ABN AMRO (1K) | Buy | Stronger operating leverage, up ROE est.

Research evidence excerpt

ABN AMRO (1K) | Buy | Stronger operating leverage, up ROE est.

ABN AMRO Buy | Target Price: EUR41.30

Our key takeaways from Q1

 Rate curve: The forward interest rate will lead to further tailwind to replicating income. ABN

AMRO sees an additional cEUR0.1bn liability income tailwind in FY-2026 based on the current

curve from better current account margins. Management has a strong confidence in the

commercial NII guidance of EUR6.4bn and we think it will upgrade that number to EUR6.5bn

in August. There will be a better visibility on commercial NII in the summer. Also, deposit

competition might increase in the coming months.

 Liability margin: The liability margin only marginally improved in Q1, but the increase was

more pronounced in March. The improvement was more visible in the wealth portfolio with

short duration, and it will take longer for the longer duration retail portfolio to materialise. The

underlying assumption is a full marginal pass-through on savings accounts. The replicating

portfolio is invested over the full curve, with c40% in <1 year, with a large part invested in 3M

Euribor. Hence, we think that the higher 3M Euribor (up from 2.02% end 2025 to 2.25% on 13

May 2026) will lead to further tailwind from the replicating income in the coming months. Back

of the envelop, assuming that 30% of the replicating portfolio (cEUR175bn end Q1) is invested

in 3M Euribor, a 25bps increase of the 3M Euribor is equivalent to annual positive on replicating

income of cEUR130m (assuming zero marginal pass-through rate).

Chart 1: Liability margin trajectory based on curve end April 2026 and curve end January 2026

Source: Kepler Cheuvreux, ABN AMRO

 Commercial NII guidance 2028: We now expect liability margin at 1.33% in Q4-2028, which