The figures presented in this document have been neither audited nor reviewed by our external auditor.

Transcription

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2 This document contains selected Pillar 3 information in addition to the Pillar 3 information published in the Annual Report 2017 of ABN AMRO Group N.V. This report is presented in euros (EUR), which is ABN AMRO's presentation currency, rounded to the nearest million (unless otherwise stated). This document contains the following disclosures: - Group structure and scope of application - Capital requirements - Credit risk and credit risk mitigation general information - Credit risk and credit risk mitigation Standardised approach - Credit risk and credit risk mitigation IRB approach - Counterparty credit risk - Market Risk - Renumeration - Capital instruments' main features - Own funds - Asset encumbrance - Leverage ratio - Countercyclical Capital Buffer disclosure - LCR disclosures The figures presented in this document have been neither audited nor reviewed by our external auditor.

3 Template 1 Template 2 Template 3 Group structure and scope of application EU LI1 Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories EU LI2 Main sources of differences between regulatory exposure amounts and carrying values in financial statements EU LI 3 - Outlines of the differences in the scope of consolidation entity by entity Template 4 Template 5 Capital requirements EU OV1 Overview of RWAs EU CR10 IRB (specialised lending and equities Template 6 EU INS 1 Non-deducted participations in insurance undertakings Credit risk and credit risk mitigation general information Template 7 EU CRB-B Total and average net amount of exposures Template 8 EU CRB-C Geographical breakdown of exposures Template 9 Template 10 Template 11 EU CRB-D Concentration of exposures by industry or counterparty types EU CRB-E Maturity of exposures EU CR1-A Credit quality of exposures by exposure classes and instruments Template 12 EU CR1-B Credit quality of exposures by industry or counterparty types Template 13 EU CR1-C Credit quality of exposures by geography Template 14 EU CR1-D Ageing of past-due exposures Template 15 EU CR1-E Non-performing and forborne exposures Template 16 Template 17 Template 18 Template 19 Template 20 EU CR2-A Changes in stock of general and specific credit risk adjustment EU CR2-B Changes in stock of defaulted loans and debt securities EU CR3 Credit risk mitigation techniques EU CR4 Standardised approach credit risk exposure and Credit Risk Mitigation (CRM) effects EU CR5 Standardised approach

4 Credit risk and credit risk mitigation IRB approach Template 21 EU CR6 IRB - Credit risk exposures by portfolio and PD range Template 22 EU CR7 IRB Effect on RWA of credit derivatives used as CRM techniques Template 23 EU CR8 RWA flow statements of credit risk exposures under IRB Template 24 EU CR9 IRB Backtesting of probability of default (PD) per portfolio Counterparty credit risk Template 25 EU CCR1 Analysis of counterparty credit risk (CCR) exposure by approach Template 26 EU CCR2 Credit valuation adjustment (CVA) capital charge Template 27 Template 28 Template 29 EU CCR8 Exposures to central counterparties EU CCR3 Standardised approach of CCR exposures by regulatory portfolio and risk weights EU CCR4 IRB CCR exposures by portfolio and PD scale Template 30 EU CCR7 RWA flow statements of CCR exposures under the Internal Model Method (IMM) Template 31 Template 32 Template 33 EU CCR5-A Impact of netting and collateral held on exposure values EU CCR5-B Composition of collateral for CCR exposure EU CCR6 Credit derivatives exposures

5 Template 34 Market risk EU MR1 Market risk under the standardised approach Template 35 Template 36 Template 37 Template 38 EU MR2-A Market risk under internal models approach EU MR2-B RWA flow statements of market risk exposures under an IMA EU MR3 IMA values for trading portfolios EU MR4 Comparison of VaR estimates with gains/losses Template 39 Unencumbered assets EBA/GL/2014/03 - disclosure of encumbered and unencumbered assets Template 40 Remuneration EBA/GL/2015/22 - on sound remuneration policies under Articles 74(3) and 75(2) of Directive 2013/36/EU and disclosures under Article 450 of Regulation (EU) No 575/2013 Own Funds Template 41 Template 42 (EU) No 1423/2013 ; ANNEX II - Capital instruments main features template (EU) No 1423/2013 ; ANNEX IV - Own funds disclosure template Template 43 Template 44 Leverage ratio (EU) 2016/200 ; ANNEX I CRR Leverage Ratio Disclosure Template Countercyclical capital buffer (EU) 2015/1555 ; ANNEX I - Standard format for disclosure of information in relation to the compliancy of institutions with the requirement for a countercyclical capital buffer LCR Disclosures Template 45 Template 46 EBA/GL/2017/01 ; Annex I (art 17); Annex II (art 19); qualitative disclosures EBA/GL/2017/01 ; Annex II (art 18) ; quantitative disclosure

6 EU Tables (qualitative) number EU Tables and Templates Reference Table 1 Table 2 EU OVA Bank risk management approach EU CRA Credit risk management AFS 2017 Chapter Risk funding & capital management: Risk Approach: Risk profile; Risk taxonomy; Risk apetite; Risk culture; Risk governance; Risk Measurement; Stress testing; Capital AFS 2017 Chapter Risk funding & capital management: Credit Risk management: intro / credit risk mngt approach; Credit risk measurement; Credit risk life cycle. Risk approach - Risk governance / Three lines of defence Table 3 EU CCRA CCR management AFS 2017 Chapter Risk funding & capital management: Credit Risk management: specific counterparty credit risk; Regulatory and economic exposure calculation for specific counterparty credit risk; credit risk concentration; wrong way risk Table 4 EU MRA Market risk management AFS 2017 Chapter Risk funding & capital management: Market Risk Management Table 5 Table 6 Table 7 Table 8 Table 9 Table 10 EU LIA Explanations of differences between accounting and regulatory exposure amounts EU CRB-A Additional disclosure related to the credit quality of assets EU CRC Qualitative disclosure requirements related to credit risk mitigation techniques EU CRD Qualitative disclosure requirements on institutions use of external credit ratings under the standardised approach for credit risk EU CRE Qualitative disclosures related to IRB models EU MRB-B Qualitative disclosures for institutions using the Internal Models Approach (IMA) AFS 2017 Chapter Introduction to Risk funding & capital management. AFS 2017 Chapter Risk funding & capital management: Credit Risk management: Forborne, past due and impaired loans AFS 2017 Chapter Risk funding & capital management: Credit Risk management:credit Risk mitigation AFS 2017 Chapter Risk funding & capital management: Credit Risk management:credit Risk mitigation; Internal rating scale mapped to external ratings AFS 2017 Chapter Risk funding & capital management: Risk Approach; Capital. Credit Risk management; Credit risk measurment AFS 2017 Chapter Risk funding & capital management: Market Risk Management

7 Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories * Carrying values of items: 31 December 2017 (in millions) Carrying values as reported in published financial statements Carrying values under scope of regulatory consolidation Subject to credit risk framework Subject to counterparty credit risk framework Subject to the securisation framework Subject to the market risk framework Not subject to capital requirements or subject to deduction from capital Cash and balances at central banks 29,783 29,783 29, Financial assets held for trading 1,600 1, ,600 - Derivatives 9,825 9,825-9,825-8,165 - Financial investments 40,965 40,911 38, ,213 Securities financing 16,645 16, , Loans and receivables-banks 10,665 10,660 10, Residential mortgages 152, , , ,264 Customer loans 12,122 12,112 12, Corporate loans 101, ,118 99, ,425 Other loans and receivables - customers 8,975 8,975 8, Equity accounted investments Property and equipment 1,458 1,457 1, Goodwill and other intangible assets Assets held for sale 3, Tax assets Other assets 2,830 2,827 2, Total assets 393, , ,851 25, ,765 6,521 Financial liabilities held for trading 1,082 1, ,082 - Derivatives 8,367 8,367-8,367-5,911 - Securities financing 12,875 12,875-11, ,464 Due to banks 16,462 16, ,462 Demand deposits 127, , ,765 Saving deposits 95,751 95, ,787 Time deposits 13,274 13, ,278 Other due to customers Due to customers 76,612 76, ,612 Issued debt 9,720 9, ,720 Subordinated liabilities 1,529 1, ,467 Provisions 4,843 2, ,105 Tax liabilities Other liabilities 3,543 3, ,530 Total liabilities 371, , , , ,292 * Total Credit Risk framework is not equal to Credit Risk amounts as reported in Financial Annual Statement due to scope differences

8 Main sources of differences between regulatory exposure amounts and carrying values in financial statements (in millions) Total Credit risk framework Items subject to: Counterparty credit risk framework 31 December 2017 Securisation framework Asset carrying value amount under scope of regulatory consolidation (as per template LI1) 390, ,731 25,510 1 Liabilities carrying value amount under regulatory scope of consolidation (as per template LI1) 7,879 7,879 Total net amount under regulatory scope of consolidation 382, ,851 25,510 1 Off-balance sheet amounts 175, ,820 47,995 Differences due to consideration of provisions (IRB only) 1,944 1,944 Differences due to different netting rules, other than those already included all above (63,920) (2,409) (61,511) - Impact due to internal modelling of exposure values (10,208) (10,208) Impact of Credit Conversion Factors (86,414) (86,414) Other differences (5,984) (6,606) EAD 393, ,979 12,613 4

9 Outline of the differences in the scopes of consolidation entity by entity Name of the entity Method of accounting consilidation Full consolidation Method of regulatory consolidation Neither Propotional consolidated nor consolidation deducted Deducted Sector ABN AMRO Bank N.V. Full Consolidated X Credit institutions ABN AMRO Hypotheken Groep B.V Full Consolidated X Credit institutions AA Comm Fin N.V. Full Consolidated X Other financial intermediary ABN AMRO Hold International AG Full Consolidated X Other financial intermediary ABN AMRO Asset Based Finance Full Consolidated X Leasing company ABN AMRO Pensioeninstelling NV Full Consolidated X Other financial auxiliary Sumsare N.V. Full Consolidated X Other financial intermediary Franx B.V. Full Consolidated X Other financial auxiliary New10 B.V. Full Consolidated X Other financial intermediary AA Commercial Finance B.V. Full Consolidated X Other financial intermediary ABN AMRO Groenbank B.V. Full Consolidated X Credit institutions ABN AMRO Arbo Services B.V. Full Consolidated X Other non-financial company Stater N.V. Full Consolidated X Other financial auxiliary AA Covered Bond Comp B.V. Full Consolidated X Other financial intermediary SMILE 2007 Full Consolidated X Special Purpose Entity Amsterdamsche Hold Comp B.V. Full Consolidated X Other non-financial company Rotterdamsche Hold Comp B.V. Full Consolidated X Other non-financial company De Twentsche Holding Comp B.V. Full Consolidated X Other non-financial company Landgoed Duin & Kruidberg B.V. Full Consolidated X Other non-financial company AAB Incubator Holding B.V. Full Consolidated X Other financial intermediary ABN AMRO Beheersmij 2 N.V. Full Consolidated X Other financial intermediary Holding Mij de Hondsrug B.V. Full Consolidated X Other financial intermediary P.H.P. Investeringsmij II B.V. Full Consolidated X Other financial intermediary ABN AMRO Clearing Bank N.V. Full Consolidated X Credit institutions Icestar B.V. Full Consolidated X Other financial intermediary ABN AMRO Acq Finance Hold B.V. Full Consolidated X Other financial intermediary ABN AMRO Investment Hold B.V. Full Consolidated X Other financial intermediary Principal Fin Inv Holding BV Full Consolidated X Other financial intermediary ABN AMRO MP Priv & Tr Hold BV Full Consolidated X Other financial intermediary B.V. FINANC.MIJ N.O.B. Full Consolidated X Other financial intermediary AA Markets (UK) Limited Full Consolidated X Other financial intermediary ABN AMRO (Guernsey) Limited Full Consolidated X Credit institutions AA Retained FS (IOM) Ltd Full Consolidated X Other financial intermediary AA Retained Serv (Cayman) Ltd Full Consolidated X Other financial auxiliary FFSB LIMITED Full Consolidated X Other financial auxiliary AA (Hong Kong) Ltd Full Consolidated X Other financial auxiliary ABN AMRO FundServ(Asia)Limited Full Consolidated X Other financial auxiliary AA Clearing Hong Kong Limited Full Consolidated X Other financial intermediary AA Securities (Asia) Limited Full Consolidated X Other financial intermediary AA Clearing Sydney Pty Ltd Full Consolidated X Other financial intermediary NESBIC GROEP B.V. Full Consolidated X Other financial intermediary INTERNATIONAL CARD SERVICES BV Full Consolidated X Credit institutions ALFAM HOLDING N.V. Full Consolidated X Other financial intermediary AA Projectontwikkeling B.V. Full Consolidated X Other financial intermediary ABN AMRO Mahler Assets B.V. Full Consolidated X Other non-financial company MoneYou B.V. Full Consolidated X Other financial intermediary ABN AMRO Participaties Man B.V Full Consolidated X Other financial intermediary AA Effecten Compagnie BV Full Consolidated X Other financial auxiliary AA JBF Full Consolidated X Other financial auxiliary AA Part Fund I Full Consolidated X Other financial intermediary AA Int Services B.V. Full Consolidated X Other financial auxiliary AA Partici NPE Fund I B.V. Full Consolidated X Other financial intermediary AA Support Serv (Ireland) Ltd Full Consolidated X Other financial intermediary AA Sec Holdings (Denmark) ApS Full Consolidated X Other financial intermediary ABN AMRO Clear Sgp Pte. Ltd. Full Consolidated X Other financial intermediary International Card Services Full Consolidated X Credit institutions ABN AMRO Securities (Spain) SL Full Consolidated X Other financial auxiliary AA Retained CS (IOM) Ltd Full Consolidated X Custody company AA Clearing Tokyo Co Ltd. Full Consolidated X Other financial intermediary ABN AMRO Captive N.V. Full Consolidated X Insurance company AA Brasil Participações Ltda Full Consolidated X Other financial intermediary AA Lease N.V. UK Branch Full Consolidated X Leasing company AA Lease N.V. Niederl Deutschl Full Consolidated X Leasing company Prospery GmbH Full Consolidated X Other financial auxiliary White Rock Ins(Gibr)/Cell AA Full Consolidated X Insurance company AA Bus Serv. India PteLtd i.l. Full Consolidated X Other non-financial company ABN AMRO Commercial Fin Plc Full Consolidated X Other financial intermediary AA Commercial Finance GmbH Full Consolidated X Other financial intermediary AA Commercial Finance S.A. Full Consolidated X Other financial intermediary AA Life Capital Belgium N.V. Full Consolidated X Insurance company Neuflize OBC - Bank Full Consolidated X Credit institutions Aurasio GmbH Full Consolidated X Other financial intermediary Bethmann Bank AG Full Consolidated X Credit institutions AA Holding (Deutschland) GmbH Full Consolidated X Other financial intermediary AA Bank (Luxembourg) S.A. Full Consolidated X Credit institutions ABN AMRO Life S.A. Full Consolidated X Insurance company AA Social Impact Investme B.V. Full Consolidated X Non-Money market fund KEEP SPV LTD REGROUPING Full Consolidated X Credit institutions AA Clearing Investments B.V. Full Consolidated X Other financial intermediary AA SME Participation B.V Full Consolidated X Other financial intermediary AA Icestar USA LLC Full Consolidated X Other financial intermediary ABN AMRO Investments USA LLC Full Consolidated X Other financial intermediary AA Digital Impact Mgt B.V. Full Consolidated X Asset management company AA NOMINEES SERVICES HONG KONG Full Consolidated X Custody company ABN AMRO Holdings USA LLC Full Consolidated X Other financial intermediary ABN AMRO Securities (USA) LLC Full Consolidated X Other financial intermediary ABN AMRO Clearing Chicago LLC Full Consolidated X Other financial intermediary ABN AMRO Lux Holding S.a.r.l. Full Consolidated X Credit institutions ABN AMRO Group NV Full Consolidated X Other financial intermediary ABN AMRO Capital USA LLC Full Consolidated X Other financial intermediary ABN AMRO Funding USA LLC Full Consolidated X Other financial intermediary

10 Overview of RWAs Minimum capital requirements (in millions) Q Q Q Credit risk (excluding CCR) 78,027 77,368 6,242 Of which the standardised approach 4,105 5, Of which the foundation IRB (FIRB) approach Of which the advanced IRB (AIRB) approach 71,350 68,612 5,708 Of which equity IRB under the simple risk-weighted approach or the IMA 2,572 2, CCR 3,913 3, Of which mark to market 2,230 2, Of which original exposure Of which the standardised approach Of which internal model method (IMM) Of which risk exposure amount for contributions to the default fund of a CCP Of which CVA Settlement risk Securitisation exposures in the banking book (after the cap) Of which IRB approach Of which IRB supervisory formula approach (SFA) Of which internal assessment approach (IAA) Of which standardised approach Market risk 2,391 3, Of which the standardised approach Of which IMA 2,386 3, Large exposures Operational risk 19,626 19,616 1,570 Of which basic indicator approach 1,246 1, Of which standardised approach Of which advanced measurement approach 18,379 18,369 1,470 Amounts below the thresholds for deduction (subject to 250% risk weight) 2,201 1, Floor adjustment Total RWA 106, ,767 8,493 RWAs

11 Equities * Categories (millions) On balance sheet amount Off balance sheet amount Risk weight Exposure amount RWA Capital requirements Exchange-traded equity exposures 0 290% Private equity exposures % Other equity exposures % Total ,005 2, *ABN AMRO does not apply the approach prescribed by CRR (specialized lending slotting criteria approach).

12 Non-deducted participations in insurance undertakings Template 6 is not applicable to AAB, as AAB does not apply the option described in CRR 49(1) not to deduct the investments in insurance subsidiaries from regulatory capital. Instead, AAB includes the investments in Insurance subsidiaries in the calculation for significant investments per CRR 48.

13 Total net amount of exposures (in millions) Net exposure at the end of the period Central governments or central banks 59,984 Institutions 14,681 Corporates 200,495 Of which: Specialised lending 44,094 Of which: SME 32,140 Retail 186,185 Secured by real estate property 165,498 SME 3,931 Non-SME 161,567 Qualifying revolving 11,540 Other retail 9,147 SME 4,477 Non-SME 4,670 Equity 1,005 Total IRB approach 462,350 Central governments or central banks 123 Regional governments or local authorities 0 Public sector entities 0 Multilateral Development Banks 600 International organisations 4,165 Institutions 2,236 Corporates 4,407 Of which: SME 2,715 Retail 5,348 Of which: SME 163 Secures by mortgages on immovable property 767 Of which: SME 92 Exposure at default 60 Items associated with particularly high risk 0 Covered bonds 0 Claims on institutions and corporates with a shortterm credit assesment 0 Collective investment undertakings (CIU) 167 Equity exposures 0 Other exposures 1,219 Total SA approach 19,091 Total 481,441

14 Geographical breakdown of exposures (in millions) Netherlands Rest of Europe USA Asia Rest of world Central governments or central banks 34,419 19,195 2,755 2,362 1,252 59,984 Institutions 3,418 6,621 1,864 2, ,681 Corporates 97,023 41,602 26,148 20,785 14, ,495 Retail 185, ,185 Equity ,005 Total IRB approach 320,786 68,328 30,885 25,640 16, ,350 Central governments or central banks Total Regional governments or local authorities Public sector entities Multilateral development banks International organisations 0 4, ,165 Institutions 8 1, ,236 Corporates 1,885 2, ,407 Retail 5, ,348 Secured by mortgages on immovable property Exposures in default Items associated with particularly high risk Covered bonds Claims on institutions and corporates with a short-term credit assessment Collective investments undertakings Equity exposures Other exposures 1, ,219 Total standardised approach 8,927 8, ,091 Total 329,713 77,270 31,289 26,057 17, ,441

15 Concentration of exposures by industry or counterparty types (in millions) Central governments or central Agriculture, forestry and fishing Mining and quarying Manufacturing Electricity, gas, steam and air conditioning supply Water supply Contruction Wholesale and retail trade Transport and storage Accomodation and food service activities banks , , ,984 Institutions , ,681 Corporates 6,053 11,273 16,927 3, ,102 49,088 14,626 1,185 3,127 53,100 8,233 2,485 5, , ,697 7, ,495 Retail 1, , , , , ,185 Equity , ,005 Total IRB approach 7,554 11,276 17,592 3, ,727 51,017 14,984 1,576 3, ,799 8,535 3,190 6,212 25, ,146 1,279 18, , ,350 Central governments or central banks Regional governments or local authorities Public sector entities Multilateral development banks International organisations , ,592 4,165 Institutions , ,236 Corporates ,407 Retail ,541 2, ,348 Secured by mortgages on immovable property Exposures in default Items associated with particularly high risk Covered bonds Claims on institutions and corporates with a short-term credit assessment Collective investments undertakings Equity exposures Other exposures , ,219 Total standardised approach , , ,886 4,350 2,174 19,091 Total 7,568 11,276 18,296 3, ,758 51,998 15,181 1,588 3, ,916 8,757 3,304 6,678 27, ,217 1,298 23, ,772 2, ,441 Information and communication Financial and insurance activities Real estate activities Professional, scientific and technical activities Administrative and support service activities Public administration and defence, compulsory social security Education Human health services and social work activities Arts, entertainment and recreation Other services Activities of households as employers; undifferentiated goods - and services - producing activities of households for own use Activities of extraterritorial organisations and bodies Total

16 Maturity of exposures (in millions) On demand <= 1 year > 1 year <= 5 years > 5 years Central governments or central No stated maturity banks 27,396 8,993 8,976 14, ,984 Institutions 21 6,662 4,704 3, ,681 Corporates 23,673 64,239 63,840 48, ,495 Retail 6,797 1,843 16, , ,185 Equity ,005 1,005 Total IRB approach 57,887 81,736 93, ,958 1, ,350 Central governments or central banks Regional governments or local authorities Public sector entities Multilateral development banks International organisations ,803 2, ,165 Institutions 0 2, ,236 Corporates 1,373 1, ,407 Retail 1, , ,348 Secured by mortgages on immovable property Exposures in default Items associated with particularly high risk Covered bonds Claims on institutions and corporates with a short-term credit Net exposure value assessment Collective investments undertakings Equity exposures Other exposures 0 0 1, ,219 Total standardised approach 3,372 4,307 6,545 4, ,091 Total 61,259 86, , ,825 1, ,441 Total

17 Credit quality of exposures by exposure classes and instruments (in millions) Gross carrying values of Defaulted exposures (a) Non-defaulted exposures (b) Specific credit risk adjustment ( c) General credit risk adjustment (d) Accumulated write-offs ( e) Credit risk adjustment charges of the period (f) Net values (a+b-c-d-e) Central governments or central banks 0 59, ,984 Institutions 0 14, ,681 Corporates 6, ,947 1, ,495 Of which: Specialised lending 1,561 42, ,094 Of which: SME 1,568 31, ,140 Retail 1, , ,185 Secured by real estate property 1, , ,498 SME 154 3, ,931 Non-SME , ,567 Qualifying revolving , ,540 Other retail 290 8, ,147 SME 229 4, ,477 Non-SME 61 4, ,670 Equity 0 1, ,005 Total IRB approach 7, ,514 1, ,350 Central governments or central banks Regional governments or local authorities Public sector entities Multilateral Development Banks International organisations 0 4, ,165 Institutions 0 2, ,236 Corporates 0 4, ,407 Of which: SME 0 2, ,715 Retail 0 5, ,348 Of which: SME Secures by mortgages on immovable property Of which: SME Exposure at default Items associated with particularly high risk Covered bonds Claims on institutions and corporates with a short-term credit assesment Collective investment undertakings (CIU) Equity exposures Other exposures 0 1, ,219 Total standardised approach , ,091 Total 8, ,545 2, ,441 Of which: Loans 4, ,720 1, ,187 Of which: Debt securities 0 37, ,307 Of which: Off-balance-sheet exposures 1, , ,789

18 Credit quality of exposures by industry or counterparty types (in millions) Gross carrying values of Defaulted exposures (a) Non-defaulted exposures (b) Specific credit risk adjustment ( c) General credit risk adjustment (d) Accumulated write-offs ( e) Credit risk adjustment charges of the period (f) Net values (a+b-c-d-e) Agriculture, forestry and fishing 243 7, ,568 Mining and quarying 1,075 10, ,276 Manufacturing , ,296 Electricity, gas, steam and air conditioning supply 85 3, ,612 Water supply Contruction 462 6, ,758 Wholesale and retail trade 1,366 50, ,998 Transport and storage 1,327 14, ,181 Accomodation and food service activities 36 1, ,588 Information and communication 76 3, ,459 Financial and insurance activities , ,916 Real estate activities 190 8, ,757 Professional, scientific and technical activities 132 3, ,304 Administrative and support service activities 124 6, ,678 Public administration and defence, compulsory social security 0 27, ,598 Education Human health services and social work activities 177 5, ,217 Arts, entertainment and recreation 92 1, ,298 Other services , ,776 Activities of households as employers; undifferentiated goods - and services - producing activities of households for own use 1, , ,772 Activities of extraterritorial organisations and bodies 0 2, ,199 Total 8, ,545 2, ,441

19 Credit quality of exposures by geography (in millions) Gross carrying values of Defaulted exposures (a) Non-defaulted exposures (b) Specific credit risk adjustment ( c) General credit risk adjustment (d) Accumulated write-offs ( e) Credit risk adjustment charges (f) Net values (a+b-c-d-e) Europe 6, ,345 1, ,983 Netherlands 4, ,121 1, ,713 Rest of europe 1,262 76, ,270 USA , ,289 Asia , ,057 Rest of world 1,451 16, ,112 Total 8, ,545 2, ,441

20 Ageing of past-due exposures (in millions) <= 30 days > 30 days <= 60 days Gross carrying values > 60 days <= 90 days > 90 days <= 180 days > 180 days <= 1 year > 1 year Loans 326,051 4, ,885 Debt securities 39, Total exposures 365,890 4, ,885

21 Non-performing and forborne exposures Accumulated impairment and provisions and negative fair value adjustments due to Gross carrying amount of performing and non-performing exposures credit risk Of which performing but Of which Of which non-performing On performing exposures On non-performing exposures past due > 30 days and performing <= 90 days forborne Colleterals and financial guarantees received On non-performing Of which: forborne exposures exposures (in millions) Of which: defaulted Of which: impaired Of which: forborne Of which: forborne Of which: forborne Debt securities Loans and advances 684 3,676 6,936 6,935 6,935 3, , Off-balance sheet exposures

22 Changes in stock of general and specific credit risk adjustments (in millions) Accumulated specific credit risk adjustments Accumulated general credit risk adjustments Opening balance 3, Increases due to amounts set aside for estimated loans losses during the period Decreases due to amounts set aside for estimated loans losses during the period Decreases due to amounts taken against accumulated credit risk adjustments Transfers between credit risk adjustments -1 0 Impact of exchange rate differences 0-80 Business combinations, including acquisitions and disposals of subsidiaries 0 0 Other adjustments Closing balance 2, Recoveries on credit risk adjustments recorded directly to the statement of profit and loss 36 0 Specific credit risk adjustments recorded directly to the statement of profit and loss

23 Changes in stock of defaulted and impaired loans and debt securities (in millions) Gross carrying value defaulted exposures Opening balance 8,919 Loans and debt securities that have defaulted or impaired since the last reporting period 737 Returned to non-defaulted status -718 Amounts written off -915 Other changes -1,088 Closing balance 6,935

24 Credit risk mitigation techniques overview Exposures unsecured - Carrying amount Exposure to be secured Exposure secured by colleteral Exposure secured by financial guarantees Exposure secured by credit derivatives (in millions) Total loans 86, , ,219 8,435 0 Total debt securities 39, Total exposure 126, , ,219 8,435 0 Of which defaulted 116 3,488 3,

25 Standardised approach credit risk exposure and Credit Risk Mitigation (CRM) effects (in millions) Exposure classes Central governments or central Exposures before CCF and CRM Exposures post CCF and CRM RWAs and RWA density On-balance-sheetamount Off-balance-sheetamount On-balance-sheetamount Off-balance-sheetamount RWAs and RWA density RWA density banks % Regional governments or local authorities % Public sector entities % Multilateral development banks % International organisations 4, , % Institutions 2, , % Corporates 2,372 2,035 2, , % Retail 899 4, % Secured by mortgages on immovable property % Exposures in default % Higher-risk categories % Covered bonds % Institutiona and corporates with a short term credit assessment % Collective investment undertakings % Equity % Other items 1, , % Total 12,335 6,703 12, ,345

26 Standardised approach (in millions) Exposure classes 0% 2% 20% 35% 50% 75% 100% 150% Others Central governments or central Risk weight banks Multilateral development banks International organisations 4, ,165 0 Institutions 0 1, ,114 1,874 Corporates , ,460 2,443 Retail , , Secured by mortgages on immovable property Exposures in default Collective investment undertakings Other items ,219 1,219 Total 5,589 1, ,147 3, ,785 5,903 Total Of which unrated

27 IRB Credit risk exposures by exposure class and PD range * PD scale EAD post CRM and post-ccf Average PD Average LGD Average maturity RWA RWA density EL Value adjustments and Provisions Exposure class X (in millions) Central governments or central banks 0.00 to < , % 12.64% % to < % 30.01% % to < % 41.25% % to < % 30.00% % to < % 36.02% % to < % 40.62% % (Default) % % % 0 0 Sub-total 64, Corporates 0.00 to < , % 29.25% 2 2, % to <0.25 4, % 18.68% % to < , % 23.16% 2 5, % to < , % 19.78% 2 6, % to < , % 16.24% 3 10, % to < , % 15.28% 3 7, % to < , % 18.49% 2 3, % (Default) 4, % 28.84% 2 5, % 1,463 1,460 Sub-total 110,527 42,547 1,810 1, to <0.15 5, % 25.39% 2 1, % to <0.25 1, % 23.22% % to <0.50 3, % 14.35% % to < % 38.76% % to < % 35.39% % to < % 37.40% % to < % 10.90% % (Default) % 0.00% Retail Sub-total 11,003 2, to < , % 15.33% 1, % to < , % 14.59% 3, % to < , % 17.98% 3, % to <0.75 7, % 21.53% 1, % to <2.50 9, % 29.55% 2, % to < , % 22.62% 4, % to < , % 34.44% 2, % (Default) 1, % 33.17% 2, % Sub-total 174,691 20, Total 360,662 66,465 2,513 1,745 *The totals for EAD and RWA in the above template differ from the totals reported in the annual report.. The above disclosed figures excludes the exposures without a PD scale.

28 IRB Effect on RWA of credit derivatives used as CRM techniques ABN AMRO does not typically secure its credit exposure by buying protection via credit derivatives. Currently no credit risk mitigation via credit derivatives exists.

29 RWA flow statements of credit risk exposures under IRB (in millions) RWA amounts Capital requirements Rwa as at end previous reporting period 75,442 6,035 Asset size 1, Asset quality Model updates Methodology and policy Acquisitions and disposals Foreign exchange movements 0 0 Other 1, Rwa as at end of reporting period 78,381 6,270

30 IRB Backtesting of probability of default (PD) per exposure class Exposure class PD Range External rating equivalent Weighted average PD Arthmetic average PD by obligors Central governments and central banks (IRB) AAA 0.00% 0.00% Central governments and central banks (IRB) AA Central governments and central banks (IRB) AA 0.03% 0.03% Central governments and central banks (IRB) AA 0.04% 0.04% Central governments and central banks (IRB) A 0.05% 0.05% Central governments and central banks (IRB) A Central governments and central banks (IRB) A 0.10% 0.10% Central governments and central banks (IRB) BBB 0.16% 0.16% Central governments and central banks (IRB) BBB Central governments and central banks (IRB) BBB 0.36% 0.36% Central governments and central banks (IRB) BB Central governments and central banks (IRB) BB Central governments and central banks (IRB) BB 1.65% 1.65% Central governments and central banks (IRB) B 3.00% 3.00% Central governments and central banks (IRB) B 5.35% 5.43% Central governments and central banks (IRB) B Central governments and central banks (IRB) CCC 12.00% 12.00% Central governments and central banks (IRB) CC % 24.00% Central governments and central banks (IRB) C- Institutions (IRB) AAA Institutions (IRB) AA Institutions (IRB) AA 0.03% 0.03% Institutions (IRB) AA 0.03% 0.04% Institutions (IRB) A 0.04% 0.05% Institutions (IRB) A 0.09% 0.11% Institutions (IRB) BBB 0.05% 0.11% Institutions (IRB) BBB 0.14% 0.17% Institutions (IRB) BBB 0.23% 0.27% Institutions (IRB) BB 0.37% 0.39% Institutions (IRB) BB 0.49% 0.65% Institutions (IRB) BB 1.07% 1.09% Institutions (IRB) B Institutions (IRB) B 3.43% 3.43% Institutions (IRB) B Institutions (IRB) CCC 0.00% 12.86% Institutions (IRB) CC % 25.73% Institutions (IRB) A Institutions (IRB) C- Corporates - SME (IRB) AAA 0.00% 0.00% Corporates - SME (IRB) AA Corporates - SME (IRB) AA 0.01% 0.03% Corporates - SME (IRB) AA 0.04% 0.04% Corporates - SME (IRB) A 0.05% 0.05% Corporates - SME (IRB) A 0.08% 0.08% Corporates - SME (IRB) A 0.10% 0.11% Corporates - SME (IRB) BBB 0.12% 0.12% Corporates - SME (IRB) BBB 0.17% 0.17% Corporates - SME (IRB) BBB 0.27% 0.27% Corporates - SME (IRB) BB 0.39% 0.41% Corporates - SME (IRB) BB 0.62% 0.64% Corporates - SME (IRB) BB 1.37% 1.44% Corporates - SME (IRB) B 2.95% 3.13% Corporates - SME (IRB) B 3.79% 3.85% Corporates - SME (IRB) B 6.12% 6.59% Corporates - SME (IRB) CCC 12.41% 13.06% Corporates - SME (IRB) CC % 25.76% Corporates - SME (IRB) C- Corporates - Specialised Lending (IRB) AAA Corporates - Specialised Lending (IRB) AA Corporates - Specialised Lending (IRB) AA Corporates - Specialised Lending (IRB) AA Corporates - Specialised Lending (IRB) A Corporates - Specialised Lending (IRB) A 0.11% 0.11% Corporates - Specialised Lending (IRB) BBB 0.11% 0.11% Corporates - Specialised Lending (IRB) BBB 0.18% 0.18% Corporates - Specialised Lending (IRB) BBB 0.28% 0.28% Corporates - Specialised Lending (IRB) BB 0.40% 0.40% Corporates - Specialised Lending (IRB) BB 0.67% 0.67% Corporates - Specialised Lending (IRB) BB 1.25% 1.29% Corporates - Specialised Lending (IRB) B 2.13% 2.20% Corporates - Specialised Lending (IRB) B 3.33% 3.39% Corporates - Specialised Lending (IRB) B 6.59% 6.67% Corporates - Specialised Lending (IRB) CCC 13.46% 13.46% Corporates - Specialised Lending (IRB) CC % 26.59% Corporates - Specialised Lending (IRB) A Corporates - Specialised Lending (IRB) C- Corporates - Other (IRB) AAA 0.00% Corporates - Other (IRB) AA Corporates - Other (IRB) AA 0.03% 0.03% Corporates - Other (IRB) AA 0.04% 0.04% Corporates - Other (IRB) A 0.05% 0.05% Corporates - Other (IRB) A 0.07% 0.07% Corporates - Other (IRB) A 0.10% 0.11% Corporates - Other (IRB) BBB 0.10% 0.11% Corporates - Other (IRB) BBB 0.16% 0.18% Corporates - Other (IRB) BBB 0.26% 0.28% Corporates - Other (IRB) BB 0.38% 0.40% Corporates - Other (IRB) BB 0.60% 0.66% Corporates - Other (IRB) BB 1.20% 1.38% Corporates - Other (IRB) B 2.27% 2.87% Corporates - Other (IRB) B 2.80% 3.82% Corporates - Other (IRB) B 5.84% 6.54% Corporates - Other (IRB) CCC 12.45% 13.60% Corporates - Other (IRB) CC % 26.00% Corporates - Other (IRB) C-

31 Retail - Secured by immovable property SME (IRB) AAA 0.00% 0.00% Retail - Secured by immovable property SME (IRB) AA Retail - Secured by immovable property SME (IRB) AA Retail - Secured by immovable property SME (IRB) AA Retail - Secured by immovable property SME (IRB) A Retail - Secured by immovable property SME (IRB) A 0.08% 0.08% Retail - Secured by immovable property SME (IRB) A 0.10% 0.10% Retail - Secured by immovable property SME (IRB) BBB 0.16% 0.16% Retail - Secured by immovable property SME (IRB) BBB 0.25% 0.25% Retail - Secured by immovable property SME (IRB) BBB 0.29% 0.29% Retail - Secured by immovable property SME (IRB) BB 0.54% 0.54% Retail - Secured by immovable property SME (IRB) BB 0.85% 0.86% Retail - Secured by immovable property SME (IRB) BB 1.11% 1.07% Retail - Secured by immovable property SME (IRB) B 2.47% 2.51% Retail - Secured by immovable property SME (IRB) B 5.53% 5.56% Retail - Secured by immovable property SME (IRB) B 11.19% 11.34% Retail - Secured by immovable property SME (IRB) CCC 18.76% 19.00% Retail - Secured by immovable property SME (IRB) CC % 28.96% Retail - Secured by immovable property SME (IRB) C- Retail - Secured by immovable property non-sme (IRB) AAA 0.01% 0.01% Retail - Secured by immovable property non-sme (IRB) AA 0.02% 0.02% Retail - Secured by immovable property non-sme (IRB) AA Retail - Secured by immovable property non-sme (IRB) AA 0.04% 0.04% Retail - Secured by immovable property non-sme (IRB) A Retail - Secured by immovable property non-sme (IRB) A 0.06% 0.06% Retail - Secured by immovable property non-sme (IRB) A 0.09% 0.09% Retail - Secured by immovable property non-sme (IRB) BBB 0.16% 0.16% Retail - Secured by immovable property non-sme (IRB) BBB 0.24% 0.24% Retail - Secured by immovable property non-sme (IRB) BBB 0.35% 0.35% Retail - Secured by immovable property non-sme (IRB) BB 0.44% 0.43% Retail - Secured by immovable property non-sme (IRB) BB 0.80% 0.80% Retail - Secured by immovable property non-sme (IRB) BB 1.08% 1.09% Retail - Secured by immovable property non-sme (IRB) B 2.67% 2.65% Retail - Secured by immovable property non-sme (IRB) B 4.21% 4.20% Retail - Secured by immovable property non-sme (IRB) B 8.02% 8.03% Retail - Secured by immovable property non-sme (IRB) CCC 16.96% 17.22% Retail - Secured by immovable property non-sme (IRB) CC % 28.87% Retail - Secured by immovable property non-sme (IRB) C % 49.09% Retail - Qualifying revolving (IRB) AAA Retail - Qualifying revolving (IRB) AA 0.01% 0.01% Retail - Qualifying revolving (IRB) AA Retail - Qualifying revolving (IRB) AA 0.04% 0.04% Retail - Qualifying revolving (IRB) A 0.06% 0.06% Retail - Qualifying revolving (IRB) A Retail - Qualifying revolving (IRB) A 0.09% 0.09% Retail - Qualifying revolving (IRB) BBB 0.16% 0.15% Retail - Qualifying revolving (IRB) BBB 0.26% 0.26% Retail - Qualifying revolving (IRB) BBB 0.29% 0.29% Retail - Qualifying revolving (IRB) BB 0.46% 0.44% Retail - Qualifying revolving (IRB) BB 0.79% 0.80% Retail - Qualifying revolving (IRB) BB 1.23% 1.22% Retail - Qualifying revolving (IRB) B 2.21% 2.20% Retail - Qualifying revolving (IRB) B 4.47% 4.38% Retail - Qualifying revolving (IRB) B 8.17% 8.15% Retail - Qualifying revolving (IRB) CCC 14.24% 15.95% Retail - Qualifying revolving (IRB) CC % 28.01% Retail - Qualifying revolving (IRB) C % 99.60% Retail - Other SME (IRB) AAA 0.01% 0.01% Retail - Other SME (IRB) AA 0.02% 0.01% Retail - Other SME (IRB) AA 0.03% 0.03% Retail - Other SME (IRB) AA 0.04% 0.04% Retail - Other SME (IRB) A Retail - Other SME (IRB) A 0.07% 0.08% Retail - Other SME (IRB) A 0.09% 0.10% Retail - Other SME (IRB) BBB 0.14% 0.14% Retail - Other SME (IRB) BBB 0.19% 0.19% Retail - Other SME (IRB) BBB 0.32% 0.32% Retail - Other SME (IRB) BB 0.51% 0.54% Retail - Other SME (IRB) BB 0.74% 0.68% Retail - Other SME (IRB) BB 1.30% 1.36% Retail - Other SME (IRB) B 2.40% 2.51% Retail - Other SME (IRB) B 5.22% 4.19% Retail - Other SME (IRB) B 9.88% 8.34% Retail - Other SME (IRB) CCC 16.28% 14.97% Retail - Other SME (IRB) CC % 28.01% Retail - Other SME (IRB) C % 30.01% Retail - Other non-sme (IRB) AAA 0.01% 0.01% Retail - Other non-sme (IRB) AA 0.01% 0.01% Retail - Other non-sme (IRB) AA 0.03% 0.03% Retail - Other non-sme (IRB) AA 0.04% 0.04% Retail - Other non-sme (IRB) A Retail - Other non-sme (IRB) A 0.07% 0.07% Retail - Other non-sme (IRB) A 0.09% 0.09% Retail - Other non-sme (IRB) BBB 0.15% 0.13% Retail - Other non-sme (IRB) BBB 0.23% 0.23% Retail - Other non-sme (IRB) BBB 0.31% 0.33% Retail - Other non-sme (IRB) BB 0.44% 0.43% Retail - Other non-sme (IRB) BB 0.73% 0.66% Retail - Other non-sme (IRB) BB 1.19% 1.20% Retail - Other non-sme (IRB) B 2.67% 3.12% Retail - Other non-sme (IRB) B 3.83% 4.22% Retail - Other non-sme (IRB) B 7.01% 6.83% Retail - Other non-sme (IRB) CCC 16.92% 17.13% Retail - Other non-sme (IRB) CC % 24.34% Retail - Other non-sme (IRB) C-

32 Analysis of the counterparty credit risk (CCR) exposure by approach Notional Replacement cost/current market sale Potential future exposure EEPE Multiplier EAD post-crm RWA Mark to market 2,446 4,331 6,777 2,386 Original exposure Standardised approach Internal Model Method (for derivatives and SFTs) Securities financing Transactions Derivatives & Long Settlement Transactions From Contractual Cross Products Netting Financial collateral simple method (for SFTs) Finance collateral comprehensive method (for SFTs) 5, VaR for SFTs Total 2,750

33 Credit valuation adjustment (CVA) capital charge Exposure value Total portfolios subject to the Advanced Method - - (i) VaR component (including the 3x multiplier) - (ii) Stressed VaR component (including the 3x multiplier) - All portfolios subject to the Standardised Method 2, Based on Original Exposure Method - - Total subject to the CVA capital charge 2, RWA

34 Exposures to central counterparties EAD post CRM RWAs Exposures to QCCPs (total) 706 Exposures for trades at QCCPs (excluding initial margin and default fund contibutions); of which 4, (i) OTC derivatives 1, (ii) Exchange-traded derivatives - - (iii) SFTs 3, (iv) Netting sets where cross-product netting has been approved - - Segregated initial margin 3,311 Non-segregated initial margin 1, Prefunded default fund contributions 1, Alternative calculation of own funds requirements for exposures Exposures to non-qccps (total) Exposures for trades at non-qccps (excluding initial margin and default fund contibutions); of which (i) OTC derivatives (ii) Exchange-traded derivatives (iii) SFTs (iv) Netting sets where cross-product netting has been approved Segregated initial margin Non-segregated initial margin Prefunded default fund contributions Unfunded default fund contributions