ABN AMRO Bank N : Analyst and investor call presentation Q2 2020​ (PDF 2 MB)

Investor Relations

results Q2 2020

investor and analyst presentation 12 August 2020

Highlights Q2, decisive action on CIB

Strategy and Covid-19

• Progress on priorities new CEO: Covid-19, strategy, license to operate and culture. Outcome CIB review announced
• Update on strategy review, including operational efficiency, financial targets and capital in November
• NL is easing out of a well controlled soft lockdown; positive signs of economic recovery although uncertain outlook

Financials and outlook

• Q2 around breakeven net result (-5m) reflecting high impairments of 0.7bn, alongside good operational performance
• NII lower largely reflecting margin pressure from low interest rates; NII guidance c.1.5bn per quarter 1)
• Continued delivery on cost-saving programmes; on track for c.5.1bn costs in 2020 2)
• Impairments, largely in CIB, reflecting Covid-19, low oil price and potential fraud case in Germany; c.3.0bn impairments or c.110bps cost of risk expected for FY2020, majority already incurred in H1 2020
• Robust capital position with CET1 ratio at 17.3% (c.14% Basel IV) 3) and strong liquidity position to continue our support for clients
• Committed to resuming dividends and returning excess capital over time, but following ECB recommendation on not distributing capital until 2021 at the earliest

CIB review

• CIB to focus on NW-Europe and Clearing; TCF to be exited completely and NR and GTL to focus on Europe only
• Non-coreactivities (14bn Basel III RWA) to wind down in 3-4 years, expected to be capital accretive
• Recommitment to align risk profile of CIB with moderate risk profile of Group. Ambition of 10% ROE for CIB over time

1. Excludes possible further TLTRO III benefits: TLTRO III rate -50bps, if lending threshold is met, rate will be lowered with 50bps from June 2020 to June 2021
2. Before staff-related provision for CIB review of c.200m in Q3 2020
3. CET1 ratios exclude final dividend of 2019 of 639m (57bps)

2

Delivering on priorities; good progress on strategy review

CEO priorities

• Lead the bank through Covid-19
• Strategy review to ensure we deliver on our three strategic pillars; outcome CIB review announced
• License to operate - AML investigation ongoing; continued focus to deliver on AML remediation programmes
• Culture - respect and empowerment. Clear, actionable targets ensuring accountability throughout the bank

Our group strategy principles

• Purpose - committed to our purpose 'Banking for better, for generations to come'
• Focus - best Dutch bank with leading market positions, focused on the Netherlands and NW-European countries
• Clients - strengthen presence in selected client segments, working closely together across all business lines
• Digital - engage with our clients through simple, innovative solutions supported by state-of-the-art digital client journeys
• Moderate risk - robust capital position and strict risk appetite
• Ambition - achieve operating efficiency, strong returns, strict capital allocation and attractive distributions to shareholders

Update on strategy, capital and targets in November

3

Dutch society impacted less severely by Covid-19, easing progressing

Economies with soft lockdown less impacted by Covid-191)

70

IT	Hard lockdown			60	(days)
	FR
			50
	UK			40	length
		US
	GE	NL	Soft lockdown	30	Lockdown
		20
				10
				0
-80	-60	-40	-20	0

Lockdown strictness (% fall in activity)

Positive signs of easing

YoY %														Index
20%			Consumer expenditure - payment transactions (lhs) 2) 60
10%			PMI Netherlands (rhs) 3)	55
0%																50
-10%									45
-20%									40
-30%		Jan		Feb		Mar		Apr		May		June		July		35
							2020

• NL is easing out of a well controlled soft lockdown in May and we see positive signs of economic recovery although uncertain outlook
• Despite decline in consumer confidence, housing market remains robust: shortage combined with low interest rates leading to further rise of residential property prices
• To date no major uptick in Dutch bankruptcies, see page 26 for more details on Dutch economy

1. Source: ABN AMRO Group Economics, June 2020. Lockdown length is defined as # of days with fall in activity greater than 40%
2. Consumer expenditure based on payment transaction data ABN AMRO Group Economics: total # of card transactions, online payments & cash withdrawals, excl. credit card transactions; corrected for holidays and inflation
3. PMI or Purchasing Managers' Index above 50 represents expansion, under 50 represents contraction; source: Statistics Netherlands (CBS)

4

Dutch economy outperforming Eurozone

GDP 1)

	1.8%	1.2%				NL			Eurozone
4%		2.8%	3.2%
0%
-4%		-5.4%	-6.9%

-8%

2019 2020E 2021E

Unemployment rate 1)								Government debt 1)
12%						NL		Eurozone		120%						NL			Eurozone
8%											80%
4%			4.5%				10.3%			40%				105%						110%
3.8%	8.2%	9.0%	5.5%			49%	86%	62%				63%
0%											0%
2019	2020E		2021E		2019	2020E	2021E

• Dutch economy less severely impacted by Covid-19, reflecting benefits from a soft lockdown and strong economic fundamentals
• GDP expected to decline by 2.6% for NL vs. 3.7% for Eurozone over a 2-year period (2019-2021), unemployment rate remains relatively low
• Govt debt versus GDP expected to increase to 63% (49% YE2019) reflecting pro active government support with scope to do more

1) Source: 2019 Statistics Netherlands (CBS) and Eurostat, forecast by ABN AMRO Group Economics, 18 June 2020

5

Supporting our clients in tough times

Retail Banking continues strong performance

• Almost 100% of client meetings via video banking
• c.39k clients receive a payment holiday of which only c.8k for mortgages 1)
• c.30% of mortgage clients with 3-months payment holiday require an extension
• Deposit volume up 4.2bn in Q2 given lower spending
• As of October uniform payment package, allowing easy onboarding for new customers

Commercial Banking remains resilient

• Most clients still doing relatively well due to several support measures, client issues largely confined to specific subsectors
• c.47k clients receive payment holiday and 454 clients make use of guaranteed loans (56m) 1)
• Drawdowns on existing credit facilities remain limited
• Lower credit demand due to granted payment holidays and postponement of investments; deposits up 2.4bn in Q2
• Covid-19platform launched to support SMEs 2)

Private Banking developing well

• New client inflow high (~2,300) in H1 2020, mainly NL
• Client assets up 9.7bn in Q2, largely as a result of improved market performance
• Only 468 clients need payment holiday and 106 clients make use of guaranteed loans (63m) 1)
• Video banking widely adopted in NL, strong increase in foreign offices, high participation webinars
• New initiatives and products (e.g. development of Impact Equity Fund and structured product advice)

Corporate & Institutional Banking review concluded

• Dutch client base resilient and benefitting from support provided under government guarantee schemes, e.g. KLM
• Already high NPS score further improved in Q2 to 36 (29 at YE2019)
• Client loans down 3.8bn in Q2 and back at pre-Covid levels as clients reverse credit facilities drawn in Q1
• High impairments mainly in Oil and Gas including Offshore and a potential fraud case

1. Data as of 30 June 2020
2. Offering propositions of partners and free-of-charge solutions for entrepreneurs e.g. the Tikkie app for business as tool for handling digital payments

6

Q2 results

Breakeven net result in Q2, good operating result

Good operational performance

EUR m			Operating result		Divestment
1,200
		(before impairments)

130

800
400
1,012	854	717	624	786
0
Q2	Q3	Q4	Q1	Q2
	2019			2020

EUR m	2020 Q2	2019 Q2	Delta
Net interest income	1,514	1,681	-10%
Net fee and commission income	375	413	-9%
Other operating income 1)	96	228	-58%
Operating income	1,985	2,321	-15%
Operating expenses 2)	1,198	1,310	-8%
Operating result	786	1,012	-22%
Impairment charges	703	129
Income tax expenses 3)	88	190	-54%
Profit	-5	693

• Q2 2020 operational performance good; around breakeven net result of -5m reflecting 0.7bn of impairments
• NII impacted by continued deposit margin pressure, lower average volumes and margins
• Fees lower as Covid-19 impacted credit cards and asset management fees. Other income around guidance of 100m per quarter
• Expenses continue to trend down, reflecting delivery on cost-saving programmes
• High impairments, largely in stage 3 at CIB, reflecting Covid-19, low oil price and a potential fraud case in Germany

1. Q2 2019 Other income includes 130m Stater divestment gain
2. Q2 2019 Operating expenses includes 114m CDD remediation provision for Retail Banking
3. Q2 2020 Effective tax rate c.106% reflecting losses in countries where no benefit arises from these losses due to deteriorating profit

8

Client lending lower largely reflecting reversal of corporate drawdowns

Mortgage client lending

Corporate client lending

Consumer loans client lending

EUR bn	CAGR = -0.4%1)			EUR bn	CAGR = -2.8% CB, -7.0% CIB 1)			EUR bn	CAGR = -4.3%1)
										CIB	Commercial Banking
155						50										18
145						40										12
135	148.1			147.6	147.0	30		43.7	43.6			44.4	42.9	40.7	41.7	6	12.3			11.9	11.6
125			20				0
Q1	Q2	Q3	Q4	Q1	Q2	Q1	Q2	Q3	Q4	Q1	Q2	Q1	Q2	Q3	Q4	Q1	Q2
	2019		2020				2019			2020			2019		2020

• Mortgage market share 15% in Q2 2020, higher new production than last year (up 13%) not sufficient to offset (p)repayments
• CIB loans lower, largely reflecting reversals of Q1 drawdowns of committed lines and some FX impact 2)
• Commercial Banking loans lower, reflecting limited current funding need of clients and selective new intake. Loan book expected to increase modestly into H2 2020 as support measures phase out

1. CAGR Q1 2019 - Q2 2020
2. FX impact -0.6bnQ-o-Q

9

Net Interest Income resilient vs Q1 2020 despite low interest rates

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

EUR m											NIM bps
			Net interest income			Incidental effects
1,800			NIM 4Q rolling avg.						180
1,500													150
1,200			1,636					1,527		1,514	120
900									90
Q1		Q2		Q3		Q4		Q1		Q2
					2019				2020

Transition NII

EUR m

14

-27-11

1,527							1,514
2020 Q1		Deposit margins		Asset margins & volumes		Clearing & Treasury results		2020 Q2

• NII resilient vs Q1 2020 reflecting charging negative rates > 2.5m as of April 2020 (23m), partly offset by deposit margin pressure due to lower interest rates 1)
• NIM 7bps lower vs Q1 2020 to 147bps, mainly reflecting increased assets as a result of participation in TLTRO III
• Compared to Q2 2019, NII lower mainly reflecting deposit margin pressure and slightly lower average volumes and margins
• NII guidance of c.1.5bn per quarter reflecting ongoing margin pressure, before any potential benefit of TLTRO lowered rate 2), impact CIB review on NII limited in 2020

1. Around 53bn 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. 32bn taken in TLTRO III to support potential future liquidity needs of clients (o/w 8bn TLTRO II was rolled into TLTRO III): TLTRO III rate -50bps, if lending threshold is met, rate will be lowered with 50bps from June 2020 to June 2021

10

Fees lower as Covid-19 impacted credit cards and asset management fees

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

500
375		13
250
125	400			438	375
0
Q1	Q2	Q3	Q4	Q1	Q2
		2019			2020

225
150	130

75	98				96
0			-41
Q1	Q2	Q3	Q4	Q1	Q2
-75		2019			2020

• Fees are impacted by decreased credit card usage and lower asset management fees in Q2 vs Q1 2020
• Clearing fees decreased by 19m, normalising in Q2 2020 following high market volatility and trading volumes in Q1 2020
• Guidance on fees unchanged at c.400m per quarter over time
• Other income flat versus Q2 2019 excluding divestments 1), guidance of 100m per quarter long term maintained and expect to be supported by gains on real estate disposals

1) Q2 2020 (vs Q2 2019): equity participations -1m (15m), XVA 3m (-2m), hedge accounting/RFT costs 5m (6m)

11

Costs well controlled, on track for 2020 target of 5.1bn (ex CIB review)

Operating expenses

EUR m				Personnel				Other expenses
1,500						Regulatory levies				Incidental effects
1,000			607						570	587
500			555						531	528
0		Q1		Q2		Q3		Q4			Q1		Q2
						2019						2020

Transition operating expenses 1)

EUR m

	-70
			-51
				-26			5	18	34
1,310					-14				1,198
				-8
							Investments
Q2 2019		AML costs	Cost saving programmes	Improved cost control	Divestments & Acquisitions	Restructuring	Inflation & levies	Goodwill PB	Q2 2020

• Personnel expenses continue to trend down reflecting decrease in pension costs and benefit of cost savings programmes
• Other expenses decreased reflecting execution of cost savings programmes (digitalisation & process optimisation)
• AML costs in H1 2020 of c.170m, execution progressing despite Covid-19
• On track for c.5.1bn of costs in 2020 (excluding CIB review). Cumulative savings of c.1.0bn out c.1.1bn target achieved by 2020 2)

1. AML costs includes c.45m increase in AML costs and 114m decrease in AML remediation provision (114m Q2 2019). Improved cost control relates to lower spending across all business lines, including short term cost savings related to Covid-19
2. Targeted cumulative cost savings vs. FY2015 cost base. Before staff-related provision for CIB review of c.200m in Q3 2020

12

Q2 impairments mainly stage 3 in CIB and down on Q1

High impairments mainly in CIB and stage 3		Staging broadly stable in Q2 2020
EUR m		EUR bn, loans & advances customers		Stage 1		Stage 2		Stage 3

315

28 DoD 1)

201

Regular	Covid-19
and DoD	& oil price

	Other 31
158	CB 81
	633	Stage 3 2)
	CIB
	591
	70	Stage 1&2

Exceptional 2020 Q2	2020 Q2
client files 3)

17.1	6.7	35.1	7.8	8.4
		36.0

242.1

233.6

220.7

Q4 2019

Q1 2020

Q2 2020

• High impairments in Q2 2020, largely stage 3 reflecting Covid-19, low oil price and a potential fraud case in Germany, mainly in CIB
• Prudent approach in Q1, in anticipation of Covid-19 impact, resulted in a significant transfer to stage 2 and to lesser extent to stage 3
• Consequently, during Q2 only limited transfers needed to stage 2 and stage 3 despite some further economic deterioration
• Individual assessments of CIB clients in stage 2 led to inflow in stage 3, mainly in Oil & Gas and Offshore and transfer back to stage 1

1. New definition of default (DoD) implemented in Q2 for all credit exposures except for mortgages, this will take place at the end of 2020 and is expected to have a negligible impact on impairments
2. Of which 498m in CIB: largely Oil & Gas and Offshore (226m), exceptional client files (158m) and Covid-19 related (43m)
3. Includes releases and additions of exceptional client files from Q1 2020 and potential fraud case in Q2 2020

13

Cost of risk outlook for 2020

YTD Cost of risk by business line 1)

FY2020 outlook c.3.0bn impairments or c.110bps CoR 2)

bps	392bps	2019 FY					EUR bn
							CIB	CB	RB	PB	Total
		Regular	Covid-19	Exceptional client files
			& DoD
	139							2.0	1.8	PB 0.0
								1.5	CB 0.3	RB 0.1
										c.1.2
	180		130bps			116bps	1.0
			88	12bps		31	0.5	CIB 1.4
				60
62	73	45	42	19	9	24
3	25	0.0
					H1 2020			H2 2020
	CIB		CB	RB, PB & GF	ABN AMRO
												outlook

• YTD Cost of risk (CoR) of 116bps reflects impairments for Covid-19, low oil price and exceptional client files 1)
• CoR outlook for FY2020 increased to c.110bps or c.3.0bn of impairments 2), H2 2020 impairments expected to be lower than H1 2020
• CoR outlook up due to potential fraud case in Germany and higher Oil & Gas and Offshore impairments in Q2 in combination with a more cautious outlook for H2 2020. Assuming a gradual recovery of the economy and no second lock down
• For 2021 impairments are expected to remain above TTC level of 25 - 30bps

1. YTD Cost of risk 116bps excludes impairment charges on off-balance exposure of 207m (largely CIB).
2. Including off-balance impairments and related exposures, H1 impairments 1.8bn equals 131bps CoR and expected H2 impairments of c.1.2bn equals 90bps CoR

14

Robust capital and strong liquidity position

Basel III CET1 ratio	Risk weighted assets
CET1 ratio excludes final	RWA bn
dividend 2019 (57bps)

	0.06%	2.9	-0.5
-0.03%	-0.1%	-0.3
-1.7
17.3%	17.3%	111.7		112.1

2020 Q1

Net result

RWA

OCI & Other

2020 Q2

2020 Q1

Business developments

DoD & Model add-ons

Operational Risk

Market Risk

2020 Q2

Liquidity metrics

LtD

LCR 1)

134% 136% 135% 134% 133% 133%

114% 113% 111% 114% 117% 109%

Q1		Q2		Q3		Q4		Q1		4.6%
					Q2
	2019				2020

• Strong CET1 ratio of 17.3% (c.14% BIV), large buffer to MDA trigger of 9.6%
• Decision on final dividend 2019 (639m) postponed until at least Jan 2021. Dividend remains reserved and is excluded from CET1 ratio
• RWA impacted by implementation of DoD (2bn) and model add-ons. Additional RWAs expected from TRIM & model reviews and underlying credit risk deterioration during H2 2020 despite implementation of SME factor 2)
• Update on capital in November
• Participated in attractive TLTRO III (32bn) to support potential future liquidity needs of clients and to repay early TLTRO II (8bn) 3)

1. LCR is 12m rolling average
2. RWA impact from CRR II.5 fix SME factor (c. -1.5bn) expected in Q3 2020, TRIM & model review expected in H2 2020, DNB mortgage floor delayed until further notice and Basel IV delayed to 2023
3. Interest rate on TLTRO III is -0.5% and -1.0% from June 2020 to June 2021 if lending thresholds are met

15

Outcome CIB review

Current CIB mainly lending; distinct NW-Europe vs global franchises

Activity	Client franchises	RWAs 1)	Key features
Lending	Corporate and Financial clients	c.9bn	§ Strong domestic franchise with top 3 position in most sectors
NW-Europe			§ Full service offering, led by lending and supported by transaction banking and
		capital markets solutions
			§ Solid ROE track record at lower cost of risk (pre 2020)
Lending	Trade & Commodity Finance (TCF)	c.17bn	§ Deep sector expertise reflecting long heritage
Global	Global Transportation & Logistics (GTL)		§ Shipping franchise (GTL) primarily European clients. TCF and NR client base
	global; lacking scale despite strong loan growth over time
	Natural Resources (NR)
		§ Track record of high and volatile impairments and vulnerable to fraud
Products	Markets	c.5bn	§ Significantly reduced scale to Euro platform
			§ Focused on FX, rates and equities with strong domestic franchise
			§ Serving corporate and financial clients, support function for Treasury, PB, CB
	Clearing	c.5bn	§ Top 3 globally in derivatives clearing: supports leading, global PTGs 2)
			§ Long track record of ROE performance (pre 2020)
			§ Strengthened risk management implemented following Q1 incident
	Private Equity	c.1.5bn	§ Dutch mid-market focus, majority stake sold in 2019
			§ Developing Sustainability Impact fund supporting transitions franchise
Total 1)		39.2bn	35% of Group Basel III RWAs

1. Q2 2020 numbers; RWAs do not add to total reflecting CIB other including mainly Securities Financing and Project Finance
2. Proprietary Trading Groups, many headquartered in Netherlands

17

CIB not delivered adequate returns at acceptable risk over time

Track record of low ROEs

ROE 1)	4.1%	7.5%			5.8%	-32.3%
4.3%
bn				Client lending		RWA

38	34	39	38	43	35	41	38	41	39
2016	2017	2018	2019	H1 2020

• CIB loan book grew through 2018, particularly outside Europe
• Below target returns led to review in 2018 to improve ROE through de-risking, capital and cost efficiency
• RWA reduction of 5bn achieved 2), reducing low return clients (mainly TCF) and targeted risk reduction (O&G, Diamonds)
• TRIM accelerating expected RWA inflation from Basel IV

Track record of high cost of risk

CoR
(bps) 40	38	70	62	392

m

Impairments

				1,395
210	219	427	376
2016	2017	2018	2019	H1 2020

• Impairments remained high despite de-risking
• H1 2020 Covid-19 and related oil price movements led to very significant impairments
• CIB's exposures undermining bank's moderate risk profile

Decisive action needed to align to bank's strategy principles

1. ROE CIB based on Net profit excluding minority interests, equity based on Basel III RWA x 13.75% for 2020, 13.5% for 2017-2019 and 12.5% for 2016
2. TRIM and model review add-ons cumulative Q2 2020 c.5.5bn for CIB

18

CIB to focus on core markets, de-risk and align to Group strategy

Group strategy principles applied to CIB review

Best Dutch bank focused on	Moderate Risk Profile	Group purpose and ambitions
Netherlands and NW-Europe

CIB review applied group strategy principles across three themes
CIB to focus on core European markets	De-risk CIB to moderate risk profile	Align to Group strategy
§ Focus on NW-European clients matching	§	Wind down high risk sectors	§	Support clients with
PB and CB footprint	§	Tighter risk and concentration limits		their sustainability transition
§ Leverage strong domestic franchise		Cross business cooperation,
§	Clearing risk management strengthened	§
(Amsterdam hub)		shared product platforms
§ Maintain leading global Clearing business			§ Achieve 10% ROE ambition over
				time

19

Capital committed to CIB reduced by one third as non-core winds down

Activity	CIB Total	CIB Core 1)	CIB Non-core1)
Lending NW-Europe	Corporate and Financial clients	Corporate and Financial clients
Lending Global	Trade & Commodity Finance (TCF)		TCF
	Global Transportation & Logistics (GTL)	GTL European clients	GTL Non-Europe, Offshore
	Natural Resources (NR)	NR European clients	NR Non-Europe, US O&G
Products	Markets	Markets 2)
	Clearing	Clearing
	Private Equity (PE)	PE (Benelux)
Clients	c.1,000 clients	c.500 clients, most Dutch or near-NL	c.500 global clients
(ex. Clearing, Markets, FI)
Locations (ex. Clearing)	12 locations	6 locations	6 locations outside Europe
Loans & Advances	57bn	39bn 3)	17bn
(Q2 2020)
Impairments avg./year	340m	72m (c.20%)	269m (c.80%)
(2017-2019)
RWAs Basel III	39bn (35% of group)	~25bn (c.23% of group)	~14bn (c.12% of group)
	Basel IV inflation around one third

1. Pro forma figures subject to final allocation between Core and Non-Core and further review
2. Markets Amsterdam platform maintained. Non-core related markets exposures to be wound down, mainly US and Commodities
3. Of 39bn CIB Core Loans & Advances c.15bn is Clearing and c.3bn Markets as of 30 June 2020

20

CIB core has delivered solid returns at lower risk over time

CIB core historically shows solid returns 1)

7%

15%

9%

-12%

2017

2018

2019

H1 2020

• CIB NW-Europe profitable (pre 2020), also benefitting from Private Equity gains
• Footprint congruent with Commercial and Private Banking
• Within Europe CIB to build on its strong domestic franchise
• Clearing has solid roots in Netherlands, offers diversification of income and is countercyclical

Fits moderate risk profile, exceptional files addressed

CoR	19	12	26	249
(bps)
	Exceptional
	client files			362
	Impairments
	71	44	101	177
	2017	2018	2019	H1 2020

• CIB core showed lower CoR pre 2020, aiming for through the cycle CoR towards overall group level
• H1 2020 exceptional client files reflect Clearing (Q1) and potential fraud case (Q2)
• Clearing risk management strengthened; tighter risk limits
• Further transformation to achieve ROE ambition of 10% over time despite RWA inflation from future TRIM and Basel IV

1. Figures subject to final allocation between Core and Non-core and further review. ROE based on Net Profit excluding minority interests and equity, based on Basel III RWAs x 13.75% for
   2020 and 13.5% for 2017-2019. Net Profit includes following large items: cost of settling SME derivatives 2017: 139m, 2018: 41m, 2019: -11m, H1 2020: 15m; restructuring provision 2018: 34m and substantial Private Equity results

21

CIB non-core wind down expected to be capital accretive over time

~80% of non-core portfolio matures within 3 years

CIB non-core holds 4bn in capital and reserves

H1 2020, EUR bn

Other		NR
GTL		TCF

2020

2021

2022

2023

2024

1.4

Loan loss reserves

2.5

CET1 capital

• CIB non-core comprises very largely lending portfolio, ~50% of loans will mature by YE2021, and ~80% by 2023
• Aim to accelerate natural run-down through loan disposals subject to market conditions and whilst safeguarding value
• Costs to be reduced in the network as well as group overhead (details in November)
• Restructuring impact c.280-320m1) expected in Q3 2020
• Segment disclosure for non-core going forward

• CIB non-core has 1.4bn loan loss reserves 2)
• Around 2.5bn of CET1 capital 3) is held for CIB non-core
• Provides buffer for future impairments, expenses and loss on disposals, if any
• Non-corewind down expected to be capital accretive over time
• Impact of the CIB review on the bank will be part of the strategic review

1. Consisting of ~200m staff-related provisions and between 80 - 120m DTA write off
2. Expect additional ~400m for H2 2020 as part of overall impairment guidance FY 2020
3. Pro forma figures subject to final allocation between Core and Non-Core and further review. CIB Non-core capital determined by ambition to meet full loaded 13.5% Basel IV CET1 ratio early in the phase-in period. For Basel IV RWAs a 33% inflation percentage applied to Basel III RWAs

22

Highlights CIB Review - focus, de-risk and align to bank strategy

CIB to focus on NW-Europe and Clearing

• Leverage strong domestic franchise (Amsterdam hub)
• Congruent with Private and Commercial Banking footprint
• Maintain leading global Clearing business

CIB to wind down corporate banking outside Europe

• TCF to be exited completely, NR and GTL to wind down outside Europe
• Capital committed to CIB to be reduced by one third
• Wind down is expected to be capital accretive over time

CIB aligned to group strategy

• Group capital allocated to CIB reduced to < 25% pro forma versus currently 35%
• Reduced risk profile, sustainability, cross business cooperation
• CIB core's ROE ambition over time of 10%

RWA per business 1)

	GF
CIB Non-	4%
Core	Retail
24%
12%

EUR 112bn

CIB CoreQ2 2020 23%

Commercial

27%

Private

9%

1) CIB figures subject to final allocation between Core and Non-Core and further review

23

Highlights Q2, decisive action on CIB

Strategy and Covid-19

• Progress on priorities new CEO: Covid-19, strategy, license to operate and culture. Outcome CIB review announced
• Update on strategy review, including operational efficiency, financial targets and capital in November
• NL is easing out of a well controlled soft lockdown; positive signs of economic recovery although uncertain outlook

Financials and outlook

• Q2 around breakeven net result (-5m) reflecting high impairments of 0.7bn, alongside good operational performance
• NII lower largely reflecting margin pressure from low interest rates; NII guidance c.1.5bn per quarter 1)
• Continued delivery on cost-saving programmes; on track for c.5.1bn costs in 2020 2)
• Impairments, largely in CIB, reflecting Covid-19, low oil price and potential fraud case in Germany; c.3.0bn impairments or c.110bps cost of risk expected for FY2020, most already incurred in H1 2020
• Robust capital position with CET1 ratio at 17.3% (c.14% Basel IV) 3) and strong liquidity position to continue our support for clients
• Committed to resuming dividends and returning excess capital over time, but following ECB recommendation on not distributing capital until 2021 at the earliest

CIB review

• CIB to focus on NW-Europe and Clearing; TCF to be exited completely and NR and GTL to focus on Europe only
• Non-coreactivities (14bn Basel III RWA) to wind down in 3-4 years, expected to be capital accretive
• Recommitment to align risk profile of CIB with moderate risk profile of Group. Ambition of 10% ROE for CIB over time

1. Excludes possible further TLTRO III benefits: TLTRO III rate -50bps, if lending threshold is met, rate will be lowered with 50bps from June 2020 to June 2021
2. Before staff-related provision for CIB review of c.200m in Q3 2020
3. CET1 ratios exclude final dividend of 2019 of 639m (57bps)

24

appendices

The Netherlands and Covid-19

Covid-19 cases and mobility trend NL 1)

Consumer confidence and unemployment

Daily #

2,000

1,500

1,000

500

New Covid-19 cases (lhs)

Lockdown period

Mobiliy trend (rhs)	Index	Index	Consumer confidence (lhs)
	50%	160	40	Unemployment Eurozone (rhs)	Unemployment NL (rhs) 12%
		120	20				9%
		80	0				6%
		40	-20		7.8%	4.3%	3%
	40%

0
Jan	Feb	Mar	Apr	May
			2020

Source: Dutch Institute for Public Health (RIVM), Apple

	0	Jan	-40Feb					0%
Jun	Jul		Jan	Feb	Mar	Apr	May	Jun
				2020		2020
			Source: Netherlands statistics (CBS), Eurostat

Dutch bankruptcies												Housing market NL - price development and transactions
# per month businesses & institutions, Netherlands Statistics (CBS)				15%					price change housing YoY (lhs); +7.6% vs Q2 2019	# in '000
600															10%				# housing transactions (rhs); +14.4% vs Q2 2019	40
400
															5%											20
200
															10%
0		Jan		Feb		Mar			Apr		May		Jun		0%		Jan		Feb		Mar 2020 Apr		May		June		0
							2020													2020
Source: Netherlands statistics (CBS)										Source:		Netherlands statistics (CBS), Land Registry (Kadaster)

1) Number of daily reported new Covid-19 cases Netherlands. Apple mobility trend (walking) 7-day moving average; indexed Baseline (100) = 13 January 2020.

26

Updated macro economic scenarios 1)

ABN AMRO ECB

	Baseline (60%)							Negative (25%)							Positive (15%)
GDP growth NL								GDP growth NL								GDP growth NL
				2.8%	2.9%	2.8%	2.4%								2.2%	5.2%	4.6%							4.0%	5.1%	2.8%	2.2%
														-11.8%											-3.9%	-3.4%
-5.4%	-6.4%									-7.8%			-1.7%

2020

2021

2022

2020

2021

2022

2020

2021

2022

• Expected credit losses are calculated using 3 (probability-weighted) scenarios of future economic developments: baseline or most likely scenario, negative and positive scenario
• Baseline scenario based on forecast of Group Economics, which was adjusted downwards on May 27, 2020 after publication of Q1 results
• Outcome of scenarios depends on length of lockdown, effectiveness of fiscal and monetary measures, extent to which economic production can start up after lockdown and new outbreak of the virus in autumn
• In baseline scenario negative second-round effects (higher unemployment, tighter financial conditions, corporate defaults, supply chain disruptions) expected to appear in Q4, spilling over to 2021

ABN AMRO updated scenarios in line with most recent scenarios ECB

1) Group Economics scenarios as per May 27, 2020; ECB scenarios as of June, 2020

27

Overall staging stable in Q2, some movement within portfolios

EUR bn, total loans & advances customers 1) Stage 1 Stage 2 Stage 3

	CIB			CB			RB			PB
Stage 3 coverage ratio
45%	46%	54%		25%	25%	26%		15%	14%	13%		52%	46%	41%

		2.5		3.2	3.4	3.6	1.3		1.5	1.5
	1.8	7.3	3.0	7.5	11.8
3.7		5.0					16.2
		6.3		14.7	12.0

49.3	55.8	48.1	34.6	144.0	138.5		0.3	0.3	0.3
			25.0	26.3	133.2
					0.9	1.3	1.4
			13.1
						12.6	12.4

Q4 2019

Q1 2020

Q2 2020

Q4 2019

Q1 2020

Q2 2020

Q4 2019

Q1 2020

Q2 2020

Q4 2019

Q1 2020

Q2 2020

• At Q1 increase stage 1 mainly at Clearing due to extreme market volatility, stage 2 and 3 was mainly related to Oil & Gas including Offshore in US
• During Q2 clients were re- assessed, leading to further shift to stage 3 (mainly Midstream, Upstream and Offshore) and back to stage 1
• Increase stage 3 coverage ratio at Q2 due to new inflow with high coverage and further increase impairments on existing stage 3 2)

• At Q1 increase stage 2 related to immediately impacted sub sectors by Covid-19, mainly Transportation, Leisure and Non-food Retail
• During Q2 some sub sectors were moved back (e.g. Road transportation, Holiday parks) leading to lower stage 2 exposure
• Individual assessments of clients has started, which will lead to changes in stages in H2 2020

• At Q1 increase in stage 2 related to mortgage and retail clients expected to make use of payment holidays
• During Q2 the update of macro economic scenarios led to additional transfers to stage 2 for mortgage clients

• At Q1 only stage transfers were done for clients with loans for Real Estate linked to Leisure or Retail
• During Q2 hardly any additions

1. Total loans and advances to customers, gross excluding fair value adjustments from hedge accounting and loans and advances measured at fair value through P&L
2. Increase coverage ratio temporary due to expected write offs during H2 2020

28

CB: Q1 stage 2 overrides partly reversed in Q2

EUR bn	Stage 1	ΔQ1	Stage 2	ΔQ1	Stage 3	ΔQ1	Total exposure	ΔQ1
	exposure	exposure	exposure
Food & Beverage	6.9	0.1	2.1	(0.2)	0.8	-	9.8	(0.1)
Real Estate 1)	7.0	1.0	1.1	(0.9)	0.2	-	8.2	0.1
Industrial Goods & Services	4.4	1.2	2.6	(1.8)	1.2	0.1	8.2	(0.5)
Non-food Retail	0.9	(0.3)	1.7	(0.0)	0.3	-	2.9	(0.3)
Travel & Leisure	0.3	0.1	1.9	(0.1)	0.2	0.1	2.4	0.1
Construction & Materials	1.4	(0.3)	0.6	0.1	0.3	(0.0)	2.3	(0.2)
Health Care	1.4	-	0.5	0.1	0.3	(0.1)	2.1	0.1
Financial services	0.9	(0.1)	0.2	-	0.1	-	1.1	-
Sectors with < 1bn exposure	3.2	(0.4)	1.3	0.1	0.3	-	4.8	(0.3)
Total 2)	26.3	1.3	12.0	(2.7)	3.6	0.2	41.8	(1.3)

• At Q1 stage 2 overrides related to sub sectors identified as immediately impacted by Covid-19, mainly Transportation, Leisure and Non-food Retail
• During Q2 reversals for some sub sectors (e.g. Road transportation, Holiday resorts & Campings), partly offset by small additional overrides and some new sub sectors (e.g. Consultancy firms), overall stage 2 exposure decreased
• Individual assessments of clients ongoing, may lead to changes in stage transfers

1. Part of Commercial Real Estate portfolio in PB and RB
2. Source: Management Information, Loans & Advances customers Q2 2020

29

CIB: Q1 impacted by stage 2 overrides, Q2 by individual stage 3 impairments

EUR bn	Stage 1		Stage 2		Stage 3
exposure	ΔQ1	exposure	ΔQ1	exposure	ΔQ1	Total exposure	ΔQ1
Industrial Goods & Services	8.3	(1.2)	2.3	0.6	0.5	(0.1)	11.1	(0.7)
Oil & Gas 1)	5.7	0.9	1.1	(1.8)	1.5	0.6	8.3	(0.3)
Food & Beverage	3.9	(0.9)	0.6	-	0.3	-	4.8	(0.9)
Financial Services	2.9	(1.0)	0.1	-	-	-	3.0	(1.0)
Basic Resources	2.1	(0.6)	0.1	-	0.3	-	2.5	(0.6)
Non-food Retail	1.1	(0.3)	0.3	0.1	0.2	-	1.6	(0.2)
Utilities	1.5	0.4	0.2	(0.3)	-	-	1.7	0.1
Real Estate 2)	1.1	(0.1)	0.1	(0.1)	-	-	1.2	(0.2)
Sectors with < 1bn exposure	3.7	(0.6)	1.5	0.5	0.2	0.2	5.4	0.1
Clearing & Markets	17.8	(4.3)	-	-	-	(0.2)	17.8	(4.5)
Total 3)	48.1	(7.7)	6.3	(1.0)	3.0	0.5	57.4	(8.2)

• Decrease in exposure in stage 1 mainly related to Clearing as a result of extreme market volatility during Q1
• In Q1 stage 2 overrides done for clients in Oil and Gas portfolio, mainly in US
• During Q2 clients were re-assessed, leading to further shift to stage 3, largely Midstream, Upstream and Offshore
• Portfolio is monitored on ongoing basis, may lead to changes in stage transfers

1. Oil & Gas includes TCF Energy (2.4bn)
2. Part of Commercial Real Estate portfolio in PB and RB
3. Source: Management Information, Loans & Advances customers Q2 2020

30

Pro forma financials H1 2020 and 2019

	H1 2020							FY 2019
				ABN							ABN
		CIB		AMRO	CIB	ABN			CIB		AMRO	CIB	ABN
	CIB	Non-	CIB	ex. CIB	Non-	AMRO		CIB	Non-	CIB	ex. Non-	Non-	AMRO
EUR m	Core	core	Total	Non-core	core	total		Core	core	Total	core	core	total
Operating Income	613	235	849	3,674	235	3,909	1,271	595	1,866	8,010	595	8,605
Operating Expenses	390	158	549	2,341	158	2,499	799	298	1,097	4,970	298	5,268
Loan Impairments	539	855	1,395	958	855	1,814	101	275	376	382	275	657
Net Profit	-209	-685	-894	286	-685	-400	280	11	291	2,034	11	2,046
Cost / Income	64%	67%	65%	64%	67%	64%	63%	50%	59%	62%	50%	61%
Cost of risk (bps)	249	722	392	76	722	116	26	136	62	15	136	24
ROE 1)	-12%	-68%	-32%	3%	-68%	-5%	9%	1%	6%	11%	1%	10%
Loans & Advances (bn)	39	17	57	249	17	267	36	19	55	249	19	268
Basel III RWA (bn)	25	14	39	98	14	112	23	15	38	95	15	110

Notes

• CIB non-core operating expenses c.300m per annum, comprising c.200m network costs and c.100m group support functions
• Further details regarding cost developments in November
• All figures subject to final allocation and subject to review. Segment disclosure to be provided between CIB core and non-core going forward

1. ROE for CIB, CIB Core and CIB Non-core based on Basel III RWAs x 13.75% for 2020 and 13.5% for 2019. ABN AMRO ex. CIB Non-core ROE based on IFRS equity less CIB Non-core equity based on 13.75% /13.5% (2020 / 2019) x Basel III RWAs

31

CIB core historically shows solid performance

CIB core historically shows solid returns 1)		CIB core is less cyclical, lower risk overall
				CoR	19	12	26	249
				(bps)
	15%				Exceptionals
	9%			Impairments
7%							362
			-12%
					71	44	101	177
2017	2018	2019	H1 2020		2017	2018	2019	H1 2020

EUR m	2017	2018	2019	H1 2020
Operating income	1,280	1,509	1,271	613
Operating Expenses	947	864	799	390
Loan Impairments	71	44	101	539
Net Profit 1)	219	504	280	-209
Cost / Income	74%	57%	63%	64%
Cost of risk (bps)	19	12	26	249
ROE	7%	15%	9%	-12%
Loans & Advances (bn)	39	37	36	39
Basel III RWA (bn)	22	22	23	25

Loans by geography and stage 2)

US	Asia		Stage 3 4%
Rest of W		NL	Stage 2
		17%
			Coverage ratio

Stage 1 <1%

Stage 2 <1%

Stage 3 ~35%

Europe

Stage 1

80%

1. Figures subject to final allocation between Core and Non-core and further review. ROE based on Net Profit excl. minority interest and equity of 13.5% of Basel III RWAs for 2017 - 2019 and 13.75% x Basel III RWAs for 2020. Net Profit incl. following large items: cost of settling SME derivatives 2017: 139m, 2018: 41m, 2019: -11m, H1 2020: 15m; restructuring provision 2018: 34m and substantial Private Equity results
2. Stage breakdown based on Total Loans and Advances Customersc excluding Clearing and Markets

32

Clearing - solid business

Clearing historically shows decent returns (pre 2020)

ROE

19%	12%	23%	14%	-16%
				Professional lending			RWA

20

15

10

5
13	3	17	4	13	3	12	5	15	5
0
2016	2017	2018	2019	H1 2020

• As a global player (top 3 position) with membership of all relevant exchanges and clearing houses around the world, Clearing has a long history of proven capabilities
• Scalable business model, robust infrastructure and resilient technology
• Clearing offers diversification of income for ABN AMRO and is countercyclical
• Clearing expected to maintain returns following risk management strengthening

Risk management strengthened post Q1 loss

CoR (bps)
-1	0	-3	0	253

Impairments

	0		0	204
-2
	-4
2016	2017	2018	2019	H1 2020

• Good track record in managing risk through past volatile periods pre 2020
• Remediation/de-riskingactions taken after Q1 2020 loss:
• • full client portfolio review performed and actions taken accordingly;
  • review close out procedure and drills including enhancing capabilities;
  • changes to stress haircut risk appetite;
  • risk appetite around "price of liquidation" re-assessed;
• Aggregated extreme stress loss risk significantly decreased against exposure before Q1 loss

33

CIB Non-core showed high impairments thru 2019, 2020 higher still

CIB Non-core ROE 1) already weak pre 2020

0%		1%
-4%	-68%

2017

2018

2019

H1 2020

EUR m	2017	2018	2019	H1 2020
Operating income	550	608	595	235
Operating Expenses	322	325	298	158
Loan Impairments	148	383	275	855
Net Profit	2	-78	11	-685
Cost / Income	59%	53%	50%	67%
Cost of risk (bps)	71	175	136	722
ROE	0%	-4%	1%	-68%
Loans & Advances (bn)	21	20	19	17
Basel III RWA (bn)	15	13	15	14

CIB Non-core cyclical and higher risk
CoR	71	175	136	722
(bps)
	Exceptionals			256
	Impairments
		383	275	599
	2017148	2018	2019	H1 2020

Loans by geography and stage 2)

NL	Stage 3 11%

USA

Stage 2
13%	Coverage ratio
Europe	Stage 1	<1%
	Stage 2	1%
	Stage 3	~55%

Rest of W	Stage 1
76%
Asia

1. Figures subject to final allocation between Core and Non-core and further review. ROE based on Net Profit excluding minority interest and equity of 13.5% of Basel III RWAs for 2017 - 2019 and 13.75% x Basel III RWAs for 2020.
2. Stage breakdown based on Total Loans and Advances Customers

34

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.

35

20200812 Investor Relations - Q2 2020

Address

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The Netherlands

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