

11 > Pillar 3 > Own funds

Tier 2 (continued)

  1. Issuer
  2. Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement)
  3. Governing law(s) of the instrument

Regulatory treatment

ABN AMRO Bank N.V.

ABN AMRO Bank N.V.

00080QAD79 (Cusip

144A) USN0028HAP03

US00080QAF28 /

(ISIN Reg S)

XS1264600310

Dutch law

Dutch law

4

Transitional CRR rules

Tier 2

Tier 2

5

Post-transitional CRR rules

Ineligible

Tier 2

6

Eligible at solo/ (sub-)consolidated/ solo & (sub-) consolidated

Solo & consolidated

Solo & consolidated

7

Instrument type (types to be specified by each jurisdiction)

Tier 2 (grandfathered)

Tier 2 EU 575/2013

EU 575/2013 art 63

art 63

8

Amount recognised in regulatory capital (in millions, as of most recent reporting

date)

EUR 60

EUR 1,328

9

Nominal amount of instrument (in millions, as of most recent reporting date)

USD 113 (EUR 100)

USD 1,500 (EUR 1.333)

9a

Issue price

100%

99.732%

9b

Redemption price

100%

100%

10

Accounting classification

Liability - amortised

Liability - amortised

cost

cost

11

Original date of issuance

30 June 2011

28 July 2015

12

Perpetual or dated

Dated

Dated

13

Original maturity date

15 May 2023

28 July 2025

14

Issuer call subject to prior supervisory approval

No

No

15

Optional call date, contingent call dates, and redemption amount

Tax call (100% nominal

Tax & regulatory

call (100% nominal

amount)

amount)

16

Subsequent call dates, if applicable

N/A

N/A

Coupons / dividends

17

Fixed or floating dividend/coupon

Fixed

Fixed

18

Coupon rate and any related index

7.75% per year

4.75% per year

19

Existence of a dividend stopper

No

No

20a

Fully discretionary, partially discretionary or mandatory (in terms of timing)

Mandatory

Mandatory

20b

Fully discretionary, partially discretionary or mandatory (in terms of amount)

Mandatory

Mandatory

21

Existence of step up or other incentive to redeem

No

No

22

Non-cumulative or cumulative

N/A

N/A

23

Convertible or non-convertible

Non-convertible

Non-convertible

24

If convertible, conversion trigger(s)

N/A

N/A

25

If convertible, fully or partially

N/A

N/A

26

If convertible, conversion rate

N/A

N/A

27

If convertible, mandatory or optional conversion

N/A

N/A

28

If convertible, specifiy instrument type convertible into

N/A

N/A

29

If convertible, specifiy issuer of instrument it converts into

N/A

N/A

30

Write-down features

No

No

31

If write-down,write-down trigger(s)

N/A

N/A

32

If write-down, full or partial

N/A

N/A

33

If write-down, permanent or temporary

N/A

N/A

34

If temporary write-down, description of write-up mechanism

N/A

N/A

35

Position in subordination hierachy in liquidation

Junior to senior

Junior to senior

unsecured

unsecured

36

Non-compliant transitioned features

No

No

37

If yes, specifiy non-compliant features

N/A

N/A

1. N/A inserted if the question is not applicable

ABN AMRO Bank Pillar 3 Report second quarter 2020

12 > Pillar 3 > Own funds

Tier 2(continued)

1

Issuer

ABN AMRO Bank N.V.

ABN AMRO Bank N.V.

2

Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement)

US00084DAL47 /

XS1341466487

XS1392917784

3

Governing law(s) of the instrument

Dutch law

Dutch law

Regulatory treatment

4

Transitional CRR rules

Tier 2

Tier 2

5

Post-transitional CRR rules

Tier 2

Tier 2

6

Eligible at solo/ (sub-)consolidated/ solo & (sub-) consolidated

Solo & consolidated

Solo & consolidated

7

Instrument type (types to be specified by each jurisdiction)

Tier 2 EU 575/2013

Tier 2 EU 575/2013

art 63

art 63

8

Amount recognised in regulatory capital (in millions, as of most recent reporting

date)

EUR 286

EUR 885

9

Nominal amount of instrument (in millions, as of most recent reporting date)

SGD 450 (EUR 287)

USD 1,000 (EUR 889)

9a

Issue price

100%

99.827%

9b

Redemption price

100%

100%

10

Accounting classification

Liability - amortised

Liability - amortised

cost

cost

11

Original date of issuance

01 April 2016

18 April 2016

12

Perpetual or dated

Dated

Dated

13

Original maturity date

01 April 2026

18 April 2026

14

Issuer call subject to prior supervisory approval

Yes

no

15

Optional call date, contingent call dates, and redemption amount

01 April 2021 (100%

nominal amount), tax

Tax & regulatory

& regulatory call (100%

call (100% nominal

nominal amount)

amount)

16

Subsequent call dates, if applicable

N/A

N/A

Coupons / dividends

17

Fixed or floating dividend/coupon

Fixed

Fixed

18

Coupon rate and any related index

4.75% per year

4.8% per year

19

Existence of a dividend stopper

No

No

20a

Fully discretionary, partially discretionary or mandatory (in terms of timing)

Mandatory

Mandatory

20b

Fully discretionary, partially discretionary or mandatory (in terms of amount)

Mandatory

Mandatory

21

Existence of step up or other incentive to redeem

No

No

22

Non-cumulative or cumulative

N/A

N/A

23

Convertible or non-convertible

Non-convertible

Non-convertible

24

If convertible, conversion trigger(s)

N/A

N/A

25

If convertible, fully or partially

N/A

N/A

26

If convertible, conversion rate

N/A

N/A

27

If convertible, mandatory or optional conversion

N/A

N/A

28

If convertible, specifiy instrument type convertible into

N/A

N/A

29

If convertible, specifiy issuer of instrument it converts into

N/A

N/A

30

Write-down features

No

No

31

If write-down,write-down trigger(s)

N/A

N/A

32

If write-down, full or partial

N/A

N/A

33

If write-down, permanent or temporary

N/A

N/A

34

If temporary write-down, description of write-up mechanism

N/A

N/A

35

Position in subordination hierachy in liquidation

Junior to senior

Junior to senior

unsecured

unsecured

36

Non-compliant transitioned features

No

No

37

If yes, specifiy non-compliant features

N/A

N/A

1. N/A inserted if the question is not applicable

ABN AMRO Bank Pillar 3 Report second quarter 2020

13 > Pillar 3 > Own funds

Tier 2 (continued)

1

Issuer

ABN AMRO Bank N.V.

ABN AMRO Bank N.V.

2

Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement)

XS1346254573

XS1586330604

3

Governing law(s) of the instrument

Dutch law

Dutch law

Regulatory treatment

4

Transitional CRR rules

Tier 2

Tier 2

5

Post-transitional CRR rules

Tier 2

Tier 2

6

Eligible at solo/ (sub-)consolidated/ solo & (sub-) consolidated

Solo & consolidated

Solo & consolidated

7

Instrument type (types to be specified by each jurisdiction)

Tier 2 EU 575/2013

Tier 2 EU 575/2013

art 63

art 63

8

Amount recognised in regulatory capital (in millions, as of most recent reporting

date)

EUR 998

EUR 1,329

9

Nominal amount of instrument (in millions, as of most recent reporting date)

EUR 1,000

USD 1,500 (EUR 1,333)

9a

Issue price

99.383%

99.984%

9b

Redemption price

100%

100%

10

Accounting classification

Liability - amortised

Liability - amortised

cost

cost

11

Original date of issuance

18 January 2016

27 March 2017

12

Perpetual or dated

Dated

Dated

13

Original maturity date

18 January 2028

27 March 2028

14

Issuer call subject to prior supervisory approval

Yes

Yes

15

Optional call date, contingent call dates, and redemption amount

18 January 2023 (100%

27 March 2023 (100%

nominal amount), tax

nominal amount), tax

& regulatory call (100%

& regulatory call (100%

nominal amount)

nominal amount)

16

Subsequent call dates, if applicable

N/A

N/A

Coupons / dividends

17

Fixed or floating dividend/coupon

Fixed

Fixed

18

Coupon rate and any related index

2.875% per year

4.4% per year

19

Existence of a dividend stopper

No

No

20a

Fully discretionary, partially discretionary or mandatory (in terms of timing)

Mandatory

Mandatory

20b

Fully discretionary, partially discretionary or mandatory (in terms of amount)

Mandatory

Mandatory

21

Existence of step up or other incentive to redeem

No

No

22

Non-cumulative or cumulative

N/A

N/A

23

Convertible or non-convertible

Non-convertible

Non-convertible

24

If convertible, conversion trigger(s)

N/A

N/A

25

If convertible, fully or partially

N/A

N/A

26

If convertible, conversion rate

N/A

N/A

27

If convertible, mandatory or optional conversion

N/A

N/A

28

If convertible, specifiy instrument type convertible into

N/A

N/A

29

If convertible, specifiy issuer of instrument it converts into

N/A

N/A

30

Write-down features

No

No

31

If write-down,write-down trigger(s)

N/A

N/A

32

If write-down, full or partial

N/A

N/A

33

If write-down, permanent or temporary

N/A

N/A

34

If temporary write-down, description of write-up mechanism

N/A

N/A

35

Position in subordination hierachy in liquidation

Junior to senior

Junior to senior

unsecured

unsecured

36

Non-compliant transitioned features

No

No

37

If yes, specifiy non-compliant features

N/A

N/A

1. N/A inserted if the question is not applicable

ABN AMRO Bank Pillar 3 Report second quarter 2020

14 > Pillar 3 > Own funds

Tier 2 (continued)

1

Issuer

ABN AMRO Bank N.V.

2

Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement)

XS1385037558

3

Governing law(s) of the instrument

Dutch law

Regulatory treatment

4

Transitional CRR rules

Tier 2

5

Post-transitional CRR rules

Tier 2

6

Eligible at solo/ (sub-)consolidated/ solo & (sub-) consolidated

Solo & consolidated

7

Instrument type (types to be specified by each jurisdiction)

Tier 2 EU 575/2013

art 63

8

Amount recognised in regulatory capital (in millions, as of most recent reporting date)

EUR 266

9

Nominal amount of instrument (in millions, as of most recent reporting date)

USD 300 (EUR 267)

9a

Issue price

100%

9b

Redemption price

100%

10

Accounting classification

Liability - amortised

cost

11

Original date of issuance

08 April 2016

12

Perpetual or dated

Dated

13

Original maturity date

08 April 2031

14

Issuer call subject to prior supervisory approval

No

15

Optional call date, contingent call dates, and redemption amount

Tax & regulatory

call (100% nominal

amount)

16

Subsequent call dates, if applicable

N/A

Coupons / dividends

17

Fixed or floating dividend/coupon

Fixed

18

Coupon rate and any related index

5.6% per year

19

Existence of a dividend stopper

No

20a

Fully discretionary, partially discretionary or mandatory (in terms of timing)

Mandatory

20b

Fully discretionary, partially discretionary or mandatory (in terms of amount)

Mandatory

21

Existence of step up or other incentive to redeem

No

22

Non-cumulative or cumulative

N/A

23

Convertible or non-convertible

Non-convertible

24

If convertible, conversion trigger(s)

N/A

25

If convertible, fully or partially

N/A

26

If convertible, conversion rate

N/A

27

If convertible, mandatory or optional conversion

N/A

28

If convertible, specifiy instrument type convertible into

N/A

29

If convertible, specifiy issuer of instrument it converts into

N/A

30

Write-down features

No

31

If write-down,write-down trigger(s)

N/A

32

If write-down, full or partial

N/A

33

If write-down, permanent or temporary

N/A

34

If temporary write-down, description of write-up mechanism

N/A

35

Position in subordination hierachy in liquidation

Junior to senior

unsecured

36

Non-compliant transitioned features

No

37

If yes, specifiy non-compliant features

N/A

1. N/A inserted if the question is not applicable

ABN AMRO Bank Pillar 3 Report second quarter 2020

15 > Pillar 3 > Own funds

Own funds

(in millions)30 June 2020 31 March 2020 31 December 2019

Common Equity Tier 1 (CET1) capital: instruments and reserves

1

Capital instruments and the related share premium accounts

13,910

13,910

13,910

- of which shares

13,910

13,910

13,910

2

Retained earnings

6,271

6,297

4,947

3

Accumulated other comprehensive income (and other reserves)

-1,825

-1,701

-1,419

3a

Funds for general banking risk

  1. Amount of qualifying items referred to in Art. 484 (3) and the related share premium accounts subject to phase-out from CET1
  2. Minority interests (amount allowed in consolidated CET1)

5a

Independently reviewed interim profits net of any foreseeable charge or dividend

-400

-395

1,377

6

Common Equity Tier 1

(CET 1) capital before regulatory adjustments

17,957

18,112

18,815

Common Equity Tier 1

(CET1) capital: regulatory adjustments

7

Additional value adjustments (-)

-39

-136

-48

8

Intangible assets (net of related tax liability) (-)

-132

-165

-171

10

Deferred tax assets that rely on future profitability excluding those arising from

temporary differences (-)

-91

-72

-29

11

Fair value reserves related to gains or losses on cash flow hedges

1,917

1,818

1,648

12

Negative amounts resulting from the calculation of expected loss amounts

-93

  1. Any increase in equity that results from securitised assets (-)
  2. Gains or losses on liabilities valued at fair value resulting from changes in own

credit standing

26

17

39

15

Defined-benefit pension fund assets (-)

16

Direct and indirect holding by an institution of own CET1 instruments (-)

-10

-10

  1. Direct, indirect and synthetic holdings of the CET1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (-)
  2. Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (-)
  3. Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (-)

20a Exposure amount of the following items which qualify for a RW of 1250%, where the institution opts for the deduction alternative

20b - of which qualifying holdings outside the financial sector (-) 20c - of which securitisation positions (-)

20d - of which free deliveries (-)

  1. Deferred tax assets arising from temporary differences (amount above 10% thres- hold, net of related eligible tax liabilities) (-)
  2. Amount exceeding the 15% threshold (-)
  3. - of which direct and indirect holding by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities

25 - of which deferred tax assets arising from temporary differences

25a Losses for the current financial year (-)

25b Foreseeable tax charges relating to CET1 items (-)

26

Additional deductions of CET1 Capital due to Article 3 CRR

-273

-248

-248

27

Qualifying AT1 deductions that exceed the AT1 capital of the institution (-)

28

Total regulatory adjustments to Common Equity Tier 1 (CET1)

1,398

1,204

1,097

29

Common Equity Tier 1 (CET1) capital

19,355

19,315

19,913

ABN AMRO Bank Pillar 3 Report second quarter 2020

16 > Pillar 3 > Own funds

(in millions)30 June 2020 31 March 2020 31 December 2019

Additional Tier 1 (AT1) capital: instruments

30

Capital instruments and the related share premium accounts

2,981

1,988

1,987

31

- of which classified as equity

2,981

1,988

1,987

  1. - of which classified as liabilities
  2. Amount of qualifying items referred to in Art. 484 (4) and the related share premium accounts subject to phase-out from AT1
  3. Qualifying Tier 1 capital included in consolidated AT1 capital (including minority

interests not included in row 5) issued by subsidiaries and held by third parties

2,981

1,988

1,987

35

- of which instruments issued by subsidiaries subject to phase-out

36

Additional Tier 1

(AT1) capital before regulatory adjustments

2,981

1,988

1,987

Additional Tier 1

(AT1) capital: regulatory adjustments

37

Direct and indirect holding by an institution of own AT1 instruments (-)

-5

-5

-5

  1. Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (-)
  2. Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (-)
  3. Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (-)

42

Qualifying T2 deductions that exceed the T2 capital of the institution (-)

43

Total regulatory adjustments to Additional Tier 1 (AT1) capital

-5

-5

-5

44

Additional Tier 1 (AT1) capital

2,976

1,983

1,982

45

Tier 1 capital (T1 = CET1 + AT1)

22,330

21,298

21,895

Tier 2 (T2) capital: instruments and provisions

46

Capital instruments and the related share premium accounts

5,546

7,235

7,253

  1. Amount of qualifying items referred to in Art. 484 (5) and the related share premium accounts subject to phase-out from T2
  2. Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties
  3. - of which instruments issued by subsidiaries subject to phase-out

50

Credit risk adjustments

102

156

51

Tier 2

(T2) capital before regulatory adjustments

5,648

7,391

7,253

Tier 2

(T2) capital: regulatory adjustments

52

Direct and indirect holding by an institution of own T2 instruments and subordinated

loans (-)

-30

-30

-75

  1. Holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (-)
  2. Direct and indirect holdings of the T2 instruments and subordinated loans of finan- cial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (-)
  3. Direct and indirect holdings of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions)(-)

57

Total regulatory adjustments to Tier 2 (T2) capital

-30

-30

-75

58

Tier 2 (T2) capital

5,618

7,361

7,178

59

Total capital (TC = T1 + T2)

27,948

28,659

29,073

60

Total risk weighted assets

112,057

111,704

109,825

ABN AMRO Bank Pillar 3 Report second quarter 2020

17 > Pillar 3 > Own funds

(in millions)

30 June 2020

31 March 2020

31 December 2019

61

Common Equity Tier 1 (as a % of total risk exposure amount)

17.3%

17.3%

18.1%

62

Tier 1 (as a % of total risk exposure amount)

19.9%

19.1%

19.9%

63

Total capital (as a % of total risk exposure amount)

24.9%

25.7%

26.5%

64 Institution specific buffer requirement (CET1 requirement in accordance with Arti- cle 92 (1) (a) plus capital conservation and counter-cyclical buffer requirements, plus systemic risk buffer, plus systemically important institution buffer expressed

as a percentage of risk exposure amount) 1 )

8.5%

8.5%

10.1%

65

- of which capital conservation buffer requirement

2.5%

2.5%

2.5%

66

- of which counter-cyclical buffer requirement

0.01%

0.02%

0.10%

67

- of which systemic buffer requirement

1.5%

1.5%

3.0%

67a

- of which G-SII or O-SII buffer

68

Common Equity Tier 1 available to meet buffers (as a % of risk exposure amount) 2 )

11.6%

11.6%

11.9%

Amounts below the thresholds for deduction

72 Direct and indirect holdings of the capital of financial sector entities where the institution does not have a significant investment in those entities (amount below

10% threshold and net of eligible short positions)

167

138

156

73 Direct and indirect holdings of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below

10% threshold and net of eligible short positions)

531

522

536

75

Deferred tax assets arising from temporary differences (amount below 10% thres-

hold, net of related tax liability where the conditions in Article 38 (3) are met)

716

711

642

Applicable caps on the inclusion of provisions in Tier 2

77

Cap on inclusion of credit risk adjustments in T2 under Standardised Approach

124

122

109

78

Credit risk adjustments included in T2 in respect of exposures subject to internal

ratings-based approach (prior to the application of the cap)

102

156

79

Cap for inclusion of credit risk adjustments in T2 under internal ratings-based

approach

405

407

388

Capital instruments subject to phase-out arrangements (1 Jan 2014 - 1 Jan 2022)

    1. Current cap on CET1 instruments subject to phase-out arrangements
    2. Amount excluded from CET1 due to cap
    3. Current cap on AT1 instruments subject to phase-out arrangements
    4. Amount excluded from AT1 due to cap
    5. Current cap on T2 instruments subject to phase-out arrangements
    6. Amount excluded from T2 due to cap
  2. Following the definition of the EBA disclosure template, Pillar 2 CET1 requirement of 1.75% is excluded
  3. CET1 amount required to meet the Pillar 2 CET1 requirement of 1.75% is not considered available to meet the Combined Buffer Requirements

Despite a small loss in Q2 2020, Common Equity Tier 1 (CET1) capital increased slightly, mainly reflecting diminished volatility in the financial markets resulting in a lower amount of additional value adjustments for assets measured at fair value which should be deducted from CET1 capital under the Capital Requirements Regulation (CRR). Total RWA increased to EUR 112.1 billion at 30 June 2020 (31 March 2020: EUR 111.7 billion). At 30 June 2020, the CET1, Tier 1 and total capital ratios were 17.3%, 19.9% and 24.5% respectively (31 March 2020: 17.3%, 19.1% and 25.2% respectively). All capital ratios were in line with the bank's risk appetite and were well above regulatory minimum requirements.

In response to Covid-19, the ECB and DNB announced a number of capital relief measures in March 2020 to support banks in serving the economy and addressing operational challenges. The ECB brought forward changes in CRDV, allowing banks to use Additional Tier 1 and Tier 2 to satisfy parts of the Pillar 2 requirements. DNB lowered the systemic risk buffer for ABN AMRO from 3% to 1.5% and the OSII from 2% to 1.5%. As a result, the Maximum Distributable Amount (MDA) trigger level has been temporarily reduced to 9.6%. In the future, DNB is expected to gradually increase the counter-cyclical capital buffer to 2% of Dutch risk-weighted exposures. In response to Covid-19, CRR2 was amended in June to ensure that banks can employ their capital where necessary. The most significant change for ABN AMRO is the earlier application of the extended SME support factor, which is expected to be implemented in the coming quarters and would provide up to EUR 1.5 billion RWA relief.

ABN AMRO Bank Pillar 3 Report second quarter 2020

18 > Pillar 3 > Leverage ratio

Leverage ratio

Summary reconciliation of accounting assets and leverage ratio exposures

(in millions)30 June 2020 31 March 2020 31 December 2019

1

Total assets as per published financial statements

424,733

405,903

375,054

2

Adjustment for entities which are consolidated for accounting purposes but are

outside the scope of regulatory consolidation

309

310

310

3 Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the leverage ratio exposure measure according to Article 429(11) of Regulation (EU) NO. 575/2013

4

Adjustments for derivative financial instruments

57,687

79,998

67,738

5

Adjustments for securities financing transactions

3,970

5,133

4,376

6

Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts

of off-balance sheet exposures)

33,435

33,204

36,416

7

Other adjustments

-2,710

-4,645

415

8

Leverage ratio exposure amount

517,424

519,902

484,309

ABN AMRO Bank Pillar 3 Report second quarter 2020

19 > Pillar 3 > Leverage ratio

Leverage ratio common disclosure

(in millions)

30 June 2020

31 March 2020

31 December 2019

1

On-balance sheet items (excluding derivatives, SFTs and fiduciary

assets, but including collateral)

397,276

379,384

361,883

2

Asset amounts deducted in determining Tier 1 capital

-437

-548

-517

3 Total on-balance sheet exposures (excluding derivatives,

SFTs and fiduciary assets) (sum of lines 1 and 2)

396,839

378,836

361,366

Derivative exposures

4

Replacement cost associated with all derivatives transactions (i.e. net

of eligible cash variation margin)

5,286

6,069

4,041

5

Add-on amount for PFE associated with all derivatives transactions

(mark-to-market method)

98,933

135,170

115,816

EU5a

Exposure determined under Original Exposure Method

  1. Gross-upfor derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable accounting framework
  2. (Deductions of receivables assets for cash variation margin provided

in derivatives transactions)

-3,905

-4,646

-3,375

8

(Exempted CCP leg of client-cleared trade exposures)

-45,030

-60,785

-50,356

  1. Adjusted effective notional amount of written credit derivatives
  2. Adjusted effective notional offsets and add-on deductions for written credit derivatives

11

Total derivatives exposures (sum of lines 4 to 10)

55,284

75,808

66,125

SFT exposures

12

Gross SFT assets (with no recognition of netting), after adjusting for

sales accounting transactions

29,398

29,487

18,115

13

Netted amounts of cash payables and cash receivables of gross SFT

assets

-1,503

-2,566

-2,089

14

Counterparty credit risk exposure for SFT assets

3,970

5,133

4,376

EU14a

Derogation for SFTs: Counterparty credit risk exposure in accordance

with Articles 429b(4) and 222 of Regulation (EU) No 575/2013

15

Agent transaction exposures

EU15a

Exempted CCP leg of client-cleared SFT exposure

16 Total securities financing transaction exposures (sum of

lines 12 to 15a)

31,866

32,054

20,401

Other off-balance sheet exposures

17

Off-balance sheet exposures at gross notional amount

116,246

111,244

120,851

18

Adjustments for conversion to credit equivalent amounts

-82,811

-78,040

-84,434

19

Other off-balance sheet exposures (sum of lines 17 and 18)

33,435

33,204

36,416

Exempted exposures in accordance with Article 429(7) and

(14) of Regulation (EU) No 575/2013 (on- and off-balance

sheet)

EU19a

Intragroup exposures (solo basis) exempted in accordance with Arti-

cle 429(7) of Regulation (EU) No 575/2013 (on- and off-balance sheet)

EU19b

Exposures exempted in accordance with Article 429 (14) of Regulation

(EU) No 575/2013 (on- and off-balance sheet)

Capital and total exposure measure

20

Tier 1 capital

22,330

21,298

21,895

21 Leverage ratio total exposure measure (sum of lines 3, 11,

16, 19, EU19a and EU19b)

517,424

519,902

484,309

Leverage ratio

22

Leverage ratio

4.3%

4.1%

4.5%

Choice on transitional arrangements and amount of

derecognised fiduciary items

23

Choice on transitional arrangements for the definition of the capital

measure

Transitional

Transitional

Transitional

24 Amount of derecognised fiduciary items in accordance with Article 429(11) of Regulation (EU) No 575/2013

ABN AMRO Bank Pillar 3 Report second quarter 2020

20 > Pillar 3 > Leverage ratio

Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)

(in millions)30 June 2020 31 March 2020 31 December 2019

EU1

Total on-balance sheet exposures (excluding derivatives,

SFTs, and exempted exposures);

387,245

366,927

354,540

EU2

Of which: trading book exposures

3,397

1,988

1,137

EU3

Of which: banking book exposures

383,848

364,939

353,402

EU4

- of which covered bonds

3,652

3,624

3,757

EU5

- of which exposures treated as sovereigns

100,699

70,882

67,933

EU6

- of which exposures to regional governments, MDB, international

organisations and PSE not treated as sovereigns

86

EU7

- of which institutions

12,968

15,553

10,360

EU8

- of which secured by mortgages of immovable properties

167,455

167,853

168,598

EU9

- of which retail exposures

7,714

8,054

8,414

EU10

- of which corporate

75,312

82,817

80,865

EU11

- of which exposures in default

8,536

7,081

6,521

EU12

- of which other exposures (e.g. equity, securitisations, and other non-

credit obligation assets)

7,425

9,076

6,955

The Capital Requirements Regulation (CRR) introduced a non-risk-based leverage ratio, which is expected to become a binding measure with effect from 1 January 2021. Based on the currently applicable rules (i.e. CEM methodology), the leverage ratio increased to 4.3% (31 March 2020: 4.1%), mainly reflecting the AT1 issuance in May 2020 partly offset by an increased balance sheet due to TLTRO participation.

The CRR is expected to amend the rules for calculating the exposure measure by mid-2021, including the use of the SA-CCR calculation methodology for clearing guarantees. ABN AMRO estimates that the cumulative CRR2 adjustments, including the use of SA-CCR, is expected to lower the exposure measure by approximately EUR 56.3 billion, improving the fully-loaded leverage ratio by another 0.5 percentage points. At 30 June 2020, the fully-loaded leverage ratio remained fairly stable at 4.8% based on SA-CCR (31 March 2020: 4.8%), mainly reflecting the AT1 issuance in May 2020, which was offset by a lower SA-CCR impact and an increased balance sheet due to our TLTRO participation. In June CRR2 was amended making it more beneficial to exclude central bank reserves from the exposure measure. Based on Q2 figures, this could potentially improve the fully-loaded leverage ratio by another 0.6 percentage points.

Going forward, ABN AMRO will monitor and report the leverage ratio based on currently applicable rules as well as CRR2, and we expect the leverage ratio to remain above the anticipated regulatory requirements.

ABN AMRO Bank Pillar 3 Report second quarter 2020

21 > Pillar 3 > Capital requirements

Capital requirements

EU OV1 - Overview of RWAs

30 June 2020

31 March 2020

31 December 2019

Minimum capital

Minimum capital

Minimum capital

(in millions)

RWAs

requirements

RWAs

requirements

RWAs

requirements

1

Credit risk (excluding CCR)

87,255

6,980

86,003

6,880

84,086

6,727

2

- of which Standardised Approach

8,890

711

8,742

699

8,054

644

  1. - of which foundation IRB (FIRB) approach
  2. - of which advanced IRB (AIRB)

approach

75,985

6,079

74,959

5,997

73,704

5,896

5

- of which equity IRB under the simple

risk-weighted approach or the IMA

2,380

190

2,303

184

2,328

186

6

Counterparty Credit Risk (CCR)

3,522

282

3,687

295

3,372

270

7

- of which mark to market

2,008

161

2,030

162

1,875

150

8

- of which original exposure

9

- of which Standardised Approach

1,070

86

1,057

85

642

51

  1. - of which internal model method (IMM)
  2. - of which risk exposure amount for contributions to the default fund of

a CCP

252

20

324

26

484

39

12 - of which CVA

192

15

277

22

370

30

  1. Settlement risk
  2. Securitisation exposures in the

banking book (after the cap)

40

3

38

3

32

3

15 - of which IRB approach

40

3

38

3

32

3

  1. - of which IRB supervisory formula approach (SFA)
  2. - of which internal assessment approach (IAA)
  3. - of which Standardised Approach

19

Market risk

1,908

153

2,144

172

1,362

109

20

- of which Standardised Approach

7

1

9

1

6

21

- of which: IMA

1,900

152

2,136

171

1,357

109

22 Large exposures

23

Operational risk

17,680

1,414

18,148

1,452

19,391

1,551

24

- of which basic indicator approach

678

54

686

55

910

73

  1. - of which Standardised Approach
  2. - of which advanced measurement

approach

17,002

1,360

17,461

1,397

18,481

1,478

27 Amounts below the thresholds for deduction (subject to 250%

risk weight)

1,652

132

1,683

135

1,582

127

28 Floor adjustment

29 Total RWA

112,057

8,965

111,704

8,936

109,825

8,786

Total RWA increased to EUR 112.1 billion (31 March 2020: EUR 111.7 billion) reflecting an increase in credit risk. This increase was driven by the introduction of the new definition of default and model updates, and was partly offset by business developments and higher allowances. In comparison with the previous quarter, operational risk decreased in line with the declining trend of operational losses. Market risk RWA declined due to a lower capital multiplier and position changes.

ABN AMRO Bank Pillar 3 Report second quarter 2020

22 > Pillar 3 > Capital requirements

EU CR10 - IRB (equities)

30 June 2020

On-balance

Off-balance

Capital require-

(in millions)

sheet amount

sheet amount

Risk weight

Exposure amount

RWA

ments

1

Private equity exposures

592

114

190%

706

1,342

107

2

Exchange-traded equity exposures

38

290%

38

111

9

3

Other equity exposures

251

370%

251

927

74

4

Total

881

114

995

2,380

190

31 December 2019

1

Private equity exposures

657

113

190%

770

1,463

117

2

Exchange-traded equity exposures

28

290%

28

81

6

3

Other equity exposures

212

370%

212

785

63

4

Total

897

113

1,010

2,328

186

Equity exposure remained fairly stable over the past half year. Private equity positions in CIB decreased while specific new strategic positions were taken by ABN AMRO Venture capital. The increase in equity positions by Venture capital included, among others, companies that detect financial crime and companies investing in financial efficiency solutions.

ABN AMRO Bank Pillar 3 Report second quarter 2020

23 > Pillar 3 > Credit risk and credit risk mitigation general information

Credit risk and credit risk mitigation - general information

EU CR1-A - Credit quality of exposures by exposure class and instrument

Gross carrying values of

Non-

Specific

General

Credit risk

Defaulted

defaulted

credit risk

credit risk

Accumu-

adjustment

30 June 2020

31 December

exposures

exposures

adjustment

adjustment

lated wri-

charges for

Net values

2019 Net

(in millions)

(a)

(b)

(c)

(d)1 )

te-offs (e) the period (f)

a+b-c-d

values

1

Central governments or central banks

93,724

2

93,721

61,340

2

Institutions

11,195

5

11,190

11,229

3

Corporates

9,097

148,363

2,927

1,026

154,533

156,575

4

- of which specialised lending

1,540

37,609

629

174

38,520

41,940

5

- of which SMEs

2,150

29,444

544

144

31,050

31,131

6

Retail

1,757

177,211

400

117

178,568

180,681

7

Secured by real estate property

1,295

160,442

168

47

161,568

162,545

8

- of which SMEs

101

4,034

40

10

4,095

4,131

9

- of which non-SMEs

1,193

156,408

128

38

157,473

158,414

10

Qualifying revolving

171

9,696

103

29

9,765

10,345

11

Other retail

291

7,073

129

40

7,235

7,791

12

- of which SMEs

237

4,256

99

29

4,395

4,402

13

- of which non-SMEs

54

2,817

31

11

2,841

3,389

14

Equity

995

995

1,010

15

Total IRB approach

10,854

431,487

3,334

1,143

439,008

410,836

16

Central governments or central banks

74

74

250

  1. Regional governments or local authorities
  2. Public sector entities

19

Multilateral development banks

1,078

1,078

942

20

International organisations

5,205

5,205

5,029

21

Institutions

13,704

13,704

15,317

22

Corporates

15,131

62

94

15,069

16,741

23

- of which SMEs

2,643

2

1

2,641

3,149

24

Retail

5,076

25

40

5,051

4,851

25

- of which SMEs

102

102

109

26

Secured by mortgages on immovable

property

1,114

1

1

1,113

928

27

- of which SMEs

241

241

113

28

Exposure in default

306

179

134

127

143

  1. Items associated with particularly high risk
  2. Covered bonds
  3. Claims on institutions and corporates with a short-term credit assesment
  4. Collective investment undertakings

(CIU)

178

178

178

33

Equity exposures

34

Other exposures

1,980

1,980

1,492

35

Total Standardised Approach

306

43,539

267

268

43,578

45,873

36

Total

11,160

475,027

3,601

1,412

1,814 482,586

456,708

1. Following the opinion of EBA all IFRS 9 provisions should be considered as Specific Credit Adjustments.

ABN AMRO Bank Pillar 3 Report second quarter 2020

24 > Pillar 3 > Credit risk and credit risk mitigation general information

EU CR1-B - Credit quality of exposures by industry or counterparty type

Gross carrying values of

Non-

Specific

General

Credit risk

Defaulted

defaulted

credit risk

credit risk

Accumu-

adjustment

30 June 2020

31 December

exposures

exposures

adjustment

adjustment

lated wri-

charges for

Net values

2019 Net

(in millions)

(a)

(b)

(c)

(d)1 )

te-offs (e)

the period (f)

a+b-c-d

values

1

Agriculture, forestry & fishing

477

7,931

103

22

8,304

8,275

2

Mining & quarrying

1,851

9,398

535

180

10,715

11,512

3

Manufacturing

1,888

17,517

516

190

18,888

18,313

4

Electricity, gas, steam & air conditio-

ning supply

4

3,912

9

3,907

4,026

5

Water supply

80

755

21

26

814

860

6

Construction

263

6,677

133

16

6,807

7,205

7

Wholesale & retail trade

1,913

42,928

795

375

44,046

44,667

8

Transport & storage

1,351

13,859

423

63

14,787

18,552

9

Accomodation & food service

activities

122

1,805

32

11

1,895

1,703

10

Information & communication

258

4,347

188

162

4,417

4,316

11

Financial & insurance activities

230

114,908

102

121

115,036

83,488

12

Real estate activities

157

8,315

56

13

8,416

8,376

13

Professional, scientific & technical

activities

90

3,367

42

8

3,415

2,744

14

Administrative & support service

activities

319

7,047

63

28

7,303

5,280

15

Public administration & defence,

compulsory social security

36,902

36,901

34,080

16

Education

7

252

4

1

254

252

17

Human health services & social work

activities

344

4,271

50

6

4,565

4,548

18

Arts, entertainment & recreation

82

938

34

4

986

1,006

19

Other services

139

14,874

129

34

14,884

17,882

20

Activities of households as employers;

undifferentiated goods - & services

producing activities of households

for own use

1,584

172,504

365

151

173,723

177,237

21

Activities of extraterritorial organisati-

ons & bodies

2,522

-0

2,522

2,387

22

Total

11,160

475,027

3,601

1,412

1,814

482,586

456,708

1. Following the opinion of EBA all IFRS 9 provisions should be considered as Specific Credit Adjustments.

ABN AMRO Bank Pillar 3 Report second quarter 2020

25 > Pillar 3 > Credit risk and credit risk mitigation general information

EU CR1-C - Credit quality of exposures by geography

Gross carrying values of

Non-

Specific

General

Credit risk

Defaulted

defaulted

credit risk

credit risk

Accumu-

adjustment

30 June 2020

31 December

exposures

exposures

adjustment

adjustment

lated wri-

charges for

Net values

2019 Net

(in millions)

(a)

(b)

(c)

(d)1 )

te-offs (e)

the period (f)

a+b-c-d

values

1

Europe

8,872

412,890

2,473

812

419,289

389,521

2

- of which Netherlands

7,205

332,816

1,801

581

338,221

306,387

3

-of which Rest of Europe

1,666

80,074

672

231

81,068

83,133

4

USA

781

29,283

260

140

29,804

31,199

5

Asia

678

20,354

457

368

20,575

20,366

6

Rest of world

829

12,501

411

92

12,919

15,622

7

Total

11,160

475,027

3,601

1,412

1,814

482,586

456,708

1. Following the opinion of EBA all IFRS 9 provisions should be considered as Specific Credit Adjustments.

The non-defaulted gross carrying amount increased compared with Q4 2019 primarily because ABN AMRO participated in the ECB's TLTRO to support clients and their potential future liquidity needs. Participation in the TLTRO also results in increased exposure in Central Governments & Central Banks (exposure class), Financial & Insurance activities (sector) and the Netherlands (country). The defaulted gross carrying amount increased compared with Q4 2019 due to Covid-19 and exceptional events. This explains an increase in the defaulted exposure primarily for the corporate exposure class in the mining & quarrying, wholesale & retail trading and manufacturing sectors in the CIB business line. These increases in defaulted exposures are visible primarily in the USA & Asia and, to a lesser extent, in other regions. The increase in the defaulted exposure also led to higher impairment charges, recorded mainly in the energy and off-shore sectors. The increase in impairment charges was related firstly to new inflow and secondly to increases in existing stage 3 impairments.

ABN AMRO Bank Pillar 3 Report second quarter 2020

26 > Pillar 3 > Credit risk and credit risk mitigation general information

Template 1: Credit quality of forborne exposures

The previously reported templates EU CR1-D - Ageing of past-due exposures and EU CR1-E - Non-performing and forborne exposures have been replaced by the templates from the EBA guidelines on non-performing and forborne exposures. These guidelines include a proportionality principle based on a threshold of the relative amount of non- performing exposures on the balance sheet. Because ABN AMRO is below this threshold, only the following four templates are presented: 1. Credit quality of forborne exposures; 3. Credit quality of performing and non-performing exposures by past due days; 4. Performing and non-performing exposures and related provisions, and 9. Collateral obtained by taking possession and execution processes.

30 June 2020

Accumulated impairment,

accumulated negative

Collateral received and

Gross carrying amount/nominal amount of exposures

changes in fair value

financial guarantees

due to credit risk and

received on forborne

with forbearance measures

provisions

exposures

Of which:

received

on non-

performing

On

On non-

exposures

performing

performing

with for-

Performing

forborne

forborne

bearance

forborne

Non-performing forborne

exposures

exposures

measures

Of which:

Of which:

(in millions)

defaulted

impaired

1

Loans and advances

4,530

4,645

4,448

4,448

60

1,285

5,726

2,698

2

Central banks

3

General governments

5

5

4

Credit institutions

5

Other financial corporations

102

31

31

31

30

44

6

Non-financial corporations

3,379

3,832

3,808

3,808

35

1,147

4,147

2,101

7

Households

1,043

782

609

609

25

108

1,530

598

8 Debt Securities

9

Loan commitments given

1,452

764

762

762

4

10

335

85

10

Total

5,982

5,409

5,210

5,210

64

1,294

6,060

2,784

ABN AMRO Bank Pillar 3 Report second quarter 2020

27 > Pillar 3 > Credit risk and credit risk mitigation general information

31 December 2019

Accumulated impairment,

accumulated negative

Collateral received and

changes in fair value

financial guarantees

Gross carrying amount/nominal amount of exposures

due to credit risk and

received on forborne

with forbearance measures

provisions

exposures

Of which:

received

on non-

performing

On

On non-

exposu-

performing

performing

res with

Performing

forborne

forborne

forbearance

forborne

Non-performing forborne

exposures

exposures

measures

(in millions)

Of which:

Of which:

defaulted

impaired

1

Loans and advances

2,538

3,827

3,619

3,619

58

1,024

4,117

2,442

2

Central banks

3

General governments

6

6

4

Credit institutions

5

Other financial corporations

37

33

33

33

29

37

1

6

Non-financial corporations

1,889

3,127

3,040

3,040

18

906

3,115

1,904

7

Households

607

667

546

546

39

89

959

537

8 Debt Securities

9

Loan commitments given

508

393

391

391

182

51

10

Total

3,046

4,219

4,010

4,010

58

1,024

4,298

2,492

The forborne exposure increased significantly, as more clients received a forbearance measure. The inflow was mainly observed in corporate loans in the travel & leisure, industrial goods & services, retail and food & beverage sectors in the Netherlands and Rest of Europe as well as oil & gas clients in the US. The main driver of the inflow in the mortgage portfolio can be attributed to contracts which became forborne after granting moratoria due to Covid-19.

ABN AMRO Bank Pillar 3 Report second quarter 2020

28 > Pillar 3 > Credit risk and credit risk mitigation general information

Template 3: Credit quality of performing and non-performing exposures by past due days

30 June 2020

Gross carrying amount/nominal amount

Performing

exposures

not past due + past

Past due >30 days

(in millions)

due ≤30 days

≤90 days

1

Loans and advances

293,954

293,199

755

2

Central banks

1,099

1,099

3

General governments

1,551

1,547

4

4

Credit institutions

16,504

16,504

5

Other financial corporations

40,025

39,990

35

6

Non-financial corporations

73,880

73,388

492

7

- of which SMEs

16,988

16,903

86

8

Households

160,895

160,671

223

9

Debt securities

48,225

48,225

10

Central banks

223

223

11

General governments

41,372

41,372

12

Credit institutions

5,909

5,909

13

Other financial corporations

703

703

14

Non-financial corporations

18

18

15

Off-balance sheet exposures

109,916

16

Central banks

33

17

General governments

1,622

18

Credit institutions

3,014

19

Other financial corporations

28,268

20

Non-financial corporations

58,494

21

Households

18,483

22

Total

452,095

341,424

755

ABN AMRO Bank Pillar 3 Report second quarter 2020

29 > Pillar 3 > Credit risk and credit risk mitigation general information

30 June 2020

Gross carrying amount/nominal amount

Non-performing

exposures

UTP, past

Past due

Past due

Past due

Past due >

Past due

due

>90 days

>180 days

>1 year

2 years

>5 years

Past due

Of which:

(in millions)

≤90 days

≤180 days

≤1 year

≤2 year

≤5 years

≤7 years

>7 years

defaulted

1

Loans and advances

8,671

7,042

259

513

256

370

152

80

8,464

2

Central banks

3

General governments

4

Credit institutions

5

Other financial corporations

112

7

29

1

62

13

112

6

Non-financial corporations

6,564

5,570

112

342

183

243

74

41

6,539

7

- of which SMEs

1,649

1,171

60

93

94

145

55

31

1,644

8

Households

1,996

1,465

147

142

73

126

16

26

1,812

  1. Debt securities
  2. Central banks
  3. General governments
  4. Credit institutions
  5. Other financial corporations
  6. Non-financialcorporations
  7. Off-balancesheet

exposures

1,944

1,140

  1. Central banks
  2. General governments
  3. Credit institutions

19

Other financial corporations

3

3

20

Non-financial corporations

1,539

1,097

21

Households

401

40

22

Total

10,615

7,042

259

513

256

370

152

80

9,603

ABN AMRO Bank Pillar 3 Report second quarter 2020

30 > Pillar 3 > Credit risk and credit risk mitigation general information

31 December 2019

Gross carrying amount/nominal amount

Performing

exposures

(in millions)

not past due + past

Past due

due ≤30 days

>30 days ≤90 days

1

Loans and advances

310,985

310,371

614

2

Central banks

28,032

28,032

3

General governments

1,375

1,375

4

Credit institutions

9,280

9,280

5

Other financial corporations

32,123

32,122

1

6

Non-financial corporations

77,347

77,009

338

7

- of which SMEs

17,697

17,637

60

8

Households

162,828

162,553

274

9

Debt securities

44,415

44,415

10

Central banks

11

General governments

37,913

37,913

12

Credit institutions

5,734

5,734

13

Other financial corporations

747

747

14

Non-financial corporations

20

20

15

Off-balance sheet exposures

116,920

16

Central banks

57

17

General governments

1,771

18

Credit institutions

3,190

19

Other financial corporations

30,752

20

Non-financial corporations

61,172

21

Households

19,978

22

Total

472,320

354,786

614

ABN AMRO Bank Pillar 3 Report second quarter 2020

31 > Pillar 3 > Credit risk and credit risk mitigation general information

31 December 2019

Gross carrying amount/nominal amount

Non-performing exposures

UTP, past

Past due

Past due

Past due

Past due >

Past due

(in millions)

due ≤90

>90 days

>180 days

>1 year ≤2

2 years ≤5

>5 years ≤7

Past due >7

Of which:

days

≤180 days

≤1 year

year

years

years

years

defaulted

1

Loans and advances

6,987

5,434

356

174

421

345

179

78

6,780

2

Central banks

3

General governments

4

Credit institutions

5

Other financial corporations

119

13

28

32

33

13

119

6

Non-financial corporations

5,211

4,291

190

68

273

229

116

43

5,124

7

- of which SMEs

1,674

1,191

70

27

108

163

74

41

1,634

8

Households

1,658

1,130

138

106

147

84

30

23

1,537

  1. Debt securities
  2. Central banks
  3. General governments
  4. Credit institutions
  5. Other financial corporations
  6. Non-financialcorporations
  7. Off-balancesheet

exposures

2,056

1,329

16 Central banks

31

  1. General governments
  2. Credit institutions

19

Other financial corporations

113

1

20

Non-financial corporations

1,769

1,264

21

Households

144

63

22

Total

9,044

5,434

356

174

421

345

179

78

8,109

ABN AMRO Bank Pillar 3 Report second quarter 2020

32 > Pillar 3 > Credit risk and credit risk mitigation general information

Template 4: Performing and non-performing exposures and related provisions

30 June 2020

Gross carrying amount/nominal amount

Performing exposures

Non-performing exposures

Of which:

Of which:

Of which:

Of which:

(in millions)

stage 11 )

stage 21 )

stage 21 )

stage 31 )

1

Loans and advances

293,954

256,841

35,885

8,671

207

8,464

2

Central banks

1,099

1,099

3

General governments

1,551

1,480

66

4

Credit institutions

16,504

16,497

7

5

Other financial corporations

40,025

38,468

791

112

112

6

Non-financial corporations

73,880

55,425

17,998

6,564

24

6,539

7

- of which SMEs

16,988

11,091

5,897

1,649

5

1,644

8

Households

160,895

143,872

17,023

1,996

183

1,812

9

Debt securities

48,225

48,208

10

Central banks

223

223

11

General governments

41,372

41,372

12

Credit institutions

5,909

5,909

13

Other financial corporations

703

703

14

Non-financial corporations

18

1

15

Off-balance sheet exposures

109,916

53,167

6,506

1,944

170

1,140

16

Central banks

33

10

23

17

General governments

1,622

1,600

1

18

Credit institutions

3,014

2,638

10

19

Other financial corporations

28,268

7,796

211

3

3

20

Non-financial corporations

58,494

30,896

5,983

1,539

5

1,097

21

Households

18,483

10,227

279

401

165

40

22

Total

452,095

358,215

42,391

10,615

378

9,603

1. Not all Loans and advances and Off-balance sheet exposures have an IFRS 9 stage.

ABN AMRO Bank Pillar 3 Report second quarter 2020

33 > Pillar 3 > Credit risk and credit risk mitigation general information

30 June 2020

Accumulated impairment, accumulated negative changes in fair value due to credit

Accumula-

ted partial

Collateral and financial

risk and provisions

write-off

guarantees received

Non-performing exposures -

Performing exposures - accumulated

accumulated impairment, accumulated

On

On non-

negative changes in fair value due to

performing

performing

impairment and provisions

credit risk and provisions

exposures

exposures

Of which:

Of which:

Of which:

Of which:

(in millions)

stage 11 )

stage 21 )

stage 21 )

stage 31 )

1 Loans and

advances

-670

-249

-421

-2,911

-5

-2,906

-47

239,466

4,678

2

Central banks

793

3

General governments

-0

-0

-0

-0

-0

72

4

Credit institutions

-2

-2

-0

12,333

5

Other financial corpo-

rations

-15

-10

-5

-93

-93

25,337

15

6

Non-financial corpo-

rations

-431

-184

-246

-2,508

-0

-2,508

-46

49,179

3,218

7

- of which SMEs

-131

-37

-94

-422

-0

-422

11,375

909

8

Households

-221

-52

-169

-311

-5

-305

-1

151,752

1,445

9

Debt securities

-1

-1

10

Central banks

11

General governments

-1

-1

  1. Credit institutions
  2. Other financial corpo- rations
  3. Non-financialcorpo- rations
  4. Off-balancesheet

exposures

-31

-15

-9

-79

-0

-10

14,736

370

16

Central banks

-0

-0

-0

20

17

General governments

-0

-0

-0

18

18

Credit institutions

-0

-0

-0

152

19

Other financial corpo-

rations

-2

-1

-1

-0

1,163

20

Non-financial corpo-

rations

-18

-11

-7

-78

-10

12,235

366

21

Households

-11

-2

-2

-1

-0

-0

1,148

4

22

Total

-702

-265

-430

-2,990

-5

-2,916

-47 254,202

5,048

1. Not all Loans and advances and Off-balance sheet exposures have an IFRS 9 stage.

ABN AMRO Bank Pillar 3 Report second quarter 2020

34 > Pillar 3 > Credit risk and credit risk mitigation general information

31 December 2019

Gross carrying amount/nominal amount

Performing exposures

Non-performing exposures

(in millions)

Of which:

Of which:

Of which:

Of which:

stage 11 )

stage 21 )

stage 21 )

stage 31 )

1

Loans and advances

310,985

265,931

16,909

6,987

208

6,780

2

Central banks

28,032

1,154

3

General governments

1,375

1,300

70

4

Credit institutions

9,280

9,279

1

5

Other financial corporations

32,123

30,435

492

119

119

6

Non-financial corporations

77,347

69,046

8,236

5,211

87

5,124

7

- of which SMEs

17,697

15,418

2,279

1,674

40

1,634

8

Households

162,828

154,717

8,111

1,658

121

1,537

9

Debt securities

44,415

44,408

10

Central banks

11

General governments

37,913

37,913

12

Credit institutions

5,734

5,734

13

Other financial corporations

747

747

14

Non-financial corporations

20

13

15

Off-balance sheet exposures

116,920

61,172

2,855

2,056

65

1,329

16

Central banks

57

4

53

31

17

General governments

1,771

1,670

1

18

Credit institutions

3,190

2,815

9

19

Other financial corporations

30,752

6,369

139

113

1

20

Non-financial corporations

61,172

38,397

2,561

1,769

15

1,264

21

Households

19,978

11,918

91

144

50

63

22

Total

472,320

371,511

19,764

9,044

273

8,109

1. Not all Loans and advances and Off-balance sheet exposures have an IFRS 9 stage.

ABN AMRO Bank Pillar 3 Report second quarter 2020

35 > Pillar 3 > Credit risk and credit risk mitigation general information

31 December 2019

Accumulated impairment, accumulated negative changes in fair value due to credit risk

Accumula-

ted partial

Collateral and financial

and provisions

write-off

guarantees received

Non-performing exposures - accumula-

Performing exposures - accumulated

ted impairment, accumulated negative

On

On non-

changes in fair value due to credit risk and

performing

performing

impairment and provisions

provisions

exposures

exposures

(in millions)

Of which:

Of which:

Of which:

Of which:

stage 11 )

stage 21 )

stage 21 )

stage 31 )

1 Loans and

advances

-436

-180

-256

-1,998

-2

-1,996

-33

229,952

4,108

2

Central banks

797

3

General governments

-1

-1

143

4

Credit institutions

-5

-5

4,638

5

Other financial corpo-

rations

-6

-4

-2

-94

-94

19,959

22

6

Non-financial corpo-

rations

-227

-121

-105

-1,612

-1

-1,611

-33

51,867

2,851

7

- of which SMEs

-83

-42

-41

-429

-429

11,223

936

8

Households

-197

-48

-149

-292

-1

-291

152,549

1,235

9

Debt securities

-1

-1

10

Central banks

11

General governments

-1

-1

  1. Credit institutions
  2. Other financial corpo- rations
  3. Non-financialcorpo- rations
  4. Off-balancesheet

exposures

-19

-8

-4

-60

-5

16,881

402

16

Central banks

26

17

General governments

77

18

Credit institutions

106

19

Other financial corpo-

rations

811

20

Non-financial corpo-

rations

-13

-5

-3

-60

-5

14,490

398

21

Households

-5

-2

1,372

5

22

Total

-456

-188

-260

-2,059

-2

-2,001

-33

246,833

4,510

1. Not all Loans and advances and Off-balance sheet exposures have an IFRS 9 stage.

The significant decrease in loans and advances in Q2 2020 was because cash and balances at Central banks and other demand deposits are no longer included. This is in line with changes in regulatory reporting effective from Q2 2020 onwards. Non-performing loans and advances to customers increased strongly, mainly in stage 3. This increase in stage 3 was related to a potential fraud case in Germany, clients in the energy-offshore sector within CIB and clients in the food and retail sectors within CIB and CB.

ABN AMRO Bank Pillar 3 Report second quarter 2020

36 > Pillar 3 > Credit risk and credit risk mitigation general information

Template 9: Collateral obtained by taking possession and execution processes

30 June 2020

31 December 2019

Collateral obtained by

Collateral obtained by

taking possession

taking possession

Value at initial

Accumulated

Value at initial

Accumulated

(in millions)

recognition

negative changes

recognition

negative changes

1

Property, plant and equipment (PP&E)

2

Other than PP&E

13

11

  1. Residential immovable property
  2. Commercial Immovable property

5

Movable property (auto, shipping, etc.)

1

6

Equity and debt instruments

11

11

7

Other

1

8

Total

13

11

EU CR2-A - Changes in the stock of general and specific credit risk adjustments

Accumulated specific credit

Accumulated general credit

(in millions)

risk adjustments

risk adjustments1 )

1

Opening balance 1 January 2020 (IFRS 9)

2,447

2

Net amounts set aside for estimated loan losses during the period

883

3

Decreases due to amounts taken against accumulated credit risk adjustments

-633

4

Transfers between credit risk adjustments

763

5

Impact of exchange rate differences

-31

6

Business combinations, including acquisitions and disposals of subsidiaries

-20

7

Other adjustments

197

8

Closing balance 30 June 2020

3,606

9

Recoveries on credit risk adjustments recorded directly to the statement of profit

and loss

7

10

Specific credit risk adjustments recorded directly to the statement of profit and loss

1,806

1. Following the opinion of EBA all IFRS 9 provisions should be considered as Specific Credit Adjustments.

Accumulated credit risk adjustments amounted to EUR 1.2 billion in the first half of 2020 and were mainly related to the financial impact of Covid-19, oil price developments and three exceptional client files in the credit portfolio, one of which was related to a large loss in our clearing activity and two of which were fraud cases.

ABN AMRO Bank Pillar 3 Report second quarter 2020

37 > Pillar 3 > Credit risk and credit risk mitigation general information

EU CR2-B - Changes in the stock of defaulted and impaired loans and debt securities

(in millions)Gross carrying value defaulted exposures

1

Opening balance 1 January 2020

6,780

2

Loans and debt securities that have defaulted or impaired since the last reporting period

2,999

3

Loans and debt securities that returned to non-defaulted status

-683

4

Amounts written off

-633

5

Other changes

6

Closing balance 30 June 2020

8,463

In the first six months of 2020, the stock of defaulted and impaired loans increased strongly. This increase was mainly the result of the inflow of clients in corporate loans which were transferred from stage 1 and stage 2 to stage 3. This inflow was related to a potential fraud case in Germany, CIB clients in the energy-offshore sector and both CIB and CB clients in the food and retail sectors.

EU CR3 - CRM techniques - Overview

30 June 2020

Exposures unsecured -

Exposures secured -

Exposure secured by

Exposure secured by

Exposure secured by

(in millions)

carrying amount

carrying amount

collateral

financial guarantees

credit derivatives

1

Total loans

97,226

259,073

255,183

3,889

2

Total debt securities

48,212

3

Total exposure

145,438

259,073

255,183

3,889

4

- of which defaulted

3,786

4,678

4,439

239

31 December 2019

1

Total loans

66,392

249,146

245,334

3,812

2

Total debt securities

44,413

3

Total exposure

110,805

249,146

245,334

3,812

4

- of which defaulted

2,672

4,107

3,943

164

The increase in total loans was primarily attributable to larger cash balances held at central banks in relation to ECB's targeted longer-term refinancing operations (TLTRO). ABN AMRO increased its participation in TLTRO in order to support clients' potential future liquidity needs resulting from the Covid-19 crisis. The accompanying increase in the secured portfolio related primarily to seasonal positions with credit insitutions within our SFT portfolio.

Note that only exposures covered by eligible collateral are reported as 'secured'.

ABN AMRO Bank Pillar 3 Report second quarter 2020

38 > Pillar 3 > Credit risk and credit risk mitigation Standardised approach

Credit risk and credit risk mitigation - Standardised Approach

EU CR4 - Standardised Approach - Credit risk exposure and CRM effects

30 June 2020

Exposures before CCF and CRM1 )

Exposures post CCF and CRM1 )

RWAs and RWA density

On-balance

Off-balance

On-balance

Off-balance

(in millions)

sheet amount

sheet amount

sheet amount

sheet amount

RWAs

RWA density

Exposure classes

1

Central governments or central banks

389

5

332

5

48

14%

2

Regional governments or local

authorities

3

Public sector entities

4

Multilateral development banks

1,078

1,078

0%

5

International organisations

5,204

5,204

0%

6

Institutions

2,751

11,206

2,751

1,003

239

9%

7

Corporates

3,094

12,446

3,072

1,003

3,624

89%

8

Retail

1,349

3,863

1,349

574

1,438

75%

9

Secured by mortgages on immovable

property

895

548

895

282

419

36%

10

Exposures in default

69

57

69

17

114

132%

  1. Higher-riskcategories
  2. Covered bonds
  3. Institutions and corporates with a short-term credit assessment

14

Collective investment undertakings

178

178

9

5%

15

Equity

16

Other items

1,980

1,980

1,021

52%

17

Total

16,987

28,126

16,909

2,884

6,911

1. CCF = Credit conversion factor; CRM = Credit risk mitigation

ABN AMRO Bank Pillar 3 Report second quarter 2020

39 > Pillar 3 > Credit risk and credit risk mitigation Standardised approach

31 December 2019

Exposures before CCF and CRM1 )

Exposures post CCF and CRM1 )

RWAs and RWA density

(in millions)

On-balance sheet

Off-balance sheet

On-balance sheet

Off-balance sheet

amount

amount

amount

amount

RWAs

RWA density

Exposure classes

1

Central governments or central banks

250

275

2

1%

2

Regional governments or local

authorities

0%

3

Public sector entities

0%

4

Multilateral development banks

942

942

0%

5

International organisations

5,029

5,029

0%

6

Institutions

1,602

1,372

1,602

14

84

5%

7

Corporates

3,206

13,515

3,181

836

3,495

87%

8

Retail

992

3,859

990

481

1,099

75%

9

Secured by mortgages on immovable

property

501

426

501

213

259

36%

10

Exposures in default

80

63

82

13

130

138%

11

Higher-risk categories

0%

12

Covered bonds

0%

13

Institutions and corporates with a

short-term credit assessment

0%

14

Collective investment undertakings

178

178

9

5%

15

Equity

0%

16

Other items

1,492

1,492

1,084

73%

17

Total

14,273

19,235

14,273

1,557

6,161

1. CCF = Credit conversion factor; CRM = Credit risk mitigation

The increase under the standardised approach in exposure and RWA is primarily attributable to business movements in Clearing within CIB and larger positions in the mortgages portfolio within Retail.

ABN AMRO Bank Pillar 3 Report second quarter 2020

40 > Pillar 3 > Credit risk and credit risk mitigation Standardised approach

EU CR5 - Standardised Approach - Exposures post CCF and CRM

30 June 2020

Risk weight

Subtotal

(in millions)

0%

2%

4%

10%

20%

35%

50%

70%

75%

Exposure classes

1

Central governments or central banks

98

239

337

2

Regional governments or local autho-

rities

3

Public sector entities

4

Multilateral development banks

1,078

1,078

5

International organisations

5,205

5,205

6

Institutions

2,260

263

155

2,678

7

Corporates

801

801

8

Retail

1,923

1,923

9

Secured by mortgages on immovable

property

1,069

108

1,177

  1. Exposures in default
  2. Exposures associated with particularly high risk
  3. Covered bonds
  4. Institutions and corporates with a short-term credit assessment
  5. Collective investment undertakings
  6. Equity

16

Other items

959

959

17

Total

7,339

2,260

502

1,069

1,065

1,923

14,157

30 June 2020

Of which:

Subtotal

Risk weight

Total

unrated

Deduc-

(in millions)

100%

150%

250%

370%

1250%

Others

ted

Exposure classes

1

Central governments or central banks

337

337

328

  1. Regional governments or local autho- rities
  2. Public sector entities

4

Multilateral development banks

1,078

1,078

55

5

International organisations

5,205

5,205

6

Institutions

2,678

2,678

2,678

7

Corporates

801

3,274

4,075

4,075

8

Retail

1,923

1,923

1,923

9

Secured by mortgages on immovable

property

1,177

1,177

1,177

10

Exposures in default

31

56

86

86

  1. Exposures associated with particularly high risk
  2. Covered bonds
  3. Institutions and corporates with a short-term credit assessment

14

Collective investment undertakings

178

178

15

Equity

16

Other items

959

1,021

1,980

1,980

17

Total

14,157

4,326

56

178

18,716

12,302

ABN AMRO Bank Pillar 3 Report second quarter 2020

41 > Pillar 3 > Credit risk and credit risk mitigation Standardised approach

31 December 2019

Risk weight

Subtotal

(in millions)

0%

2%

4%

10%

20%

35%

50%

70%

75%

Exposure classes

1

Central governments or central banks

273

273

2

Regional governments or local autho-

rities

3

Public sector entities

4

Multilateral development banks

942

942

5

International organisations

5,029

5,029

6

Institutions

1,383

202

31

1,616

7

Corporates

913

913

8

Retail

1,471

1,471

9

Secured by mortgages on immovable

property

617

98

715

  1. Exposures in default
  2. Exposures associated with particularly high risk
  3. Covered bonds
  4. Institutions and corporates with a short-term credit assessment
  5. Collective investment undertakings
  6. Equity

16

Other items

409

409

17

Total

6,653

1,383

202

617

1,042

1,471

11,368

31 December 2019

Of which:

Subtotal

Risk weight

Total

unrated

(in millions)

Deduc-

100%

150%

250%

370%

1250%

Others

ted

Exposure classes

1

Central governments or central banks

273

2

275

265

  1. Regional governments or local autho- rities
  2. Public sector entities

4

Multilateral development banks

942

942

30

5

International organisations

5,029

5,029

6

Institutions

1,616

1,616

1,616

7

Corporates

913

3,104

4,017

4,017

8

Retail

1,471

1,471

1,471

9

Secured by mortgages on immovable

property

715

715

715

10

Exposures in default

23

72

95

95

  1. Exposures associated with particularly high risk
  2. Covered bonds
  3. Institutions and corporates with a short-term credit assessment

14

Collective investment undertakings

178

178

15

Equity

16

Other items

409

1,084

1,492

1,492

17

Total

11,368

4,213

72

178

15,830

9,701

Compared with year-end 2019 an increase in SA exposure is noticed in almost all risk weights and for rated as well as unrated exposures. The main contributor to the increase is Institions, at EUR 1.2 billion which is primarily related to Clearing activities.

ABN AMRO Bank Pillar 3 Report second quarter 2020

42 > Pillar 3 > Credit risk and credit risk mitigation IRB approach

Credit risk and credit risk mitigation - IRB approach

EU CR6 - IRB approach - Credit risk exposures by exposure class and PD range

30 June 2020

Original Off-balan-

Value ad-

on-balan-

ce sheet

ce sheet

exposu-

EAD post

justments

gross

res pre-

Average

CRM and

Average

Number of

Average

Average

RWA

and

(in millions)

PD scale exposures

CCF1 )

CCF1 )

post CCF1 )

PD

obligors

LGD

maturity

RWA density

EL Provisions

Exposure class

Central

0.00 to <0.15

94,673

1,590

37.4%

95,267

0.0%

833

10.5%

1.80

634

0.0%

1

2

govern-

0.15 to <0.25

31

0.0%

31

0.2%

2

33.7%

4.25

14

0.0%

ment or

0.25 to <0.50

100

45.0%

100

0.3%

6

42.5%

4.11

74

0.0%

central

0.50 to <0.75

9

6

37.5%

12

0.7%

2

15.9%

3.89

4

0.0%

banks

0.75 to <2.50

53

1

35.4%

54

1.6%

5

50.6%

1.38

65

0.0%

2.50 to <10.00

38

3

23.0%

39

6.0%

4

60.0%

2.15

89

0.0%

1

10.00 to <100.00

31

66

25.9%

48

13.4%

8

60.9%

3.09

160

0.0%

4

100.00 (Default)

Subtotal

94,936

1,666

95,551

860

1,041

0.0%

7

2

Corporates

0.00 to <0.15

10,430

13,708

31.2%

14,697

0.1%

2,066

23.4%

2.00

1,893

0.0%

2

6

0.15 to <0.25

3,770

6,255

29.9%

5,634

0.2%

425

23.7%

2.26

1,273

0.0%

2

12

0.25 to <0.50

13,005

16,227

26.1%

17,226

0.3%

1,894

23.4%

2.46

5,684

0.0%

14

38

0.50 to <0.75

13,012

12,162

21.1%

15,553

0.7%

3,406

20.3%

2.43

5,703

0.0%

21

44

0.75 to <2.50

27,431

12,138

23.8%

30,240

1.4%

8,514

17.8%

2.54

12,570

0.0%

76

124

2.50 to <10.00

10,902

3,730

23.3%

11,753

4.3%

3,947

17.2%

2.52

6,258

0.0%

86

82

10.00 to <100.00

1,893

1,110

18.5%

2,114

21.1%

16,775

18.3%

2.45

1,997

0.0%

83

32

100.00 (Default)

6,610

2,033

9.3%

6,763

100.0%

1,576

27.7%

1.97

5,949

0.0%

2,476

2,474

Subtotal

87,053

67,365

103,980

38,603

41,328

2,761

2,811

Institutions

0.00 to <0.15

5,872

2,285

79.9%

7,697

0.1%

521

15.5%

2.95

648

0.0%

1

2

0.15 to <0.25

596

171

34.3%

655

0.2%

27

28.3%

1.65

158

0.0%

1

0.25 to <0.50

251

147

35.8%

303

0.3%

52

16.1%

1.94

62

0.0%

0.50 to <0.75

10

20.5%

11

0.6%

9

34.3%

0.15

6

0.0%

0.75 to <2.50

164

138

18.9%

190

1.7%

21

32.4%

0.76

127

0.0%

1

2.50 to <10.00

12

10.0%

1

3.2%

2

42.3%

1.00

1

0.0%

10.00 to <100.00

49

11

9.0%

50

24.0%

74

29.1%

0.99

89

0.0%

3

100.00 (Default)

Subtotal

6,942

2,765

8,907

706

1,091

6

4

Retail

0.00 to <0.15

81,454

7,879

27.6%

83,499

0.1%

2,969,528

11.5%

4.86

1,810

0.0%

7

7

0.15 to <0.25

45,232

570

24.1%

45,231

0.2%

431,409

15.2%

4.93

2,648

0.0%

12

12

0.25 to <0.50

12,311

424

24.0%

12,458

0.4%

265,276

18.9%

4.82

1,450

0.0%

9

9

0.50 to <0.75

10,605

732

34.7%

10,782

0.6%

105,941

19.0%

4.57

1,652

0.0%

12

12

0.75 to <2.50

7,240

476

28.2%

7,418

1.3%

401,527

27.9%

4.12

2,278

0.0%

26

26

2.50 to <10.00

5,615

342

40.0%

5,716

4.8%

143,157

20.5%

4.09

2,858

0.0%

56

55

10.00 to <100.00

1,637

69

46.1%

1,655

16.8%

40,050

27.3%

3.84

1,531

0.0%

71

70

100.00 (Default)

1,695

71

7.9%

1,691

100.0%

79,409

18.7%

4.22

1,175

0.0%

273

210

Subtotal

165,788

10,563

168,449

4,436,297

15,403

466

400

Total

354,720

82,358

376,887

4,476,466

58,864

3,239

3,217

1. CCF = Credit conversion factor; CRM = Credit risk mitigation

ABN AMRO Bank Pillar 3 Report second quarter 2020

43 > Pillar 3 > Credit risk and credit risk mitigation IRB approach

31 December 2019

Original Off-balan-

Value

on-balance

ce sheet

EAD post

adjust-

sheet gross

exposures

Average

CRM and

Average

Number of

Average

Average

RWA

ments and

(in millions)

PD scale exposures

pre-CCF1)

CCF1 )

post CCF1 )

PD

obligors

LGD

maturity

RWA density

EL Provisions

Exposure class

Central go-

0.00 to <0.15

62,810

959

33.2%

63,128

0.0%

875

13.0%

2.21

444

0.7%

1

1

vernment

0.15 to <0.25

32

6.3%

32

0.2%

3

29.7%

4.35

13

39.7%

or central

0.25 to <0.50

85

0.0%

85

0.4%

4

33.9%

4.99

59

69.2%

banks

0.50 to <0.75

8

8

42.8%

11

0.7%

3

14.5%

3.92

4

32.8%

0.75 to <2.50

111

1

13.8%

112

1.0%

8

41.5%

0.88

78

70.1%

2.50 to <10.00

45.0%

3.0%

1

60.0%

1.00

155.4%

10.00 to <100.00

47

40.5%

47

12.0%

6

40.0%

0.87

83

176.6%

2

3

100.00 (Default)

Subtotal

63,093

968

63,415

900

681

0.0%

4

4

Corporates

0.00 to <0.15

10,256

15,873

32.7%

15,425

0.1%

2,112

22.1%

1.99

1,727

11.2%

2

1

0.15 to <0.25

4,242

5,089

29.6%

5,735

0.2%

457

22.6%

2.46

1,216

21.2%

2

3

0.25 to <0.50

14,153

14,677

27.4%

18,169

0.3%

2,017

21.8%

2.50

5,437

29.9%

14

5

0.50 to <0.75

13,118

13,652

23.1%

16,251

0.7%

3,450

19.1%

2.43

5,265

32.4%

21

13

0.75 to <2.50

29,215

11,637

26.5%

32,428

1.4%

9,363

16.1%

2.54

11,483

35.4%

72

57

2.50 to <10.00

11,565

3,075

27.6%

12,453

4.2%

4,606

15.8%

2.62

5,742

46.1%

83

75

10.00 to <100.00

1,441

807

18.0%

1,616

20.4%

18,761

16.1%

2.31

1,252

77.5%

54

22

100.00 (Default)

4,919

1,325

12.0%

5,059

100.0%

1,464

28.2%

2.10

5,024

99.3%

1,511

1,528

Subtotal

88,911

66,135

107,136

42,230

37,146

1,760

1,704

Institutions

0.00 to <0.15

5,581

729

17.3%

5,707

0.1%

429

20.0%

2.42

394

6.9%

1

1

0.15 to <0.25

611

2,322

87.6%

2,646

0.2%

52

10.7%

4.02

354

13.4%

0.25 to <0.50

413

29

23.7%

420

0.3%

57

7.2%

1.84

41

9.8%

1

0.50 to <0.75

45

6

29.0%

46

0.6%

18

38.5%

0.49

29

62.5%

0.75 to <2.50

198

120

9.6%

210

1.3%

26

31.7%

0.88

128

61.2%

1

2.50 to <10.00

17

0.0%

3.2%

2

37.8%

1.00

122.0%

10.00 to <100.00

36

11

6.3%

37

24.0%

100

26.6%

0.97

60

163.0%

2

1

100.00 (Default)

Subtotal

6,885

3,234

9,067

684

1,007

4

2

Retail

0.00 to <0.15

79,230

8,163

32.1%

81,308

0.1%

3,202,359

11.9%

4.84

1,811

2.2%

7

0.15 to <0.25

46,305

622

25.2%

46,325

0.2%

465,968

15.4%

4.93

2,764

6.0%

13

0.25 to <0.50

13,663

522

22.8%

13,828

0.4%

313,656

19.2%

4.82

1,604

11.6%

10

0.50 to <0.75

11,002

715

35.0%

11,203

0.6%

122,817

19.2%

4.61

1,725

15.4%

13

0.75 to <2.50

7,837

511

28.8%

8,029

1.3%

482,364

28.5%

4.13

2,432

30.3%

29

2.50 to <10.00

6,068

386

40.6%

6,190

4.7%

195,667

21.3%

4.04

3,064

49.5%

62

10.00 to <100.00

1,966

71

47.2%

1,987

16.5%

53,450

27.6%

3.81

1,830

92.1%

88

4

100.00 (Default)

1,500

71

6.7%

1,496

100.0%

28,582

21.0%

4.15

1,313

87.8%

254

203

Subtotal

167,571

11,061

170,365

4,864,863

16,543

477

207

Total

326,459

81,398

349,983

4,908,677

55,378

2,245

1,917

1. CCF = Credit conversion factor; CRM = Credit risk mitigation

The marked increase of EAD post CRM in the first six months of 2020 related entirely to central government or central banks and to ECB's targeted longer-term refinancing operations (TLTRO). ABN AMRO has increased its participation in TLTRO to support clients and potential future liquidity needs resulting from the Covid-19 crisis. This participation is visible in the highest PD scale of central government or central banks. In all other exposure classes, EAD post CRM decreased.

ABN AMRO Bank Pillar 3 Report second quarter 2020

44 > Pillar 3 > Credit risk and credit risk mitigation IRB approach

EU CR8 - RWA flow statements of credit risk exposures under the IRB approach

30 June 2020

31 March 2020

31 December 2019

Capital require-

Capital require-

Capital require-

(in millions)

RWA amounts

ments

RWA amounts

ments

RWA amounts

ments

1

RWAs as at end previous

reporting period

81,013

6,481

79,521

6,362

78,923

6,314

2

Asset size

-1,436

-115

1,045

84

-2,453

-196

3

Asset quality

-313

-25

41

3

803

64

4

Model updates

917

73

386

31

2,752

220

5

Methodology and policy

1,893

151

-546

-44

  1. Acquisitions and disposals
  2. Foreign exchange movements

8 Other

-7

-1

20

2

42

3

9 RWAs as at end reporting

period

82,066

6,565

81,013

6,481

79,521

6,362

Total IRB RWA increased to EUR 82.1 billion at 30 June 2020 (31 December 2019: EUR 79.5 billion) due to the introduction of the new Definition of Default and model updates, partly offset by business developments and higher allowances.

ABN AMRO Bank Pillar 3 Report second quarter 2020

45 > Pillar 3 > Counterparty credit risk

Counterparty credit risk

EU CCR1 - Analysis of CCR exposure by approach

30 June 2020

Replacement

Potential

cost/Current

future credit

EAD post

(in millions)

Notional market value

exposure

EEPE

Multiplier

CRM

RWAs

1

Mark to market

5,408

4,128

3,863

2,008

2

Original exposure

3

Standardised Approach

4,527

1,070

Internal Model Method (for derivatives

4

and SFTs)

- of which securities financing

5

transactions

- of which derivatives & long settlement

6

transactions

- of which from contractual cross

7

products netting

Financial collateral simple method (for

8

SFTs)

8,926

2,426

Finance collateral comprehensive me-

9

thod (for SFTs)

10

VaR for SFTs

11

Total

5,504

31 December 2019

1

Mark to market1 )

2,332

4,441

3,911

1,875

2

Original exposure

3

Standardised Approach1 )

3,606

642

  1. Internal Model Method (for derivatives and SFTs)
  2. - of which securities financing transactions
  3. - of which derivatives & long settlement transactions
  4. - of which from contractual cross products netting
  5. Financial collateral simple method (for

SFTs)

9,245

2,360

  1. Finance collateral comprehensive me- thod (for SFTs)
  2. VaR for SFTs

11 Total

4,878

1. Comparative figures for the period ending 31 December 2019 have been restated. A correction in EAD post CRM of EUR 2.4 billion was made from Mark to market to Standardised Approach and a RWAs have been corrected with EUR 0.1 billion from Standardised Approach to Mark to Market. Total EAD post CRM and total RWA's are not impacted.

The increase in CCR exposure and RWA is primarily visible under the standardised approach due to increased positions within CIB.

ABN AMRO Bank Pillar 3 Report second quarter 2020

46 > Pillar 3 > Counterparty credit risk

EU CCR2 - CVA capital charge

30 June 2020

31 December 2019

(in millions)

Exposure value

RWAs

Exposure value

RWAs

  1. Total portfolios subject to the Advanced Method
  2. (i) VaR component (including the 3x multiplier)
  3. (ii) Stressed VaR component (including the 3x multiplier)

4

All portfolios subject to the Standardised Method

1,123

192

1,114

370

EU4

Based on Original Exposure Method

5

Total subject to the CVA capital charge

1,123

192

1,114

370

The decrease in RWA for CVA is mainly explained by the introduction of index hedges.

EU CCR8 - Exposures to CCPs

30 June 2020

31 December 2019

(in millions)

EAD post CRM1 )

RWAs

EAD post CRM1 )

RWAs

1

Exposures to QCCPs (total)1 )

444

626

2

Exposures for trades at QCCPs (excluding initial margin and default

fund contibutions)

4,973

99

4,753

95

3

of which (i) OTC derivatives

2,779

56

2,530

51

4

of which (ii) exchange-traded derivatives

5

of which (iii) SFTs

2,194

44

2,223

46

6 of which (iv) netting sets where cross-product netting has been approved

7

Segregated initial margin

3,867

2,585

8

Non-segregated initial margin

2,260

45

1,383

28

9

Prefunded default fund contributions

1,250

299

970

503

  1. Alternative calculation of own funds requirements for exposures
  2. Exposures to non-QCCPs (total)1 )
  3. Exposures for trades at non-QCCPs (excluding initial margin and default fund contibutions)
  4. of which (i) OTC derivatives
  5. of which (ii) exchange-traded derivatives
  6. of which (iii) SFTs
  7. of which (iv) netting sets where cross-product netting has been approved
  8. Segregated initial margin
  9. Non-segregatedinitial margin
  10. Prefunded default fund contributions
  11. Unfunded default fund contributions

1. QCCP = Qualifying central counterparty; CRM = Credit risk mitigation

The exposure to CCPs decreased slightly over the first half year. The reduction in RWA was primarily attributable to lower default fund contributions in the US. The increase in margins reflects the sentiment in the market over the last months.

ABN AMRO Bank Pillar 3 Report second quarter 2020

47 > Pillar 3 > Counterparty credit risk

EU CCR3 - Standardised Approach - CCR exposures by regulatory portfolio and risk

30 June 2020

Of which:

Risk weight

Total

unrated

(in millions)

0%

2%

4%

10%

20%

50%

70%

75%

100%

150% Others

Exposure classes

1 Central governments

or central banks

9

9

  1. Regional governments
    or local authorities
  2. Public sector entities

4

Multilateral development banks

55

55

55

5

International organisations

6

Institutions

4,584

389

1,893

361

7,227

7,166

7

Corporates

2,356

16

2,373

2,373

  1. Retail
  2. Institutions and corporates with a short-term credit assessment
  3. Other items

11 Total

55

4,584

389

1,902

361

2,356

16

9,664

9,594

31 December 2019

Of which:

Risk weight

Total

unrated

(in millions)

0%

2%

4%

10%

20%

50%

70%

75% 100%

150% Others

Exposure classes

  1. Central governments or central banks
  2. Regional governments
    or local authorities
  3. Public sector entities

4

Multilateral development banks

30

30

30

5

International organisations

6

Institutions

4,753

2,246

64

697

7,760

6,656

7

Corporates

542

1,112

27

1,681

1,681

  1. Retail
  2. Institutions and corporates with a short-term credit assessment
  3. Other items

11 Total

30 4,753

2,788

64

1,809

27

9,471

8,367

ABN AMRO Bank Pillar 3 Report second quarter 2020

48 > Pillar 3 > Counterparty credit risk

EU CCR4 - IRB approach - CCR exposures by portfolio and PD scale

30 June 2020

Numbers of

Average

PD scale

EAD post CRM1 )

Average PD

obligors

Average LGD

maturity

RWAs

RWA density

(in millions)

(in %)

(in units)

(in %)

(in years)

(in millions)

(in %)

Exposure class

Central government

or central banks

0.00 to <0.15

273

0.01%

19

9.56%

2.15

5

1.91%

0.15 to <0.25

0.18%

1

33.70%

1.75

28.43%

0.50 to <0.75

0.66%

1

16.30%

5.00

43.63%

Subtotal

274

21

5

Corporates

0.00 to <0.15

2,431

0.06%

305

30.73%

2.01

421

17.32%

0.15 to <0.25

259

0.18%

55

45.26%

1.34

98

37.99%

0.25 to <0.50

584

0.35%

190

33.13%

3.12

289

49.55%

0.50 to <0.75

312

0.67%

291

25.63%

3.08

156

50.05%

0.75 to <2.50

438

1.47%

683

28.61%

3.28

344

78.72%

2.50 to <10.00

110

4.16%

255

21.48%

2.83

77

69.81%

10.00 to <100.00

34

22.97%

459

22.30%

2.98

34

99.82%

100.00 (Default)

64

100.00%

104

45.40%

2.56

376

590.25%

Subtotal

4,231

2,342

1,796

Institutions

0.00 to <0.15

2,651

0.06%

103

37.01%

0.68

333

12.58%

0.15 to <0.25

203

0.18%

15

42.84%

2.67

127

62.31%

0.25 to <0.50

223

0.28%

17

39.19%

0.77

96

43.14%

0.50 to <0.75

1

0.64%

1

42.30%

0.20

66.97%

0.75 to <2.50

32

1.17%

3

43.28%

0.19

26

82.10%

10.00 to <100.00

37

24.00%

11

30.18%

1.39

71

192.13%

Subtotal

3,147

150

654

Total

7,652

2,513

2,456

1. CRM = Credit risk mitigation

ABN AMRO Bank Pillar 3 Report second quarter 2020

49 > Pillar 3 > Counterparty credit risk

31 December 2019

PD scale

EAD post CRM1 )

Numbers of

Average

Average PD

obligors

Average LGD

maturity

RWAs

RWA density

(in millions)

(in %)

(in units)

(in %)

(in years)

(in millions)

(in %)

Exposure class

Central government

or central banks

0.00 to <0.15

261

0.01%

17

8.30%

2.54

2

0.63%

0.15 to <0.25

0.17%

1

29.70%

2.25

26.68%

0.50 to <0.75

0.66%

1

14.40%

5.00

37.06%

Subtotal

261

19

2

Corporates

0.00 to <0.15

1,973

0.06%

330

29.51%

2.18

337

17.07%

0.15 to <0.25

229

0.18%

63

44.66%

0.99

74

32.32%

0.25 to <0.50

608

0.35%

194

35.41%

2.63

281

46.17%

0.50 to <0.75

249

0.67%

310

24.10%

2.67

109

43.74%

0.75 to <2.50

590

1.47%

770

25.73%

2.48

371

62.77%

2.50 to <10.00

188

4.64%

293

22.39%

2.39

135

71.71%

10.00 to <100.00

40

23.67%

474

29.16%

3.79

66

164.43%

100.00 (Default)

58

100.00%

83

49.66%

2.93

359

620.70%

Subtotal

3,936

2,517

1,731

Institutions

0.00 to <0.15

2,503

0.06%

109

37.43%

0.73

300

12.00%

0.15 to <0.25

167

0.18%

19

39.83%

1.65

69

41.33%

0.25 to <0.50

246

0.28%

17

38.15%

0.74

99

40.32%

0.50 to <0.75

1

0.64%

2

41.74%

0.47

1

65.79%

0.75 to <2.50

155

1.07%

4

37.80%

0.20

97

62.69%

10.00 to <100.00

20

24.00%

5

35.89%

1.59

44

224.36%

Subtotal

3,092

156

611

Total

7,290

2,692

2,343

1. CRM = Credit risk mitigation

Overall, the figures for CCR exposure under the IRB approach remained fairly stable. The small increase in exposure and RWA is attributable to increased positions in Financial Corporations.

EU CCR5-A - Impact of netting and collateral held on exposure values

30 June 2020

Gross positive fair value

Netted current credit

Net credit

(in millions)

or net carrying amount

Netting benefits

exposure

Collateral held

exposure

1

Derivatives

17,758

12,656

5,102

380

4,722

2

SFTs

59,075

59,075

55,369

3,706

4

Total

76,833

12,656

64,176

55,748

8,428

31 December 2019

1

Derivatives

52,034

48,359

3,676

1,341

2,334

2

SFTs

37,577

37,577

33,383

3,026

4

Total

89,611

48,359

41,253

34,724

5,360

The decrease in derivatives exposure compared with year-end 2019 is mainly explained by a decrease in exposure to QCCPs. The increase in securities financing transactions compared with year-end 2019 related to the cyclicality of the business.

ABN AMRO Bank Pillar 3 Report second quarter 2020

50 > Pillar 3 > Counterparty credit risk

EU CCR5-B - Composition of collateral for exposures to CCR

30 June 2020

Collateral used in derivative transactions

Fair value of collateral

received

Fair value of posted collateral

(in millions)

Segregated Unsegregated

Segregated

Unsegregated

1

Cash

2,220

4,098

2

Securities

62

1,723

1,785

3

Total

2,281

1,723

5,883

Collateral used in SFTs

Fair value

Fair value

of collateral

of posted

received

collateral

21,291

29,408

38,761

28,563

60,052

57,971

31 Decem-

ber 2019

1

Cash

1,473

3,483

11,143

17,520

2

Securities

98

287

385

27,496

18,888

3

Total

1,571

287

3,868

38,639

36,409

The increase in cash collateral used for SFT mainly related to clients in the banking sector. The increase in securities primarily related to pension funds.

EU CCR6 - Credit derivatives exposures

30 June 2020

31 December 2019

Other credit

Other credit

Credit derivative hedges

derivatives

Credit derivative hedges

derivatives

Protection

(in millions)

bought

Protection sold

Protection bought

Protection sold

1

Notionals

125

25

2

Single-name credit default swaps

10

3

Index credit default swaps

125

15

  1. Total return swaps
  2. Credit options
  3. Other credit derivatives

7

Total notionals

125

25

8

Fair values

-3

9

Positive fair value (asset)

-3

10

Negative fair value (liability)

ABN AMRO Bank Pillar 3 Report second quarter 2020

51 > Pillar 3 > Market risk

Market risk

EU MR1 - Market risk under the Standardised Approach

30 June 2020

31 December 2019

Capital

Capital

(in millions)

RWA

requirements

RWA

requirements

Outright products

1

Interest rate risk (general and specific)

7

1

6

2

Equity risk (general and specific)

3

Foreign exchange risk

4

Commodity risk

Options

  1. Simplified approach
  2. Delta-plusmethod
  3. Scenario approach
  4. Securitisation (specific risk)

9 Total

7

1

6

EU MR2-A - Market risk under the IMA

30 June 2020

31 December 2019

Capital

Capital

(in millions)

RWA

requirements

RWA

requirements

1

VaR

287

23

134

11

a

Previous day's VaR

8

3

b

Average of the daily VaR on each of the past 60 business days x

multiplication factor

23

11

2

SVaR

598

48

673

54

a

Latest SVaR

17

16

b

Average of the SVaR during the past 60 business days x multiplication

factor

48

54

3

IRC

1,016

81

549

44

a

Most recent IRC value

64

35

b

Average of the IRC number over the past 12 weeks

81

44

4 Comprehensive risk measure

  1. Most recent risk number for the correlation trading portfolio
  2. Average of the risk number for the correlation trading portfolio over the past 12 weeks
  3. 8% of own funds requirement in the SA on the most recent risk num- ber for the correlation trading portfolio

5 Other

6 Total

1,900

152

1,357

109

ABN AMRO Bank Pillar 3 Report second quarter 2020

52 > Pillar 3 > Market risk

EU MR2-B - RWA flow statements of market risk exposures under the IMA

30 June 2020

31 March 2020 31 December 2019

Compre-

Total capital

Total

Total

capital

capital

hensive risk

Total

require-

Total

require-

Total

require-

(in millions)

VaR

SVaR

IRC

measure

Other RWAs

ments

RWAs

ments

RWAs

ments

1

RWAs at previous quarter end

180

869

1,086

2,136

171

1,357

109

1,219

98

1a

Regulatory adjustment 1 )

45

677

722

58

1b

RWAs at the previous quarter end

(end of the day) 1 )

135

192

1,086

1,414

113

1,357

109

1,219

98

2

Movement in risk levels

-172

-70

-242

-19

629

50

3

Model update/changes

107

-100

7

1

150

12

  1. Methodology and policy
  2. Acquisitions and disposals
  3. Foreign exchange movements

7

Other

138

11

8a

RWAs at the end of the

reporting period (end of the day)

104

212

797

1,112

89

2,136

171 1,357

109

8b

Regulatory adjustment

183

386

219

788

63

8 RWAs at the end of the

reporting period

287 598 1,016

1,900

152 2,136

171 1,357

109

1. The comparative figures for 31 March 2020 and 31 December 2019 with regard to "1a. Regulatory adjustment" and "1b RWAs at the previous quarter-end (end of the day)" have been restated. The RWAs at the previous quarter-end (end of the day) are updated from a 60-day average to the last observation.

Market risk RWA moved from EUR 2.1 million as at 31 March to EUR 1.9 billion as at 30 June 2020. This was due to the following:

  • The 60-day average of the 1-day SVaR multiplier moved from EUR 6.2 million to EUR 5.0 million due to position changes.
  • The Incremental Risk Charge (IRC) including 26% add-on moved from EUR 87 million to EUR 81 million due to position changes.
  • ABN AMRO received approval from the ECB to apply CRR article 500c, which allows the ECB to ignore the 6 Covid-19 related overshootings that occurred in March 2020. Based on this approval, the capital multiplier, which increased from 3 to 3.5 in March 2020 as a result of the overshootings, moved back to 3 as of 30 June 2020.

The above causes for the market risk RWA increase were partly offset by the 60-day average of the 1-day VaR moving from EUR 1.3 million to EUR 2.4 million. This was attributable to the VaR increase caused by the addition of the March 2020 scenarios only gradually showing up in the 60-day average used for the capital calculation.

ABN AMRO Bank Pillar 3 Report second quarter 2020

53 > Pillar 3 > Market risk

EU MR3 - IMA values for trading portfolios

(in millions)

30 June 2020

31 December 2019

VaR (10 day 99%)

VaR (10 day 99%)

1

Maximum value

13

7

2

Average value

8

4

3

Minimum value

6

2

4

Period end

8

3

SVaR (10 day 99%)

SVaR (10 day 99%)

5

Maximum value

24

26

6

Average value

16

17

7

Minimum value

11

10

8

Period end

17

15

IRC (99.9%)

IRC (99.9%)

9

Maximum value

84

46

10

Average value

66

33

11

Minimum value

51

19

12

Period end

51

32

Comprehensive risk capital charge Comprehensive risk capital charge

(99.9%)

(99.9%)

  1. Maximum value
  2. Average value
  3. Minimum value
  4. Period end

EU MR4 - Comparison of VaR estimates with gains/losses

Comparison of VaR estimates with gains/losses

3,000,000

2,000,000

1,000,000

0

-1,000,000

-2,000,000

-3,000,000

-4,000,000

Jun 19

Jul 19

Aug 19

Sep 19

Oct 19

Nov 19

Dec 19

Jan 20

Feb 20

Mar 20

Apr 20

May 20

Jun 20

CaPnL

Hypo

Negative VaR

Analysis of outliers

For COB on 6, 10, 12, 13, 16 and 17 March 2020, ABN AMRO reported a Hypothetical PnL exceeding the 1-day Value at Risk (VaR) on an overall level. In addition, for COB 6, 10 and 13 March 2020, ABN AMRO reported a Clean Actual PnL exceeding the VaR on an overall level. These overshootings were genuine and were caused by EUR interest rates curves moving and credit spread widening during the extreme market environment caused by the Covid-19 outbreak. The Rates & Government Bond Trading and Credit Trading desks were the main contributors to these overshootings.

On 20 July 2020 ABN AMRO received an approval from the ECB to apply CRR article 500c, which allows the ECB to ignore the six Covid-19-related overshootings.

ABN AMRO Bank Pillar 3 Report second quarter 2020

54 > Pillar 3 > Encumbered assets

Encumbered Assets

In accordance with the instructions from EBA/RTS/2017/03, disclosures of encumbered assets are valued based on the median values for the last four quarters. As median values are determined per data point, the sum of 'of which' amounts do not necessarily add up.

Encumbered assets

30 June 2020

Carrying

Of which:

Of which:

notionally

notionally

Carrying

Of which:

Fair value of

Of which:

amount of

eligible

Fair value of

eligible

amount of

encumbered

EHQLA and

encumbered

EHQLA and

unencumbe-

EHQLA and

unencumbe-

EHQLA and

(in millions)

assets

HQLA

assets

HQLA

red assets

HQLA

red assets

HQLA

1

Assets of the reporting institution

77,383

3,075

319,817

70,791

2

Equity instruments

4

4

828

828

3

Debt securities

3,147

2,721

3,147

2,721

44,899

42,915

44,899

42,915

4

- of which covered bonds

61

15

61

15

3,952

3,818

3,952

3,818

5

- of which asset-backed securities

6

6

- of which issued by general

6

governments

3,082

2,662

3,082

2,662

37,702

36,547

37,702

36,547

- of which issued by financial

7

corporations

65

65

65

65

7,070

6,380

7,070

6,380

- of which issued by non-financial

8

corporations

6

6

154

154

9

Other assets

74,232

354

273,700

27,877

10

- of which loans on demands

208

28,904

27,590

- of which loans and advances

11

other than loans on demand

74,134

353

226,744

43

12

- of which mortgage loans

61,367

118,161

31 December 2019

1

Assets of the reporting institution

68,510

1,985

324,527

71,535

2

Equity instruments

12

12

906

906

3

Debt securities

2,012

1,492

2,012

1,492

43,438

41,998

43,438

41,998

4

- of which covered bonds

61

21

61

21

3,997

3,853

3,997

3,853

5

- of which asset-backed securities

7

7

6

- of which issued by general

governments

1,932

1,419

1,932

1,419

36,695

35,695

36,695

35,695

7

- of which issued by financial

corporations

73

73

73

73

6,788

6,293

6,788

6,293

8

- of which issued by non-financial

corporations

7

7

117

117

9

Other assets

66,486

493

280,177

28,995

10

- of which loans on demands

182

30,220

28,689

11

- of which loans and advances

other than loans on demand

66,408

371

233,934

53

12

- of which mortgage loans

56,471

123,211

ABN AMRO Bank Pillar 3 Report second quarter 2020

55 > Pillar 3 > Encumbered assets

Collateral received by the reporting institution

30 June 2020

Fair value of

Fair value of

encumbered

collateral recei-

collateral

ved or own debt

received or own

- of which:

securities issued

- of which: EHQ-

debt securities

notionally eligible

available for

(in millions)

issued

EHQLA and HQLA

encumbrance

LA and HQLA

1

Collateral received by the reporting institution

41,411

34,823

18,599

12,459

2

Loans on demand

3

Equity instruments

19,800

14,104

9,377

4,630

4

Debt securities

20,693

19,653

9,513

7,829

5

- of which covered bonds

844

844

94

78

6

- of which asset-backed securities (ABS)

4,611

4,208

454

438

7

- of which issued by general governments

15,153

15,055

7,401

6,846

8

- of which issued by financial corporations

4,719

4,094

1,163

830

9

- of which issued by non-financial corporations

596

305

760

233

10

Loans and advances other than loans on demand

11

Other collateral received

26

6

  1. Of which:
  2. Own debt securities issued other than own covered bonds or ABS
  3. Own covered bonds and ABS and not yet pledged
  4. Total assets, collateral received and own debt securities

issued

118,794

37,818

31 December 2019

1

Collateral received by the reporting institution

37,698

27,090

22,364

17,296

2

Loans on demand

3

Equity instruments

19,660

13,246

11,874

7,430

4

Debt securities

17,176

13,843

10,454

9,214

5

- of which covered bonds

791

786

450

450

6

- of which asset-backed securities (ABS)

3,859

3,525

667

662

7

- of which issued by general governments

11,524

10,855

7,309

7,436

8

- of which issued by financial corporations

4,641

4,059

2,354

1,607

9

- of which issued by non-financial corporations

324

216

724

193

10

Loans and advances other than loans on demand

11

Other collateral received

355

18

  1. Of which:
  2. Own debt securities issued other than own covered bonds or ABS
  3. Own covered bonds and ABS and not yet pledged
  4. Total assets, collateral received and own debt securities

issued

107,161

29,571

ABN AMRO Bank Pillar 3 Report second quarter 2020

56 > Pillar 3 > Encumbered assets

Source of encumbrance

30 June 2020

31 December 2019

Assets, collateral

Assets, collateral

received and

received and own

own debt securi-

debt securities

Matching liabili-

ties issued other

Matching liabili-

issued other

ties, contingent

than covered

ties, contingent

than covered

liabilities or

bonds and ABS

liabilities or

bonds and ABSs

(in millions)

securities lent

encumbered

securities lent

encumbered

1

Carrying amount of selected financial liabilities

68,243

78,271

58,748

68,306

2

of which derivatives

5,822

5,260

4,215

4,333

3

of which repurchase agreements

14,930

17,986

10,904

15,239

4

of which collateralised deposits other than repurchase agreements

11,867

16,971

8,445

11,480

5

of which covered bonds issued

34,437

37,617

34,561

36,699

6

of which asset-backed securities issued

250

271

ABN AMRO manages its balance sheet prudently and incorporates a mix of secured and unsecured funding sources into its funding plan in order to fund its asset base at attractive cost levels, whilst managing liquidity refinancing and repricing risk. The diversity in available funding sources thus results in lower levels of encumbrance of the bank's assets.

Encumbered assets on the bank's balance sheet consist primarily of mortgages, which are used as a cover pool for the covered bond programme and for assets pledged for participation under the TLTRO III program. The mortgages in the cover pool are not considered to be encumbered when the securities are retained within the bank and regarded as part of the unencumbered liquidity buffer.

Furthermore, assets are encumbered as a result of cash and securities posted as margins under derivatives and clearing transactions as well as collateral pledged for collateral swap transactions with bilateral counterparties.

In June 2020, the bank took part in the TLTRO III programme to further support clients with potential future liquidity needs resulting from Covid-19. Retained covered bonds and RMBS were used as collateral under the TLTRO III programme. This resulted in an increase in on-balance encumbrance in Q2 2020 to a level of 24.46% as compared to the median of the past four quarters of 19.41%.

Repurchase agreements and securities lending type activities also lead to encumbrance of assets, but these transactions are largely conducted using securities received in reverse repo or collateral swap transactions. These received securities are not recognised on the balance sheet and are treated as off-balance collateral available for encumbrance.

ABN AMRO Bank Pillar 3 Report second quarter 2020

57 > Pillar 3 > Disclaimer

Disclaimer & cautionary statements

ABN AMRO has included in this document, and from time to time may make certain statements in its public statements, that may constitute "forward-looking statements".This includes, without limitation, such statements that include the words "expect", "estimate", "project", "anticipate", "should", "intend", "plan", "probability", "risk", "Value-at-Risk ("VaR")", "target", "goal", "objective", "will", "endeavour", "outlook", "optimistic", "prospects" and similar expressions or variations of such expressions. In particular, the document may include forward-looking statements relating but not limited to ABN AMRO's potential exposures to various types of operational, credit and market risk. Such statements are subject to uncertainties. Forward-looking statements are not historical facts and represent only ABN AMRO's current views and assumptions regarding future events, many of which are by nature inherently uncertain and beyond our control. Factors that could cause actual results to deviate materially from those anticipated by forward-looking statements include, but are not limited to, macroeconomic, demographic and political conditions and risks, actions taken and policies applied by governments and their agencies, financial regulators and private organisations (including credit rating agencies), market conditions and turbulence in financial and other markets, and the success of ABN AMRO in managing the risks involved in the foregoing. Any forward-looking statements made by ABN AMRO are current views as at the date they are made. Subject to statutory obligations, ABN AMRO does not intend to publicly update or revise forward-looking statements to reflect events or circumstances after the date the statements were made, and ABN AMRO assumes no obligation to do so.

ABN AMRO Bank Pillar 3 Report second quarter 2020

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ABN Amro Bank NV published this content on 12 August 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 12 August 2020 05:07:08 UTC