ABN AMRO Bank N : Analyst and investor call presentation Q1 2020​ (PDF 682 KB)

Investor Relations

results Q1 2020

investor and analyst presentation 13 May 2020

Highlights Q1, resilient going into Covid-19

Financials

• Significant impact of Covid-19, focus on wellbeing and safety of our clients and staff
• Q1 loss of 395m reflecting 1.1bn of impairments, alongside strong operational performance
• NII and fees held up, despite volatile markets
• Costs well controlled with continued delivery on cost-saving programmes
• Impairments reflect exceptional files and significant upfront provisioning for sub sectors immediately impacted by Covid-19 and oil price
• Resilient going into Covid-19
• • Well diversified credit portfolio and targeted support measures from the government for clients
  • Strong CET1 ratio at 17.3% 1,2) (c.14% Basel IV) and sound liquidity position
• Final dividend 2019 of 0.68 per share postponed (in line with ECB's recommendation) and remains reserved

Outlook

• NII guidance of 1.5-1.6bn per quarter remains unchanged, NII expected to trend towards lower end of the range
• On track for c. 5.1bn of costs in 2020; cumulative savings achieved of c.950m towards target of c.1.1bn by 2020 3)
• Cost of risk of c.90bps or c.2.5bn of impairments expected for FY2020
• Update on strategic priorities, financial targets and capital after summer

1. CET1 ratio excludes reserve for final dividend of 2019 of 639m (57bps)
2. Resilient to stress as confirmed by 2018 EU-wide stress test
3. Targeted cumulative cost savings vs. FY2015 cost base

2

Firm commitment to deliver results

Strong fundamentals

• Clear purpose and strategy around 3 strategic pillars
• Leading bank in the Netherlands with strong market positions
• Focused Private Bank with scalable franchise NW Europe
• Continuous IT rejuvenation and accelerated digital agenda
• Demonstrated cost discipline and focus on profitability
• Strong capital position, early anticipation of Basel IV

CEO priorities

• Lead the bank through Covid-19
• AML investigation ongoing; continued focus to deliver on AML remediation programmes
• Committed to de-risking and improving profitability CIB; outcome ongoing review in August
• Update on strategy and strategic pillars after the summer; also addressing operational efficiency, capital and targets
• Further accelerate digital
• Continued focus on mitigating impact negative rates

3

Banking for better, a compass during Covid-19

Sustainability

Customer experience		Future-proof bank

Support our clients' transition to sustainability as a business case

• Automatic payment holidays for targeted client groups with opt-out
• Client support to prevent payment arrears e.g. Financial Grip coaches
• Actively support seniors in digital shift imposed by lockdown
• Sharing computational power for Covid-19 related research
• Laptops for home schooling of underprivileged children

Effortless and proactive customer experience through client and data focus

• Strong increase in video banking, with high NPS appreciation
• Fast response to clients due to smart integration communication channels
• Credit facility small SMEs to be processed straight-through by New10
• Accelerated digital delivery, e.g. digital signatures in the Commercial Bank
• Extension of limits contactless payment reducing the need to touch terminals

Structure, capabilities and culture for competitiveness and compliance

• Priority wellbeing and safety of clients and employees
• Fast leverage of working from home platform
• Virtual call centres enabling client interaction without interruption
• Staff reallocation to better serve clients
• Virtual onboarding employees, allowing continued progress AML remediation
• AML remediation progressing, over 2,800 FTEs fully committed

4

Strong digital response enabled by investments in IT and digital

Digital banking well adopted				Uplift video banking during lockdown		Mobile client onboarding growing
% retail clients digitally active				% total client meetings through video banking		Retail client onboarding by channel
100%			Mobile only	Online	100%				February		April	100%			Online	Mobile only	Branch
75%							75%									75%
50%							50%									50%
25%							25%									25%
0%							0%									0%
2018 Q4	2019 Q4	2020 Q1	Commercial	Private	Retail	2019 Q1	2019 Q4	2020 04
								Bank	Bank NL

• Strong digital proposition and client adoption ensured seamless continuation of services; increasing use of mobile only
• Strategic investments in IT and digital offering enabled continued service to clients while working from home, including video banking
• Surge in clients' need for information met through smart mix of communication channels, including chatbots and virtual call c entres
• Swift execution of payment holidays, including opt-out, and government guarantee loans due to system and process flexibility
• Covid-19accelerates the digital shift, creating further opportunities to improve customer experience and operational efficiency

5

Support for the Dutch economy and our clients

Government aims to minimise impact on Dutch economy

Dutch economy to outperform Eurozone in 2020 reflecting intelligent lockdown and government support up to 100bn 1)

Income and salary support measures

• Labour retention package
• Salary compensation for the self employed
• Compensation for loss of turnover caused by health measures

Liquidity and tax support measures

• Government guaranteed loans (>11bn)
• Deferrals of tax payments on income tax, corporate income tax, wage tax and VAT
• Cancellation of tax penalties
• Easing of Dutch tax loss carry forward framework

Dutch government launched targeted measures aimed to minimize

impact on Dutch economy

ABN AMRO's comprehensive client support 2)

Early announced payment holidays

• Retail: c.13k individual clients 3) and c.33k professionals & self employed clients serviced by Retail participated
• SMEs: c.63k clients participated (90% clients in scope) representing 50% of CB loans
• Customized approach for larger corporates and private clients

Co-operation between banks and government to timely implement government guaranteed loan schemes

• Most facilities live, first guaranteed loans granted
• Client support desks expanded to facilitate fast roll out
• Government framework for loans <50k announced, through New10

By providing additional support measures ABN AMRO wants to be

part of the solution to help clients through Covid-19

1. List not exhaustive, more detailshereand here. EUR 100bn of support represents c. 15% of Dutch GDP. Dutch government debt was 49% of GDP at YE2019
2. Payment holidays with deferral of interest and principal: available as default option to all SMEs with facilities up to 50m (with opt-out possibility) and on a case-by-case basis available for other identified client groups. Client numbers as of beginning of May 2020
3. Half mortgage clients and half consumer loan clients

6

Diversified loan book and limited sector concentrations

Loans mostly Dutch and around half mortgages 1)

Professional & other	Mortgages
9%	53%
Corporates	EUR 278bn
34%
Consumer loans
4%

Immediately impacted sub sectors Covid-19 and oil price 1,2)

Rest of loan
book		Immediately impacted 8%
92%
		Retail/Private 2%
	EUR 278bn	Corporates 6%
		o/w SMEs c.3%
		o/w Oil & Gas (incl.
		Offshore) c.2%

• Majority of loans in strong Dutch economy, with clients having access to large scale support from government and ABN AMRO
• Mortgages are half the book and performed well through previous financial crisis, payment holiday requested by c.1% of clients
• Within CB c.20% immediately impacted sub sectors (mainly Transportation, Leisure and Non-Food Retail) and within CIB c.10%, largely Oil & Gas reflecting lower prices
• All immediately impacted sub sectors provisioned (stage 2 & 3) at Q1. Additional impact on CIB mitigated by prior de-risking2)

1. Gross carrying amounts of on balance sheet loans & receivables (Q1 2020)
2. Includes full sub sectors for CB, Oil & Gas and other individual files in CIB, selected professionals in Retail, leisure-related commercial real estate in Retail and Private. More details on sub sectors on page 15

7

Disappointing net result alongside good operational delivery

EUR m	2020 Q1	2019 Q1	Delta
Net interest income	1,527	1,573	-3%
Net fee and commission income	438	414	6%
Other operating income	-41	94
Operating income	1,924	2,081	-8%
Operating expenses	1,300	1,327	-2%
Operating result	624	754	-17%
Impairment charges	1,111	102
Income tax expenses 1)	-92	174
Profit	-395	478

1) Low effective tax rate Q1 result of impairments in Asia with tax rate of around 13%

Key points

• Q1 loss of 395m reflecting 1.1bn of impairments, alongside strong operational performance
• NII impacted mainly by margin pressure on deposits due to low interest environment
• Fees benefitted from increased trading flows, especially Clearing
• Other income reflects mainly fair value adjustments
• Costs under control with continued delivery on cost-saving programmes
• Impairments reflect two exceptional client files and significant upfront provisioning for sectors most impacted Covid-19 and oil price
• Able to apply tax loss carry back for loss in US Clearing

8

Client lending stable

Mortgage client lending							Corporate client lending							Consumer loans client lending
EUR bn	CAGR = -0.1%1)							EUR bn	CAGR = 0.8% CB, -1.2% CIB 1)					EUR bn	CAGR = -2.2%1)
155									50					CIB	Commercial Banking	18
145									40													12
135									30													6
147.9				148.2		147.6		45.4	43.5						41.2	42.6	44.4	42.9		12.4					12.3	11.9
125										20													0
Q1	Q2		Q3	Q4		Q1		Q1	Q2		Q3	Q4	Q1		Q1	Q2		Q3		Q4	Q1
			2019		2020						2019				2020						2019			2020

• Mortgage book stable while remaining price disciplined, market share of 15% in Q1 2020
• No immediate impact of Covid-19 expected on mortgage market; decline in transactions mitigated by high number of refinancings
• CIB loans up in Q1, mainly reflecting modest drawdowns on committed lines at quarter-end (largely placed on deposit) 2)
• Commercial Banking loan book flat, reflecting focus on margins in competitive environment
• Outlook: Corporate loan book expected to increase modestly mainly from further drawdowns on committed lines

1. CAGR Q1 2019 - Q1 2020
2. FX impact 0.5bn Q-o-Q

9

Net Interest Income holding up despite low interest rates

Net Interest Income (NII) and Net Interest Margin (NIM)

Transition NII

EUR m											NIM bps
				Net interest income				Incidental effects
1,800				NIM 4Q rolling avg.					180
1,500													150
1,200													120
1,573							1,586		1,527
900														90
Q1			Q2		Q3		Q4		Q1
			2019					2020

EUR m

	c.-10	-10	-25
				c.-15
1,586					1,527
2019 Q4	Lower for longer	Asset margins	Prepayment penalties	Treasury results	2020 Q1

• Resilient NII despite margin pressure on deposits due to low interest environment
• Adjusted for seasonally high prepayment penalties at Q4 2019, NII slightly down due to margin pressure and lower Treasury results 2)
• Negative pricing of deposits above 2.5m started as of 1 April, impacting c. 26bn of deposits 1)
• NII guidance of 1.5-1.6bn per quarter remains unchanged, though trending towards lower end of the range

1. Around 52bn of deposits between 100k and 2.5m not subject to negative pricing. No negative rates on deposits below 100k (safeguarding c. 95% of clients)
2. Treasury results include various smaller items in Group Functions e.g.Tiering, Liquidity Management Costs

10

Fees strong in Q1, Clearing benefits from market volatility

Net fee income			Other operating income
EUR m		EUR m
		Stater fee	Net fee income (excl. Stater)				Other income		Divestment effects
500							Guidance (100m)

20					225			XVA		-88m
						Equity Part.		-32m
								Hedge acc./RFT	40m
					150			Other		39m
250
					75			119
394			396	438	94			-41
0					0
Q1	Q2	Q3	Q4	Q1	Q1	Q2	Q3	Q4	Q1
		2019		2020	-75		2019		2020

• Fees up 11% with Clearing benefitting from increased trading flows. Private and Commercial Banking also up, while Retail was flat
• Guidance on Fees unchanged at c.400m per quarter as certain businesses benefit from impact of Covid-19 (Clearing) and others are negatively impacted (mainly PB 1) and ICS)
• Other income down, reflecting fair value adjustments (XVA and equity participations) 2) and lower hedge accounting/RFT. Guidance remains at 100m per quarter long term, likely below long term guidance in coming quarters reflecting impact Covid-19

1. AuM declined by 28bn mainly due to lower market performance
2. 2020 Q1 (vs 2019 Q1): equity participations -32m (10m), CVA/DVA/FVA -88m(-7m), hedge accounting/RFT costs 40m (63m). 2019 Q1 had 34m provision for SME derivative-related issues

11

Costs well controlled, continued benefits from cost saving programmes

Operating expenses

Transition operating expenses

EUR m

1,500

1,000

500

0

Personnel	Other expenses
Regulatory levies	Incidental effects

589				636	570
567				550	531
Q1	Q2		Q3	Q4	Q1
	2019			2020

EUR m

-48		11	7
	-20	c.40
		-14
1,327			1,300

Q1 2019

Cost saving programmes

CLA pension related

Divestments & Acquisitions

AML cost

Investments

Inflation & levies

Q1 2020

• Personnel expenses continue to trend down, reflecting divestments and decrease in pension costs
• Other expenses decreased driven by execution of cost savings programmes (digitalisation & process optimisation)
• AML costs in line with plan, execution progressing despite Covid-19
• On track for c.5.1bn of costs, cumulative savings achieved of c.950m towards target of c.1.1bn by 2020 1)

1) Targeted cumulative cost savings vs. FY2015 cost base. Covid-19 presents risks to timing of delivery of our structural cost savings programmes, but also opportunity for short term cost savings

12

Substantial impairments at Q1

High impairments mainly in CIB
EUR m, %
13%	46%	41%	1,111
		TCF	RB, PB, GF
		82
		225
		CB, 225
		Clearing
		235
	511		CIB
		804
140
Regular	Covid-19	Exceptional client	2020 Q1
	and oil price	files

Impact on impairments from Covid-19 and oil price

Review of credits in sub sectors immediately impacted by Covid-19 and oil price 1,2):

Macro economic assumptions revised down (107m)

Payment holidays (35m): loss of compounded interest on deferrals

511

Stage 2 impairment (157m): transfer of all immediately impacted sub sectors (125m), coverage ratio increase for Oil & Gas (32m) 2)

Stage 3 impairment (212m): of which 173m Oil & Gas and Offshore

• Impairments comprise two exceptional client files in CIB, significant upfront collective impairments for Covid-19 and oil price, and modest regular impairments
• US Clearing client defaulted from market dislocation, TCF exposed to potential fraud from oil trader in Singapore
• Impact of Covid-19 and oil price drop not yet fully captured by underlying client risk data, hence management overlay of 511m upfront collective provisioning for all sectors immediately impacted, o/w 205m in Oil & Gas
• All clients to be re-evaluated case by case on underlying client risk data, with possible adjustment of impairments over next months

1. CIB clients reviewed case by case, CB reviewed by sub sector and RB reviewed by profession of the client. Review focussed on significant increase in credit risk, not (yet) captured by deterioration of underling risk data
2. Application of payment holiday is no automatic trigger for a stage transfer or additional impairments

13

Cost of risk outlook for 2020

Q1 Cost of risk by business line 1)

bps

2019 FY		Regular	Covid-19	Exceptional client files

412bps

	179
		202bps
	153					132bps
		171				39
				51bps
						73
62	80			37
45
	31	19	14	24	21

FY2020 Cost of risk of c.90bps, c.2.5bn

• Q1 Cost of risk (CoR) of 132bps reflects exceptional files, upfront impairments for Covid-19 & oil price and stable underlying impairments 1)
• • CIB: 179bps for exceptional files 2), 153bps for Covid-19 and low oil price, underlying impairments in line with 2019
  • CB: 171bps for Covid-19, 31bps for regular client files
  • R&PB: 37bps for clients applying for payment holidays, 14bps for underlying impairments in line with 2019
• CoR expected for FY2020 of c.90bps or c.2.5bn of impairments 3)
• CoR outlook depends on lockdown implementation, timing of economic recovery and government response. Assumes NL GDP of -3.8% 2020 and +2.2% 2021 4), reflecting intelligent lockdown in NL and no strong recovery before Q2 2021

CIB

CB

R&PB

ABN AMRO

1. Q1 Group CoR of 132bps excludes impairment charges on off-balance exposures of 215m (CIB). Including off-balance impairments and related exposures, Group CoR was 164bps for Q1
2. CIB CoR including off-balance impairments and related exposures was 311bps for exceptional files
3. Including off-balance impairments recorded in 2020 Q1
4. Source: ABN AMRO Group Economic, 16 April 2020. Eurozone GDP of -4.3% 2020 and +1.6% 2021

14

Well diversified loan book, largely in Netherlands

Loan book by sector 1)

EAD 389bn by sector (%)

Largest corporate sub sectors immediately impacted by Covid-19 and oil price 2)

Individuals	45.5%
Public Admin,	16.6%
Industrial G&S
Financials	4.8%
Banks	4.6%
Food & Beverage	4.5%
Oil & Gas
Real Estate	3.5%
Non-Food Retail	.6%
Unclassified	1.3%
Basic Resources	1.2%
Construction & Mat.	1.1%
Health Care	1.1%
Utilities	0.9%
Travel & Leisure	0.8%
Chemicals	0.4%
Technology	0.4%
Media	0.4%
Insurance	0.3%
Personal Goods	0.3%
Automotive	0.3%
Telecom	0.2%

o/w 2.8bn Transportation & Logistics

(Industrial Goods & Services)

o/w 4.8bn Oil & Gas and 2.1bn Offshore

o/w 1.8bn Non-Food Retail

o/w 2.1bn Leisure

(Travel & Leisure)

• Stage 2 transfer: 2.5bn, o/w subsector transportation (road ~35%, land ~20%, sea ~20%, inland water ~15% and air ~5%)
• Well diversified exposures, max 65% LtV at origination, mostly senior positions, largely collateralized
• Support measures available from Dutch government and ABN AMRO
• Stage 2 transfer: 3.1bn from 4.8bn, reflecting US exposures, o/w 1.9bn Upstream (1/3 in Oil, 2/3 in Gas and less sensitive to oil prices), 1.2bn Midstream, 0.1bn LNG
• Reserve based lending price deck resets multiple time/year. Depletion rate supports prices over time
• Offshore: previous de-risking resulted in no material transfers in Q1 for Offshore (1.9bn) and Offshore vessels (0.2bn)
• Stage 2 transfer: 1.4bn o/w largest subsectors automotive/motor vehicles, car parts & accessories (~30%), household goods (~20%), home decoration (~10%)
• Diversified portfolio, mostly clients with exposures <2.5m
• Support measures available from Dutch government and ABN AMRO
• Stage 2 transfer: 1.7bn, o/w largest subsectors include hotels & resorts (~40%), restaurants & bars (~15%), recreational services (~15%)
• Portfolio largely collateralized. Hotels: mainly (int.) chains, premium locations
• Support measures available from Dutch government and ABN AMRO

CB CIB

1. YE2019 data. EAD includes off-balance exposures after credit conversion. EAD split by Industry Classification Benchmark (ICB)
2. Data 2020 Q1: Loans & Receivables in gross carrying amount & excluding off-balance exposures. Industries listed in table (right) are subsectors of ICB sectors listed in chart (left): e.g. Transportation & Logistics is a smaller subsector of Industrial Goods & Services, Oil & Gas in table is CIB segment Oil & Gas whereas Oil & Gas in chart also includes e.g. TCF Energy

15

Resilient going into Covid-19: strong capital and sound liquidity position

Basel III CET1 ratio

Risk weighted assets

CET1 ratio excludes

RWA bn

final dividend 2019

(57bps)

-0.4%

-0.3%

-0.1%

2.3

-1.2

0.8

18.1%

17.3%

109.8

111.7

2019 Q4

Net result

RWA

OCI & Other

2020 Q1

2019 Q4

Credit risk

Ops. risk

Market risk

2020 Q1

LCR is stable 1)

	136%		LtD			LCR
134%	135%		134%	133%
114%	113%	111%		114%	117%
							4.6%
Q1	Q2	Q3		Q4	Q1

20192020

• Strong CET1 ratio of 17.3% (c.14% BIV), large buffer to MDA trigger of 9.7%. Resilient to stress, confirmed by 2018 EBA stress test 2)
• Decision on final dividend for 2019 of 639m postponed and remains reserved and is excluded from CET1 ratio
• RWA increase reflects increase in credit & market risk. Further modest RWA increase expected reflecting underlying credit. Add-ons delayed, Basel IV delayed to 2023 3)
• Capital targets maintained given current uncertainties (e.g. economic outlook and TRIM timing), will be reviewed later this year
• LCR strong, slight decline reflects temporary higher liquidity needs in Clearing, given strong increase in market volatility at the end March

1. 12 months rolling average
2. In the 2018 EBA Stress Test the CET1 ratio declined by 2.68% under the adverse scenario
3. RWA impact from TRIM and model review delayed to H2 2020, Definition of Default (impact c. 2bn) expected in Q2 2020, while DNB mortgage floor delayed until further notice

16

appendices

Clearing - Solid business with ROE above 10%

Strong ROE 1)

						22.5%
			16.8% 18.8%
		10.9%
8.2%							13.7%
					11.4%
	5.5%
2012	2013	2014	2015	2016	2017	2018	2019

Impairments

Impairments, EUR m

234

15

1

-5		-1		-2		-4	-0
2012	2013	2014	2015	2016	2017	2018	2019	2020Q1

Risk profile

• Clearing guarantees obligations towards clearing houses and other third parties from client trading
• Runs indirect market risk through clearing & financing activities
• Collateral mitigates risks from client trading. Margin and collateral calls increase when volatility rises
• Good track record in managing risk throughout volatility, generally with minor impairments: Q1 first material loss due to unprecedented market volatility

• Clearing offers an integrated approach to global transaction processing, financial logistics and risk management for clients active on international capital markets with direct market access
• Clients are principal trading groups, corporate hedgers and prime brokerage clients
• Products offered include: trading with direct market access, clearing, settlement, financing and securities borrowing & lending
• Footprint in 11 countries in Europe, the America's and Asia/Pacific

1. Based on 13.5% CET1

18

TCF incl. D&JC - Focus on further de-risking

Business exposures 1)			Exposure over time 1)
				EUR bn
E&M US 9%	D&JC 5%	Agri NL 14%					Diamond & JC
					Energy & Metals
E&M CH 1%			12.6		AgriCulture
E&M HK 6%		Agri SG	1.1	9.8
	13%
	Loans &				0.5
E&M		6.5
Receivables		5.0
SG 10%
9.8bn
	Agri US
E&M NL		8%	5.1	4.3
	Agri BR
25%				YE2017		2020 Q1
	9%

Risk profile

• Mainly short-term lending, book 2/3 collateralised
• Clients generally do not take open positions and are hedged
• Effective de-risking Diamonds (US closed, Dubai portfolio in rundown)
• Credit quality improved reflecting de- risking of lower quality clients in TCF
• Impairment risk typically relates to fraud: in past 10 years 75% of impairments was fraud related

• TCF offers a range of debt facilities including structured credit facilities, often complemented with trade instruments/services
• In addition cross sell income is generated on Clearing, Structured Finance, Global Markets and M&A advisory. Clients are serviced with cash management, syndications and other CIB products (incl. capital and advisory services and products)
• TCF has dedicated sector teams in Amsterdam, New York, Dallas, Hong Kong, Singapore, Shanghai and Sao Paulo
• Diamond & Jewellery Clients (D&JC) finances primarily rough and polished diamond traders based on borrowing base facilities. Mainly active in Belgium and a smaller presence in Hong Kong

1. Loans & Receivables (net of allowances), Q1 2020. c.25-30% of Energy & Metals (E&M) is in Metals (metal concentrates, steel and base metals)

19

Oil & Gas related exposures show continued de-risking

Business exposure 1)			Exposure over time 1)
OSV 0%	Drilling, Seismic &		EUR bn
Accommodation 6%					OSV	Offshore Oil & Gas
LNG		Energy
7%
	Services 6%
Midstream		Floating	7.1			6.4
19%		Production 12%	0.3
	Loans &				0.1
	Other Offshore	2.7
	Receivables			1.6
	2%
	6.4bn
			4.1			4.7
Upstream
48%
				YE2017	2020 Q1

Risk profile

• Lending typically secured by extensive security packages
• Majority of O&G clients have hedge programs in place. Offshore clients with limited contract backlog exposed to prolonged downturn
• De-riskingongoing in both O&G and Offshore. In Offshore de-riskingprimarily took place in drilling, seismic & accommodation

Oil & Gas (O&G)

• The majority of Oil & Gas exposure is in the US. Upstream is largest sub sector followed by Midstream and LNG
• Key products are syndicated senior secured credit facilities (Borrowing Bases and Term Loans)

Offshore

• The majority of Offshore activities is from Northern European clients
• Offshore subsectors: Largest segment is Floating Production (contracted cashflow) followed by Energy Services (diversified players), and Drilling, Seismic and Accommodation companies (most volatile to prolonged downturn)
• Key products are syndicated credit facilities (Revolvers and Term Loans) and Guarantees/LCs

1. Loans & Receivables (net of allowances), Q1 2020. EAD Oil & Gas of 14bn (as reported in Annual Report 2019) includes CIB segment Oil & Gas and TCF Energy

20

SMEs - Commercial Banking book well diversified over industry sectors

Business exposure 1)

Exposure over time 1)

Risk profile

Travel &

EUR bn

ABF	Leisure 5%	Food &	L&R Customers
21%		Beverage
Construction		19%		42.9
& Materials			39.6
4%	Loans &
Health	Receivables	Real Estate
Care	42.9bn	19%
4%
Other		Financial
7%		Services 2%
Retail		Industrial Goods &
	Services 12%
6%		YE2017	2020 Q1

▪ Well diversified portfolio which is

reflection of Dutch SME landscape

▪ Automated risk monitoring following

payment behavior

▪ CRE (part of Real Estate) largely in

NL and mainly in large cities, includes

31% residential, 17% offices, 16%

retail and 11% industrial, with avg LtV

of 42% (YE2019)

• Leading bank in Dutch market based on in-depth client and sector knowledge, primary bank for ~25% Dutch clients
• Product offering: mainly loans (c. 60% of revenues), cash management (c. 25%) and transaction services (c.10%), within Asset Based Financing (ABF) lease and factoring are offered, also outside the Netherlands
• In-houseproduct development of digital offering, fintech products and services, such as New10 and Tikkie Zakelijk
• Renewing and diversifying offerings through partnerships focusing on non-banking products & services to generate additional (fee) income

1. Loans & Receivables (net of allowances), Q1 2020

21

Mortgages performed well through previous financial crisis

Business exposures 1)

Life & other

11%

Savings	Partial
interest only
9%	30%

Mortgages

EUR 148bn

Amortising	Full
interest only
34%
16%

LtMVs reduced over time

Q1 2020 avg. indexed LtMV at 63% (61% excl. NHG)

YE2012

Q1 2020

17.1%	23.0%	24.8%	35.4%	11.0%	10.2%	12.9%	6.3%	32.5%	1.0%	1.8%	0.5%
<50%	50-80%	80-90%	90-100%	>100%	Un-	classified

Strong risk track record

CoR, bps
30				Avg. TTC CoR range
				Cost of Risk
				4Q Rolling CoR
15
0
-15
'12	'13	'14	'15	'16	'17	'18	'19 '20

• Mortgage book almost exclusively Dutch, a stronger presence in the Randstad area, almost a quarter of book is NHG mortgages
• Origination criteria include duty of care, affordability and loan to income set by regulator
• Products offered are primarily owner-occupied mortgages and fully amortising over a 30-year life
• Clients tend to fix interest rates for long period, with over 90% of mortgage book in fixed interest rates
• Full recourse to borrower. Mortgage book composition de-risking towards fully amortising loans, share of interest only continues to decline. Strong historic performance of the mortgage book with low losses

1. Loans & Receivables (mortgages, net of allowances), Q1 2020

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Sound liquidity position, strong liquidity buffer

Sound liquidity position

	Q1 2020	Q4 2019
LtD	117%	114%
LCR 1)	133%	134%
NSFR	>100%	>100%
Survival period (moderate	>12	>12
stress) 2)	months	months

Strong liquidity buffer

Modest drawdowns committed lines

EUR bn, Q1 2020		Undrawn committed lines, EUR bn
			2019 Q4
	70.8						2020 Q1
35.5
		11.7	11.2	30.4	27.4	12.5	11.4
Wholesale	Liquidity	CB	CIB	Other
maturities ≤≤1yr	buffer					business lines

• Strong liquidity and funding position, with c.4bn issued in term funding Q1, including the inaugural SNP issuance
• LCR decline reflects temporary higher liquidity needs in Clearing, given the strong increase in market volatility
• Additional drawdowns from clients on committed lines following market dislocations were modest and largely placed on deposit
• Liquidity buffer declined to 70.8bn reflecting collateral usage with ECB for USD liquidity (in anticipation of market disruptions) in combination with a decline in deposits following the lowering of client rates
• Future funding need through combination of central bank and wholesale funding, depending on market circumstance

1. Survival period reflects the period the liquidity position is expected to remain positive in an internally developed (moderate) stress scenario. This scenario assumes wholesale funding markets deteriorate and retail, private and corporate clients withdraw part of their deposits

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Regulatory measures provide temporary capital relief

Capital requirement lowered 1)		Large buffer to SREP and MDA
SREP & CCyB	SREP & CCyB
12.1%	9.7%

0.1%

2.5%		0.02%
	CCyB
3.0%	CCB	2.5%		7.5%
2.0%	SRB-OSII	1.5%	17.3%
P2R	1.2%
4.5%		4.5%			9.7%
P1
Former		Current	CET1%	Buffer	SREP & MDA
requirement		requirement

Leverage ratio 2)

				0.73%
	-0.12%
		-0.30%
4.5%			4.1%		4.8%
2019 Q4	T1 Capital	Exposure Measure	2020 Q1	CRR2	Pro forma 2020 Q1

• ECB announced capital relief to support banks in serving the economy: temporarily allowed to operate below P2G and CCB buffers, SRB-OSII buffer permanently lowered, CCyB temporarily lowered in several countries.
• P2R amended with immediate effect allowing use of Tier 2 and AT1 instruments releasing CET1
• Decision on final dividend of 639m for 2019 postponed and remains reserved and is excluded from CET1 ratio
• Large buffer of 7.5% CET1 to MDA trigger level of 9.7%, temporary CCB relief has no impact on SREP and MDA trigger level
• Leverage ratio declined to 4.1% and reflects mainly increased activities in Clearing and Q1 result. Starting to manage business under pro-forma CRR2 since strengthened 2)

1. CET1 capital requirement: P1 = Pillar 1, P2R = Pillar 2 Requirement (incl. AT1 shortfall, if any), SRB-OSII = highest of Systemic Risk and Other Systemically Important Institution Buffer, CCB = Capital Conservation Buffer, CCyB = Countercyclical Capital Buffer, MDA = Trigger level for Maximum Distributable Amount
2. CRR2 expected by mid-2021. CRR2 assumes SA-CCR calculation methodology for clearing guarantees, decrease of Exposure Measure estimated at c.79bn

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Disclaimer

For the purposes of this disclaimer ABN AMRO Bank N.V. and its consolidated subsidiaries are referred to as "ABN AMRO". This document (the "Presentation") has been prepared by ABN AMRO. For purposes of this notice, the Presentation shall include any document that follows and relates to any oral briefings by ABN AMRO and any question-and-answer session that follows such briefings. The Presentation is informative in nature and is solely intended to provide financial and general information about ABN AMRO following the publication of its most recent financial figures. This Presentation has been prepared with care and must be read in connection with the relevant Financial Documents (latest Quarterly Report and Annual Financial Statements, "Financial Documents"). In case of any difference between the Financial Documents and this Presentation the Financial Documents are leading. The Presentation does not constitute an offer of securities or a solicitation to make such an offer, and may not be used for such purposes, in any jurisdiction (including the member states of the European Union and the United States) nor does it constitute investment advice or an investment recommendation in respect of any financial instrument. Any securities referred to in the Presentation have not been and will not be registered under the US Securities Act of 1933.

The information in the Presentation is, unless expressly stated otherwise, not intended for residents of the United States or any "U.S. person" (as defined in Regulation S of the US Securities Act 1933). No reliance may be placed on the information contained in the Presentation. No representation or warranty, express or implied, is given by or on behalf of ABN AMRO, or any of its directors or employees as to the accuracy or completeness of the information contained in the Presentation. ABN AMRO accepts no liability for any loss arising, directly or indirectly, from the use of such information. Nothing contained herein shall form the basis of any commitment whatsoever. ABN AMRO has included in this Presentation, 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 on such expressions. In particular, the Presentation 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 on future events, many of which, by their nature, are inherently uncertain and beyond our control. Factors that could cause actual results to differ materially from those anticipated by forward- looking statements include, but are not limited to, (macro)-economic, 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.

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20200212 Investor Relations - Q4 2019

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