Rates MarketsGraham Bird, MD - Global Head of Rates Markets

11 December 2003

0 2

Rates Distribution & OriginationShort-Term Product Government Bonds Govt & Agency Origination Derivatives

Rates Markets - Trading Activities

Rates Markets’ vision is to grow client-driven revenues combined with a relative value approach to trading

C om m erc ialBank ing Books

R epo Trad ing

B anking B ooks

Short T e rmProducts

G ove rnm entBonds

D eriva tives

R e la tive Va lue /D irectiona l Trad ing

M arket M aking

In te rest R a teExo tics

S tructu re P roducts

C om m od ities

O the r A ssetC lasses

Structured Products

Rates M arkets

Rates Research

0 3

Banking Book Revenues (2000 = 100)

Commercial Banking Books Main themes

– revenues in Commercial Banking Books determined primarily by shape of yield curve and short-term interest rates

– rate direction is largely counter-cyclical to economic developments

– revenues are negatively correlated with other Value Centres (e.g. defaults) and BUs (e/g. Corp.Finance.)

– revenues from Commercial Banking Books show low volatility

Rates markets strategic direction

– increasing dedicated short-term distribution capability targeted at specific investor groups

– reduce dependency on yield-curve levels and shape by increasing proportion of client-driven revenues

020406080

100120140160

2000 2001 2002 2003E

0 4

Client-driven Revenues (2000 = 100)

Market Making

Main themes

– increased client-driven revenues

– decreasing margins per trade increase importance

of market-share (Economies of Scale) and margin

retention

Rates markets strategic direction

– competitive offering and effective product delivery

leading to increased market share and associated

leverage

– optimisation of pricing and price-dissemination

technology to further increase market share on

electronic trading platforms

– centralisation of back office infrastructure to reduce

cost per ticket - completed for derivatives

– relative-value approach to trading

0

50

100

150

200

250

2000 2001 2002 2003

0 5

Client revenues from newly introduced product classes (2000 = 100)

Structured Products Main themes

– size of the market continuing to increase with a plethora of new product variations

– decreasing time-to-market leading to increasing rate of commoditisation - margins driven to levels on flow products more quickly

Rates markets strategic direction

– providing more products to selected client base and increasing the proportion of tailor-made client solutions

– expanding product range and increasing deal volume per product type

– innovation by boosting new product introductions, such as:

– weather derivatives (2001 introduction)

– inflation products (2002 introduction)

– commodity derivatives (2003 introduction)

0 6

.

3rd best derivatives bank overall and top ranked the bank in 8 separate categories

June 2003End User Survey

2nd overall in FX

Forwards

Best Bank AwardJune 2003

Interest Rate Derivatives

Global Top Tier

3rd largest market share with higher share-of-wallet

Enhanced Market Positions

ABN AMRO is the key gainer in this year's Risk magazine poll of

derivatives users, the most closely followed industry survey of its

kind

– the survey shows that ABN AMRO has a strong corporate client base in Europe, and

it is making inroads into the US market and the asset manager user base

Greenwich noted in its latest report that ABN AMRO’s penetration

is improving with and deepening European relationships

Best Bank Award from FX Week showed encouraging result -

improved one placing from previous year

– no 2 best bank in FX Forwards (total votes), no 1 best bank with corporates and

investors

0 7

* Primary dealer for Federal and State Governments in Australia, no primary dealers in Denmark and Germany1 Also trade, not as primary dealer

Ranked No. 1 for European Economic Research in most recent Extel Survey

Major Liquidity Provider: No. 2 in Bund auctions, top 3 in EU auctions overall

No.3 ranked market maker in execution of European Govt Bonds on TradeWeb

Lead managed €38bn EU Sovereign syndicated deals in 2003 year to date. (Finland, Belgium, Austria, Holland, Portugal, Denmark)

Strong presence in European and US Agency markets

Specialist global distribution team of 57 sales staff

Active participant in multi-contributor and proprietary E-commerce platforms; over 2000 client institutions and 10 000 users globally

Primary dealerships United States United Kingdom France Italy Spain Holland Belgium Austria

Ireland Sweden Finland Czech Republic Poland Portugal

Germany* Denmark*

South Africa Argentina Colombia India Thailand Australia* Greece1

Norway1

E-commerce platforms

Of 22 dealers on TradeWeb in European Govts, ABN AMRO is:

• No. 4 in Enquires

• No. 3 in trades done

• No.2 in hit ratio

• No.4 in time taken to respond to enquires.

Enhanced Market Positions

0 8

Accelerated Profitable Growth

Enhance mature, volume-driven business

– Expand the distribution capability and invest in technology for Money Markets and Repo

Trading

– Expand the technology platform for Government Bond Trading

– Expand the geographical scope of Derivatives distribution and upgrade the front-to-back

infrastructure for vanilla derivatives

Building out material new growth spikes

– Expand the trading and distribution capability for Commodity Derivatives

– Expand the trading and distribution capability for Hybrid derivatives (cross Credit and Rates)

– Grow revenues from exotic interest rate derivatives and `new’ structured products (such as

dynamic guarantees)

0 9

Summary

Client-driven revenues increasing

Revenues from newly introduced products increasing

Product positions in key markets increasing

Margins decreasing, particularly on flow products

Transaction volumes increasing

Technology critical for efficient product delivery

Innovation and product replication increasingly important