Financial MarketsPiero Overmars, SEVPGlobal Head of Financial Markets BU

11 December, 2003

0 2

Agenda for today

Financial Markets

(Piero Overmars)

Credit Markets

(Niall Cameron)

Rates Markets

(Graham Bird)

0 3

When we formed Financial Markets in ‘02 we aimed to achieve four goals:

Change origination behaviour

Enhance our offer

Provide better integrated capital raising, capital management and risk advisory service to our clients

More selectively deploy capital to profitable Priority and Key clients

Optimise portfolio through capital market instruments

Leverage our distribution capabilities

Build on our penetration in Europe and Asia Narrow our focus on top 250 investors

Improve our efficiency

Centralise infrastructure to benefit from economies of scale

Hub & spoke front office model

0 4

We are differentiating our offer and using our capital more effectively . . .

Provide better integrated capital raising, capital management and risk advisory service to our clients

Financial Markets Advisory (FMA) Whole business securitisation US Asset securitisation and CMBS European CMBS US Domestic and Sterling DCM New, improved, client-facing FX

platform Commodity and Hybrid Derivatives

Enhance our offerMore selectively deploy capital to Priority and Key clients, and optimise portfolio through the cycle

Change origination behaviour

Portfolio approach to manage credit risk through the cycle

Rigorous implementation of hurdle rate for accepting loans into the portfolio

0%

5%

10%

15%

20%

25%

J F M A M J J A S OAll transactions Hurdle rate

Newly originated transactions: credit RAROC

0 5

We are more important to our best clients and have a leaner operation

Build on our penetration in Europe and Asia and narrow our focus on top 250 investors

Leverage our distribution

Compared to YTD ‘02 client revenues from: Europe and Asia increased 19% and

21% respectively Interest and FX derivatives up 16% and

85% respectively e-clients up 53%, e-transactions up

80%; now 15% of total transactions are e- trades, up 40%

Centralise infrastructure to benefit from economies of scale and ‘Hub & spoke’ front office model

Improve our efficiency

Centralised Back Offices for

– Interest Rate and FX Derivatives

– Money Markets Improved front office operating model:

– Asset Securitisation

– Structured Trade Finance

– Credit Portfolio Management

– Funding and Liquidity Management

– Rates market making

0 6

Financial Market clients are serviced by four production channels . . .

Research

Credit PortolioManagement

Portolio Strategy

Portfolio Execution

Portfolio ManagementGroup (PMG)

Primary Markets

Secondary Markets

Securitisation

Project Finance

Loan Markets

Structured Capital

Credit Markets

Market Making

StructuredProducts

Banking Books

Rates Markets

Spot FX

FX Options

Foreign Exchange

Financial Markets

Focus of discussion today

Financial Markets Advisory (FMA)

Distribution

0 7

As at end September 2003

Western Europe56%

CEMA6%

Asia12%

LatAm6%

USA16%

Australia4%

. . . resulting in a diversified and client-driven earnings base for FM

YTD September 2003

% Revenue composition

YTD September 2003

% Revenue breakdown by region

0 8

2002

Nine Months YTD

% change

Revs (EURm)

Prov (EURm)

– RWAs (EURb)

– Staff

2,207

575

69

3,142

(5)

(56)

(28)

(1)

2003

2,087

253

50

3,123

2003 has seen improved net profit contribution with stable revenues

FM’s core business has annual

revenues of over EUR 2.8 bn (flat

year-on-year)

Net Profit has increased in ‘03 due

to lower costs and provisions

Revenues per unit of RWA

increased by > 30% since ‘02

Slight reduction in headcount

masks a large upgrading exercise

and also resourcing for new

initiatives

Financial Markets (FM)

0 9

2003 results show q-o-q increase in earnings

Geopolitical events and SARS affected

client flows in Q1 and trading results

were disappointing

Client revenues recovered but

MM/Repo results slowed down in H1

Large ticket client deals and good

trading sheltered Q3 revenues from

seasonal effects and the full-extent of

US Treasury and MBS market turmoil

Positive trends of YTD 03 expected to

continue in Q4

Revenues (EUR mln)

Financial Markets

2003 quarterly revenues

653

709724

600

650

700

750

800

Q1 Q2 Q3

2003

0 10

Our loan portfolio has been shrunk and improved in credit quality

Loan portfolio remains strongly Investment Grade

Annualised provisioning as % of WCS RWAs declined from 87 bps in 2002 to 57 bps in September 2003 YTD

Portfolio size Loan Book (RWA) reduced by 47% in 2 years and made efficient

20,000

25,000

30,000

35,000

40,000

45,000

50,000

55,000

60,000

RWA

Dec-0

1

RWA

Mar

-02

RWA

Jun-

02

RWA

Sep-0

2

RWA

Dec-0

2

RWA

Mar

-03

RWA

Jun-

03

RWA

Sep-0

3

RWA (€ mln)

80% 80% 81%

20.1% 20.3% 18.7%

0%

20%

40%

60%

80%

100%

Sep. 02 Dec. 02 Sep. 03

UCR 1, 2, 3 UCR >=4

Loan portfolio RWA trend

Loan portfolio asset quality

0 11

26%

61%

13%

32%

10%

58%

0%

10%

20%

30%

40%

50%

60%

70%

Top 5 6 to 10 11 to 20

AA Rank

% o

f L

ea

gu

e T

ab

les 3Q 2002

3Q 2003

Competitively, we have bolstered our position in our chosen markets in ‘03

1. Based on discussions with MOW. Sources: Greenwich, IFR, Euromoney, Project Finance Magazine, Risk Magazine, Dealogic - Loanware, Marakon analysis

2003Nov.

2002full

year All International Bonds 11 11

All Euro-denominated bonds 4 6

All Euro-denominated ABS/MBS 1 1

Global Syndicated Loans: MLA 7 8

Western Europe LBOMandated Arranger 6 17

All Euro Government Bonds 5 6

Emerging Markets SyndicatedLoans 6 7

FX 6 9

League Table sample size:

105 (3Q 2002)

101 (3Q 2003)

Material increase in Top 5 rankings

since FM was created

Overall league tables Selected positions

0 12

Most Improved Debt House

Euromoney, Awards for Excellence, July 2003

Best Bank - Fixed Income

Treasury Management International Award 2003, November 2003

Project Finance Restructuring Deal of the Year

For PT Paiton Energy - Project Finance magazine, September 2003

Most Improved Bank at Overall Debt Capital Raising in Asia

Euroweek, Asian Capital Markets Poll, February 2003

Currency Derivatives House of the Year Award Risk Magazine, January 2003

Voted #1 for FX by corporates

Voted #3 by institutions

FX Week, End-user surveys, November 2003

# 1 in Euro interest swaps with Corporates

# 2 in Euro interest swaps with Financial Institutions

Risk Magazine, End-user surveys, June 2003

“Our annual survey is based on the opinions of the

world’s top 4,000 multinational

corporations and is supported by 24 national treasury associations. In a highly competitive market, this new award shows that

ABN AMRO is getting things right.”

Our clients and peers have recognised our gains - 2003 Awards

0 13

Outlook for 2004

Industry outlook

Market share consolidation across

many product areas to Top 5, possibly

Top 10, players

We expect main areas of growth will

continue to be in the structured finance

domain

Depth and number of top tier client

relationship crucial to success

Business outlook

We are optimistic about the business

growth in the medium term:

– US GDP growth will continue, but at

a reduced rate from Q3; European

markets slowly growing and

increasing trade

– Interest rates to rise in US and UK

but remain stable in Eurozone in

2004

– Private financing increasingly

replacing Governmental expenditure

– Corporate bond issuance expected

to shrink by 25-30%

0 14

Financial Market Plans for 2004

1) Enhancing our mature, volume-driven businesses:

Protect Profitable Platforms

- Foreign Exchange

- Money Markets/Repos

- Vanilla Interest Rate Derivatives

- Asset Securitisation

Selectively upgrade strategic relationship products

- Fixed Income (Primary & Secondary)

- Government Bond Trading

0 15

Enhancing our mature businesses

2) Building out material new growth ‘spikes’:

Expand into high growth product categories and/or high potential client segments/geographies, through selective investments Opportunities in Derivatives

– high value-added, tailored products

– distribute to our numerous and deep relationships

Structured Credit businesses

– European Infrastructure Capital

– European High Yield

Expand Participation in Retail Segment

– service ABN AMRO’s extensive middle-market financial institutions and

private client customer base

– differentiated product offering

0 16

Summary

Aims set out for 2003 have been achieved

Improved the economics of the business

Improved and improving competitive position

Optimistic outlook for business and industry in 2004

Will be investing to grow current profitable positions and to create

future franchises