Quarterly Report

Figures at a glance

Underlying return on equity

Target range is 10-13 (in %)

Underlying earnings per share (in EUR)

Underlying cost of risk (in bps)

Underlying cost/income ratio 2017 target range is 56-60 (in %)

Reported net profit

(in millions)

Leverage ratio (fully-loaded, CDR) (end-of-period, in %)

CET1 (fully-loaded)

Target range is 11.5-13.5 (in %)

Underlying net interest margin (in bps)

Total capital ratio (fully-loaded) (end-of-period, in %)

Message from the Chairman of the Managing Board

2015 was a good year for the bank. We worked hard to create long-term value for all our stakeholders. A fourth quarter milestone was the IPO and listing of ABN AMRO on Euronext Amsterdam.

Our strategy is based on five priorities. While each of these five priorities is a key ingredient for the success of our bank, the most important is enhancing client centricity. We took various initiatives bank-wide in 2015 to put our clients' interests centre stage in everything we do. Many of these initiatives consist of technological enhancements as the trend towards digitalisation gains momentum.

Retail Banking created a new Digital Banking unit, in line with the shift in client preferences for mobile and online services. Retail Banking will continue to invest in innovative ways to ensure that our mobile services - already very popular - are future-proof. We recently introduced the possibility for clients with a mortgage to arrange a new interest period themselves online, and Florius clients can now track the status of their mortgage application online. The ABN AMRO Social Impact Fund, together with a number of partners, launched a Social Impact Bond for Buzinezzclub Utrecht which specialises in getting young people benefits by helping them to find a job, start their own business or undergo training. While our own Equity Capital Markets team had a lead role in the IPO of ABN AMRO, it also participated in the IPO of Intertrust and Flow Traders, won the mandate for the IPO of ASR and won the award for best deal with the IPO of Grandvision. And early 2016 ABN AMRO joined forces with NEOS, which offers SME clients alternative financing for growth or other purposes, funded by professional investors. This makes ABN AMRO the first Dutch bank to bring entrepreneurs in the Netherlands directly into contact with a supplemental financier when multi-layered financing is the solution of choice. MT Finance Magazine ranked our corporate bank number 1 in the Netherlands in five categories: Corporate Asset Management, Cash Management - Payments, Credit Management, Factoring & Collections, Corporate Finance and Risk Management.

ABN AMRO also issued a EUR 500 million five-year Green Bond last May which was chosen as SRI (Socially Responsible Investment) bond of the year at the annual IFR (International Financing Review) awards. An important event was the IPO of ABN AMRO in November 2015. The listing on Euronext Amsterdam was the result of years of hard work of all of us.

Turning to the results, the underlying net profit for the full year 2015 went up 24% to EUR 1,924 million. The fourth-quarter underlying net profit declined by 32% to EUR 272 million and, as previously indicated, was negatively impacted by regulatory levies (EUR 190 million). The fourth quarter of 2015 also contains provisions for an identified group of SMEs with possible derivative-related issues and legal claims. An underlying net profit of EUR 1,924 million, or EUR 2.03 per share, translates into an ROE of 12.0% for 2015, up from 10.9% in 2014. At the same time, we were able to further improve our fully-loaded CET1 ratio from 14.1% to 15.5%. The increase in profitability was achieved on sharply lower impairments and despite higher regulatory levies and project costs. Operating income for full-year 2015 went up by 5% compared with full-year 2014, on the back of a further repricing of the loan portfolio and higher fee and commission income.

In 2014 and 2015, we reviewed client records of an identified group of SMEs with possible interest rate derivative-related issues for any irregularities. We did so in close consultation with the Netherlands Authority for the Financial Markets (AFM). In December 2015 the AFM came to the conclusion that the reassessments would have to be redone. The provision we took in the second quarter of 2015 was therefore increased in the fourth quarter. As the current situation poses uncertainty about the scope and magnitude of the required reassessment going forward, we continue to consult with the AFM to determine how the latest changes will affect ABN AMRO's review process in 2016.

Operating expenses in 2015 were up by 8% compared with full-year 2014. This increase was mainly due to EUR 129 million higher regulatory levies recorded in the fourth quarter of 2015, increasing project costs (for various IT and digitalisation projects, and projects to update and improve the quality of our client files and electronic archives) and higher pension. The continuously changing regulatory requirements also drove up our costs.

We started investing in our core IT infrastructure in 2013, to transform the group-wide IT platform into a less complex and more agile system, and will continue to make these investments up to 2020. In addition, we are investing in a Retail digitalisation programme to accelerate our digital banking proposition, ensuring that we maintain our leading offering in both mobile and internet banking. In 2015, total investments in the two programmes amounted to EUR 159 million and the combined cost savings were EUR 101 million. These two programmes will help us control costs in the long term.

Loan impairments in 2015 more than halved to EUR 505 million, benefiting from the improvement of the Dutch economy. Even though oil and commodity prices showed significant moves in the last six months of the year, the cost of risk for our ECT business was 52 basispoints for the full year 2015, in the middle of the estimated through the cycle cost of risk of Corporate Banking. We know our clients in these sectors well and aim to finance them conservatively, with a preference for collateralised, transactional or senior lending, using covenants to allow for timely amendments to a transaction. However, it is clear that the risk in our ECT portfolio has increased and we are actively monitoring all clients, taking appropriate action where necessary.

Last September we updated our financial targets. These are now:

Å a fully-loaded Common Equity Tier 1 ratio of 11.5-13.5%
Å a cost/income ratio of 56-60% by 2017
Å a return on equity of 10-13% in the coming years
Å a dividend payout ratio of 50% as from and over the full year 2017

In 2015 we achieved a cost/income ratio of 61.8% (60.2% in 2014). We were faced with higher investment levels and increasing regulatory levies in 2015, which will continue in 2016. Our cost saving measures are expected to bring down the cost/income ratio to within our target range by 2017. The ROE was within the target range and rose to 12.0% in 2015 from 10.9% in 2014.

As mentioned, the capital position continued to grow and the fully-loaded CET1 ratio was 15.5%, compared with 14.1% at the end of 2014. As the implementation of the new Basel proposal may lead to significant risk-weighting inflation for the bank, we will continue to grow our capital position until there is more clarity on this topic. In the meantime, we have increased the proposed dividend payout ratio for 2015 from 35% to 40% of the reported full-year net profit, or EUR 0.81 per share. This is EUR 764 million, of which EUR 414 million (EUR 0.44 per share) is proposed as final cash dividend.

Looking ahead, we will continue to focus on executing our strategy and adapting to challenging market developments, such as the continued low interest rate environment, increasing competition in the mortgage market, and regulatory and economic uncertainty. One thing we know for sure is that regulatory levies will increase further in 2016. To protect our main source of income, net interest income, we apply hedges designed to stabilise net interest income against (upward or downward) fluctuations in interest rates. Since the second half of 2015, we have been experiencing increasing competition from insurance companies, pension funds and other new entrants for mortgages with a long dated interest period - a product which poses a number of risks to our balance sheet, which is why we take a prudent approach.

I would like to take this opportunity to thank our clients for doing business with us and to our employees for their willingness and ability to adapt in times of continuous change. With their dedication and determination, we are confident that the bank is equipped to take on the opportunities and challenges that will come our way in the years ahead.

Gerrit Zalm

Chairman of the Managing Board

ABN AMRO shares

Key developments

Following the IPO on 20 November 2015 and the subsequent exercise of the overallotment option ('greenshoe'), a total of 23% of ABN AMRO's depositary receipts representing ordinary shares have been listed on the Euronext Amsterdam exchange. These depositary receipts were allocated mainly to European and US-based institutional investors and to Dutch retail investors. The remaining 77% of the shares are held by NLFI ('Stichting administratiekantoor beheer financiele instellingen') on behalf of the Dutch government.

Listing information

A total of 216.2 million shares, or 23% of ordinary shares, are currently held by the STAK AAG ('Stichting Administratiekantoor Continuïteit ABN AMRO Group'), which subsequently issued depositary receipts representing such shares. For more information about the STAK AAG, please refer to the 'About ABN AMRO' section of abnamro.com. The depositary receipts trade under ISIN code 'NL0011540547', Reuters ticker 'ABN.AS' and Bloomberg ticker 'ABN NA').

Share price development

Amsterdam Exchange Index

Financial calendar1

Å Publication first-quarter results 11 May 2016
Å Annual General Meeting 18 May 2016
Å Record date final dividend 23 May 2016
Å Publication second-quarter results 17 August 2016
Å Record date interim dividend 22 August 2016
Å Publication third-quarter results 16 November 2016

(in millions)	Q4 2015	Q3 2015	Q4 2014	2015	2014
Share count
Total shares outstanding/issued and paid-up shares	940	940	940	940	940
- of which held by NLFI	724	940	940	724	940
- of which listed (in the form of depository receipts)	216			216
- as a percentage of total outstanding shares	23%	0%	0%	23%	0%
Average number of shares	940	940	940	940	940
Average diluted number of shares	940	940	940	940	940

Key indicators per share (EUR)
Underlying earnings per share	0.27	0.54	0.43	2.03	1.65
Shareholder's equity per share	17.63	17.12	15.81	17.63	15.81
Tangible shareholder's equity per share	17.36	16.84	15.54	17.44	15.54
Dividend per share				0.81	0.43

Share price development (EUR)
Closing price (end of period)	20.67			20.67
High (during the period)	20.80			20.80
Low (during the period)	18.00			18.00
Market capitalisation (end of period, in billions)	19.43			19.43

Valuation indicators (end of period)
Price/Earnings	10.2x			10.2x
Price/Tangible book value	1.2x			1.2x

¹ All dates are subject to change. Please refer to abnamro.com/ir for the latest information. Dividend record date applies only if a final or interim dividend is paid.

Economic environment

Uncertainty surrounding developments on the global and financial markets continued in the fourth quarter. This was mainly attributable to disappointing developments in emerging economies, especially commodity-exporting countries and China. Growth of world trade and global GDP remained low, according to available data.

The US economy continued to grow, although the pace of expansion slowed further in Q4 2015. The labour market, however, continued to improve in Q4. Economic growth in the eurozone remained low at 0.3% compared with the preceding quarter. This modest figure was attributable to the slowdown in exports to emerging markets, while growth in domestic demand was stable. Economic growth in the eurozone is still supported by lower oil prices, lower financing costs and further improvements in the credit channel.

Following minor growth in Q3 2015, economic growth in the Netherlands picked up slightly to 0.3% in Q4 2015 in comparison with the preceding quarter. Exports were affected by the slow expansion of world trade. Private consumption fell slightly due to significantly lower spending on gas caused by the extremely mild weather. Investment, however, was strong due to sizeable investments in housing and in passenger cars (in anticipation of a less favourable tax regime for energy-friendly cars in 2016). On a year-on-year basis, Dutch GDP amounted to 1.6% in Q4. Average GDP growth in full-year 2015 accelerated to 1.9%, which was higher than the eurozone average of 1.5%.

Quarterly development of Gross Domestic Product

(in % q-o-q growth)

Å GDP growth picked up slightly in Q4 to 0.3% quarter-on-quarter;
Å Domestic demand growth was stable at 0.6% quarter-on-quarter;
Å The increase in exports was small, which reflects the low expansion of world trade.

Purchasing Managers' Index

(>50: growth, <50: contraction, end-of-period)

Source: Markit

Å Manufacturing PMI rose slightly in Q4 2015, following a larger drop in Q3 2015;
Å At 53.4, the PMI in Q4 2015 was still well above 50, the turning point between contraction and growth;
Å Dutch PMI was at approximately the same level as the eurozone manufacturing figure.

Source: Eurostat and CBS

Source: CBS

Å Consumer confidence was roughly stable, on balance, in Q4 2015;
Å At +6 (end Q4 2015), confidence was significantly higher than the long-term average (approximately -8);
Å The 'Willingness to buy' sub-index improved slightly in Q4 2015.

Bankruptcies in the Netherlands

(number of bankruptcies)

Source: CBS

Å The number of bankruptcies dropped by 23% in Q4 2015 compared with Q4 2014 (but +8% against Q3 2015);
Å For full-year 2015, the number fell by 22% (following a drop of 19% in 2014);
Å The decline is attributable to a better economic climate.

House prices in the Netherlands

Å House prices rose by 3.2% year-on-year in Q4 2015 (full-year 2015: +2.8%);
Å Number of houses sold rose by 2.2% year-on-year in Q4 2015;
Å This smaller rise than in preceding quarters was due to an extremely strong sales figure in December 2014.

Unemployment in the Netherlands

(in % of total labour force, end-of-period)

Source: CBS

Å Unemployment fell slightly further in Q4 2015;
Å This was due to a slight rise in the number of jobs and to people that left the labour market;
Å The number of dismissal permits continued to drop.

Financial results

9 Operating and financial review

17 Results by segment

Retail Banking	17
Private Banking	20
Corporate Banking	23
Group Functions	29

Operating and financial review

This operating and financial review includes a discussion and analysis of the results of operations and sets out the financial condition of ABN AMRO Group on the basis of underlying results. For a reconciliation of reported versus underlying results, please refer to the Additional Financial Information section of this report.

As of 2015, ABN AMRO has extended the definition of assets under management for the Group to include client assets in Retail Banking and has changed the name of assets under management to client assets. Client assets include cash and securities of clients held on accounts with ABN AMRO. The development of client assets is explained for Private Banking.

As of Q3 2015, the definition of the underlying return on average equity has been altered to reflect the implications of the accounting treatment for Additional Tier 1 instruments. Return on equity is now calculated as underlying profit for the period attributable to owners of the company (i.e. underlying profit after deduction of net reserved payments for capital securities and result attributable to non-controlling interests) divided by the average equity attributable to the owners of the company (i.e. excluding capital securities and non-controlling interests).

Income statement

Operating results

(in millions)	Q4 2015	Q4 2014	Change	Q3 2015	Change	2015	2014	Change
Net interest income	1,497	1,620	-8%	1,524	-2%	6,076	6,023	1%
Net fee and commission income	454	431	5%	449	1%	1,829	1,691	8%
Other operating income	101	95	7%	136	-26%	550	341	61%
Operating income	2,052	2,145	-4%	2,109	-3%	8,455	8,055	5%
Personnel expenses	640	650	-2%	619	3%	2,492	2,396	4%
Other expenses	889	748	19%	615	44%	2,736	2,453	12%
Operating expenses	1,528	1,397	9%	1,234	24%	5,228	4,849	8%
Operating result	524	748	-30%	875	-40%	3,227	3,206	1%
Impairment charges on loans and other receivables	124	181	-31%	94	32%	505	1,171	-57%
Operating profit/(loss) before taxation	399	567	-30%	781	-49%	2,722	2,035	34%
Income tax expense	128	167	-24%	272	-53%	798	484	65%
Underlying profit/(loss) for the period	272	400	-32%	509	-47%	1,924	1,551	24%
Special items							-417
Reported profit/(loss) for the period	272	400	-32%	509	-47%	1,924	1,134	70%
Of which available for AT1 capital securities (net of tax)	11					11
Of which non-controlling interests	5			-1		5	-0

Other indicators

	Q4 2015	Q4 2014	Q3 2015	2015	2014
Net interest margin (NIM) (in bps)	147	163	149	146	153
Underlying cost/income ratio	74.5%	65.1%	58.5%	61.8%	60.2%
Underlying cost of risk (in bps)1	19	27	14	19	45
Underlying return on average Equity2	6.3%	10.9%	12.7%	12.0%	10.9%
Underlying earnings per share (in EUR)3	0.27	0.43	0.54	2.03	1.65

	31 December 2015	30 September 2015	31 December 2014
Client Assets (in billions)	314	306	302
FTEs	22,048	22,101	22,215

¹ Annualised impairment charges on Loans and receivables - customers for the period divided by average Loans and receivables - customers. 2 Underlying profit for the period excluding reserved coupons for AT 1 Capital securities (net-of-tax) and results attributable to non-controlling interests divided by the average equity

attributable to the owners of the company. 3 Underlying profit for the period excluding reserved coupons for AT 1 Capital securities and results attributable to non-controlling interests divided by the average outstanding and paid-up ordinary shares.

Fourth-quarter 2015 results

ABN AMRO's underlying profit for the fourth quarter of 2015 amounted to EUR 272 million, a decrease of EUR 128 million compared with the fourth quarter of 2014, reflecting a EUR 99 million (net-of-tax) increase of regulatory levies, a provision for the Euribor mortgages legal claim and an additional provision for an identified group of SMEs with possible derivative-related issues.

The underlying return on equity (ROE) decreased to 6.3% in Q4 2015, compared with 10.9% in the same period in 2014. The fourth quarter of 2015 included regulatory levies for the National Resolution Fund (NRF), Dutch bank tax and Deposit Guarantee Scheme (DGS). The charge for the Dutch bank tax was also included in Q4 2014. If these regulatory levies had been divided equally over the quarters, ROE would have been 9.7% in Q4 2015 (versus an adjusted ROE of 12.8% in the same period of 2014).

Operating income decreased by EUR 93 million to EUR 2,052 million from EUR 2,145 million in Q4 2014.

Net interest income declined to EUR 1,497 million in Q4 2015 from EUR 1,620 million in Q4 2014. The net interest income development was impacted by several negative one-off items in Q4 2015 (including a provision for the Euribor mortgages legal claim) and a EUR 37 million positive one-off in Q4 2014.

Net interest income on residential mortgages increased compared with Q4 2014 as margin improvements more than offset the decrease in portfolio volumes. Margins improved due to continued gradual repricing at higher margins, in particular mortgages that originated pre-crisis. The impact of repricing of the mortgage book in recent years continues to contribute to higher net interest income. Compared with Q3 2015, the repricing effect gradually levelled off.

Net interest income on consumer loans decreased due to declining average loan volumes and slightly lower margins. Net interest income on corporate loans increased in Q4 2015 compared with Q4 2014 due to the positive impact of improved margins and, to a lesser extent, increased average volumes. Margin improvements were mainly recorded in Commercial Clients. The increase in average corporate loan volumes was driven chiefly by volume growth in the ECT Clients loan portfolio (including currency developments). Average corporate loan volumes in Commercial Clients showed a limited decline compared with Q4 2014.

Net interest income was negatively impacted by higher liquidity buffer costs.

In combination with modestly higher average total assets, this resulted in a net interest margin (NIM) of 147bps in Q4 2015.

Net fee and commission income, at EUR 454 million in Q4 2015, was EUR 23 million higher than in Q4 2014. The limited increase was recorded in all business segments.

Other operating income amounted to EUR 101 million in Q4 2015 compared with EUR 95 million in Q4 2014. Favourable hedge accounting-related results at Group Functions and Equity Participations results were accompanied by positive CVA/DVA/FVA results (EUR 20 million positive in Q4 2015 versus EUR 12 million negative in Q4 2014). This was partly offset by an additional provision for an identified group of SMEs with possible derivative-related issues at Corporate Banking. Q4 2014 included a gain of EUR 40 million resulting from the sale of part of the stake in Holland Clearing House.

Personnel expenses amounted to EUR 640 million in Q4 2015, down by EUR 10 million compared with Q4 2014. The fourth quarter of 2015 included a restructuring provision in Group Functions. The fourth quarter of 2014 included a restructuring provision at Retail Banking and a release from the provision for employee benefits.

Other expenses increased to EUR 889 million in Q4 2015 from EUR 748 million in Q4 2014. The increase was mainly caused by the EUR 129 million higher regulatory levies recorded in Q4 2015 (totalling EUR 220 million) compared with Q4 2014. The regulatory levies in Q4 2015 included the Dutch bank tax (EUR 98 million), the National Resolution Funds (EUR 119 million) and the Deposit Guarantee Scheme (EUR 3 million). Implementation of the Dutch DGS has been postponed by the national regulator to Q1 2016; the DGS charge recorded in the fourth quarter is therefore lower than previously communicated. In Q4 2014, only the Dutch bank tax was recorded (EUR 91 million). Both quarters included releases on the Deposit Guarantee Scheme for the DSB default, although the amount recorded in Q4 2015 was lower than in Q4 2014 (EUR 35 million in Q4 2015 versus EUR 66 million in Q4 214). In addition, Q4 2014 included a EUR 25 million goodwill impairment.

The operating result declined by EUR 224 million compared with the fourth quarter of 2014 and the underlying cost/income ratio increased by 9.4 percentage points to 74.5%. If the regulatory levies had been divided equally over the quarters, the cost/income ratio would have been 66% in Q4 2015 (versus 62% in Q4 2014).

Impairment charges on loans and other receivables amounted to EUR 124 million in Q4 2015, down by EUR 57 million compared with the same quarter in 2014. Continued improved economic conditions in the Netherlands are reflected in the gradually declining impaired portfolio, which resulted in lower impairment charges.

The cost of risk for mortgages remained low with a charge of 2bps for the fourth quarter of 2015 compared with 5bps in the same quarter of the previous year.

Impairment charges on corporate loans increased in Q4 2015 compared with Q4 2014. Impairment charges in Commercial Clients further improved but was more than offset by the increase in International Clients mainly at Large Corporates. ECT impairment charges declined to EUR 31 million in Q4 2015 from EUR 37 million at Q4 2014.

The underlying cost of risk amounted to 19bps in Q4 2015, down from 27bps in Q4 2014. Compared with Q3 2015, the cost of risk went up by 5bps.

International results

Operating income from international activities grew by 2% compared with the fourth quarter of 2014 and represents 20% of overall operating income. The higher contribution made by international activities was driven mainly by volume growth in foreign ECT Clients in combination with increased income at Capital Markets Solutions - Clearing and higher net fee and commission income in the international Private Banking activities due mainly to growth in Germany and France. Full year operating income grew by 10%. Growth was mainly in Capital Markets Solutions - Clearing, International Clients and Private Banking (due partly to the full-year contribution in 2015 of the acquired German private banking activities of Credit Suisse, consolidated as of 1 September 2014).

Full-year 2015 results

Underlying profit for 2015 amounted to EUR 1,924 million, up EUR 373 million compared with the previous year. The increase was mainly due to lower loan impairments and higher operating income.

The underlying return on equity (ROE) increased to 12.0% in 2015, compared with 10.9% in 2014.

Net interest income rose marginally to EUR 6,076 million in 2015 compared with EUR 6,023 million in 2014. The net interest income development was impacted by several negative one-offs in 2015 (including a provision for the Euribor mortgages legal claim) and one-offs with a positive impact in 2014.

The underlying increase was primarily driven by improved margins on loans (mainly mortgages and, to a lesser extent, corporate loans) and higher average corporate loan volumes. The average volume of residential mortgages, however, was lower. In addition, lower funding costs due to lower credit spreads were partly offset by higher liquidity buffer costs.

Net fee and commission income, at EUR 1,829 million in 2015, was EUR 138 million higher than in 2014. The increase was primarily recorded in Private Banking, due to a favourable stock market performance, and in Corporate Banking on higher transaction volumes at Clearing.

Other operating income amounted to EUR 550 million in 2015, up by EUR 209 million compared with the previous year. The increase was primarily driven by higher CVA/DVA/FVA results (EUR 76 million positive in 2015 versus EUR 58 million negative in 2014), favourable hedge accounting-related results at Group Functions as a result of interest rate movements, and higher tax-exempt results at Equity Participations on the back of improved market conditions. This was partly offset by a one-off tax-exempt provision in Group Functions related to the part of securities financing activities discontinued in 2009 and a provision in Corporate Banking for an identified group of SMEs with possible interest rate derivative-related issues.

Personnel expenses amounted to EUR 2,492 million in 2015, up EUR 96 million compared with the previous year. Pension expenses were higher in 2015 due to lower discount rates.

Additionally, personnel expenses for our international activities increased mainly as a result of FX rate developments. Personnel expenses in 2014 were positively impacted by releases from the employee benefits provision. Comparable restructuring provisions were included in 2014 and 2015.

Other expenses rose by EUR 283 million to EUR 2,736 million. The increase was driven by EUR 129 million higher regulatory levies and higher project costs related to enhancing client centricity and continuous improvement of products, services and IT processes (including TOPS 2020 and Retail Digitalisation programmes). In 2015, a EUR 55 million settlement with Vestia was recorded. These increases were partly offset by a considerable VAT refund which was the result of discussions with the tax authorities related to the period 2007-2014.

The operating result improved marginally to EUR 3,227 million, up by EUR 21 million compared with the same period last year, and the underlying cost/income ratio increased by 1.6 percentage points to 61.8%.

Impairment charges on loans and other receivables amounted to EUR 505 million, EUR 666 million lower than in 2014. Lower impairment charges were recorded on all portfolios due to improvement in the risk profile of the portfolios on the back of improved economic circumstances. This also led to IBNI releases, which are detemined based on recent loan losses in the portfolio. The decreasing loan loss levels resulted in an IBNI release of EUR 221 million in 2015 compared with an IBNI addition of EUR 22 million in 2014.

The underlying cost of risk amounted to 19bps in 2015, down from 45bps in 2014.

The effective tax rate in 2015, at 29%, was negatively impacted by a reassessment of our tax position.

Balance sheet

Condensed consolidated statement of financial position

(in millions)	31 December 2015	30 September 2015	31 December 2014
Cash and balances at central banks	26,195	20,738	706
Financial assets held for trading	1,706	8,592	9,017
Derivatives	19,138	20,695	25,285
Financial investments	40,542	40,412	41,466
Securities financing	20,062	35,475	18,511
Loans and receivables - banks	15,680	17,794	21,680
Loans and receivables - customers	259,319	261,742	261,910
Other	7,676	7,839	8,292
Total assets	390,317	413,287	386,867
Financial liabilities held for trading	459	2,940	3,759
Derivatives	22,425	24,624	30,449
Securities financing	11,372	25,901	13,918
Due to banks	14,630	18,487	15,744
Due to customers	230,297	228,529	216,011
Issued debt	76,207	79,126	77,131
Subordinated liabilities	9,708	9,660	8,328
Other	7,635	6,927	6,652
Total liabilities	372,733	396,193	371,990
Equity attributable to the owners of the parent company	16,575	16,089	14,865
Capital securities	993	993
Equity attributable to non-controlling interests	17	12	12
Total equity	17,584	17,094	14,877

Total liabilities and equity	390,317	413,287	386,867

Main developments in total assets compared with 30 September 2015

Total assets declined by EUR 23.0 billion to EUR 390.3 billion at 31 December 2015, due mainly to a decline in Securities financing assets.

Cash and balances at central banks went up by EUR 5.5 billion as part of the liquidity buffer.

Financial assets held for trading at 31 December 2015 decreased by EUR 6.9 billion to EUR 1.7 billion compared with 30 September 2015, mainly due to a decrease in government bonds.

Derivatives went down by EUR 1.6 billion at 31 December 2015 compared with 30 September 2015, mainly reflecting the impact of interest rate movements. This is also observed in derivative liabilities.

Financial investments was EUR 40.5 billion at 31 December 2015, virtually stable compared with 30 September 2015.

Securities financing declined by EUR 15.4 billion compared with 30 September 2015, to EUR 20.1 billion at 31 December 2015. This decline is related to the cyclicality of the business, as clients wind down their positions towards year-end.

Loans and receivables - banks at 31 December 2015 decreased by EUR 2.1 billion compared with 30 September 2015, partly as a result of lower cash collateral pledged due to the decrease of the financial liabilities held for trading.

Risk, funding & capital information

Financial results

Loans and receivables - customers

(in millions)	31 December 2015	30 September 2015	31 December 2014
Residential mortgages	146,932	148,535	148,402
Consumer loans	15,147	15,409	16,052
Corporate loans to clients1	78,195	80,874	80,065
Total client loans2	240,274	244,818	244,519
Loans to professional counterparties Other loans3	12,194 6,357	9,165 7,255	9,635 6,777
Total Loans and receivables - customers2	258,825	261,238	260,931
Fair value adjustments from hedge accounting Less: loan impairment allowance	4,849 4,355	5,028 4,524	5,739 4,761
Total Loans and receivables - customers	259,319	261,742	261,910

¹ Corporate loans excluding loans to professional counterparties.

² Gross carrying amount excluding fair value adjustment from hedge accounting.

³ Other loans consists of loans and receivables to government, official institutions and financial markets parties.

Loans and receivables - customers decreased by

EUR 2.4 billion compared with 30 September 2015 mainly due to a decline in Residential mortgages.

Residential mortgages declined to EUR 146.9 billion, down by EUR 1.6 billion compared with 30 September 2015. The market share in new mortgage production declined to 16% in Q4 2015 driven by fierce competition on longer interest rate periods. Redemptions were higher due to increased refinancing, whereas extra repayments in 2015 returned to the same levels as previous years. Low interest rates and increased awareness among homeowners of the possibility of residual debt are still incentives for extra redemptions. Contractual repayments are gradually growing, following the amended tax regulations. As a result, redemptions exceeded new mortgage production.

Corporate loans to clients decreased due to the reallocation of part of the public sector loan portfolio from Corporate Banking to Group Functions (EUR 2.3 billion). This reallocation is related to the specific expertise required to manage risks, other than credit risk, associated with these longer dated loans. Corporate Banking will continue to manage client relationships. As a result of this reallocation, the portfolio was moved to loans to professional counterparties.

Other loans declined to EUR 6.4 billion, driven mainly by lower volumes at Capital Markets Solutions.

Main developments in total liabilities compared with 30 September 2015

Total liabilities declined by EUR 23.5 billion compared with 30 September 2015, due mainly to decreased Securities financing volumes.

Financial liabilities held for trading came down by EUR 2.5 billion due to decreased short positions in bonds.

Derivative liabilities decreased by EUR 2.2 billion to EUR 22.4 billion at 31 December 2015, mainly reflecting the impact of interest rate movements.

Securities financing decreased by EUR 14.5 billion compared with 30 September 2015 to EUR 11.4 billion at 31 December 2015. The decline is related to the cyclicality of the business as clients wind down their positions towards year-end.

Due to banks banks decreased by EUR 3.9 billion mainly as a result of declined money market positions.

Due to customers

(in millions)	31 December 2015	30 September 2015	31 December 2014
Retail Banking	98,674	98,996	95,915
Private Banking	66,465	66,665	62,902
Corporate Banking	62,850	60,498	54,740
Group Functions	2,308	2,369	2,454
Total Due to customers	230,297	228,529	216,011

Demand deposits	119,109	115,956	109,753
Saving deposits	92,472	94,233	88,655
Time deposits	18,555	18,183	17,459
Total deposits	230,136	228,372	215,867

Other due to customers	160	156	144
Total Due to customers	230,297	228,529	216,011

Due to customers increased by EUR 1.8 billion, mainly driven by a EUR 2.4 billion growth of deposits at Corporate Banking, partly offset by a decline at Retail Banking and Private Banking (EUR 0.3 billion and EUR 0.2 billion, respectively). The combined market share of 21%1 in retail deposits at Retail Banking and Private Banking in the Netherlands at 31 December 2015 was stable compared with 30 September 2015.

Issued debt decreased by EUR 2.9 billion to EUR 76.2 billion at 31 December 2015 as the need for wholesale funding declined.

Total equity rose to EUR 17.6 billion at 31 December 2015 mainly as a result of the fourth quarter reported profit.

Main developments of total assets and liabilities compared with 31 December 2014

Total assets increased by EUR 3.4 billion to EUR 390.3 billion at 31 December 2015 from EUR 386.9 billion at 31 December 2014, due mainly to higher cash and balances at central banks, partly offset by lower financial assets held for trading, derivatives and loans and receivables - banks.

Total liabilities increased marginally by EUR 0.7 billion to EUR 372.7 billion at 31 December 2015 compared with EUR 372.0 billion at 31 December 2014. The increase in due to customers and subordinated liabilities was largely offset by a decline in derivatives, financial liabilities held for trading, securities financing, due to banks and issued debt.

Total equity rose by EUR 2.7 billion to EUR 17.6 billion, due mainly to the reported profit for 2015 and, to a lesser extent, the inaugural launch of EUR 1 billion of capital securities qualifying as Additional Tier 1 capital.

Results by segment

The results by segment section includes a discussion and analysis of the results of operations and of the financial condition of ABN AMRO Group at segment level for the fourth quarter of 2015 compared with the fourth quarter of 2014, on the basis of underlying results. A large part of the interest expenses and operating expenses incurred by Group Functions are allocated to the business lines through net interest income and other expenses, respectively.

Retail Banking

Operating results

(in millions)	Q4 2015	Q4 2014	Change	Q3 2015	Change	2015	2014	Change
Net interest income	805	885	-9%	853	-6%	3,302	3,379	-2%
Net fee and commission income	132	124	6%	133	-0%	527	522	1%
Other operating income	5	14	-67%	3	61%	25	41	-40%
Operating income	941	1,024	-8%	988	-5%	3,853	3,942	-2%
Personnel expenses	120	186	-35%	121	-0%	487	560	-13%
Other expenses	495	411	21%	389	27%	1,619	1,475	10%
Operating expenses	616	597	3%	510	21%	2,106	2,035	3%
Operating result	325	427	-24%	478	-32%	1,748	1,907	-8%
Impairment charges on loans and other receivables	9	99	-91%	52	-82%	99	460	-79%
Operating profit/(loss) before taxation	316	328	-4%	426	-26%	1,649	1,447	14%
Income tax expense	89	90	-1%	108	-17%	423	368	15%
Underlying profit/(loss) for the period	227	238	-5%	319	-29%	1,226	1,079	14%
Special items
Reported profit/(loss) for the period	227	238	-5%	319	-29%	1,226	1,079	14%

Retail Banking's underlying profit was EUR 227 million, a decline of EUR 11 million compared with the fourth quarter of 2014. This decline was mainly the result of lower net interest income and higher regulatory levies.

Net interest income declined by EUR 80 million compared with Q4 2014 to EUR 805 million in Q4 2015. This was largely driven by provisions taken related to legal claims (including Euribor mortgages) in Q4 2015 and a positive one-off item in Q4 2014.

Margins on residential mortgages improved compared with Q4 2014, due to the gradual repricing of the residential mortgage book. In particular, mortgages which where originated pre-crisis had low margins. This was partly offset by lower average residential mortgage loan volumes. Compared with Q3 2015 the repricing effect levelled off.

Net interest income on consumer loans decreased due to lower average loan volumes and lower margins.

Net interest income on deposits remained relatively stable compared with Q4 2014. Modestly higher average savings volumes were offset by slightly lower margins.

Net fee and commission income increased slightly compared with the same quarter of the previous year.

Personnel expenses declined by EUR 66 million to EUR 120 million in Q4 2015 compared with EUR 186 million in Q4 2014. This was due largely to a restructuring provision of EUR 60 million in 2014. Excluding the restructuring provision, personnel expenses declined EUR 6 million due to a lower average number of staff employed in Retail Banking following a further reduction in branches.

Other expenses were up EUR 84 million in Q4 2015. The regulatory levies in Q4 2015 were EUR 48 million higher compared with Q4 2014 (EUR 87 million versus EUR 39 million). Excluding the regulatory levies, other expenses increased by EUR 36 million. This was mainly attributable to higher project costs (including the Retail Digitalisation programme).

Operating result decreased by EUR 102 million in Q4 2015 to EUR 325 million. The underlying cost/income ratio increased by 7.1 percentage points to 65.4%. If the regulatory levies had been divided equally over the quarters, the cost/income ratio would have been 59% in Q4 2015 (55% in Q4 2014).

Impairment charges on loans and other receivables were EUR 9 million in Q4 2015, down EUR 90 million from Q4 2014. The decline in impairments is visible in both the consumer loan portfolio and the mortgage portfolio. Impairments on the mortgage portfolio decreased on the back of improved conditions in the housing market. In addition, the recovery of the Dutch economy contributed to a lower inflow of mortgages in the impaired portfolio, increased outflow and an improvement of the portfolio's risk profile. Consumer loans also benefited from improved economic circumstances and active risk management of the portfolio of clients in arrears, leading to significantly lower loan impairments.

Other indicators

	Q4 2015	Q4 2014	Q3 2015	2015	2014
Underlying cost/income ratio	65.4%	58.3%	51.6%	54.6%	51.6%
Underlying cost of risk (in bps)1	2	25	13	6	29

	31 December 2015	30 September 2015	31 December 2014

Loan-to-Deposit ratio	152%	153%	158%
Loans and receivables - customers (in billions)	154.2	156.1	156.0
Due to customers (in billions)	98.7	99.0	95.9
Risk-weighted assets (risk exposure amount; in billions)	34.8	35.6	36.8
FTEs	5,844	5,885	6,258

¹ Cost of risk consists of annualised impairment charges on Loans and receivables - customers for the period divided by average Loans and receivables - customers.

Loans and receivables - customers decreased by

EUR 1.9 billion compared with the previous quarter of 2015, to EUR 154.2 billion. The Retail Banking mortgage portfolio declined compared with 30 September 2015. Market share in new mortgage production declined to 16% in Q4 2015 driven by fierce competition on longer interest rate periods. Redemptions were higher due to increased refinancing, whereas extra repayments in 2015 returned to the same level as previous years. Low interest rates and increased awareness among homeowners of

the possibility of residual debt are still incentives for extra repayments. Contractual repayments are gradually growing, following amended tax regulations. As a result, redemptions exceeded new mortgage production.

Due to customers showed a marginal decrease of EUR 0.3 billion compared with 30 September 2015. MoneYou deposits recorded outside the Netherlands remained stable.

Client Assets

(in billions)	31 December 2015	30 September 2015	31 December 2014
Cash	98.7	99.0	95.9
Securities	15.6	15.2	16.0
Total Client Assets	114.3	114.2	111.9

Financial results

Private Banking

As of Q4 2015 the gross margin on client assets is included for Private Banking. Gross margin on client assets is defined as operating income for the period divided by average client assets for the period.

Operating results

(in millions)	Q4 2015	Q4 2014	Change	Q3 2015	Change	2015	2014	Change
Net interest income	149	156	-5%	147	1%	589	597	-1%
Net fee and commission income	149	140	6%	149	0%	619	544	14%
Other operating income	20	4		18	12%	101	51	98%
Operating income	318	301	6%	314	1%	1,310	1,193	10%
Personnel expenses	119	123	-3%	133	-10%	501	460	9%
Other expenses	160	156	3%	136	18%	549	503	9%
Operating expenses	279	279	0%	269	4%	1,050	964	9%
Operating result	39	21	81%	45	-14%	260	229	13%
Impairment charges on loans and other receivables	6	-12		5	15%	-4	23
Operating profit/(loss) before taxation	33	33	-2%	40	-18%	264	206	28%
Income tax expense	6	19	-67%	12	-46%	49	46	6%
Underlying profit/(loss) for the period	26	15	82%	28	-6%	214	160	34%
Special items
Reported profit/(loss) for the period	26	15	82%	28	-6%	214	160	34%

Private Banking's underlying profit increased by EUR 11 million compared with the fourth quarter of 2014 to EUR 26 million in Q4 2015. The increase was due to higher operating income in Q4 2015. In addition, Q4 2014 was impacted by a high effective tax rate due to tax-exempt one-offs.

Net interest income decreased to EUR 149 million in Q4 2015, down by EUR 7 million compared with Q4 2014. Higher average deposit volumes were more than offset by lower margins on deposits.

Net fee and commission income increased to EUR 149 million in Q4 2015, up by EUR 9 million compared with the same quarter of the previous year. Net fees increased due to higher average client assets.

Other operating income in Q4 2015 was EUR 16 million higher due mainly to a provision for a legal claim in Q4 2014.

Personnel expenses decreased by EUR 4 million to EUR 119 million in Q4 2015. Personnel expenses in the international activities in particular were lower due to a one-off release in Q4 2015. Q3 2015 included a restructuring provision related to the integration of the Jersey office into Guernsey.

Other expenses increased by EUR 4 million compared with Q4 2014. The regulatory levies in Q4 2015 were EUR 7 million higher compared with Q4 2014 (EUR 11 million versus EUR 4 million). The fourth quarter of 2015 also included higher project costs related to enhancing client centricity and client documentation and continuous improvement of products, services and IT processes. A goodwill impairment of EUR 25 million was included in Q4 2014.

Operating result increased by EUR 18 million to EUR 39 million in Q4 2015 compared with EUR 21 million in Q4 2014.

The underlying cost/income ratio for Private Banking amounted to 87.9% in Q4, a decrease of 5.0 percentage points compared with Q4 2014. If the regulatory levies had been divided equally over the quarters, the cost/income ratio would have been 85% compared with 92% in Q4 2014.

Impairment charges on loans and other receivables increased by EUR 18 million to EUR 6 million compared with EUR 12 million negative in Q4 2014. Q4 2014 included a release on a single client.

Other indicators

	Q4 2015	Q4 2014	Q3 2015	2015	2014
Underlying cost/income ratio	87.9%	92.9%	85.7%	80.2%	80.8%
Underlying cost of risk (in bps)1	14	-28	12	-2	14
Gross margin on client assets (in bps)	64	64	62	65	67

	31 December 2015	30 September 2015	31 December 2014
Loan-to-Deposit ratio	25%	25%	26%
Loans and receivables - customers (in billions)	16.6	16.5	16.7
Due to customers (in billions)	66.5	66.7	62.9
Risk-weighted assets (risk exposure amount; in billions)	8.2	8.7	8.3
FTEs	3,722	3,684	3,599

¹ Annualised impairment charges on Loans and receivables - customers for the period divided by average Loans and receivables - customers.

Loans and receivables - customers remained virtually stable at EUR 16.6 billion compared with 30 September 2015.

Due to customers showed a limited decrease of EUR 0.2 billion compared with 30 September 2015. Risk, funding & capital information

Client Assets

(in billions)	Q4 2015	Q3 2015	Q4 2014
Opening balance Client Assets	191.3	206.1	187.5
Net new assets	-0.4	-3.3	0.3
Market performance	8.3	-11.5	2.7
Closing balance Client Assets	199.2	191.3	190.6
	31 December 2015	30 September 2015	31 December 2014
Breakdown by type
Cash	66.5	66.9	63.6
Securities	132.8	124.4	127.0
- of which Custody	35.0	31.6	31.3
Total	199.2	191.3	190.6
Breakdown by geography
The Netherlands	48%	48%	47%
Rest of Europe	44%	43%	44%
Rest of the world	8%	9%	9%

Client assets grew to EUR 199.2 billion at

31 December 2015 compared with EUR 191.3 billion at 30 September 2015. This was due mainly to improved market performance.

Net new assets (NNA) in Q4 2015 was EUR 0.4 billion negative as net outflow was recorded outside the eurozone, which was partly offset by net inflow in the eurozone. The NNA in Q3 2015 was impacted by the outflow of custody assets of a single client.

Financial results

Other

Corporate Banking

Operating results

(in millions)	Q4 2015	Q4 2014	Change	Q3 2015	Change	2015	2014	Change
Net interest income	545	545	-0%	515	6%	2,142	2,019	6%
Net fee and commission income	186	176	6%	187	-0%	751	646	16%
Other operating income	3	59	-94%	60	-94%	227	173	31%
Operating income	734	780	-6%	762	-4%	3,120	2,839	10%
Personnel expenses	166	158	5%	166	0%	676	618	9%
Other expenses	418	329	27%	283	48%	1,264	1,116	13%
Operating expenses	584	487	20%	449	30%	1,940	1,734	12%
Operating result	151	293	-49%	313	-52%	1,180	1,105	7%
Impairment charges on loans
and other receivables	109	97	12%	41		419	717	-42%
Operating profit/(loss)
before taxation	42	196	-79%	273	-85%	762	388	96%
Income tax expense	17	52	-67%	54	-68%	165	91	83%
Underlying profit/(loss)
for the period	24	144	-83%	218	-89%	596	298	100%
Special items
Reported profit/(loss) for the period	24	144	-83%	218	-89%	596	298	100%

Corporate Banking's underlying profit decreased by EUR 120 million compared with Q4 2014 to EUR 24 million in Q4 2015. This was due mainly to higher regulatory levies in Q4 2015 and a further provision for an identified group of SMEs with possible derivative-related issues.

Net interest income remained stable at EUR 545 million in Q4 2015 compared with Q4 2014. A marginal decline at Commercial Clients was offset by a small increase at International Clients.

Commercial Clients posted a decline in net interest income of EUR 5 million to EUR 340 million in Q4 2015. The margins on loans and average deposit volumes increased, while deposit margins decreased compared with the same quarter in 2014. Average loan volumes also decreased due to the reallocation of part of the public sector loan portfolio to Group Functions.

Net interest income at International Clients increased modestly by EUR 6 million compared with Q4 2014. ECT Clients showed steady growth of net interest income in line with previous quarters. In general, there is increasing pressure on deposit margins.

Net interest income in Capital Markets Solutions decreased by EUR 1 million to EUR 29 million in Q4 2015.

Net fee and commission income showed an increase of EUR 10 million compared with Q4 2014, rising to EUR 186 million.

Other operating income declined by EUR 56 million to EUR 3 million in Q4 2015. The decrease was driven by a further provision for an identified group of SMEs with possible derivative-related issues at Capital Markets Solutions. Q4 2014 included a EUR 40 million gain at Clearing on the partial sale of its share in Holland Clearing House. CVA/DVA/FVA impact improved compared with Q4 2014 (EUR 15 million positive in Q4 2015 versus EUR 15 million negative in Q4 2014) and the tax-exempt results by Equity Participations increased on the back of improved market conditions.

Personnel expenses amounted to EUR 166 million, up by EUR 8 million compared with the same period last year. This was due mainly to higher personnel expenses at International Clients.

Other expenses rose by EUR 89 million compared with Q4 2014. The regulatory levies in Q4 2015 were EUR 73 million higher compared with Q4 2014 (EUR 122 million versus EUR 49 million). The remainder of the increase was due mainly to higher project costs related to enhancing client centricity and continuous improvement of products, services and IT processes (including the TOPS 2020 programme).

Operating result was EUR 151 million in the fourth quarter of 2015, down EUR 142 million compared with the same period in 2014. The underlying cost/income ratio increased to 79.5% in Q4 2015, from 62.4% in Q4 2014. If the Q4 regulatory levies had been divided equally over the quarters, the cost/income ratio would have been 67% in Q4 2015 (58% in Q4 2014).

Impairment charges on loans and other receivables amounted to EUR 109 million, up by EUR 12 million compared with Q4 2014.

Impairment charges in Commercial Clients decreased substantially by EUR 96 million to EUR 3 million in Q4 2015. The specific loan impairments for Commercial Clients declined sharply compared to the fourth quarter of 2014. In addition, an IBNI release of EUR 35 million was recorded in Q4 2015.

Loan impairments in International Clients were EUR 103 million, which is EUR 106 million higher than in Q4 2014. This was mainly the result of a higher level of impairment charges at Large Corporates, mainly seen in the Retail industry sector, in combination with EUR 20 million IBNI additions. In the fourth quarter of 2015, the impairment charges for ECT amounted to EUR 31 million compared with EUR 37 million in the same period in 2014. In Q4 2014 International Clients benefited from releases on a limited number of files.

Loan impairments in Capital Markets Solutions were limited.

Other indicators

	Q4 2015	Q4 2014	Q3 2015	2015	2014
Underlying cost/income ratio	79.5%	62.4%	58.9%	62.2%	61.1%
Underlying cost of risk (in bps)1	50	46	17	46	86

	31 December 2015	30 September 2015	31 December 2014

Loan-to-Deposit ratio	121%	129%	143%
Loans and receivables - customers (in billions)	80.6	85.5	85.0
Due to customers (in billions)	62.9	60.5	54.7
Risk-weighted assets (risk exposure amount; in billions)	55.1	56.8	53.5
FTEs	4,959	5,013	4,995

¹ Annualised impairment charges on Loans and receivables - customers for the period divided by average Loans and receivables - customers.

Loans and receivables - customers decreased to

EUR 80.6 billion at 31 December 2015 compared with EUR 85.5 billion at 30 September 2015. The decline was driven by lower volumes at Commercial Clients and Capital Markets Solutions. The decline at Commercial Clients was mainly due to the reallocation of part of the public sector loan portfolio (EUR 2.3 billion) from Corporate Banking to Group Functions. This reallocation is related to the specific expertise required to manage the risks, other than credit risk, associated with these longer dated loans. Corporate Banking continues to manage client relationships.

Due to customers amounted to EUR 62.9 billion at 31 December 2015, up EUR 2.4 billion compared with 30 September 2015. This was mainly the result of increased deposit volumes at Commercial Clients (EUR 1.2 billion increase) and International Clients (EUR 0.9 billion increase).

Corporate Banking - Commercial Clients

Operating results

(in millions)	Q4 2015	Q4 2014	Change	Q3 2015	Change	2015	2014	Change
Net interest income	340	345	-1%	305	11%	1,305	1,275	2%
Net fee and commission income	50	49	1%	53	-5%	205	196	5%
Other operating income	-9	9		7		13	30	-56%
Operating income	381	404	-6%	365	4%	1,524	1,502	1%
Operating expenses	248	229	8%	202	22%	861	788	9%
Operating result	133	175	-24%	163	-18%	663	713	-7%
Impairment charges on loans and other receivables	3	99	-97%	-17		213	605	-65%
Operating profit/(loss) before taxation	130	76	71%	180	-28%	450	108
Income tax expense	42	21	99%	45	-7%	121	27
Underlying profit/(loss) for the period	89	55	60%	135	-35%	329	82
Special items
Reported profit/(loss) for the period	89	55	60%	135	-35%	329	82

Other indicators

	Q4 2015	Q4 2014	Q3 2015	2015	2014
Underlying cost/income ratio	65.0%	56.7%	55.3%	56.5%	52.5%
Underlying cost of risk (in bps)1	3	96	-17	53	145

	31 December 2015	30 September 2015	31 December 2014

Loans and receivables - customers (in billions)	35.3	38.1	38.1
Due to customers (in billions)	34.8	33.6	31.7
Risk-weighted assets (risk exposure amount; in billions)	21.5	22.0	20.8

¹ Annualised impairment charges on Loans and receivables - customers for the period divided by average Loans and receivables - customers.

Corporate Banking - International Clients

Operating results

(in millions)	Q4 2015	Q4 2014	Change	Q3 2015	Change	2015	2014	Change
Net interest income	176	170	3%	172	2%	709	648	9%
Net fee and commission income	66	59	12%	54	22%	232	217	7%
Other operating income	31	-8		21	48%	104	3
Operating income	272	220	24%	246	11%	1,044	868	20%
Operating expenses	157	118	34%	121	30%	522	456	14%
Operating result	115	103	12%	125	-8%	522	412	27%
Impairment charges on loans and other receivables	103	-3		58	77%	191	113	69%
Operating profit/(loss) before taxation	12	105	-88%	68	-82%	331	299	11%
Income tax expense	-5	31		3		40	67	-41%
Underlying profit/(loss) for the period	17	74	-77%	65	-74%	292	232	26%
Special items
Reported profit/(loss) for the period	17	74	-77%	65	-74%	292	232	26%

Other indicators

	Q4 2015	Q4 2014	Q3 2015	2015	2014
Underlying cost/income ratio	57.8%	53.4%	49.0%	50.0%	52.6%
Underlying cost of risk (in bps)1	122	-4	69	57	40

	31 December 2015	30 September 2015	31 December 2014
Loans and receivables - customers (in billions)	32.2	32.2	32.2
Due to customers (in billions)	19.0	18.1	16.7
Risk-weighted assets (risk exposure amount; in billions)	22.6	22.8	19.9

¹ Annualised impairment charges on Loans and receivables - customers for the period divided by average Loans and receivables - customers.

Corporate Banking - Capital Markets Solutions

Operating results

(in millions)	Q4 2015	Q4 2014	Change	Q3 2015	Change	2015	2014	Change
Net interest income	29	30	-5%	38	-25%	127	96	33%
Net fee and commission income	71	68	4%	80	-12%	314	233	35%
Other operating income	-18	58		32		110	140	-21%
Operating income	82	156	-48%	150	-46%	551	469	18%
Operating expenses	179	140	27%	125	43%	555	489	13%
Operating result	-97	16		25		-3	-20	84%
Impairment charges on loans and other receivables	4	1		-0		15	-1
Operating profit/(loss) before taxation	-101	15		25		-18	-19	6%
Income tax expense	-19	1		7		6	-4
Underlying profit/(loss) for the period	-81	14		18		-24	-15	-57%
Special items
Reported profit/(loss) for the period	-81	14		18		-24	-15	-57%

Other indicators

	Q4 2015	Q4 2014	Q3 2015	2015	2014
Underlying cost/income ratio	218.8%	89.9%	83.3%	100.6%	104.3%
Underlying cost of risk (in bps)1	13	3	-2	9	-1

	31 December 2015	30 September 2015	31 December 2014
Financial assets held for trading (in billions)	1.7	8.5	8.9
Loans and receivables - customers (in billions)	13.1	15.3	14.7
Financial liabilities held for trading (in billions)	0.5	2.9	3.8
Due to customers (in billions)	9.1	8.8	6.3
Risk-weighted assets (risk exposure amount; in billions)	11.0	12.0	12.8

¹ Annualised impairment charges on Loans and receivables - customers for the period divided by average Loans and receivables - customers.

Financial results

Operating results

(in millions)	Q4 2015	Q4 2014	Change	Q3 2015	Change	2015	2014	Change
Net interest income	-2	33		8		44	28	56%
Net fee and commission income	-13	-10	-38%	-18	27%	-68	-21
Other operating income	73	17		55	33%	197	75
Operating income	58	40	45%	45	29%	172	82	111%
Personnel expenses	234	182	29%	200	17%	828	758	9%
Other expenses	-184	-148	-24%	-193	5%	-695	-641	-8%
Operating expenses	49	33	48%	7		133	117	14%
Operating result	9	7	29%	38	-77%	39	-35
Impairment charges on loans
and other receivables	-0	-3	99%	-4	99%	-8	-28	71%
Operating profit before taxation	9	10	-10%	42	-79%	48	-7
Income tax expense	15	6	133%	99	-85%	160	-21
Underlying profit/(loss)
for the period	-6	3		-56	89%	-112	14
Special items							-417
Reported profit/(loss) for the period	-6	3		-56	89%	-112	-402	72%

The underlying result of Group Functions was a loss of EUR 6 million in the fourth quarter of 2015 compared with a profit of EUR 3 million in Q4 2014.

Net interest income decreased to EUR 2 million negative in Q4 2015 compared with EUR 33 million positive in Q4 2014. The decrease of net interest income was mainly due to a higher cash level in the liquidity buffer. This was partly offset by the replacement of maturing funding with relatively high spreads by new cheaper funding.

Net fee and commission income decreased by EUR 3 million, mainly driven by higher fees paid to Capital Markets Solutions related to Securities Financing activities. The client-related part of the operating income of Securities Financing activities is allocated to Capital Markets Solutions via net fee and commission income.

Other operating income went up by EUR 56 million compared with the same period in the previous year. This was mainly the result of higher hedge accountingrelated results.

Personnel expenses increased to EUR 234 million in Q4 2015 from EUR 182 million in the same quarter in 2014. This was mainly due to higher additions to restructuring provisions in Q4 2015 compared with Q4 2014, a modest increase in the number of FTEs in 2015, and the fact that Q4 2014 was positively impacted by adjustments to employee benefits.

Other expenses decreased by EUR 36 million compared with the same period in 2014. Group Functions had higher project costs related to enhancing client centricity and continuous improvement of products, services and IT processes (including Retail Digitalisation programmes). This was, however, offset by the fact that more operating expenses were allocated to the commercial segments (visible as negative expenses). Other expenses in both

years were positively impacted in Q4 by releases of the Deposit Guarantee Scheme provision for DSB (EUR 35 million in Q4 2015 compared with EUR 66 million in Q4 2014) and cost savings generated by the TOPS 2020 programme.

Income tax in Q3 2015 was negatively impacted by the reassessment of our tax position.

Other indicators

	31 December 2015	30 September 2015	31 December 2014

Securities financing - assets	15.5	29.5	14.5
Loans and receivables - customers (in billions)	7.9	3.6	4.2
Securities financing - liabilities	10.2	23.6	12.6
Due to customers (in billions)	2.3	2.4	2.5
Risk-weighted assets (risk exposure amount; in billions)	9.9	9.5	11.0
FTEs	7,522	7,518	7,362

Securities financing assets decreased by EUR 14.0 billion and Securities financing liabilities decreased by EUR 13.4 billion compared with 30 September 2015. These declines were related to the cyclicality of the business as clients wind down their positions in the fourth quarter.

Loans and receivable - customers increased to EUR 7.9 billion at 31 December 2015, mainly as a result of the reallocation of part of the public sector loan portfolio from Corporate Banking to Group Functions to address the specific expertise required to manage the risks, other than credit risk, associated with these longer dated loans. Corporate Banking continues to manage client relationships.

Additional financial information

Overview of results in the last five quarters

The following table provides an overview of the quarterly results.

Quarterly results

(in millions)	Q4 2015	Q3 2015	Q2 2015	Q1 2015	Q4 2014
Net interest income	1,497	1,524	1,511	1,545	1,620
Net fee and commission income	454	449	456	470	431
Other operating income	101	136	159	154	95
Operating income	2,052	2,109	2,126	2,168	2,145
Personnel expenses	640	619	615	619	650
Other expenses	889	615	632	600	748
Operating expenses	1,528	1,234	1,247	1,219	1,397
Operating result	524	875	879	949	748
Impairment charges on loans and other receivables	124	94	34	252	181
Operating profit/(loss) before taxation	399	781	845	697	567
Income tax expense	128	272	244	154	167
Underlying profit/(loss) for the period	272	509	600	543	400
Special items
Reported profit/(loss) for the period	272	509	600	543	400

Difference between underlying and reported results

To provide a better understanding of the underlying results, ABN AMRO adjusts its reported results for defined special items and material divestments.

Special items are material and non-recurring items which are not related to normal business activities. As of 2014, ABN AMRO has a higher materiality threshold to qualify as a special item.

Adjustments include past results from material divestments and the related transaction result. No material divestments took place in the reported periods in this report.

The following table presents the reconciliation from underlying to reported results.

Reconciliation from underlying to reported results

			2015			2014
(in millions)	Underlying	Special items	Reported	Underlying	Special items	Reported
Net interest income	6,076		6,076	6,023		6,023
Net fee and commission income	1,829		1,829	1,691		1,691
Other operating income	550		550	341		341
Operating income	8,455		8,455	8,055		8,055
Personnel expenses	2,492		2,492	2,396	288	2,684
Other expenses	2,736		2,736	2,453	201	2,654
Operating expenses	5,228		5,228	4,849	489	5,338
Operating result	3,227		3,227	3,206	-489	2,717
Impairment charges on loans and other receivables	505		505	1,171		1,171
Operating profit/(loss) before taxation	2,722		2,722	2,035	-489	1,546
Income tax expense	798		798	484	-72	412
Profit/(loss) for the period	1,924		1,924	1,551	-417	1,134

Special items

(in millions)	Q3 2014	Q2 2014	Q1 2014
Operating income
Total impact on Operating Income
Operating expenses
Pension settlement charge		288
SNS Levy	67	67	67
Total impact on Operating expenses	67	355	67
Loan impairments
Total impact on Loan impairments
Total impact on Income tax expense		-72
Total impact on result for the period	-67	-283	-67

The SNS levy amounted to a total of EUR 201 million recorded in 2014, spread over the first three quarters of 2014.

Risk, funding & capital information

Key developments	34
Credit risk	37
Operational risk	58
Market risk	59
Liquidity risk	61
Funding	63
Capital management	66

Key developments

Key figures

	31 December 2015	30 September 2015	31 December 2014
Total assets	390,317	413,287	386,867
Of which Residential mortgages	150,009	151,670	151,998
Of which Consumer loans	14,587	14,790	15,398
Of which Corporate loans	88,367	88,028	87,866
Total Exposure at Default (EAD)	369,169	376,828	350,762
Total RWA (REA)/total EAD	29.3%	29.4%	31.3%
Regulatory capital
Total RWA (REA)	108,001	110,602	109,647
Of which Credit risk1	86,063	88,564	87,667
Of which Operational risk	16,227	16,227	16,168
Of which Market risk	5,710	5,810	5,811
Fully-loaded CET1 ratio	15.5%	14.8%	14.1%
Fully-loaded leverage ratio	3.8%	3.5%	3.7%
Credit quality indicators
Forbearance ratio3	3.5%	3.7%	3.5%
Past due ratio3	1.9%	1.9%	2.3%
Impaired ratio3	2.7%	2.7%	2.9%
Coverage ratio3	55.8%	56.6%	53.6%
Cost of risk (year to date, in bps) - underlying2	19	19	45
Liquidity and funding indicators
Loan-to-Deposit ratio	108.9%	110.2%	116.5%
LCR	>100%	>100%	>100%
NSFR	>100%	>100%	>100%

¹ RWA (REA) for credit value adjustment (CVA) is included in credit risk. CVA per 31 December 2015 amounted to EUR 1.1 billion (30 September 2015 EUR 1.1 billion; 31 December 2014 EUR 1.3 billion).

² Annualised impairment charges on Loans and receivables - customers for the period divided by average Loans and receivables - customers.

³ Loans and receivables - customers only.

	Q4 2015	Q4 2014	Q3 2015
Underlying cost of risk (in bps)	19	27	14

Fourth-quarter developments

In the fourth quarter of 2015 gross domestic product (GDP) in the Netherlands grew by 0.3%, totalling to 1.9% year-on-year. The increase is related entirely to a rise in consumption and investments. The revival of investments was partly driven by an improvement of manufacturing capacity utilisation. Growth in consumption is being fueled by a rise in the real disposable income of family households, which is due to the fact that wages are rising faster than inflation.

The continued improvement of Dutch economic conditions is reflected in the gradual decline of the impaired portfolio, which resulted in lower impairment charges. Total impairment charges on loans and other receivables declined by EUR 57 million amounting to EUR 124 million in Q4 2015, compared with EUR 181 million in the same period last year. This decline was mainly the result of lower impairment charges in the Consumer loans portfolio and, to a lesser extent, the Residential mortgage portfolio, offset partly by an increase in impairment charges for Corporate loans.

Total impairment charges for Q4 2015 remained in line with the annualised Impairment charges in Q3 2015, as a result of which the cost of risk remained at the same level (19bps) in Q4 2015. Compared with Q4 2014 the cost of risk improved to 19bps from 45bps in Q4 2015, due to considerably lower Impairment charges.

The Residential mortgage portfolio, which includes a fair value adjustment for hedge accounting, decreased by EUR 1.7 billion, amounting to a total of EUR 150.0 billion at 31 December 2015. The decline in Residential mortgages was the result of repayments on existing mortgage loans exceeding new production of mortgage loans. The Consumer loan and Corporate loan portfolios remained relatively stable at 31 December compared with 30 September 2015.

The forbearance ratio improved in the fourth quarter, amounting to 3.5% at 31 December 2015, compared with 3.7% at 30 September 2015. The ratio declined mainly as a result of debt repayments on existing forborne contracts. The past due ratio remained at 1.9% in the fourth quarter of 2015. The impaired ratio remained at the same level in this period. The coverage ratio declined to 55.8% in the fourth quarter of 2015, compared with 56.6% at 30 September 2015.

Total RWA decreased by EUR 2.6 billion to EUR 108.0 billion at 31 December 2015, compared with EUR 110.6 billion at 30 September 2015. This movement was mainly related to credit risk. The decline in RWA was mainly the result of a decrease of EUR 1.7 billion in Corporate Banking.

Total Exposure at Default declined by EUR 7.7 billion, arriving at EUR 369.2 billion on 31 December 2015, compared with EUR 376.8 billion at 30 September 2015. The decline was mainly attributable to adjusted calculations for markets exposures at Capital Markets Solutions within Corporate Banking, and lower business volumes at Retail Banking, and was partly offset by an increase at Group Functions due to a rise in deposits at central banks.

The Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR) both remained above 100% in the final quarter of 2015. This is in line with the bank's targeted early compliance with future regulatory requirements.

The LtD ratio showed a steady decrease throughout 2015. This is reflected in the gradual increase of the cash position throughout 2015.

During 2015, ABN AMRO raised EUR 14.3 billion in long-term wholesale funding (including EUR 2.8 billion subordinated debt), of which EUR 2.9 billion in the final quarter of 2015. The average remaining maturity of long-term wholesale funding increased during 2015 from 4.3 to 4.6 years, mainly due to the issuance of long-term secured funding in the third quarter of 2015. In the final quarter of 2015, the average remaining maturity remained stable at 4.6 years.

Quarterly developments

RWA (REA) per business segment (end-of-period, in billions)

EAD per business segment

Underlying cost of risk per product1 Residential mortgages (in bps)

Consumer loans (in bps)

Corporate loans (in bps)

Annualised impairment charges on Loans and receivables for the period divided by average Loans and receivables Coverage ratio

excluding fair value adjustments from hedge accounting. Residential mortgages (in %)

Consumer loans (in %)

Corporate loans (in %)

Impaired ratio

Corporate loans (in %)

¹ Annualised impairment charges on Loans and receivables - customers for the period divided by average Loans and receivables - customers excluding fair value adjustments from hedge accounting.

RWA declined from EUR 88.6 billion at 30 September 2015 to EUR 86.1 billion at 31 December 2015. The decline was mainly attributable to Corporate Banking.

Reporting scope risk

			31 December 2015		30 September 2015			31 December 2014
(in millions)	Gross carrying amount	Loan impairment allowance	Carrying amount	Gross carrying amount	Loan impairment allowance	Carrying amount	Gross carrying amount	Loan impairment allowance	Carrying amount
Loans and receivables - banks	15,682	2	15,680	17,796	3	17,794	21,680		21,680
Residential mortgages	150,333	324	150,009	152,044	374	151,670	152,536	538	151,998
Less: Fair value adjustment from hedge accounting on residential mortgages	3,401		3,401	3,509		3,509	4,134		4,134
Residential mortgages, excluding fair value adjustments	146,932	324	146,608	148,535	374	148,161	148,402	538	147,864
Consumer loans	15,147	561	14,587	15,409	620	14,790	16,052	654	15,398
Corporate loans	86,312	3,380	82,932	86,136	3,421	82,715	86,299	3,439	82,860
Less: Fair value adjustment from hedge accounting on corporate loans	1,448		1,448	1,519		1,519	1,605		1,605
Corporate loans, excluding fair value adjustments	84,864	3,380	81,484	84,618	3,421	81,196	84,694	3,439	81,255
Other loans and receivables - customers1	11,882	90	11,792	12,676	109	12,567	11,783	129	11,654
Less: Fair value adjustment from hedge accounting on other loans and receivables
- customers	1		1	-3		-3	-16		-16
Other loans and receivables - customers, excluding fair value adjustments1	11,881	90	11,791	12,679	109	12,570	11,799	129	11,669
Total loans and receivables - customers, excluding fair value adjustments	258,824	4,355	254,469	261,241	4,524	256,717	260,947	4,761	256,186
Fair value adjustments on Loans and receivables - customers	4,850		4,850	5,025		5,025	5,724		5,724
Total loans and receivables - customers	263,674	4,355	259,319	266,266	4,524	261,742	266,670	4,761	261,910

¹ Other loans and receivables - customers consists of Government and official institutions, Financial lease receivables and Factoring.

The table above gives an overview of the figures reported in the consolidated balance sheet (net) and the figures reported in the Risk Management chapter (gross).

Credit risk mitigation

Collateral

Starting in the fourth quarter of 2015, we are reporting the value of collateral based on its Net Collateral Value (NCV). NCV expresses the value of collateral in the event of

a forced sale and is equal to the expected recovery value of the collateral pledged to the bank.

A surplus for guarantees will no longer be included after 31 December 2015, as the debtor can only be liable for the maximum debt.

Collateral & guarantees received as security as at 31 December 20151

								31 December 2015
					Collateral received
(in millions)	Carrying amount	Master netting agree ment4	Financial instru ments	Property & equipment	Other collateral and guarantees	Total risk mitigation	Surplus collateral5	Net exposure6
Loans and receivables - banks	15,680	7,282	1,742		4	9,027	1,332	7,984
Loans and receivables - customers
Residential mortgages2	146,608		160	180,455	7,812	188,427	56,291	14,472
Consumer loans	14,587		6,474	5,462	53	11,990	4,583	7,180
Corporate loans2	81,484	3,920	29,721	42,638	13,006	89,284	24,931	17,131
Other loans and receivables - customers3	11,791	748	2,590	3,006	1,406	7,750	842	4,883
Fair value adjustment from hedge accounting	4,850							4,850
Total Loans and receivables - customers	259,319	4,668	38,944	231,561	22,277	297,450	86,647	48,515
Total Loans and receivables	274,998	11,950	40,686	231,561	22,281	306,477	87,978	56,500

¹ As of year-end 2015, a refined methodology for collateral reporting has been applied. Previous figures have been adjusted.

² Carrying amount includes loan impairment allowances.

³ Other loans and receivables - customers consists of Government and official institutions, Financial lease receivables and Factoring.

⁴ Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements. Cash collateral not part of master netting agreements has been reported under Financial instruments.

⁵ Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.

⁶ Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.

Collateral & guarantees received as security as at 30 September 20151

		30 September 2015
					Collateral received
(in millions)	Carrying amount	Master netting agreement4	Financial instru ments	Property & equipment	Other collateral and guarantees	Total risk mitigation	Surplus collateral5	Net exposure6
Loans and receivables - banks	17,794	8,217	334		2	8,553		9,241
Loans and receivables - customers
Residential mortgages2	148,161		81	209,411	4,655	214,148	74,231	8,245
Consumer loans	14,790		4,290	5,181	33	9,505	1,142	6,427
Corporate loans2	81,196	3,104	20,130	39,309	13,737	76,280	18,012	22,929
Other loans and receivables - customers3	12,570	1,057	4,540	2,981	1,626	10,204	2,631	4,997
Fair value adjustment from hedge accounting	5,025							5,025
Total Loans and receivables - customers	261,742	4,161	29,042	256,882	20,051	310,136	96,017	47,622
Total Loans and receivables	279,536	12,378	29,376	256,882	20,053	318,690	96,017	56,863

¹ As of year-end 2015, a refined methodology for collateral reporting has been applied. Previous figures have been adjusted.

² Carrying amount includes loan impairment allowances.

³ Other loans and receivables - customers consists of Government and official institutions, Financial lease receivables and Factoring.

⁶ Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.

Collateral & guarantees received as security as at 31 December 20141

								31 December 2014
					Collateral received
(in millions)	Carrying amount	Master netting agreement4	Financial instru ments	Property & equipment	Other collateral and guarantees	Total risk mitigation	Surplus collateral5	Net exposure6
Loans and receivables - banks	21,680	9,850				9,850		11,830
Loans and receivables - customers
Residential mortgages2	147,864	25	98	205,730	5,072	210,925	71,635	8,574
Consumer loans	15,398	139	4,361	5,260	48	9,807	1,422	7,013
Corporate loans2	81,255	3,121	26,146	30,749	8,434	68,450	18,083	30,888
Other loans and receivables - customers3	11,669	1,585	4,008	2,866	2,488	10,946	2,287	3,010
Fair value adjustment from hedge accounting	5,724							5,724
Total Loans and receivables - customers1	261,910	4,870	34,613	244,605	16,041	300,129	93,427	55,208
Total Loans and receivables	283,590	14,720	34,613	244,605	16,041	309,979	93,427	67,038

¹ As of year-end 2015, a refined methodology for collateral reporting has been applied. Previous figures have been adjusted.

² Carrying amount includes loan impairment allowances.

³ Other loans and receivables - customers consists of Government and official institutions, Financial lease receivables and Factoring.

⁴ Collateral in the column Master netting agreement is mainly markets related and consists of master netting agreements which also includes cash collateral as part of these agreements.

Cash collateral not part of master netting agreements has been reported under Financial instruments. ⁵ Surplus collateral is the amount of over-collateralisation, calculated on an individual basis.

⁶ Net exposure represents the portfolio corrected for the surplus amount and gives a view on the potential shortfall in collateral on the total portfolio.

Fourth quarter developments

Total net exposure of Total Loans and receivables customers increased to EUR 48.5 billion at 31 December 2015, an increase of EUR 0.9 billion from EUR 47.6 billion at 30 September 2015. This increase is mainly the result of the implementation of the NCV valuation method.

Total risk mitigation for residential mortgages decreased by EUR 25.7 billion, amounting to EUR 188.4 billion at 31 December 2015, compared with EUR 214.1 billion at 30 September 2015. This decrease is mainly the result of the implementation of the NCV valuation method. Although total risk mitigation decreased significantly, the increase of net exposure was limited. The effect of the NCV valuation method was most noticeable for existing surplus collateral. Surplus collateral is overcollateralisation, serving as additional security in case the collateral value declines.

The impact of the NCV valuation method on Other loans and receivables - customers is visible, as total risk mitigation decreased by EUR 2.4 billion and surplus collateral by EUR 1.8 billion.

Total net exposure of Total Loans and receivables customers decreased by EUR 6.7 billion, coming down from EUR 55.2 billion at 31 December 2014 to EUR 48.5 billion at 31 December 2015. This decrease is mainly attributable to improved collateral reporting offset by the implementation of the NCV valuation method.

Management of forborne, past due and impaired loans

Forborne loans

The following table provides an overview of forborne assets, broken down into performing and non-performing assets, specified by type of forbearance measure.

Clients in (potential) financial difficulty, for whom contract amendments that are considered concessions on the part of the bank have been made since 1 January 2012, are accounted for as forborne assets. Contracts that are in a recovery phase at the reporting date are not considered forborne.

											31 December 2015
				Performing assets				Non-performing assets			Total
(in millions)	Gross carrying amount	Temporary modifica tion	Permanent modifica tion	Refi nanc ing	Total	Temporary modifica tion	Permanent modifica tion	Refi nanc ing	Total	Total forborne assets	Forbear ance ratio
Loans and receivables - banks	15,682										0.0%
Loans and receivables - customers
Residential mortgages	146,932	1,122	23	204	1,349	354	14	39	408	1,757	1.2%
Consumer loans	15,147	174	77	174	426	105	72	47	223	648	4.3%
Corporate loans	84,864	1,368	1,330	1,244	3,941	594	839	902	2,335	6,276	7.4%
Other loans and receivables - customers1, 2	11,881	110	39		148	109	124	2	235	383	3.2%
Total Loans and receivables - customers	258,824	2,775	1,468	1,622	5,865	1,162	1,049	990	3,201	9,065	3.5%
Total1	274,506	2,775		1,468 1,622 5,865		1,162	1,049	990	3,201	9,065	3.3%

Overview forbearance as at 31 December 2015

¹ Gross carrying amount excludes fair value adjustments from hedge accounting.

² Other loans and receivables - customers consists of Government and official institutions, Financial lease receivables and Factoring.

Overview forbearance as at 30 September 2015

											30 September 2015
				Performing assets			Non-performing assets				Total
(in millions)	Gross carrying amount	Temporary modifica tion	Permanent modifica tion	Refi nanc ing	Total	Temporary modifica tion	Permanent modifica tion	Refi nanc ing	Total	Total forborne assets	Forbear ance ratio
Loans and receivables - banks	17,796										0.0%
Loans and receivables - customers
Residential mortgages	148,535	1,125	14	195	1,334	401	25	39	464	1,798	1.2%
Consumer loans	15,409	152	68	156	377	120	65	52	238	614	4.0%
Corporate loans	84,618	1,272	1,270	1,739	4,280	719	1,006	990	2,715	6,995	8.3%
Other loans and receivables - customers1, 2	12,679	99	24		123	117	71	5	193	316	2.5%
Total Loans and receivables - customers1	261,241	2,649	1,376	2,090	6,114	1,357	1,166	1,087	3,610	9,724	3.7%
Total1	279,038	2,649	1,376	2,090	6,114	1,357	1,166	1,087	3,610	9,724	3.4%

¹ Gross carrying amount excludes fair value adjustments from hedge accounting.

² Other loans and receivables - customers consists of Government and official institutions, Financial lease receivables and Factoring.

Overview forbearance as at 31 December 2014

											31 December 2014
				Performing assets			Non-performing assets				Total
(in millions)	Gross carrying amount	Temporary modifica tion	Permanent modifica tion	Refi nanc ing	Total	Temporary modifica tion	Permanent modifica tion	Refi nanc ing	Total	Total forborne assets	Forbear ance ratio
Loans and receivables - banks	21,680										0.0%
Loans and receivables - customers
Residential mortgages	148,402	1,027	28	122	1,177	606	3	29	638	1,814	1.2%
Consumer loans	16,052	92	68	126	286	99	32	52	184	470	2.9%
Corporate loans	84,694	1,215	872	1,823	3,910	729	878	1,181	2,788	6,698	7.9%
Other loans and receivables - customers1, 2	11,799	23			24	64	4		68	92	0.8%
Total Loans and receivables - customers	260,947	2,358	968	2,071	5,397	1,498	917	1,262	3,677	9,074	3.5%
Total1	282,627	2,358	968	2,071	5,397	1,498	917	1,262	3,677	9,074	3.2%

¹ Gross carrying amount excludes fair value adjustments from hedge accounting.

² Other loans and receivables - customers consists of Government and official institutions, Financial lease receivables and Factoring.

Fourth quarter developments

The total forborne assets decreased from EUR 9.7 billion at 30 September 2015 to EUR 9.1 billion at 31 December 2015. This decline was mainly attributable to developments within the Corporate loan portfolio. Total forborne assets within Residential mortgages and Consumer loans have remained fairly stable since 30 September 2015.

Total forborne for Corporate loans decreased significantly, amounting to EUR 6.3 billion at 31 December 2015, compared with EUR 7.0 billion at 30 September 2015. This decline was mainly the result of debt repayments on existing forborne contracts with refinancing measures in the performing portfolio, primarily relating to one specific

client in the real estate sector. To a lesser extent, the decrease in exposure is related to debt repayments by several clients in the industrial goods and services sector. Total forborne Corporate loans within the non-performing portfolio amounted to EUR 2.3 billion at 31 December 2015, declining from EUR 2.7 billion at 30 September 2015, mainly due to the outflow of forborne exposure.

Total forborne for Other loans and receivables - customers increased slightly to EUR 0.4 billion at 31 December 2015, coming from EUR 0.3 billion at 30 September 2015.

Comparing year-end 2015 with year-end 2014, total forborne exposure remained stable.

Past due loans

Financial assets past due but not impaired as at 31 December 2015

								31 December 2015
		Carrying amount				Days past due
(in millions)	Gross	Assets not classified as impaired	< 30	> 30 days & < 60	> 60 days & < 90	> 90	Total past due but not impaired	Past due ratio
Loans and receivables - banks	15,682	15,680						0.0%
Loans and receivables - customers
Residential mortgages1	146,932	145,900	2,354	322	70	30	2,776	1.9%
Consumer loans	15,147	14,287	306	122	30	149	607	4.0%
Corporate loans1	84,864	79,992	610	134	9	323	1,076	1.3%
Other loans and receivables - customers2	11,881	11,671	187	36	17	160	400	3.4%
Total Loans and receivables - customers	258,824	251,852	3,457	614	126	662	4,858	1.9%
Total Loans and receivables	274,506	267,532	3,457	614	126	662	4,858	1.8%

¹ Gross carrying amount excludes fair value adjustments from hedge accounting.

² Other loans and receivables - customers consists of Government and official institutions, Financial lease receivables and Factoring.

Financial assets past due but not impaired as at 30 September 2015

								30 September 2015
		Carrying amount				Days past due
(in millions)	Gross	Assets not classified as impaired	< 30	> 30 days & < 60	> 60 days & < 90	> 90	Total past due but not impaired	Past due ratio
Loans and receivables - banks	17,796	17,795						0.0%
Loans and receivables - customers
Residential mortgages1	148,535	147,396	2,565	376	94		3,035	2.0%
Consumer loans	15,409	14,599	334	123	45	201	702	4.6%
Corporate loans1	84,618	79,668	578	135	56	452	1,221	1.4%
Other loans and receivables - customers2	12,676	12,455	32	5	2	20	58	0.5%
Total Loans and receivables - customers	261,241	254,120	3,508	638	197	672	5,016	1.9%
Total Loans and receivables	279,038	271,915	3,508	638	197	672	5,016	1.8%

¹ Gross carrying amount excludes fair value adjustments from hedge accounting.

² Other loans and receivables - customers consists of Government and official institutions, Financial lease receivables and Factoring.

Financial assets past due but not impaired as at 31 December 2014

								31 December 2014
		Carrying amount				Days past due
(in millions)	Gross	Assets not classified as impaired	< 30	> 30 days & < 60	> 60 days & < 90	> 90	Total past due but not impaired	Past due ratio
Loans and receivables - banks	21,680	21,680						0.0%
Loans and receivables - customers
Residential mortgages1	148,402	146,924	3,057	463	118		3,639	2.5%
Consumer loans	16,052	15,184	335	135	38	125	633	3.9%
Corporate loans1	84,694	79,704	924	182	51	590	1,747	2.1%
Other loans and receivables - customers2	11,799	11,533	72	8	3	12	94	0.8%
Total Loans and receivables - customers	260,947	253,346	4,388	788	210	727	6,114	2.3%
Total Loans and receivables	282,627	275,027	4,388	788	210	727	6,114	2.2%

¹ Gross carrying amount excludes fair value adjustments from hedge accounting.

² Other loans and receivables - customers consists of Government and official institutions, Financial lease receivables and Factoring.

Fourth quarter developments

Total Loans and receivables past due decreased marginally at 31 December 2015, arriving at EUR 4.9 billion, compared with EUR 5.0 billion at 30 September 2015.

With regard to Residential mortgages, Consumer loans and Corporate loans portfolio, no major movements were noted in this period.

Other loans and receivables - customers increased by EUR 0.3 billion to EUR 0.4 billion at 31 December 2015. This increase was mainly attributable to the fact that we aligned the reporting view for lease contracts with the bank-wide view on past-due exposure.

Total past due but not impaired for total loans and receivables continued its downward trend, arriving at EUR 4.9 billion at 31 December 2015 compared with EUR 6.1 billion at year-end 2014. This was mainly the result of effective credit monitoring and the improved Dutch economy.

Impaired loans

Coverage and impaired ratio as at 31 December 2015

					31 December 2015
(in millions)	Gross carrying amount	Impaired exposures	Allowances for Impairments for identified credit risk	Coverage ratio	Impaired ratio
Loans and receivables - banks	15,682	2	-2	100.0%	0.0%
Loans and receivables - customers
Residential mortgages	146,932	1,031	-245	23.8%	0.7%
Consumer loans	15,147	860	-471	54.8%	5.7%
Corporate loans	84,864	4,872	-3,098	63.6%	5.7%
Other loans and receivables - customers1, 2	11,881	210	-78	37.4%	1.8%
Total Loans and receivables - customers	258,824	6,973	-3,892	55.8%	2.7%
Total Loans and receivables3	274,506	6,974	-3,894	55.8%	2.5%
Securities financing	20,073	11	-11	100.0%	0.1%
Total on- and off-balance sheet	414,782	7,016	-3,909	55.7%	1.7%

¹ Gross carrying amount excludes fair value adjustments from hedge accounting.

² Other loans and receivables - customers consists of Government and official institutions, Financial lease receivables and Factoring.

³ Amounts excluding Incurred But Not Identified (IBNI).

Coverage and impaired ratio as at 30 September 2015

					30 September 2015
(in millions)	Gross carrying amount	Impaired exposures	Allowances for Impairments for identified credit risk	Coverage ratio	Impaired ratio
Loans and receivables - banks	17,796	2	-2	100.0%	0.0%
Loans and receivables - customers
Residential mortgages	148,535	1,139	-295	25.9%	0.8%
Consumer loans	15,409	811	-520	64.2%	5.3%
Corporate loans	84,618	4,950	-3,123	63.1%	5.8%
Other loans and receivables -
customers1, 2	12,676	222	-96	43.4%	1.7%
Total Loans and receivables - customers	261,241	7,121	-4,034	56.6%	2.7%
Total Loans and receivables3	279,038	7,123	-4,036	56.7%	2.6%
Securities financing	35,485	10	-10	100.0%	0.0%
Total on- and off-balance sheet	436,829	7,171	-4,052	56.5%	1.6%

¹ Gross carrying amount excludes fair value adjustments from hedge accounting.

² Other loans and receivables - customers consists of Government and official institutions, Financial lease receivables and Factoring.

³ Amounts excluding Incurred But Not Identified (IBNI).

Coverage and impaired ratio as at 31 December 2014

					31 December 2014
(in millions)	Gross carrying amount	Impaired exposures	Allowances for Impairments for identified credit risk	Coverage ratio	Impaired ratio
Loans and receivables - banks	21,680			0.0%	0.0%
Loans and receivables - customers
Residential mortgages	148,402	1,478	-408	27.6%	1.0%
Consumer loans	16,052	868	-533	61.4%	5.4%
Corporate loans	84,694	4,989	-3,017	60.5%	5.9%
Other loans and receivables - customers1, 2	11,799	265	-115	43.2%	2.2%
Total Loans and receivables - customers	260,947	7,601	-4,073	53.6%	2.9%
Total Loans and receivables3	282,627	7,601	-4,073	53.6%	2.7%
Securities financing	18,521	10	-10	100.0%	0.1%
Total on- and off-balance sheet	413,092	7,632	-4,089	53.6%	1.8%

¹ Gross carrying amount excludes fair value adjustments from hedge accounting.

² Other loans and receivables - customers consists of Government and official institutions, Financial lease receivables and Factoring.

³ Amounts excluding Incurred But Not Identified (IBNI).

Fourth quarter developments

In the fourth quarter of 2015, impaired exposures and Allowances for Impairments declined compared with 30 September 2015.

A growing number of loans managed in the restructuring portfolio are flowing back into the regular portfolio, in line with the improving conditions in the Dutch economy. Nevertheless, some sectors are still facing issues of a more permanent nature, for example certain Agri-sectors and the Retail industry. The inflow of loans into the non-performing portfolio is declining.

The coverage ratio for Total loans and receivables – customers decreased to 55.8% at 31 December 2015, compared with 56.6% the year before. The Impaired ratio in this period remained stable at 2.7%.

The coverage ratio for the residential mortgages portfolio decreased to 23.8% at 31 December 2015, coming from 25.9% at 30 September 2015. Both the Impaired portfolio and Allowances for impairments decreased, although the decrease of Allowances for impairments was relatively larger. The Impaired exposure dropped, as there was lower inflow into and higher outflow from the impaired portfolio. The allowances decreased mainly due to the upswing in

the Dutch housing market and continually improving economic circumstances, which led to a lower average loss on foreclosures. The impaired ratio decreased slightly to 0.7%, from 0.8% at 30 September 2015, mainly as a result of a further decline of the impaired portfolio, which totalled EUR 1.0 billion at 31 December 2015, compared with EUR 1.1 billion at 30 September 2015.

Impaired exposures in the Consumer loan portfolio increased slightly during the fourth quarter of 2015. The impaired ratio increased to 5.7% at 31 December 2015, compared with 5.3% at 30 September 2015. Allowances for Impairments decreased slightly. These developments resulted in a coverage ratio of 54.8% at 31 December 2015, down from 64.2% at 30 September 2015.

Coverage ratio for Corporate loans increased slightly, amounting to 63.6% at 31 December 2015, compared with 63.1% at 30 September 2015, whereas the impaired ratio remained relatively stable.

Compared with 31 December 2014, impaired exposures decreased by EUR 0.6 billion to EUR 7.0 billion at 31 December 2015 and Allowances for Impairments decreased by EUR 0.2 billion to EUR 3.9 billion at 31 December 2015.

Loan impairment charges and allowances

							Q4 2015
	Securities financing	Banks	Corporate loans	Residential mortgages	Consumer loans	Other loans	Total
(in millions)
Balance at begin of period	10	3	3,530	374	620	1	4,537
Impairment charges for the period	-0	-0	312	23	26		361
Reversal of impairment allowances no longer required		-0	-186	-11	-21	-0	-219
Recoveries of amounts previously written-off		-0	-1	-7	-11		-19
Total impairment charges on loans and other receivables		-1	125	6	-7	-0	123
Amount recorded in interest income from unwinding of discounting			-11	-10	-2		-23
Currency translation differences			31		-0	2	33
Amounts written-off (net)	-0		-224	-46	-47		-317
Reserve for unearned interest accrued on impaired loans			11		2		13
Other adjustments	-0		8		-4	-3	1
Balance at end of period	11	2	3,470	324	561	1	4,368
Reconciliation from reported to underlying impairment charges
Total reported on-balance sheet impairment charges on loans and other receivables		-1	125	6	-7	-0	123
Total underlying on-balance sheet
impairment charges on loans and other receivables		-1	125	6	-7	-0	123

Risk, funding & capital information / Credit risk

							Q4 2014
(in millions)	Securities financing	Banks	Corporate loans	Residential mortgages	Consumer loans	Other loans	Total
Balance as at begin of period	10		3,690	599	644	132	5,074
Impairment charges for the period			381	88	111	7	587
Reversal of impairment allowances no longer required			-289	-62	-31	-5	-387
Recoveries of amounts previously written off			-7	-5	-7		-19
Total impairment charges on loans and other receivables			86	20	73	2	181
Amount recorded in interest income from unwinding of discounting			-13	-15	-3		-31
Currency translation differences	1		7		-0	-0	8
Amounts written off (net)			-358	-57	-57	-5	-476
Reserve for unearned interest accrued on impaired loans			8	12	-6		14
Other adjustments	-0		19	-21	4	-0	1
Balance as at end of period	11		3,439	538	654	129	4,771
Reconciliation from reported to underlying impairment charges
Total reported on-balance impairment charges on loans and other receivables			86	20	73	2	181
Total underlying on-balance impairment charges on loans
and other receivables			86	20	73	2	181

(in millions)					Q4 2015		Q4 2014
On-balance sheet						123	181
Off-balance sheet						1	-1

Total impairment charges on loans and other receivables 124 181

Fourth quarter developments

Compared with the fourth quarter of 2014, the on-balance Impairment charges declined by EUR 58 million in the fourth quarter of 2015, arriving at EUR 123 million on 31 December 2015. The decrease in Impairment charges is the result of the continued improvement of economic circumstances in the Netherlands.

The decrease in Impairment charges is mainly attributable to improvement in Consumer loans and to a lesser extent to Residential mortgages, and is partly offset by an increase in Impairment charges for Corporate loans.

Impairment charges for Corporate loans increased by EUR 39 million, amounting to EUR 125 million in the fourth quarter of 2015, compared with EUR 86 million in the same period last year. The increase in impairment charges was largely concentrated in the International Clients portfolio, mainly with regard to Large Corporates and to a lesser extent to ECT Clients. Within Corporate loans, the Commercial Clients portfolio slowly improved as the inflow of loans managed in the restructuring portfolio of Financial Restructuring & Recovery (FR&R) declined and more files were transferred back to the performing portfolio.

Impairment charges for Residential mortgages declined by EUR 14 million compared with the last quarter of 2014, arriving at EUR 6 million in the last quarter of 2015. Since the end of 2014, the Dutch housing market has continuously improved, driven by historically low interest rates and a larger number of transactions compared with last quarter of 2014. As a result, impairment charges for the Residential Mortgage portfolio were lower in the last quarter 2015 than they were in 2014.

In the fourth quarter of 2015, impairment charges for Consumer loans decreased by EUR 80 million compared with the same period last year. The impaired volume decreased compared with a year ago, and as a result the Impairment charges decreased.

Loan impairment charges and allowances over the full year

							2015
	Securities		Corporate	Residential	Consumer
(in millions)	financing	Banks	loans	mortgages	loans	Other loans	Total
Balance as at 1 January	11	0	3,439	538	654	129	4,771
Impairment charges for the period		1	1,096	137	160		1,394
Reversal of impairment allowances no longer required	-0	-0	-643	-99	-76	-0	-818
Recoveries of amounts previously written-off		-0	-7	-25	-42		-74
Total impairment charges on loans and other receivables	-0		446	14	43	-0	502
Amount recorded in interest income from unwinding of discounting			-45	-50	-10		-105
Currency translation differences	1		79			2	82
Amounts written-off (net)	-0		-629	-174	-150		-953
Reserve for unearned interest accrued on impaired loans			59		12		71
Other adjustments	-0	2	123	-5	12	-131	-0
Balance as at 31 December	11	2	3,470	324	561	1	4,368
Reconciliation from reported to underlying impairment charges
Total reported on-balance sheet impairment charges on loans and other receivables	-0	0	446	14	43	-0	502
Total underlying on-balance sheet impairment charges on loans and
other receivables	-0		446	14	43	-0	502

Risk, funding & capital information / Credit risk

							2014
(in millions)	Securities financing	Banks	Corporate loans	Residential mortgages	Consumer loans	Other loans	Total
Balance as at 1 January	24		3,672	585	612	106	4,999
Impairment charges for the period	1		1,289	436	340	70	2,135
Reversal of impairment allowances no longer required	-16		-562	-228	-81	-21	-908
Recoveries of amounts previously written-off			-13	-11	-36		-60
Total impairment charges on loans and other receivables	-15		714	197	223	49	1,168
Amount recorded in interest income from unwinding of discounting			-47	-66	-11		-125
Currency translation differences	2		67			2	71
Amounts written-off (net)			-984	-196	-182	-27	-1,389
Reserve for unearned interest accrued on impaired loans			37	39	-10		65
Other adjustments	-0		-19	-20	22	-0	-17
Balance as at 31 December	11		3,439	538	654	129	4,771
Reconciliation from reported to underlying impairment charges
Total reported on-balance sheet impairment charges on loans and other receivables	-15		714	197	223	49	1,168
Total underlying on-balance sheet impairment charges on loans
and other receivables	-15		714	197	223	49	1,168

(in millions)						2015	2014
On-balance sheet						502	1,168
Off-balance sheet						3	3

Total impairment charges on loans and other receivables 505 1,171

Developments over the full year

The on-balance sheet impairment charges in 2015 declined by EUR 666 million, amounting to EUR 502 million at 31 December 2015, compared with EUR 1,168 million at 31 December 2014. Lower impairment charges were noted across all of the portfolios and were partly due to IBNI releases. ABN AMRO bases its IBNI levels on recent losses in the portfolio. Decreasing loss levels resulted in an IBNI release of EUR 221 million in 2015, representing around a third of the decline in impairment charges.

Impairment charges for the Corporate loans portfolio dropped by EUR 266 million, totalling EUR 446 million in 2015, compared with EUR 714 million in 2014. This decline was mainly the result of a decrease in impairment charges in the Commercial Clients portfolio, which was the result of a combination of strict credit monitoring, a well-balanced portfolio intake and the continued upturn of the economy. The decline was partly offset by higher impairment charges for International Clients. Impairment charges for the Corporate loans portfolio included an IBNI release of EUR 138 million.

Impairment charges for the Residential Mortgages portfolio dropped by EUR 183 million in 2015, amounting to EUR 14 million at 31 December 2015. This material decrease was attributable to the improvements in the housing market and Dutch economy, which resulted in a lower impaired volume. The impairment charges for the Residential mortgage portfolio included an IBNI release of EUR 52 million.

For Consumer loans, the impairment charges dropped to EUR 43 million in 2015, coming down from EUR 223 million in 2014. This decline was also the result of the upward trend of the Dutch economy and an IBNI release of EUR 31 million.

Impaired loans by industry

	31 December 2015			30 September 2015	31 December 2014
(in millions)	Impaired exposures	Allowances for impair ments for identified credit risk	Impaired exposures	Allowances for impair ments for identified credit risk	Impaired exposures	Allowances for impair ments for identified credit risk
Industry sector
Banks	12	-12	12	-12	10	-10
Financial services1	808	-696	853	-702	813	-693
Industrial goods and services	1,136	-608	1,077	-607	1,328	-703
Real estate	656	-324	665	-343	793	-390
Oil and gas	170	-73	222	-103	119	-76
Food and beverage	492	-246	538	-248	544	-245
Retail	449	-282	497	-310	630	-355
Basic resources	293	-223	286	-214	212	-152
Healthcare	207	-167	192	-159	65	-39
Construction and materials	408	-285	385	-266	371	-254
Travel and leisure	167	-88	184	-98	202	-119
Other2	353	-207	363	-195	220	-136
Subtotal Industry Classification Benchmark	5,152	-3,210	5,273	-3,258	5,308	-3,170
Private individuals (non-Industry Classification Benchmark)	1,864	-698	1,897	-795	2,324	-918
Subtotal non-Industry Classification Benchmark	1,864	-698	1,897	-795	2,324	-918
Total3	7,016	-3,909	7,171	-4,052	7,632	-4,089

¹ Financial services include asset managers, credit card companies and providers of personal financial services and securities and brokers.

² Other includes, personal and household goods, media, technology, automobiles and parts, chemicals, telecommunication and insurance, in addition to unclassified.

³ Amounts excluding Incurred But Not Identified (IBNI).

Fourth quarter developments

Within the industry sectors, decreases were noted for Impaired exposures in Oil and Gas, Food and beverage and Retail. These were partly offset by an increase in Industrial goods and services.

Oil and Gas showed a decrease in impaired exposure, mainly as result of a write-off of a relatively large single file alongside a lower exposure in another large file.

The Impaired exposure in the Food & Beverage sector was impacted by the finalisation of restructuring of impaired files, which resulted in write-offs. Besides, Allowances for impairments in this sector were raised for existing impaired files.

The Impaired exposure for Retail is volatile and the decrease in this quarter was mainly attributable to write-offs and releases, which were partly offset by a few new files.

Impaired exposures for Industrial goods and services increased due to the restructuring of one of the larger impaired files.

The Impaired exposure declined by EUR 0.6 billion, totalling EUR 7.0 billion at 31 December 2015 compared with 7.6 billion at 31 December 2014. Allowances for Impairments declined by EUR 0.2 billion, amounting to EUR 3.9 billion at 31 December 2015 compared with EUR 4.1 billion at 31 December 2014.

In 2015, main decreases in impaired exposure at industry level were noted for Private Individuals, Industrial goods and services, Retail, Real Estate and Food and Beverage, partly offset by increases in the sectors Health care, Basic resources and Oil and Gas.

Financial results

Developments in specific portfolios

Residential mortgages

The sentiment in the Dutch housing market continued to be positive in the fourth quarter of 2015. The upswing was noticeable in all Dutch regions and all price categories. The number of transactions in the Dutch housing market was 2.2% higher than in the fourth quarter of 2014, and the total number of transactions in 2015 increased by 16% compared with 2014 (increase of 3.6% for Q4 2015 compared with Q3 2015), according to Statistics Netherlands (CBS). The increase in transactions is based on homes sold to first-time buyers as well as existing homeowners.

The CBS housing price index was 0,6% higher in the fourth quarter of 2015 than it was in the third quarter of 2015 and almost 7% higher than the lowest level in 2013. The last quarter of 2015 was characterised by higher activity levels on the mortgage market. In the last quarter of 2015, a growing number of existing mortgage loans were refinanced to benefit from low long-term mortgage interest rates.

ABN AMRO's production of new mortgages in the fourth quarter of 2015 was equal to that in the same period last year, but 30% lower than the third quarter of 2015. The lower level of production was driven by fierce competition on the longer interest rate periods. Insurers and pension funds were active on the mortgage market, as mortgages provided an attractive alternative to low-yielding government bonds and other low-risk asset classes. Regulations for these parties differ from banks in terms of required capital buffers, giving them a competitive edge on long-term interest rates.

ABN AMRO was market leader in new mortgage production in 2015, holding a market share of 20.3% despite our lower market share in the fourth quarter of 2015. The NHG proportion of the new mortgage production was 26% in the fourth quarter of 2015, compared with 39% in the third quarter of 2015. The lower NHG contribution can be explained by the lower NHG limit of EUR 245,000 since 1 July 2015.

Total redemptions for the fourth quarter of 2015 amounted to EUR 4.0 billion, compared with EUR 3.6 billion in 2014. For 2015 as a whole, total redemptions amounted to EUR 12.3 billion, compared with EUR 10.2 billion in 2014.

The higher number of total redemptions was caused by an increase in refinancing and relocation, while extra

repayments in 2015 stayed at the same levels as in previous years. Low interest rates on savings and increased awareness among homeowners of the possibility of residual debt are still incentives for extra redemptions. Contractual repayments are gradually growing, following modified tax regulations.

Key residential mortgage indicators

(in millions)	31 December 2015	30 September 2015	31 December 2014
Gross carrying amount excl. fair value adjustment from hedge accounting	146,932	148,535	148,402
Of which Nationale Hypotheek Garantie (NHG)	38,872	39,003	37,540
Gross carrying amount	150,333	152,044	152,536
Exposure at Default1	162,405	164,663	160,291
Risk-weighted assets/ risk exposure amount1	20,779	22,044	22,062
RWA (REA)/EAD	12.8%	13.4%	13.8%
Forbearance ratio	1.2%	1.2%	1.2%
Past due ratio	1.8%	2.0%	2.4%
Impaired ratio	0.7%	0.8%	1.0%
Coverage ratio	23.8%	25.9%	27.6%
Cost of risk (year to date, in bps)	1	1	13
Average Loan-to-Market-Value	80%	81%	83%
Average Loan-to-Market-Value - excluding NHG	76%	77%	79%
Total risk mitigation	188,427	214,148	210,925
Total risk mitigation/carrying amount	125.3%	140.8%	138.3%

¹ The RWA (REA) and Exposure at Default amounts are based on the exposure class Secured by immovable property. This scope is slightly broader than the residential mortgage portfolio.

As a result of redemptions exceeding new mortgage production, the gross carrying amount of the residential mortgage portfolio came to EUR 146.9 billion at 31 December 2015, a decrease of 1.1% compared with EUR 148.5 billion at 30 September 2015 (31 December 2014: EUR 148.4 billion). NHG-guaranteed loans account for 26% of the residential mortgage portfolio.

The RWA for the Residential mortgage portfolio decreased considerably, coming to EUR 20.8 billion at 31 December 2015 as a result of a decreasing number of clients in arrears and a rise in housing prices. The EAD decreased to EUR 162.4 at 31 December 2015 in line with the reduced size of the mortgage portfolio.

The forbearance ratio remained stable at 1.2%. The mortgage portfolio in arrears, expressed in the past-due ratio, further declined to 1.8 % at 31 December 2015, compared with 2.0% at 30 September 2015, a significant decline from 2.4% at 31 December 2014.

Cost of risk at 31 December 2015 improved to 1 bps, compared with 13 bps at 31 December 2014. This improvement is attributable to the substantial decline of total impairment charges, which in turn is the result of a decrease of the impaired portfolio.

The coverage ratio for the residential mortgages portfolio stood at 23.8% on 31 December 2015, down from 25.9% at 30 September 2015 and 27.6% at 31 December 2014. Both the impaired portfolio and Allowances for impairments decreased. The allowances decreased mainly due to the upswing in the housing market and continued improved economic circumstances, which led to lower loss levels on foreclosures.

The impaired ratio remained stable at 0.7%. This was the result of a further decrease of the impaired portfolio, which totalled EUR 1.0 billion at 31 December 2015, compared with EUR 1.1 billion at 30 September 2015 and EUR 1.5 billion at 30 December 2014, in combination with a reduced Residential mortgage portfolio.

The abovementioned Risk ratios have improved as a result of continually improving economic circumstances combined with extensive portfolio management for clients who are in the early stages of financial difficulties. Fewer clients go into arrears, while more clients are recovering from arrears.

The increase in house prices, combined with restrictions on the maximum Loan-to-Market Value (LtMV) for new residential mortgages resulted in a strong improvement of the average LtMV of the mortgage portfolio, which amounted to 80% at 31 December 2015, compared with 81% at 30 September 2015 and 83% at 31 December 2014. The same trend can be noted for the LtMVs excluding NHG.

The rise in Dutch house prices was particularly strong in the densely populated Randstad area, where more than 50% of the houses financed by ABN AMRO are situated.

Total risk mitigation for residential mortgages decreased by EUR 25.7 billion, coming to EUR 188.4 billion at 31 December 2015, compared with EUR 214.1 billion at 30 September 2015. This decrease is mainly the result of the implementation of the NCV valuation method.

Residential mortgages to indexed market value

		31 December 2015				30 September 2015						31 December 2014
(in millions)	Gross carrying amount	Per centage of total	- of which guaran teed	- of which unguar anteed	Gross carrying amount	Percent age of total	- of which guaran teed	- of which unguar anteed	Gross carrying amount	Percent age of total	- of which guaran teed	- of which unguar anteed
LtMV
category1
<50%	24,768	16.9%	1.8%	15.1%	24,332	16.4%	1.7%	14.6%	23,707	16.0%	1.7%	14.3%
50% - 80%	39,755	27.1%	5.0%	22.1%	38,328	25.8%	4.6%	21.2%	36,927	24.9%	4.2%	20.7%
80% - 90%	18,218	12.4%	3.6%	8.8%	17,645	11.9%	3.3%	8.6%	16,488	11.1%	2.8%	8.3%
90% - 100%	24,943	17.0%	6.9%	10.1%	23,485	15.8%	6.1%	9.7%	20,396	13.7%	4.5%	9.2%
100% - 110%	18,928	12.9%	5.0%	7.9%	20,635	13.9%	5.6%	8.3%	21,455	14.5%	5.8%	8.7%
110% - 120%	12,648	8.6%	2.9%	5.7%	14,229	9.6%	3.2%	6.4%	16,280	11.0%	3.8%	7.2%
>120%	5,721	3.9%	1.3%	2.5%	7,525	5.1%	1.7%	3.4%	10,885	7.3%	2.5%	4.8%
Unclassified	1,951	1.3%			2,356	1.6%			2,264	1.5%
Total	146,932	100%			148,535	100%			148,402	100%

¹ ABN AMRO calculates the Loan-to-Market Value using the indexation of the CBS (Statistics Netherlands).

The volume of the portfolio with LtMV rates above 100% (i.e. the mortgage loan exceeds the value of the property) decreased considerably, coming down to 25.3% at

31 December 2015 from 28.5% at 30 September 2015. Note that LtMVs of more than 100% do not necessarily indicate that these clients are in financial difficulties.

Breakdown of residential mortgage origination by loan type1

Breakdown of the residential mortgage portfolio by year of loan modification as from 20151 (in billions)

5 10 15 20 25 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Savings2 Redeeming (annuity/linear) Interest only Other 13.3 16.4 13.6 12.2 8.5 7.6 7.1 7.3 6.3 8.6 11.6

Production includes the new mortgage production and all mortgages with a modification date.

Other includes universal life, life investment, hybrid, other and unclassified mortgage types. The hybrid portfolio consists of a combination of savings and investment mortgages. .

Under Dutch tax regulations implemented on 1 January 2013, mortgage interest is only deductible for redeeming mortgage loans. In 2015, mortgage loan type origination (defined as new production and mortgages with a loan type modification) breaks down into 31.4% interest-only

mortgages (2012: 45%), 60.6% redeeming mortgages (2012: 10.0%) and 3.4% savings mortgages (2012: 42%). Production of interest-only and savings mortgages can still take place when clients refinance loans that originated before 2013.

Breakdown of residential mortgage portfolio by loan type

	31 December 2015		30 September 2015		31 December 2014
(in millions)	Gross carrying amount	Percentage of total	Gross carrying amount	Percentage of total	Gross carrying amount	Percentage of total
Interest only (partially)	47,943	33%	48,488	33%	48,936	33%
Interest only (100%)	32,076	22%	32,800	22%	34,081	23%
Redeeming mortgages (annuity/linear)	18,569	13%	17,203	12%	11,956	8%
Savings	21,735	15%	21,975	15%	23,243	16%
Life (investment)	17,787	12%	18,619	13%	20,279	14%
Other1	8,822	6%	9,449	6%	9,908	7%
Total	146,932	100%	148,535	100%	148,402	100%

¹ Other includes hybrid, other and unclassified mortgage types. The hybrid portfolio consists of a combination of savings and investment mortgages.

The shift in new production to redeeming mortgages is also reflected in the composition of the mortgage portfolio. Redeeming mortgages increased to 13% of the residential mortgage portfolio, up from 12% at 30 September 2015 and 8% at 31 December 2014. 'Redeeming mortgages' is the only category that increased in volume.

ABN AMRO Group Quarterly Report fourth quarter 2015

Energy, Commodities & Transportation Clients

ECT on- and off-balance sheet exposure

	31 December 2015 30 September 2015								31 December 2014
(in billions)		Energy Commodities	Transpor tation	Total ECT clients		Energy Commodities	Transpor tation	Total ECT clients	Total ECT clients
On-balance sheet exposure	4.7	11.1	9.3	25.0	4.5	11.6	8.5	24.6	22.2
Guarantees and letters of credit	0.7	5.5	0.2	6.3	0.6	5.6	0.2	6.4	7.7
Subtotal	5.3	16.5	9.5	31.4	5.1	17.2	8.7	31.0	29.9
Undrawn committed credit facilities	2.3	2.4	1.9	6.7	2.4	2.2	1.4	6.0	5.2
Total on- and off-balance sheet exposure	7.6	19.0	11.4	38.0	7.5	19.4	10.1	37.0	35.0

ABN AMRO provides financial solutions and support to clients across the entire value chain of the Energy, Commodities and Transportation (ECT) industry. ECT Clients finances and services corporate clients who are internationally active in Energy (upstream, offshore, midstream, FPSO, corporate lending), Commodities (energy, agricultural and metals) and Transportation (ocean-going vessels and containers).

The majority of the loan book is US-dollar denominated and typically secured by either commodities for which liquid markets exist, first-priority ship mortgages, or pledged contracted project cash flows. Conservative advance rates are applied, taking into account through-thecycle asset values.

The ECT Clients' total loan portfolio amounted to an equivalent of EUR 25.0 billion on-balance sheet exposure at 31 December 2015, compared with EUR 24.6 billion at 30 September 2015. The on-balance sheet exposure of the ECT Clients portfolio increased by 1.8% in the fourth quarter of 2015, mainly due to an increase in Energy and Transportation and supported by a stronger US dollar. The increase was partially offset by a decrease in Commodities, caused by low commodity prices.

Commodities Clients remains the largest sector of ECT Clients, accounting for EUR 11.1 billion of the ECT Clients loan portfolio (down from EUR 11.6 billion at 30 September 2015). Loans to clients in the Transportation Clients sector now account for EUR 9.3 billion (up from EUR 8.5 billion at 30 September 2015). Energy Clients' share in the on-balance sheet exposure is now EUR 4.7 billion (up from EUR 4.5 billion at 30 September 2015).

The off-balance-sheet exposure, consisting mainly of short-term letters of credit secured by commodities, guarantees and availability under committed credit lines, increased to EUR 13.0 billion at 31 December 2015, of which EUR 3.0 billion in Energy Clients, EUR 7.9 billion in Commodities Clients and EUR 2.1 billion in Transportation Clients. At 30 September 2015 the off-balance sheet exposure was EUR 12.4 billion.

In the fourth quarter of 2015, impairment charges for Energy, Commodities and Transportation amounted to EUR 31 million, compared with EUR 37 million in the same period last year. Like other parts within International Clients, impairment charges for ECT Clients are typically incurred for a few individual files can be relatively large compared with other parts of the corporate loan book.

developments needs to be monitored closely.

ECT Clients operates in cyclical sectors. This cyclicality is carefully considered in relation to lending policies, financing structures, advance rates and risk management. As some of the clients in the ECT sectors are facing challenging market circumstances, the impact of these

The bank periodically performs sensitivity analyses and stress testing exercises to gain insight into the credit performance under price scenarios, economic scenarios and risk measures.The developments in commodity prices and specifically in Oil & Gas are continuously subject to close risk management attention and stringent credit monitoring.

(in millions)

Operational risk

RWA flow statement operational risk

RWA for operational risk is calculated based on the Standardised Approach (TSA). To calculate the required capital, once a year the gross income is multiplied by a percentage (predefined by the directives).

Fourth-quarter developments

As the calculation is revised yearly, no changes are noted in the fourth quarter of 2015 compared with the third quarter of 2015.

In the fourth quarter of 2015, the total operational loss amount increased. However, excluding the settlement of one claim relating to the sale of interest rate derivative contracts, the total operational loss amount would have decreased. The loss amount for external fraud remained at the low level of 2014. Apart from this, the bank provisioned for litigation of some larger historical claims.

In early Q4 2015, ABN AMRO submitted an application for the Advanced Measurement Approach (AMA) status to the supervisor (ECB) for approval.

Developments in the full year

RWA remained stable in in 2015.

ABN AMRO is exposed to market risk in its trading book

ABN AMRO has limited exposure in the trading book

Market risk in the trading book

RWA flow statement market risk

Market risk

and banking book.

(in millions)

5,250

5,500

5,750

6,000

6,250

The Internal Model Approach (IMA) was submitted to the regulator in October 2014. The regulator is currently reviewing this model.

Internal aggregated diversified and undiverisified VaR for all trading positions

	Q4 2015		Q4 2014		Q3 2015
(in millions)	Diversified	Undiversified	Diversified	Undiversified	Diversified	Undiversified
VaR at last trading day of period	3.0	3.4	1.4	2.5	6.3	8.4
Highest VaR	8.7	11.0	1.8	2.8	8.5	14.4
Lowest VaR	1.8	2.9	0.8	1.6	3.5	4.6
Average VaR	2.9	4.1	1.2	2.3	5.6	7.3

In the fourth quarter of 2015, the diversified VaR increased by EUR 1.6 million compared with the same period in 2014. The average diversified VaR increased by EUR 1.7 million. While the risk profile remained stable and moderate, this

increase was driven by low interest rates linked to ECB quantitative easing in Q1 2015 and the VaR methodology. The VaR methodology was enhanced in Q4 2015 to handle low interest rates.

Other 31 December 2015

-12 5,710

31 December 2014 Delta 30 September 2015 Business volume

5,811 -1 5,810 -88

RWA remained relatively stable at EUR 5.7 billion at 31 December 2015 compared with 30 September 2015.

Market risk in the banking book

Market risk in the banking book is the risk that the bank's value or earnings decline because of unfavourable market movements. The market risk of the banking book consists predominantly of interest rate risk. Interest rate risk arises from holding loans with different interest rate maturities than the interest rate maturities of the savings and funding of the bank.

The assets have on average a longer behavioural maturity than the liabilities, especially savings. ABN AMRO uses a combination of portfolio (macro) hedges and specific asset or liability (micro) hedges to swap fixed interest rates to a floating interest rate position. The resulting interest rate position, after application of interest rate hedges, is in line with the bank's strategy and risk appetite.

Interest rate risk metrics

	31 December 2015	30 September 2015	31 December 2014
NII-at-risk (in %)	1.3	2.2	2.2
Duration of equity (in years)	3.6	3.4	4.0

NII-at-Risk is defined as the worst outcome of two scenarios: a gradual increase in interest rates and a gradual decline in interest rates by 200bps. A floor on interest rates is assumed in the falling rates scenario. NII-at-Risk in Q4 decreased to 1.3% (approximately EUR 80 million) and, like in the previous quarter, reflects a reduction of NII of approximately EUR 80 million in

the falling rates scenario. In a scenario in which interest rates rise, NII would increase by 2.0% (approximately EUR 120 million).

Duration of equity increased moderately to 3.6 years, driven by business developments.

Financial results

Liquidity risk

Liquidity indicators

	31 December 2015	30 September 2015	31 December 2014
Loan-to-Deposit ratio	109%	110%	117%
LCR	>100%	>100%	>100%
NSFR	>100%	>100%	>100%
Survival period (moderate stress)	>12 months	>12 months	>12 months
Available liquidity buffer (in billions)	82.8	85.4	73.9

The survival period reflects the period that the bank's liquidity position is expected to remain positive in an

internal stress scenario in which wholesale funding markets deteriorate and retail and commercial clients withdraw a proportion of their deposits. The survival period was consistently >12 months in the final quarter of 2015.

Loan-to-Deposit ratio

(in millions)	31 December 2015	30 September 2015	31 December 2014
Loans and receivables - customers	259,319	261,742	261,910
Net adjustments	-1,737	-2,918	-2,975
Adjusted loans and receivables - customers	257,582	258,824	258,935
Due to customers	230,297	228,529	216,011
Net adjustments	6,216	6,358	6,196
Adjusted due to customers	236,513	234,887	222,207
Loan-to-Deposit ratio	109%	110%	117%

The Loan-to-Deposit (LtD) ratio improved to 109% in the final quarter of 2015, compared with 110% at 30 September 2015. For full-year 2015, the LtD ratio improved to 109% at 31 December 2015, compared with 117% at 31 December

The main drivers were a large increase in client deposits across all business segments, particularly in the first half of the year. Client loans showed a small decrease in the final quarter of 2015.

Liquidity buffer composition

	31 December 2015			30 September 2015	31 December 2014
(in billions)	Liquidity buffer	of which LCR eligible	Liquidity buffer	of which LCR eligible	Liquidity buffer	of which LCR eligible
Cash & central bank deposits1	24.4	24.4	18.9	18.9	5.3	5.3
Government bonds	26.0	26.9	26.3	27.2	27.3	28.3
Covered bonds	1.4	1.3	1.5	1.3	2.0	1.8
Retained RMBS	24.0		31.2		31.8
Third party RMBS	0.7	0.6	0.7	0.6	1.0	0.8
Other	6.3	3.3	6.7	3.7	6.5	3.7
Total liquidity buffer	82.8	56.5	85.4	51.8	73.9	40.0
- of which in EUR	94.1%		94.2%		92.7%
- of which in other currencies	5.9%		5.8%		7.3%

¹ The mandatory cash reserve with the central bank has been deducted from the cash and central bank deposits in the liquidity buffer.

The liquidity buffer consists to a large extent of cash and deposits at central banks, government bonds and retained RMBS. Most of the securities in the liquidity buffer, with the exception of the retained RMBS, are eligible for the LCR. The internal assessment of the eligibility and haircut for several liquidity instruments deviates from the Basel III regulation, which explains the differences between the liquidity values. For government bonds, the internal haircut is higher. This explains why the liquidity buffer value for government bonds is lower than the LCR eligible amount.

Retained RMBS are not eligble for the LCR. However, they do have liquidity value for internal stress testing purposes. The gradual increase of the cash position throughout 2015 as a result of an improved LtD ratio allowed for decreasing the retained RMBS portfolio in the final quarter of 2015. This resulted in a further optimisation of our liquidity buffer.

The liquidity buffer decreased by EUR 2.6 billion, amounting to EUR 82.8 billion at 31 December 2015, compared with EUR 85.4 billion at 30 September 2015. The decrease in the liquidity buffer was primarily driven by the decline in retained RMBS and was partially offset by a higher cash position.

The liquidity buffer increased by EUR 8.9 billion, arriving at EUR 82.8 billion at 31 December 2015, compared with EUR 73.9 billion at 31 December 2014. The increase in the buffer over the year was primarily driven by the higher cash position. This increase was partially offset by the decrease in retained RMBS in the final quarter of 2015.

Funding

ABN AMRO's strategy for wholesale funding is derived from the bank's moderate risk profile. This strategy aims to optimise and diversify the bank's funding sources in order to maintain market access and the targeted funding position. We aim to have a balance sheet with a diverse, stable and cost-efficient funding base.

Client deposits (payable to clients) are a source of funding, complemented by a well-diversified book of wholesale funding. Client deposits amounted to EUR 230.3 billion on 31 December 2015, up by EUR 1.8 billion from EUR 228.5 billion at 30 September 2015. Total wholesale funding amounted to EUR 85.9 billion on 31 December 2015, down by EUR 2.9 billion from EUR 88.8 billion at 30 September 2015.

Funding raised

Long-term funding raised in the final quarter of 2015 amounted to EUR 2.9 billion, 52% of which was raised in non-euro currencies. During 2015, ABN AMRO raised EUR 14.3 billion in long-term wholesale funding (including EUR 2.8 billion subordinated debt) compared with EUR 9.2 billion in 2014. Furthermore, EUR 1 billion of Additional Tier 1 capital instruments were issued in September 2015. More information on capital instruments is provided in the Capital management section of this report.

Overview of funding types

A key goal of the funding strategy is to diversify funding sources. To this end, the set of funding instruments includes a broad set of funding programmes in different currencies, markets, maturities and investor bases. A description of capital and funding instruments issued by ABN AMRO is provided on our website, abnamro.com. We continuously assess our wholesale funding base in order to determine the optimal use of funding sources.

Long-term funding raised in 2014 and 2015 (notional amounts, in billions)

1 Other long-term funding includes long-term repos, TLTRO funding and funding with the Dutch State as counterparty. Financial results

The main wholesale funding types can be specified as follows:

(in millions)	31 December 2015	30 September 2015	31 December 2014
Euro Commercial Paper	1,326	2,798	1,706
London Certificates of Deposit	3,744	4,119	1,436
French Certificats de Dépôt	164	357	1,517
US Commercial Paper	4,585	4,440	4,070
Total Commercial Paper/Certificates of Deposit	9,820	11,714	8,729
Senior unsecured (medium-term notes)	37,404	35,403	32,252
Covered bonds	25,956	26,482	27,077
Securitisations	2,968	5,468	9,001
Saving certificates	59	59	72
Total issued debt	76,207	79,126	77,131
Subordinated liabilities	9,708	9,660	8,328
Total wholesale funding	85,915	88,786	85,458
Other long-term funding1	6,813	6,798	6,900
Total funding instruments2	92,728	95,584	92,358
- of which CP/CD matures within one year	9,820	11,714	8,729
- of which funding instruments (excl. CP/CD) matures within one year	12,044	13,422	11,618
- of which matures after one year	70,865	70,448	72,012

¹ Includes long-term repos (recorded in Securities financing), TLTRO funding (recorded in Due to banks) and funding with the Dutch State as counterparty (recorded in Due to customers). ² Includes FX effects, fair value adjustments and interest movements.

Maturity calendar

Maturity calendar at 31 December 2015

(notional amounts, in billions)

Other long-term funding includes long-term repos, TLTRO funding and funding with the Dutch State as counterparty.

Financial results

											31 December 2015
(notional amounts, in billions)	2016	2017	2018	2019	2020	2021	2022	2023	2024	2025	≥ 2026	Total
Senior unsecured	8.5	7.5	3.6	5.0	4.6	0.8	2.5	1.1	0.2	1.6	0.9	36.5
Covered bonds	0.6	2.1	1.9	1.8	2.3	2.4	2.6	1.8	1.7	0.3	5.5	23.1
Securitisations	0.6	1.1	0.8	0.5								3.0
Subordinated liabilities	1.2	2.1			1.6	1.2	1.5	0.1		1.4		9.2
Other long-term funding1	1.0	1.0	4.0		0.1	0.3					0.5	6.8
Total	11.8	13.9	10.3	7.3	8.7	4.7	6.7	3.1	1.9	3.3	6.8	78.5

Maturity calendar

¹ Other long-term funding includes long-term repos, TLTRO funding and funding with the Dutch State as counterparty.

The average remaining maturity of the total outstanding long-term wholesale funding was 4.6 years on 31 December 2015, which is stable compared with 30 September 2015 and an increase compared with 31 December 2014 (4.3 years). This was caused mainly by the issuance of long-term secured funding in the third quarter of 2015.

The stated maturity calendar assumes redemption on the earliest possible call date or the legal maturity date, as early redemption of subordinated instruments is subject to the approval of the regulators. However, this does not mean that the instruments will be called at the earliest possible call date.

In 2014, ABN AMRO participated in the Targeted Long-Term Refinancing Operations (TLTRO) programme, which is the European Central Bank's programme to support lending to the real economy (particular for SMEs). ABN AMRO participated in the TLTRO for a total amount of EUR 4.0 billion. The contractual maturity date is 2018. However, depending on developments in the eligible lending activities underlying the TLTRO programme, early repayment could be mandatory. Given expected developments, early repayment in the second half of 2016 is considered likely.

Capital management

ABN AMRO's solid capital position ensures that the bank is already compliant with the fully-loaded capital requirements of the Capital Requirements Directive IV (CRD IV). The overall capital base increased over the fourth quarter due to accumulated profit. The bank strives to optimise its

capital structure in anticipation of pending regulatory requirements. The capital structure consists mainly of common equity and highly loss-absorbing capital to cover unexpected losses. The subordination of specific capital instruments provides further protection to senior creditors.

Regulatory capital structure

(in millions)	31 December 2015	30 September 2015	31 December 2014
Total equity (EU IFRS)	17,584	17,094	14,877
Cash flow hedge reserve	1,056	1,152	1,223
Dividend reserve	-414	-312	-275
Capital securities	-993	-993
Other regulatory adjustments	-466	-436	-399
Common Equity Tier 1	16,768	16,505	15,426
Innovative hybrid capital instruments	700	700	800
Capital securities	993	993
Other regulatory adjustments	-234	-237	-241
Tier 1 capital	18,226	17,961	15,985
Subordinated liabilities Tier 2	4,938	4,885	5,502
Excess Tier 1 capital recognised as Tier 2 capital	300	300	200
Other regulatory adjustments	-33	30	-39
Total regulatory capital	23,431	23,177	21,648
Total risk-weighted assets (risk exposure amount)	108,001	110,602	109,647

Common Equity Tier 1 ratio	15.5%	14.9%	14.1%
Tier 1 ratio	16.9%	16.2%	14.6%
Total capital ratio	21.7%	21.0%	19.7%
Common Equity Tier 1 capital (fully-loaded)	16,695	16,380	15,435
Common Equity Tier 1 ratio (fully-loaded)	15.5%	14.8%	14.1%
Tier 1 capital (fully-loaded)	17,688	17,373	15,435
Tier 1 ratio (fully-loaded)	16.4%	15.7%	14.1%
Total capital (fully-loaded)	20,624	20,311	20,746
Total capital ratio (fully-loaded)	19.1%	18.4%	18.9%

Developments impacting capital ratios in Q4 2015 (in %)

Risk, funding & capital information / Capital management

At 31 December 2015, the phase-in CRD IV Common Equity Tier 1, Tier 1 and total capital ratios were 15.5%, 16.9% and 21.7% respectively, an increase compared with Q3 2015. All capital ratios were well above regulatory minimum requirements and in line with the bank's risk appetite and strategic ambitions. ABN AMRO's capital position strengthened over the fourth quarter, as a result of profit accumulation.

Capital ratios are supported by a decrease in group level RWA (REA) compared with 30 September 2015. Total RWA (REA) decreased by EUR 2.6 billion, amounting to EUR 108.0 billion at 31 December 2015, compared with EUR 110.6 billion at 30 September 2015. This decrease was primarily driven by lower credit risk. More information on RWA (REA) is provided in the risk sections of this report.

The fully-loaded Common Equity Tier 1, fully-loaded Tier 1 and fully-loaded total capital ratios increased to 15.5%, 16.4% and 19.1% respectively over the fourth quarter.

In 2016, ABN AMRO will be required to meet a required minimum CET1 ratio of 10.25% on a consolidated basis, which is composed of a 9.5% SREP requirement and a 0.75% phase-in of the systemic risk buffer (SRB). The SRB is expected to grow by 0.75 percentage points per annum up to 3.0% in 2019. The 9.5% CET1 requirement for 2016

includes the capital conservation buffer. ABN AMRO is comfortably above the 10.25% minimum, with phase-in CET1 at 15.5% per 31 December 2015.

The fully-loaded total capital ratio increased by 0.2 percentage points compared with 31 December 2014. Over 2015, profit accumulation, capital issuances (EUR 1.0 billion AT1 issuance, EUR 1.5 billion T2 issuance and USD 1.5 billion T2 issuance) and a slightly lower RWA level more than compensated for the fact that certain Tier 2 instruments were excluded from the total capital calculation. The exclusion applies to Tier 2 instruments that had been issued after year-end 2011 (the CRR cut-off date) and before revocation of the 403 liability statement of ABN AMRO Group (on 1 June 2015) that had been issued on behalf of ABN AMRO Bank. These Tier 2 instruments no longer meet the requirements of the Capital Requirements Regulation (CRR). Furthermore, three other instruments became subject to the grandfathering regime and their Tier 2 eligibility amortises annually.

Dividend

ABN AMRO proposes a final cash dividend of EUR 414 million or EUR 0.44 per share. Together with the interim cash dividend of EUR 350 million as paid in August 2015, this will bring the total dividend to EUR 764 million or EUR 0.81 per share and the payout ratio to 40%1 , in line with the target payout ratio for 2015.

¹ This is based on reported net profit excluding net reserved coupons for AT1 capital securities and net profit attributable to non-controlling interests.

Leverage ratio

		31 December 2015	31 December 2014
	Phase-in	Fully-loaded	Fully-loaded
Tier 1 capital	18,226	17,688	15,435
Exposure measure (under CDR)
On-balance sheet exposures	390,317	390,317	386,867
Off-balance sheet items	29,183	29,183	26,702
On-balance sheet netting	26,621	26,621	37,709
Derivative exposure	31,541	31,541	-11,783
Securities financing exposures	1,317	1,317	1,078
Other regulatory measures	-14,443	-14,322	-19,262
Exposure measure	464,536	464,657	421,311
Leverage ratio (CDR)	3.9%	3.8%	3.7%

The CRR introduced a non-risk based leverage ratio to be monitored until 2017 and to be further refined and calibrated before becoming a binding measure as from 2018. The Commission Delegated Regulation (CDR), applicable since 1 January 2015, amended the leverage ratio definition to enhance comparability of leverage ratio disclosures. The Group aims for at least a 4% leverage ratio by year-end 2018, to be achieved by issuance of AT1 instruments, management of the exposure measure and profit retention.

At 31 December 2015, the Group had a CDR fully-loaded leverage ratio of 3.8%, increasing from 3.5% at 30 September 2015. The leverage ratio benefited from an increase in Tier 1 capital through profit accumulation. In addition, the exposure measure fell significantly over the fourth quarter, predominantly due to a decrease in total assets and in clearing guarantees positions as positions are unwinded towards year-end.

The fully-loaded CDR Leverage Ratio at 31 December 2015 increased by 0.1 percentage point compared with the 2014 year-end level of 3.7%. A revised method for calculating the exposure measure for clearing services was implemented in Q2 2015. This revised method led to an exposure measure add-on per 31 December 2015 of approximately EUR 43 billion. If the fully-loaded leverage ratio had been calculated consistently using this revised calculation method (assuming clearing guarantees positions of EUR 43 billion), the leverage ratio would have amounted to 3.3% at 31 December 2014. It is anticipated that BCBS will issue a consultation to revise the methodology (SA-CCR instead of CEM), which might reduce the exposure measure for clearing guarantees again. Adoption of this method is still under discussion.

Regulatory capital developments

The CRD IV and the CRR set the framework for the implementation of Basel III in the European Union. CRD IV and CRR have been phased in since 1 January 2014 and will be fully effective by January 2019.

The Bank Recovery and Resolution Directive (BRRD) provides authorities with more comprehensive and effective measures to deal with failing banks. Implementation of BRRD in the European Union began in 2015 and the bail-in framework will be applicable as from January 2016. Implementation of the bail-in framework has led to the introduction of additional loss-absorbing measures, such as the Minimum Requirement for own funds and Eligible Liabilities (MREL).

The Group is monitoring pending regulatory requirements in relation to MREL and aims for at least 8% MREL by year-end 2018 (through subordinated debt and profit retention). The final regulatory requirements for MREL will determine the precise measures to be undertaken to comply with the MREL requirement. At 31 December 2015, the Group had a 6.8% MREL (based on Own Funds and Other subordinated liabilities).

ABN AMRO will continue to issue new capital instruments to further enhance its buffer of loss-absorbing instruments in view of scheduled amortisations, MREL and any other regulatory changes.

Although TLAC is currently not applicable to the bank, ABN AMRO continues to monitor TLAC requirements following publication of the final terms in November 2015. The final terms for TLAC are considered to be in line with the current ambition to steer MREL to 8%, while further convergence between TLAC and MREL requirements is anticipated.

Also commonly referred to as Basel IV, the Basel Committee on Banking Supervision has presented two consultative documents on a revision of the Standardised Approach and the design of a capital floor framework based on this revised Standardised Approach. This framework will replace the current transitional floor based on the Basel I standard. The aim of the revised capital floor framework is to enhance the reliability and comparability of risk-weighted capital ratios. The revision of the Standardised Approach for Residential Real Estate and SMEs in combination with the revision of the capital floors implies a potential significant risk-weighted assets inflation risk for ABN AMRO.

Regulatory developments, such as the Basel proposal (especially with respect to the risk-weighting of mortgages and corporate loans) and increasing capital requirements set by the regulators, could have a significant impact on the bank's capital position going forward. Hence, ABN AMRO will continue to focus on capital efficiency and further strengthen its capital position.

Enquiries

ABN AMRO Investor Relations

[email protected] +31 20 6282 282

Investor call

Gerrit Zalm, Chairman of the Managing Board, Kees van Dijkhuizen, CFO, and Wietze Reehoorn, CRO and Head of Group Strategy, will host a conference call for analysts and investors on Wednesday 17 February 2016 at 2:00 pm CET (1:00 pm GMT).

To participate in the conference call, we strongly advise you to pre-register for the call using the information provided on the ABN AMRO Investor Relations website.

More information can be found on our website www.abnamro.com/ir.

ABN AMRO Press Office

[email protected] +31 20 6288 900

ABN AMRO Group N.V.

Gustav Mahlerlaan 10, 1082 PP Amsterdam P.O. Box 283, 1000 EA Amsterdam The Netherlands abnamro.com

Information on our website does not form part of this Quarterly Report, unless expressly stated otherwise.

Disclaimer & cautionary statements

The Group has included in this document, and from time to time may make certain statements in its public filings, press releases or other public statements that may constitute "forward-looking statements" within the meaning of the safe-harbour provisions of the United States Private Securities Litigation Reform Act of 1995. This includes, without limitation, such statements that include the words "expect", "estimate", "project", "anticipate", "should", "intend", "plan", "aim", "desire", "strive", probability", "risk", "Value at Risk" ("VaR"), "target", "goal", "objective", "will", "endeavour", "outlook", "optimistic", "prospects" and similar expressions or variations on such expressions. In particular, this document includes forward-looking statements relating, but not limited, to ABN AMRO's potential exposures to various types of operational, credit and market risk, such as counterparty risk, interest rate risk, foreign exchange rate risk and commodity and equity price risk. Such statements are subject to risks and uncertainties. These forward-looking statements are not historical facts and represent only ABN AMRO's beliefs regarding future events, many of which by their nature are inherently uncertain and beyond the bank's control.

Other factors that could cause actual results to differ materially from those anticipated by the forward-looking statements contained in this document include, but are not limited to:

Å The extent and nature of future developments and continued volatility in the credit and financial markets and their impact on the financial industry in general and ABN AMRO in particular;
Å The effect on ABN AMRO's capital of write-downs in respect of credit exposures;
Å Risks related to ABN AMRO's merger, separation and integration process;
Å General economic, social and political conditions in the Netherlands and in other countries in which ABN AMRO has significant business activities, investments or other exposures, including the impact of recessionary economic conditions on ABN AMRO's performance, liquidity and financial position;
Å Macroeconomic and geopolitical risks;
Å Reductions in ABN AMRO's credit ratings;
Å Actions taken by the EC, governments and their agencies to support individual banks and the banking system;
Å Monetary and interest rate policies of the ECB and G20 central banks;
Å Inflation or deflation;
Å Unanticipated turbulence in interest rates, foreign currency exchange rates, commodity prices and equity prices;
Å Liquidity risks and related market risk losses;
Å Potential losses associated with an increase in the level of substandard loans or non-performance by counterparties to other types of financial instruments, including systemic risk;
Å Changes in Dutch and foreign laws, regulations, policies and taxes;
Å Changes in competition and pricing environments;
Å Inability to hedge certain risks economically;
Å Adequacy of loss reserves and impairment allowances;
Å Technological changes;
Å Changes in consumer spending, investment and saving habits;
Å Effective capital and liquidity management;
Å The success of ABN AMRO in managing the risks involved in the foregoing.

The forward-looking statements made in this document are only applicable as from the date of publication of this document. ABN AMRO does not intend to publicly update or revise these forward-looking statements to reflect events or circumstances after the date of this report, and ABN AMRO does not assume any responsibility to do so. The reader should, however, take into account any further disclosures of a forward-looking nature that ABN AMRO may make in ABN AMRO's interim reports.