ABN AMRO Bank N : Pillar 3 disclosures Q1 2020​ (PDF 324 KB)

Pillar 3 Report

First quarter 2020

ABN AMRO Bank N.V.

1 > Table of contents Table of contents

Table of contents

Notes to the reader		3
Own funds (based on phased-in)		4
Leverage ratio		7
Overview of RWAs	(EU OV1)	10
RWA flow statements of credit risk exposures under the IRB approach	(EU CR8)	11
RWA flow statements of market risk exposures under the IMA	(EU MR2-B)	12
Capital instruments' main features		13
Disclaimer & cautionary statements		20

ABN AMRO Bank Pillar 3 Report first quarter 2020

3 > Pillar 3 Q1 > Introduction

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. Further information regarding ABN AMRO Bank N.V. Risk, funding and capital management can be found in the Pillar 3 Annual Report 2019.

The templates included in this quarterly Pillar 3 Report have been prepared in accordance with the abovementioned regulations and guidelines. 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.

Presentation of information

This report is presented in euros (EUR), which is ABN AMRO's 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 have neither been audited nor reviewed by our external auditor.

On 29 June 2019, ABN AMRO Bank N.V. merged with its parent company ABN AMRO Group N.V. As a result of the merger, ABN AMRO Group N.V. ceased to exist. The activities of ABN AMRO Group N.V. have been integrated into and continued in ABN AMRO Bank N.V. As a result, the figures presented in this Pillar 3 Report represent figures for ABN AMRO Bank N.V.

During the first quarter of 2020, ABN AMRO was impacted by Covid-19. Please refer to the Financial review and Risk developments sections of our Quarterly Report on the first quarter of 2020 for additional information on these developments.

ABN AMRO Bank Pillar 3 Report first quarter 2020

4 > Pillar 3 Q1 > 1. Own funds (based on phased-in)

Own funds (based on phased-in)

(in millions)31 March 202031 December 2019

	Common Equity Tier 1 (CET1) capital: instruments and reserves
1	Capital instruments and the related share premium accounts	13,910	13,910
	- of which: shares	13,910	13,910
2	Retained earnings	6,297	4,947
3	Accumulated other comprehensive income (and other reserves)	-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	-395	1,377
6	Common Equity Tier 1	(CET 1) capital before regulatory adjustments	18,112	18,815
	Common Equity Tier 1	(CET1) capital: regulatory adjustments
7	Additional value adjustments (-)	-136	-48
8	Intangible assets (net of related tax liability) (-)	-165	-171

1. Empty set in the EU
2. Deferred tax assets that rely on future profitability excluding those arising from

	temporary differences (-)	-72	-29
11	Fair value reserves related to gains or losses on cash flow hedges	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	17	39
15	Defined-benefit pension fund assets (-)
16	Direct and indirect holding by an institution of own CET1 instruments (-)	-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) (-)
4. Empty set in the EU

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
4. Empty set in the EU
5. - 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	-248	-248
27	Qualifying AT1 deductions that exceed the AT1 capital of the institution (-)
28	Total regulatory adjustments to Common Equity Tier 1 (CET1)	1,204	1,097
29	Common Equity Tier 1 (CET1) capital	19,315	19,913

ABN AMRO Bank Pillar 3 Report first quarter 2020

5 > Pillar 3 Q1 > 1. Own funds (based on phased-in)

(in millions)31 March 202031 December 2019

Additional Tier 1 (AT1) capital: instruments

30	Capital instruments and the related share premium accounts	1,988	1,987
31	- of which: classified as equity	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	1,988	1,987
35	- of which: instruments issued by subsidiaries subject to phase-out
36	Additional Tier 1	(AT1) capital before regulatory adjustments	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

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) (-)
4. Empty set in the EU
5. Qualifying T2 deductions that exceed the T2 capital of the institution (-)

43	Total regulatory adjustments to Additional Tier 1 (AT1) capital	-5	-5
44	Additional Tier 1 (AT1) capital	1,983	1,982
45	Tier 1 capital (T1 = CET1 + AT1)	21,298	21,895
	Tier 2 (T2) capital: instruments and provisions
46	Capital instruments and the related share premium accounts	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	156
51	Tier 2	(T2) capital before regulatory adjustments	7,391	7,253
	Tier 2	(T2) capital: regulatory adjustments
52	Direct and indirect holding by an institution of own T2 instruments and subordina-
	ted loans (-)	-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)(-)
4. Empty set in the EU

57	Total regulatory adjustments to Tier 2 (T2) capital	-30	-75
58	Tier 2 (T2) capital	7,361	7,178
59	Total capital (TC = T1 + T2)	28,659	29,073
60	Total risk weighted assets	111,704	109,825
	Capital ratios and buffers
61	Common Equity Tier 1 (as a % of total risk exposure amount)	17.3%	18.1%
62	Tier 1 (as a % of total risk exposure amount)	19.1%	19.9%
63	Total capital (as a % of total risk exposure amount)	25.7%	26.5%

ABN AMRO Bank Pillar 3 Report first quarter 2020

6 > Pillar 3 Q1 > 1. Own funds (based on phased-in)

(in millions)	31 March 2020	31 December 2019

1. 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 )
2. - of which: capital conservation buffer requirement
3. - of which: counter-cyclical buffer requirement
4. - of which: systemic buffer requirement

67a - of which: G-SII or O-SII buffer

1. Common Equity Tier 1 available to meet buffers (as a % of risk exposure amount) 2 )
2. [non relevant EU regulation]
3. [non relevant EU regulation]
4. [non relevant EU regulation]

Amounts below the thresholds for deduction

1. 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)
2. 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)
3. Empty set in the EU
4. 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)

Applicable caps on the inclusion of provisions in Tier 2

1. Credit risk adjustments included in T2 in respect of exposures subject to Standardi- sed Approach (prior to the application of the cap)
2. Cap on inclusion of credit risk adjustments in T2 under Standardised Approach
3. Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap)
4. Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach

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

8.5%	10.1%
2.5%	2.5%
0.02%	0.10%
1.5%	3.0%
11.6%	11.9%

138156

522536

711642

122109

407388

1. Following the definition of the EBA disclosure template, Pillar 2 CET1 requirement of 1.75% is excluded
2. CET1 amount required to meet the Pillar 2 CET1 requirement of 1.75% is not considered available to meet the Combined Buffer Requirements

Common Equity Tier 1 (CET1) capital decreased in Q1 2020 due to a loss that was mainly caused by high impairments. Total RWA increased to EUR 111.7 billion at 31 March 2020 (31 December 2019: EUR 109.8 billion). At 31 March 2020, the CET1, Tier 1 and total capital ratios were 17.3%, 19.1% and 25.7% respectively (31 December 2019: 18.1%, 19.9% and 26.5% 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. DNB lowered the systemic risk buffer for ABN AMRO from 3% to 1.5% and the OSII from 2% to 1.5%. DNB is expected to compensate the systemic buffer reduction in due course by gradually increasing the counter-cyclical capital buffer to 2% of Dutch risk-weighted exposures.

ABN AMRO Bank Pillar 3 Report first quarter 2020

7 > Pillar 3 Q1 > 2. Leverage ratio

Leverage ratio

Summary reconciliation of accounting assets and leverage ratio exposures

(in millions)31 March 202031 December 2019

1	Total assets as per published financial statements	405,903	375,054
2	Adjustment for entities which are consolidated for accounting purposes but are
	outside the scope of regulatory consolidation	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	79,998	67,738
5	Adjustments for securities financing transactions	5,133	4,376
6	Adjustment for off-balance sheet items (i.e. conversion to credit equivalent
	amounts of off-balance sheet exposures)	33,204	36,416
7	Other adjustments	-4,645	415
8	Leverage ratio exposure amount	519,902	484,309

ABN AMRO Bank Pillar 3 Report first quarter 2020

8 > Pillar 3 Q1 > 2. Leverage ratio

Leverage ratio common disclosure

(in millions)		31 March 2020	31 December 2019
1	On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but
	including collateral)	379,384	361,883
2	Asset amounts deducted in determining Tier 1 capital	-548	-517

3 Total on-balance sheet exposures (excluding derivatives, SFTs and

	fiduciary assets) (sum of lines 1 and 2)	378,836	361,366
	Derivative exposures
4	Replacement cost associated with all derivatives transactions (i.e. net of eligible
	cash variation margin)	6,069	4,041
5	Add-on amount for PFE associated with all derivatives transactions (mark-to-
	market method)	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 deriva-

	tives transactions)	-4,646	-3,375
8	(Exempted CCP leg of client-cleared trade exposures)	-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)	75,808	66,125
	SFT exposures
12	Gross SFT assets (with no recognition of netting), after adjusting for sales
	accounting transactions	29,487	18,115
13	Netted amounts of cash payables and cash receivables of gross SFT assets	-2,566	-2,089
14	Counterparty credit risk exposure for SFT assets	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)	32,054	20,401
	Other off-balance sheet exposures
17	Off-balance sheet exposures at gross notional amount	111,244	120,851
18	Adjustments for conversion to credit equivalent amounts	-78,040	-84,434
19	Other off-balance sheet exposures (sum of lines 17 and 18)	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 Article 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	21,298	21,895

21 Leverage ratio total exposure measure (sum of lines 3, 11, 16, 19,

	EU19a and EU19b)	519,902	484,309
	Leverage ratio
22	Leverage ratio	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

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

ABN AMRO Bank Pillar 3 Report first quarter 2020

9 > Pillar 3 Q1 > 2. Leverage ratio

Leverage ratio split-up of on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures)

(in millions)31 March 202031 December 2019

EU1	Total on-balance sheet exposures (excluding derivatives, SFTs,
	and exempted exposures);	366,927	354,540
EU2	Of which: trading book exposures	1,988	1,137
EU3	Of which banking book exposures	364,939	353,402
EU4	- of which: covered bonds	3,624	3,757
EU5	- of which: exposures treated as sovereigns	70,882	67,933
EU6	- of which: exposures to regional governments, MDB, international
	organisations and PSE not treated as sovereigns
EU7	- of which: institutions	15,553	10,360
EU8	- of which: secured by mortgages of immovable properties	167,853	168,598
EU9	- of which: retail exposures	8,054	8,414
EU10	- of which: corporate	82,817	80,865
EU11	- of which: exposures in default	7,081	6,521
EU12	- of which: other exposures (e.g. equity, securitisations, and other non-credit
	obligation assets)	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 decreased to 4.1% (31 December 2019: 4.5%) mainly reflecting balance sheet growth and the decline in Tier 1 capital following from the loss recorded in Q1 2020.

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 78.6 billion, improving the fully-loaded leverage ratio by another 0.7 percentage points. At 31 March 2020, the fully-loaded leverage ratio decreased to 4.8% based on SA-CCR, (31 December 2019: 5.2%) mainly reflecting balance sheet growth and the decline in Tier 1 capital following from the loss recorded in Q1 2020. In response to Covid-19, the European Commission presented a proposal aimed at making it more beneficial to exclude central bank reserves from the exposure measure. Based on Q1 figures, this could potentially improve the fully-loaded leverage ratio by another 0.3 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 first quarter 2020

10 > Pillar 3 Q1 > 3. Overview of RWAs

EU OV1 - Overview of RWAs

		31 March 2020		31 December 2019
		Minimum capital		Minimum capital
(in millions)	RWAs	requirements	RWAs	requirements

1	Credit risk (excluding CCR)	86,003	6,880	84,086	6,727
2	- of which: the Standardised Approach	8,742	699	8,054	644
3	- of which: the foundation IRB (FIRB) approach
4	- of which: the advanced IRB (AIRB) approach	74,959	5,997	73,704	5,896
5	- of which: equity IRB under the simple risk-weighted approach
	or the IMA	2,303	184	2,328	186
6	Counterparty Credit Risk (CCR)	3,687	295	3,372	270
7	- of which: mark to market	2,030	162	1,875	150
8	- of which: original exposure
9	- of which: the Standardised Approach	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	324	26	484	39
12 - of which: CVA	277	22	370	30

1. Settlement risk
2. Securitisation exposures in the banking book (after

the cap)	38	3	32	3
15 - of which: IRB approach	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	2,144	172	1,362	109
20	- of which: the Standardised Approach	9	1	6
21	- of which: IMA	2,136	171	1,357	109

22 Large exposures

23	Operational risk	18,148	1,452	19,391	1,551
24	- of which: basic indicator approach	686	55	910	73
25	- of which: Standardised Approach
26	- of which: advanced measurement approach	17,461	1,397	18,481	1,478

27 Amounts below the thresholds for deduction (subject

	to 250% risk weight)	1,683	135	1,582	127
28	Floor adjustment
29	Total RWA	111,704	8,936	109,825	8,786

Total RWA increased to EUR 111.7 billion (31 December 2019: EUR 109.8 billion), given an increase in credit risk and to a lesser extent in market risk. The increase in credit risk was predominantly driven by additional drawdowns and deteriorated risk parameters in CIB and business movements and a model update in CB. Market risk RWA increased by EUR 0.8 billion due to position changes and increased market stress. RWA for operational risk decreased by EUR

1.2 billion, driven by an update of the scenario analysis data, an update of the advanced measurement approach (AMA) model and the recalculation of capital under the basic indicator approach for non-AMA compliant entities.

ABN AMRO Bank Pillar 3 Report first quarter 2020

11 > Pillar 3 Q1 > 4.RWA flow statements of credit risk exposures under the IRB approach

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

		31 March 2020		31 December 2019
		Capital require-		Capital require-
(in millions)	RWA amounts	ments	RWA amounts	ments

1	RWAs as at end previous reporting period	79,521	6,362	78,923	6,314
2	Asset size	1,045	84	-2,453	-196
3	Asset quality	41	3	803	64
4	Model updates	386	31	2,752	220
5	Methodology and policy			-546	-44

1. Acquisitions and disposals
2. Foreign exchange movements

8	Other	20	2	42	3
9	RWAs as at end reporting period	81,013	6,481	79,521	6,362

The RWA for credit risk exposures under the IRB approach increased by EUR 1.5 billion to EUR 81.0 billion (31 December 2019: EUR 79.5 billion). This increase was primarily driven by growth in the category "Asset size", which mainly relates to business growth and higher levels of client demand as a result of Covid-19.

ABN AMRO Bank Pillar 3 Report first quarter 2020

12 > Pillar 3 Q1 > 5. RWA flow statements of market risk exposures under the IMA

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

						31 March 2020	31 December 2019
				Compre-			Total		Total
				hensive			capital		capital
				risk		Total	require-		require-
(in millions)	VaR	SVaR	IRC	measure	Other	RWAs	ments	Total RWAs	ments

1	RWAs at previous quarter end	134	673	549	1,357	109	1,219	98
1a	Regulatory adjustment
1b	RWAs at the previous quarter-
	end (end of the day)	134	673	549	1,357	109	1,219	98
2	Movement in risk levels		72	443	629	50
3	Model update/changes	46	124	94	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)	180	869	1,086	2,136	171	1,357	109
8b	Regulatory adjustment

8 RWAs at the end of the

reporting period

180

869 1,086

2,136

171

1,357

109

Market risk RWA moved from EUR 1.4 billion to EUR 2.1 billion, comparing 31 December to 31 March. The RWA increase is due to the following.

ÅÅ The capital multiplier moved from 3 to 3.5, comparing 31 December to 31 March. This was due to market stress observed in March 2020, which resulted in 6 Hypothetical PnL overshootings;

ÅÅ The 1-day VaR moved from EUR 0.9 million to EUR 3.4 million, comparing 31 December to 31 March. This was due to market stress observed in March 2020, which added severe scenarios to the 300-day rolling window used for VaR calculations;

ÅÅ The IRC increased from EUR 44 million to EUR 79 million, comparing 31 December to 31 March. This was due to position changes;

ÅÅ The IRC increased further, from EUR 79 million to EUR 87 million, comparing 31 December to 31 March. This was due to an increase of the IRC add-on from 15% to 26%.

ABN AMRO Bank Pillar 3 Report first quarter 2020

13 > Pillar 3 Q1 > 6. Capital instruments' main features

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 first quarter 2020

14 > Pillar 3 Q1 > 6. Capital instruments' main features

Additional Tier 1

1	Issuer	ABN AMRO Bank N.V.	ABN AMRO Bank N.V.
2	Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement)	XS1278718686	XS1693822634
3	Governing law(s) of the instrument	Dutch law	Dutch law
	Regulatory treatment
4	Transitional CRR rules	AdditionalTier 1	AdditionalTier 1
5	Post-transitional CRR rules	AdditionalTier 1	AdditionalTier 1
6	Eligible at solo/ (sub-)consolidated/ solo & (sub-) consolidated	Solo & consolidated	Solo & consolidated
7	Instrument type (types to be specified by each jurisdiction)	AT1 EU 575/2013 art	AT1 EU 575/2013 art
		489.5	489.5
8	Amount recognised in regulatory capital (in millions, as of most recent reporting
	date)	EUR 994	EUR 994
9	Nominal amount of instrument (in millions, as of most recent reporting date)	EUR 1,000	EUR 1,000
9a	Issue price	100%	100%
9b	Redemption price	100%	100%
10	Accounting classification	Equity	Equity
11	Original date of issuance	22 September 2015	10 April 2017
12	Perpetual or dated	Perpetual	Perpetual
13	Original maturity date	No maturity	No maturity
14	Issuer call subject to prior supervisory approval	Yes	Yes
15	Optional call date, contingent call dates, and redemption amount	22 Sept 2020 (100%	22 Sept 2027 (100%
		nominal amount),	nominal amount),
		regulatory & tax call	regulatory & tax call
		(prevailing principal	(prevailing principal
		amount)	amount)
16	Subsequent call dates, if applicable	Callable annually after	Callable on each
		interest payment date
		first call date	after first call date
	Coupons / dividends
17	Fixed or floating dividend/coupon	Fixed	Fixed
18	Coupon rate and any related index	5.75% 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)	Fully discretionary	Fully discretionary
20b	Fully discretionary, partially discretionary or mandatory (in terms of amount)	Fully discretionary	Fully discretionary
21	Existence of step up or other incentive to redeem	No	No
22	Non-cumulative or cumulative	Non-cumulative	Non-cumulative
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	Yes	Yes
31	If write-down,write-down trigger(s)	7%/5.125% CET1	7%/5.125% CET1
32	If write-down, full or partial	Partial	Partial
33	If write-down, permanent or temporary	Temporary	Temporary
34	If temporary write-down, description of write-up mechanism	Subject to profit MDA	Subject to profit MDA
		and Max Write up	and Max Write up
		Amount	Amount
35	Position in subordination hierachy in liquidation	Junior toTier 2	Junior toTier 2
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 first quarter 2020

15 > Pillar 3 Q1 > 6. Capital instruments' main features

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 264	EUR 224
9	Nominal amount of instrument (in millions, as of most recent reporting date)	EUR 1,228	USD 541 (EUR 590)
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 first quarter 2020

16 > Pillar 3 Q1 > 6. Capital instruments' main features

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
(ISIN Reg S)	XS1253955469
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 67	EUR 1,499
9	Nominal amount of instrument (in millions, as of most recent reporting date)	USD 103 (EUR 104)	EUR 1,500
9a	Issue price	100%	99.885%
9b	Redemption price	100%	100%
10	Accounting classification	Liability - amortised	Liability - amortised
		cost	cost
11	Original date of issuance	30 June 2011	30 June 2015
12	Perpetual or dated	Dated	Dated
13	Original maturity date	15 May 2023	30 June 2025
14	Issuer call subject to prior supervisory approval	No	Yes
15	Optional call date, contingent call dates, and redemption amount		30 June 2020 (100%
			nominal amount), tax
		Tax call (100% nominal	& regulatory call (100%
		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	7.75% per year	2.875% 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 first quarter 2020

17 > Pillar 3 Q1 > 6. Capital instruments' main features

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.
US00080QAF28 /
XS1264600310	XS1341466487
Dutch law	Dutch law

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 1,359	EUR 287
9	Nominal amount of instrument (in millions, as of most recent reporting date)	USD 1,364 (EUR 1.504)	SGD 288 (EUR 295)
9a	Issue price	99.732%	100%
9b	Redemption price	100%	100%
10	Accounting classification	Liability - amortised	Liability - amortised
		cost	cost
11	Original date of issuance	28 July 2015	01 April 2016
12	Perpetual or dated	Dated	Dated
13	Original maturity date	28 July 2025	01 April 2026
14	Issuer call subject to prior supervisory approval	No	Yes
15	Optional call date, contingent call dates, and redemption amount		01 April 2021 (100%
		Tax & regulatory	nominal amount), tax
		call (100% nominal	& regulatory call (100%
		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	4.75% 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 first quarter 2020

18 > Pillar 3 Q1 > 6. Capital instruments' main features

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.
US00084DAL47 /
XS1392917784	XS1346254573
Dutch law	Dutch law

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 906	EUR 997
9	Nominal amount of instrument (in millions, as of most recent reporting date)	USD 1,000 (EUR 917)	EUR 1,000
9a	Issue price	99.827%	99.383%
9b	Redemption price	100%	100%
10	Accounting classification	Liability - amortised	Liability - amortised
		cost	cost
11	Original date of issuance	18 April 2016	18 January 2016
12	Perpetual or dated	Dated	Dated
13	Original maturity date	18 April 2026	18 January 2028
14	Issuer call subject to prior supervisory approval	no	Yes
15	Optional call date, contingent call dates, and redemption amount		18 January 2023 (100%
		Tax & regulatory	nominal amount), tax
		call (100% nominal	& regulatory call (100%
		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	4.8% per year	2.875% 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 first quarter 2020

19 > Pillar 3 Q1 > 6. Capital instruments' main features

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)	XS1586330604	XS1385037558
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 1,361	EUR 272
9	Nominal amount of instrument (in millions, as of most recent reporting date)	USD 1,500 (EUR 1,337)	USD 300 (EUR 275)
9a	Issue price	99.984%	100%
9b	Redemption price	100%	100%
10	Accounting classification	Liability - amortised	Liability - amortised
		cost	cost
11	Original date of issuance	27 March 2017	08 April 2016
12	Perpetual or dated	Dated	Dated
13	Original maturity date	27 March 2028	08 April 2031
14	Issuer call subject to prior supervisory approval	Yes	No
15	Optional call date, contingent call dates, and redemption amount	27 March 2023 (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	4.4% per year	5.6% 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 first quarter 2020

20 > Pillar 3 Q1 > Disclaimer & cautionary statements

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, 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.

ABN AMRO Bank Pillar 3 Report first quarter 2020