ABN AMRO Bank N : Roadshow booklet 2024 Q1

Roadshow booklet

Q1 2024 results

Investor Relations, 15 May 2024

Key messages Q1 2024, very strong result with 674m net profit

• Very strong performance with a net profit of 674m and a resulting Return of Equity of 11.6%
• Business momentum remained good; growth in both our mortgage and corporate loan books
• Market leader in new mortgage production in Q1 1)
• Net interest income strong, continued to benefit from current interest rate environment
• Fee income 6% higher versus same period last year, driven by good performance in all client units
• Credit quality remains solid with limited impairments and improved macroeconomic outlook
• Strong capital with a Basel III CET1 ratio of 13.8% and Basel IV CET1 ratio of around 14%
• Attractive shareholder return, finalised third share buyback programme of 500 million in May

1) Based on Hypotheken Data Network (HDN)

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Executing on our strategy

Customer experience	Sustainability	Future proof bank
A personal bank in the digital age,	Distinctive expertise in supporting	Enhance client service,
for the resourceful and ambitious	clients' transition to sustainability	compliance and efficiency

• New brand promise 'For every new beginning' launched, building on our entrepreneurial spirit and expertise
• 'Help with Banking' advisers to double to 200, supporting clients in everyday banking

• 68% of total loans & advances covered by Climate strategy, including targets for 2 additional sectors
• Maturity of mortgages to finance sustainable home improvements extended from 15 to 30 years

• Exclusive partnership to bring banking expertise and innovative payment solutions to retailers
• Mortgage market leader in Q1 supported by competitive pricing and continuous improvement customer journey

Our purpose - Banking for better for generations to come

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Dutch economy resilient and housing market rebounding

Dutch economy remains relatively strong 1)

		2023	2024e	2025e
Netherlands	GDP (% yoy)	0.1%	0.7%	1.2%
	Inflation (indexed % yoy)	4.1%	2.8%	2.4%
	Unemployment rate (%)	3.6%	4.0%	4.2%
	Gov't debt (% GDP)	47%	47%	47%
Eurozone	GDP (% yoy)	0.4%	0.4%	1.6%
	Inflation (indexed % yoy)	5.5%	2.3%	2.1%
	Unemployment rate (%)	6.5%	7.1%	7.0%
	Gov't debt (% GDP)	91%	91%	90%

Spending and PMI positive, confidence improving 2)

	Consumer spending (lhs)		Consumer confidence (rhs)
20%	PMI index (rhs)			70
10%				35
0%				0
-10%				-35
-20%				-70
2020	2021	2022	2023	2024

Dutch bankruptcies relatively low but increasing 3)

• per quarter businesses & institutions 2,500 2,000 1,500 1,000
  500

0 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24

Rebound of housing market 3)

				NL houses sold (lhs, #'000)				NL house prices (rhs, 2015=100)
250																			225
200																			150
150																			75
100																						0
2018	2019	2020	2021		2022	2023		2024e		2025e

1)	Group Economics forecast of 23 April 2024	4
2)	Statistics Netherlands (CBS); Cons. spending % change yoy, consumer confidence seasonally adjusted (eop), PMI is Nevi NL Manufacturing PMI (eop) expansion >0 and contraction <0 |
3)	Statistics Netherlands (CBS), Group Economics forecast of 16 April 2024

Loan demand good, higher deposits with change in composition

Good business momentum for client loans

EUR bn

	0.8	0.3
		-0.3
237.3		238.2

Q4 2023

Mortgages

Corporate loans

Consumer loans

Q1 2024

Total deposits increased

EUR bn

	2.6	14.1
	-0.6
	-9.3
	Total client deposits down 7.3bn
254.5		261.3

Q4 2023

Time deposits

Demand deposits

Current accounts

Professional deposits

Q1 2024

• Strong growth of mortgage portfolio supported by strong position in starter market; market leader in Q1 with a 19% market share 1)
• Corporate lending up driven by focussed growth in transition sectors in the Netherlands and Northwestern Europe
• Decrease in consumer loans continued from run-off of several products and lower client demand due to stricter lending criteria
• Client deposits down, mainly current accounts related to seasonal effect in Q1 and migration to time deposits and professional deposits
• Professional deposits went up in Q1, mainly reflecting a reversal at Clearing after clients brought down their positions at year-end

1) Data source for new mortgage production and market share changed from Land Registry (Kadaster) to Hypotheken Data Network (HDN)	| 5

Resilient net interest income

Underlying NII increased 1)

EUR m

1,266	1,232	1,314	1,504	1,620	1,604	1,533	1,538	1,560
Q1	Q2	Q3	Q4	Q1	Q2	Q3	Q4	Q1
	2022			2023		2024

• Underlying NII 1) increased versus Q4 as Treasury result continues to benefit from the current interest rate environment
• Lower margins on assets from competitive markets
• Lower NII for deposits mainly related to decrease in current accounts from seasonal effects and migration into time deposits
• FY2024 NII expected at c. 6.3bn from further improvement in Treasury result in H2 2024

1) Underlying NII excludes incidentals related to increase provision for revolving consumer credit of 34m in Q4 2023 and 29m positive revaluation DSB claim in Q1 2024

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Strong increase in fees and other income

Fee and commission income up by c.6% Y-o-Y

EUR m

444	444	442	452	469

Q1	Q2		Q3	Q4	Q1
		2023		2024

Strong increase in other income

EUR m

				237
	78	157			85	139
	Q1		Q2		Q3	Q4	Q1
				2023		2024

• Higher fees in Q1 versus both comparative quarters driven by good performance in all client units
• Increase in fees in Q1 versus last quarter driven by good market performance leading to higher Assets under Management, increase of payment package fees and good results at Global Markets
• Other income increased versus Q4, largely reflecting higher ALM/Treasury and XVA results

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Costs remain under control

Underlying expenses and regulatory levies 1)

EUR m

244

36

103

23

1,162	1,165	1,193	1,278	1,234

Q1	Q2	-49	Q3	Q4	Q1
		2023		2024
	Underlying expenses	Regulatory levies

• Underlying expenses declined in Q1, largely reflecting high marketing and consultancy costs in Q4 2023
• Regulatory levies in Q1 only include DGS contribution as target size for SRF has been reached
• For remainder of 2024 costs expected to increase from inflation, digitalisation and upscaling of resources for data capabilities and regulatory programs
• FY2024 costs expected at c. 5.3bn including regulatory levies

1) Underlying expenses exclude incidentals related to handling costs revolving consumer credit of 20m in Q2 2023 and goodwill impairments of 81m in Q4 2023

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Credit quality remains solid, non-performing loans stable

Impaired ratio stable at 1.9%

	Stage 3 loans	Stage 3
	(EUR m)	coverage ratio
	Q1 2024	Q4 2023	Q1 2024	Q4 2023
Mortgages	1,316	1,292	9.4%	9.7%
Corporate loans	3,276	3,152	25.6%	26.4%
Consumer loans	243	255	47.1%	46.3%
Total	4,841	4,707	22.3%	22.9%
Impaired ratio (stage 3)	1.9%	1.9%

Limited impairments in Q1 1)

14		Impairments (in EUR m)		CoR (in bps)

3

-21

-69-83

Q1	Q2		Q3	Q4	Q1
	2023			2024

• Impaired ratio stable at 1.9% and stage 3 coverage ratio slightly lower, largely related to write-offs
• Limited impairments in Q1; net new inflow in Stage 3 was largely offset by improved macroeconomic scenarios, especially for the housing market, and a small decrease in management overlays
• Management overlays currently c.250m of which around 1/3 is related to geopolitical uncertainties
• Gradual normalisation of impairments expected towards lower end of through the cycle Cost of Risk of 15-20bps

1) Cost of Risk is calculated using only on balance sheet impairments and exposure, while the impairments include off balance sheet impairments

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Strong capital position

Basel III CET1 ratio 1)	Basel III RWA
	EUR bn

	0.3%							3.2	0.5	0.3
		-0.4%	-0.3%		3.0%
14.3%				13.8%		10.8%	140.2				144.2
2023Q4	Net result	RWA	Other	2024Q1	Distance to MDA	Requirement	2023Q4	Credit risk	Op. risk	Market risk	2024Q1

• Strong capital position with a Basel III CET1 ratio of 13.8%, which is well above our requirement. AT1 shortfall largely addressed through issuance of a new 750m AT1 instrument
• Decrease in CET1 ratio mainly resulted from an increase in RWAs of 4bn, mainly reflecting a rise in credit risk RWAs and to a lesser extent operational risk RWAs, and capital deductions
• Credit risk RWA increase includes 1.7bn model-relatedadd-ons & 1.4bn business developments, mainly seasonal effects at Clearing
• CET1 capital was impacted by capital deductions, which included the effect of moving portfolios to less sophisticated approaches
• Basel IV ratio at Q1 is around 14%, decline versus Q4 is roughly in line with decline of 0.5% in Basel III CET1 ratio

1) Net result excluding dividend reserve, which is included in Other; Pro forma CET1 requirement includes increase of Dutch CcyB by 1% to 2%, decrease of O-SII buffer by 0.25% to	| 10
1.25% as of May 2024 and announced CCyB increases in other countries (expected impact on MDA of c.40bps)