Ανακοίνωση Συνολική Αξιολόγηση 214 της ΕΚΤ Η Τράπεζα Κύπρου περνά επιτυχώς την Συνολική Αξιολόγηση 214 της ΕΚΤ μετά την αύξηση του μετοχικού κεφαλαίου κατά 1 δις τον Σεπτέμβριο του 214 Η σημαντική προληπτική ενίσχυση της κεφαλαιακής θέσης της Τράπεζας διασφάλισε ότι η Τράπεζα ήταν κατάλληλα προετοιμασμένη για την Συνολική Αξιολόγηση Λευκωσία, 26 Οκτωβρίου 214 Προφίλ Συγκροτήματος Το Συγκρότημα Τράπεζας Κύπρου ιδρύθηκε το 1899 και είναι ο μεγαλύτερος χρηματοοικονομικός οργανισμός στην Κύπρο. Το Συγκρότημα προσφέρει ένα ευρύ φάσμα χρηματοοικονομικών προϊόντων και υπηρεσιών που περιλαμβάνει τραπεζικές υπηρεσίες, χρηματοδοτήσεις, φάκτοριγκ, χρηματοεπενδυτικές υπηρεσίες, διαχείριση κεφαλαίων και ασφάλειες γενικού κλάδου και ζωής. Το Συγκρότημα λειτουργεί μέσω 28 καταστημάτων, από τα οποία 144 λειτουργούν στη Ρωσία, 13 στην Κύπρο, 1 στη Ρουμανία, 4 στο Ηνωμένο Βασίλειο και 1 στα Channel Islands. Επιπλέον, η Τράπεζα λειτουργεί καταστήματα αντιπροσωπείας στη Ρωσία, την Ουκρανία και την Κίνα. Το Συγκρότημα εργοδοτεί 6.747 άτομα διεθνώς. Στις 3 Ιουνίου 214, το Σύνολο Περιουσιακών Στοιχείων του Συγκροτήματος ανερχόταν σε 28,6 δις και τα Ίδια Κεφάλαια του σε 2,8 δις. 1
Η Τράπεζα Κύπρου Δημόσια Εταιρία Λτδ («Τράπεζα») έχει περάσει επιτυχώς την Συνολική Αξιολόγηση 214 της ΕΚΤ («Συνολική Αξιολόγηση») που διενεργήθηκε από την Ευρωπαϊκή Κεντρική Τράπεζα («ΕΚΤ») σε συνεργασία με την Ευρωπαϊκή Τραπεζική Αρχή («ΕΤΑ») και την Κεντρική Τράπεζα της Κύπρου («ΚΤΚ»). Η απόφαση της Τράπεζας να αυξήσει προληπτικά το μετοχικό κεφάλαιό της κατά 1 δις τον Σεπτέμβριο του 214, διασφάλισε ότι η Τράπεζα διαθέτει ικανοποιητικά κεφάλαια για την Συνολική Αξιολόγηση. H Τράπεζα σημειώνει και αναγνωρίζει τις ανακοινώσεις στις οποίες προέβη σήμερα η EKT, η ETA και η ΚΤΚ σχετικά με την Συνολική Αξιολόγηση. Η ΕΚΤ πραγματοποίησε την Συνολική Αξιολόγηση προτού αναλάβει τα εποπτικά της καθήκοντα, στο πλαίσιο του Ενιαίου Εποπτικού Μηχανισμού, τον Νοέμβριο του 214, σε συνεργασία με τις Εθνικές Αρμόδιες Αρχές («ΕΑΑ») των κρατών μελών που συμμετέχουν στον Ενιαίο Εποπτικό Μηχανισμό, και είχε την στήριξη σε όλα τα επίπεδα ανεξάρτητων μη εμπλεκόμενων μερών. Η Συνολική Αξιολόγηση αποτελείται από 2 πυλώνες: Έλεγχος ποιότητας των στοιχείων ενεργητικού («AQR») για ενίσχυση της διαφάνειας των ισολογισμών των τραπεζών μέσω της αξιολόγησης της αξίας των στοιχείων ενεργητικού και των εξασφαλίσεων των τραπεζών, καθώς επίσης και των αντίστοιχων προβλέψεων. Άσκηση προσομοίωσης ακραίων καταστάσεων του 214 σε επίπεδο ΕΕ - που πραγματοποιήθηκε σε στενή συνεργασία με την ΕΤΑ. Αυτή εξέτασε την ανθεκτικότητα των ισολογισμών των τραπεζών σε ακραίες καταστάσεις και βασίστηκε σε κοινή μεθοδολογία της ΕΤΑ που εφαρμόστηκε σε όλες τις τράπεζες που συμμετείχαν στην άσκηση. Τα αποτελέσματα της άσκησης προσομοίωσης ακραίων καταστάσεων αντανακλούν τις υποθέσεις του βασικού σεναρίου και του σεναρίου δυσμενών εξελίξεων και δεν αποτελούν πρόβλεψη για τους μελλοντικούς οικονομικούς δείκτες ή τους δείκτες κεφαλαιακής επάρκειας της Τράπεζας. Μια άσκηση προσομοίωσης ακραίων καταστάσεων δεν παρέχει προβλέψεις αναμενόμενων αποτελεσμάτων αφού τα σενάρια δυσμενών εξελίξεων έχουν σχεδιαστεί ως υποθετικά σενάρια κάτω από εύλογες αλλά ακραίες υποθέσεις, οι οποίες δεν είναι πολύ πιθανόν να πραγματοποιηθούν. Διαφορετικά σενάρια δυνατό να δώσουν διαφορετικά αποτελέσματα αναλόγως των δεδομένων του κάθε πιστωτικού ιδρύματος και παρέχουν προληπτικά σημαντικές πληροφορίες στις εποπτικές αρχές. Η άσκηση προσομοίωσης ακραίων καταστάσεων του 214 σε επίπεδο ΕΕ για την Τράπεζα διενεργήθηκε υποθέτοντας δυναμικό 1 ισολογισμό με αφετηρία την 31 Δεκεμβρίου 213 και χρονικό ορίζοντα 3 χρόνια. Το επίπεδο αναφοράς για το δείκτη Κεφαλαίου Κοινών Μετοχών Κατηγορίας 1 (με μεταβατικές διατάξεις) για τον έλεγχο της ποιότητας των στοιχείων ενεργητικού AQR ήταν 8%. Για σκοπούς της άσκησης προσομοίωσης ακραίων καταστάσεων του 214 σε επίπεδο ΕΕ, το ελάχιστο όριο για τον δείκτη Κεφαλαίου Κοινών Μετοχών Κατηγορίας 1 που εφαρμόστηκε για όλες τις τράπεζες που συμμετείχαν στην άσκηση ήταν 8% για το βασικό σενάριο και 5,5% για το σενάριο δυσμενών εξελίξεων. Όπως φαίνεται στον πιο κάτω πίνακα, ως αποτέλεσμα του ελέγχου της ποιότητας των στοιχείων ενεργητικού και της άσκησης προσομοίωσης ακραίων καταστάσεων, ο δείκτης Κεφαλαίου Κοινών Μετοχών Κατηγορίας 1 (με τις μεταβατικές διατάξεις σε ισχύ από την 1.1.214) που έχει προσαρμοστεί βάσει του ελέγχου της ποιότητας των στοιχείων ενεργητικού AQR, εκτιμάται στο 7,28%, ο δείκτης Κεφαλαίου Κοινών Μετοχών Κατηγορίας 1 που έχει προσαρμοστεί μετά το βασικό σενάριο εκτιμάται στο 7,73% και ο δείκτης Κεφαλαίου Κοινών Μετοχών Κατηγορίας 1 που έχει προσαρμοστεί μετά το δυσμενές σενάριο εκτιμάται στο 1,51%. Με βάση τους εκτιμώμενους δείκτες κεφαλαίου, η θεωρητική υστέρηση κεφαλαίων μετά την Συνολική Αξιολόγηση ανέρχεται σε 919 εκατ. Λαμβάνοντας υπόψη την επιτυχή αύξηση του μετοχικού κεφαλαίου ύψους 1 δις που ολοκληρώθηκε στις 18 Σεπτεμβρίου 214, η θεωρητική υστέρηση κεφαλαίων υπερκαλύπτεται και υπάρχει πλεόνασμα κεφαλαίου 81 εκατ. Ως εκ τούτου η Τράπεζα δεν είναι υποχρεωμένη να προβεί σε οποιεσδήποτε ενέργειες για ενίσχυση κεφαλαίου. Λαμβάνοντας υπόψη την αύξηση του μετοχικού κεφαλαίου κατά 1 δις, ο δείκτης Κεφαλαίου Κοινών Μετοχών Κατηγορίας 1 που έχει προσαρμοστεί βάσει του ελέγχου της ποιότητας των στοιχείων ενεργητικού AQR, εκτιμάται στο 11,53% (με τις μεταβατικές διατάξεις), ο δείκτης Κεφαλαίου Κοινών Μετοχών Κατηγορίας 1 που έχει προσαρμοστεί μετά το βασικό σενάριο 1 Ισχύει για τις τράπεζες με συμφωνηθέν σχέδιο αναδιάρθρωσης πριν τις 31 Δεκεμβρίου 213. 2
εκτιμάται στο 11,62% και ο δείκτης Κεφαλαίου Κοινών Μετοχών Κατηγορίας 1 που έχει προσαρμοστεί μετά το δυσμενές σενάριο εκτιμάται στο 5,85%. Δείκτης Κεφαλαίου Κοινών Μετοχών Κατηγορίας 1 που έχει προσαρμοστεί βάσει του ελέγχου της ποιότητας των στοιχείων ενεργητικού AQR Δείκτης Κεφαλαίου Κοινών Μετοχών Κατηγορίας 1 που έχει προσαρμοστεί μετά το βασικό σενάριο Δείκτης Κεφαλαίου Κοινών Μετοχών Κατηγορίας 1 που έχει προσαρμοστεί μετά το δυσμενές σενάριο Σύμφωνα με τον επισυνημμένο πίνακα της ΕΚΤ Λαμβάνοντας υπόψη την αύξηση μετοχικού κεφαλαίου 7,28% 11,53% 7,73% 11,62% 1,51% 5,85% Σημειώνεται ότι o δείκτης Κεφαλαίου Κοινών Μετοχών Κατηγορίας 1 της Τράπεζας στις 3 Ιουνίου 214 ανερχόταν στο 11,3% ενώ λαμβάνοντας υπόψη την αύξηση του μετοχικού κεφαλαίου κατά 1 δις, ενδεικτικά ο δείκτης Κεφαλαίου Κοινών Μετοχών Κατηγορίας 1 (με τις μεταβατικές διατάξεις) ανέρχεται στο 15,6%. Στα πλαίσια της Τρίτης Φάσης της Αύξησης Μετοχικού Κεφαλαίου 2, η Τράπεζα προτίθεται να προχωρήσει με την Δημόσια Προσφορά μέχρι 1 εκατ. νέων συνήθη μετοχών για υποβολή προσφορών από υφιστάμενους μετόχους πριν την εισαγωγή των μετοχών στο Χρηματιστήριο Αξιών Κύπρου και το Χρηματιστήριο Αθηνών. Με την επιφύλαξη της λήψης των αναγκαίων εγκρίσεων, η Δημόσια Προσφορά και η εισαγωγή των μετοχών στο χρηματιστήριο αναμένεται να πραγματοποιηθεί μέχρι το τέλος του 214. Ο Πρόεδρος του Διοικητικού Συμβουλίου του Συγκροτήματος Δρ. Κρίστης Χασάπης σε δήλωση του ανέφερε: «Το θετικό αποτέλεσμα στη Συνολική Αξιολόγηση επιβεβαιώνει την ισχυρή κεφαλαιακή θέση της Τράπεζας, ακόμη και υπό τις πιο ακραίες υποθετικές συνθήκες. Επίσης αντανακλά τις έγκαιρες και προληπτικές ενέργειες της Τράπεζας για ενίσχυση της κεφαλαιακής της επάρκειας πριν τη Συνολική Αξιολόγηση. Το σημερινό αποτέλεσμα αποτελεί ακόμα ένα ορόσημο για την Τράπεζα και θα ενισχύσει περαιτέρω την εμπιστοσύνη των καταθετών, μετόχων και άλλων προς την Τράπεζα. Ως η μεγαλύτερη τράπεζα της χώρας, η Τράπεζα θα συνεισφέρει αλλά και θα επωφεληθεί σημαντικά από τη βελτίωση των θεμελιωδών οικονομικών στοιχείων και της εμπιστοσύνης στην τοπική αγορά.» Σε δήλωση του ο Διευθύνων Σύμβουλος του Συγκροτήματος, John Hourican, πρόσθεσε: «Είμαστε πολύ ικανοποιημένοι που οι προληπτικές ενέργειες τις οποίες λάβαμε κατά τη διάρκεια του 214, και συγκεκριμένα η αύξηση του μετοχικού κεφαλαίου κατά 1 δις, έχουν διασφαλίσει ένα θετικό αποτέλεσμα στην Συνολική Αξιολόγηση που διενεργήθηκε από την ΕΚΤ. Η προληπτική αύξηση του μετοχικού κεφαλαίου, θωράκισε κεφαλαιακά την Τράπεζα ούτως ώστε να αντεπεξέλθει θετικά ακόμη και στο σενάριο των δυσμενών εξελίξεων που προβλέπεται από τις αρχές. Η Τράπεζα θα συνεχίσει να διατηρεί τα κατάλληλα κεφάλαια λαμβάνοντας υπόψη το οικονομικό περιβάλλον και τις προκλήσεις που αντιμετωπίζουμε. Παραμένουμε δεσμευμένοι και συγκεντρωμένοι στην υλοποίηση του σχεδίου αναδιάρθρωσης και σταδιακά και σταθερά γινόμαστε ισχυρότερη και καλύτερη τράπεζα για τους πελάτες μας, τους μετόχους μας, το προσωπικό μας και την Κύπρο γενικότερα. Μια ισχυρότερη Τράπεζα θα είναι σε καλύτερη θέση για να στηρίξει την ανάκαμψη της Κυπριακής οικονομίας, με αποτέλεσμα την αύξηση της ευημερίας στη χώρα. Θέλουμε να ευχαριστήσουμε όλους για την εμπιστοσύνη που συνεχίζουν να μας δείχνουν και τους διαβεβαιώνουμε ότι η Τράπεζα θα συνεχίσει να διασφαλίζει ότι αυτή η εμπιστοσύνη είναι απόλυτα δικαιολογημένη.» 2 Η Αύξηση Μετοχικού Κεφαλαίου είχε εγκριθεί από τους μετόχους της Τράπεζας σε Έκτακτη Γενική Συνέλευση στις 28 Αυγούστου 214 και οι Φάσεις 1 και 2 ολοκληρώθηκαν στις 18 Σεπτεμβρίου 214. 3
Σημειώσεις Τα λεπτομερή αποτελέσματα του ελέγχου ποιότητας των στοιχείων ενεργητικού AQR και της άσκησης προσομοίωσης για το βασικό και το σενάριο δυσμενών εξελίξεων ως επίσης και πληροφορίες για την έκθεση της Τράπεζας σε πιστωτικά ανοίγματα και ανοίγματα σε κεντρικές και τοπικές κυβερνήσεις παρέχονται στους συνοδευτικούς πίνακες, βασισμένες σε κοινή δομή και διάταξη που δόθηκε από την EΤA. Η Συνολική Αξιολόγηση είναι προληπτικής φύσης. Οι λογιστικοί κανόνες ήταν ένα σημαντικό ζήτημα. Για τους σκοπούς της άσκησης, η ΕΚΤ δεν δεσμεύτηκε από τους λογιστικούς κανόνες, στις περιπτώσεις όπου η εφαρμογή προληπτικής ή οικονομικής κρίσης οδήγησε σε διαφορετικό αποτέλεσμα. Θα πρέπει επίσης να σημειωθεί, ότι επειδή η άσκηση είναι προληπτικής φύσης δεν απαιτεί λογιστικές αλλαγές. Η άσκηση προσομοίωσης πραγματοποιήθηκε και βασίστηκε σε κοινή μεθοδολογία της ΕΤΑ και βασικών κοινών υποθέσεων (π.χ. σταθερό ισολογισμό, ομοιόμορφο χειρισμό τιτλοποιημένων περιουσιακών στοιχείων) όπως δημοσιεύτηκε στο σημείωμα της μεθοδολογίας της EΤA. Επομένως, οι πληροφορίες σχετικά με το βασικό και δυσμενές σενάριο παρέχονται μόνο για σκοπούς σύγκρισης. Περισσότερες πληροφορίες σχετικά με τα σενάρια, τις υποθέσεις και τη μεθοδολογία, είναι διαθέσιμα στη ιστοσελίδα της ΕΤΑ https://www.eba.europa.eu/-/eba-publishes-common-methodology-and-scenario-for-214-eubanks-stress-test 4
ECB PUBLIC NAME OF THE ENTITY CYBOCG Bank of Cyprus Public Company Ltd 1 Main Results and Overview 214 COMPREHENSIVE ASSESSMENT OUTCOME A MAIN INFORMATION ON THE BANK BEFORE THE COMPREHENSIVE ASSESSMENT (end 213) END 213 A1 Total Assets (based on prudential scope of consolidation) Mill. EUR 29.66,77 A2 Net (+) Profit/ (-) Loss of 213 (based on prudential scope of consolidation) Mill. EUR -2.138,18 A3 Common Equity Tier 1 Capital according to CRDIV/CRR definition, transitional arrangements as of 1.1.214 Mill. EUR 2.449,56 A4 Total risk exposure * according to CRDIV/CRR definition, transitional arrangements as of 1.1.214 Mill. EUR 23.53, A5 Total exposure measure according to Article 429 CRR "Leverage exposure" Mill. EUR 3.628, CET1 ratio A6 according to CRDIV/CRR definition, transitional arrangements as of 1.1.214 % 1,41% A6=A3/A4 A7 Tier 1 Ratio (where available) according to CRD3 definition, as of 31.12.213 as reported by the bank % 1,2% A8 Core Tier 1 Ratio (where available) according to EBA definition % 1,17% A9 Leverage ratio % 8,% A1 Non-performing exposures ratio % 44,74% A11 ratio for non-performing exposure % 34,8% A12 Level 3 instruments on total assets %,35% B MAIN RESULTS OF THE COMPREHENSIVE ASSESSMENT (CA) CET1 Ratio B1 at year end 213 including retained earnings / losses of 213 % 1,41% B1 = A6 B2 Aggregated adjustments due to the outcome of the AQR Basis Points Change -313 B3 AQR adjusted CET1 Ratio B3 = B1 + B2 % 7,28% B4 Aggregate adjustments due to the outcome of Basis Points the baseline scenario of the joint EBA ECB Stress Test Change to lowest capital level over the 3-year period 45 B5 Adjusted CET1 Ratio after Baseline Scenario B5 = B3 + B4 % 7,73% B6 Aggregate adjustments due to the outcome of Basis Points the adverse scenario of the joint EBA ECB Stress Test Change to lowest capital level over the 3-year period -578 B7 Adjusted CET1 Ratio after Adverse Scenario B7 = B3 + B6 % 1,51% Capital Shortfall Basis Points 1 Mill. EUR B8 to threshold of 8% for AQR adjusted CET1 Ratio 72 168,29 B9 to threshold of 8% in Baseline Scenario 27 68,8 B1 to threshold of 5.5% in Adverse Scenario 399 919,22 B11 Aggregated Capital Shortfall of the Comprehensive Assessment B11 = max( B8, B9, B1 ) 399 919,22 * Total risk exposure figure is pre-aqr. Please note that the corresponding Year End 213 figure in the EBA Transparency template is post-aqr and therefore may not match exactly. 1 RWA used corresponds to relevant scenario in worst case year
Overview AQR Overview Baseline Overview Adverse 12% 1% 8% 3,13%,45% 6% 4% 1,41% 7,28% 7,73% 7,28% 5,78% 2% % CET 1 Ratio at year end 213 including retained earnings / losses of 213 Aggregated AQR adjusted CET1 adjustments due to Ratio the outcome of the AQR Aggregate adjustments due to the outcome of the baseline scenario of the joint EBA ECB Stress Test Adjusted CET1 Ratio AQR adjusted CET1 after Baseline Ratio Scenario Aggregate adjustments due to the outcome of the adverse scenario of the joint EBA ECB Stress Test 1,51% Adjusted CET1 Ratio after Adverse Scenario C MAJOR CAPITAL MEASURES IMPACTING TIER 1 ELIGIBLE CAPITAL FROM 1 JANUARY 214 TO 3 SEPTEMBER 214 Issuance of CET1 Instruments Impact on Common Equity Tier 1 Million EUR C1 Raising of capital instruments eligible as CET1 capital 1., C2 Repayment of CET1 capital, buybacks C3 Conversion to CET1 of hybrid instruments becoming effective between January and September 214 Net issuance of Additional Tier 1 Instruments Impact on Additional Tier 1 Million EUR C4 with a trigger at or above 5.5% and below 6% C5 with a trigger at or above 6% and below 7% C6 with a trigger at or above 7% Fines/Litigation costs Million EUR C7 Incurred fines/litigation costs from January to September 214 (net of provisions)
NAME OF THE ENTITY 2. Detailed AQR Results D. Matrix Breakdown of AQR Result (B2) CYBOCG 214 COMPREHENSIVE ASSESSMENT OUTCOME Bank of Cyprus Public Company Ltd ECB PUBLIC Note: The selection of asset classes for portfolio review was based on an approach aimed at identifying those portfolios with the highest risk of misclassification. Therefore, extrapolation of results to the non-selected portfolios would be incorrect. The columns D. C to D.F include (but are not limited to) any impacts on provisioning associated with the reclassification of performing to non-performing exposure. In the AQR exercise the resulting increase in provisions (from a supervisory perspective) are translated into a change in CET1. Items D1 to D21 are before offsetting impacts such as asset protection and taxes. Basis points are calculated using total risk exposure from Section A4 For the interpretation of the detailed results the interested reader may refer to the AQR manual outlining the methodology or to the accompanying Aggregate Report where the main features of the CA exercise are reiterated. Find the AQR manual here: http://www.ecb.europa.eu/press/pr/date/214/html/pr14311.en.html D.A D.B D.C D.D D.E D.F AQR breakdown Asset class breakdown Credit Risk RWA year end 213 Portfolio selected in Phase 1 Adjustments to provisions on sampled files Adjustments to provisions due to projection of findings Adjustment to provisions due to collective provisioning review Impact on CET1 capital before any offsetting impact % of RWA selected Units of Measurement Mill. EUR in Phase 1 D1 Total credit exposure 21.372,4 6-8% 68 159,61 5 117,26 193 454,46-311 -731,33 D2 Sovereigns and Supranational non-governmental organisations 44,74 %,,,, D3 Institutions 726,34 %,,,, D4 Retail 5.25,81 6-8%,, 12 24,3-12 -24,3 D5 thereof SME 1.192,82 2-4% 37 87,1-37 -87,1 D6 thereof Residential Real Estate (RRE) 1.666,4 6-8%,,,, D7 thereof Other Retail 2.346,95 6-8% 65 152,93-65 -152,93 D8 Corporates 13.91,77 8-1% 68 159,61 5 117,26 91 214,43-29 -491,3 D9 Other Assets 1.493,38 %,,,, Basis Points Mill. EUR Basis Points Mill. EUR Basis Points Mill. EUR Basis Points Mill. EUR D1 Additional information on portfolios with largest adjustments accounting for (at least) 3% of total banking book AQR adjustment: Asset Class Geography Real estate related CYPRUS 1.294,42 17 4,33 27 64,3 26 61,35-71 -165,99 Large corporates (non real estate) CYPRUS 1.55,97 12 27,22 14 32,21 33 78,56-59 -137,99 SME RUSSIAN FEDERATION 848,19,, 37 87,1-37 -87,1 NB: In some cases the total credit RWA reported in field D.A1 may not equal the sum of the components below, or corresponding metrics in the EBA transparency templates. These cases are driven by inclusion of specialised assets types which lie outside the categories given above
D.G D.H D.I Portfolio size Carrying Amount Portfolio selection Impact on CET1 before any offsetting impact D11 D12 CVA Fair Value review Units of Measurement Mill. EUR % selected in Phase 1 D13 Non derivative exposures review Please refer to Definitions and Explanations sheet, % D14 Bonds, - D15 Securitisations, - D16 Loans, - D17 Equity (Investment in PE and Participations), % D18 Investment Properties / Real Estate / Other, % D19 Derivatives Model Review Basis points Mill. EUR -2-4,1,,,,,,,, D2 D21 D22 Gross impact on capital Offsetting impact due to risk protection Offsetting tax impact Basis points 2-313 Mill. EUR -735,43,, D23 Net total impact of AQR results on CET1 ratio Please refer to Definitions and Explanations sheet D23 = (D2 + D21 + D22) + (Adjustment for change in RWA due to AQR) -313 E. Matrix Breakdown of Asset Quality Indicators The selection of asset classes for portfolio review was based on an approach aimed at identifying those portfolios with the highest risk of misclassification. Therefore, extrapolation of results to the nonselected portfolios would be incorrect from a statistical stand-point. The asset quality indicators are based on EBA s simplified definition of NPE. All parties involved made significant efforts to increase the degree of harmonisation of the NPE definition and its application. While the application of this definition constitutes a very important leap forward in terms of harmonisation across the euro area banking sector, the degree of harmonisation reached is not completely perfect due to factors such as different materiality thresholds across Member States. However, a solid basis of consistency has been implemented for the comprehensive assessment, implying a very significant improvement in comparability across banks from different jurisdictions. The figures presented should not be understood as accounting figures. 2 Basis point impact includes adjustment to RWA
Information reported only for portfolios subject to detailed review in AQR Asset quality indicators Based on EBA simplified definition E.A E.B E.C E.D Non-Performing Exposure Ratio unadjusted NPE Level year end 213 Changes due to the credit file review Changes due to the projection of findings AQR-adjusted NPE Level E1 Total credit exposure E2 Sovereigns and Supranational non-governmental organisations E3 Institutions E4 Retail E5 thereof SME E6 thereof Residential Real Estate (RRE) E7 thereof Other Retail E8 Corporates E9 Other Assets Units of Measurement % Basis Points Basis Points 65,15% -11-346 - - 4,27% -13-647 38,99% 38,3% -21-132 44,31% 77,53% -144-197 - % 6,68% 33,66% 27,77% 74,12% E.E E.F E.G E.H E.I E.J Ratio NB: ratios displayed in E.E - E.I cover only the exposure that was marked as non-performing pre-aqr. Therefore exposures that were newly reclassified to NPE during the AQR are NOT included in the calculation for E.E - E.I unadjusted coverage ratio of non-performing exposure, year end 213 Units of Measurement % E1 Total credit exposure 2,94% E11 Sovereigns and Supranational non-governmental organisation - E12 Institutions - E13 Retail 25,62% E14 thereof SME 15,92% E15 thereof Residential Real Estate (RRE) 15,98% E16 thereof Other Retail 43,31% E17 Corporates 19,74% E18 Other Assets - Changes due to the credit file review % 1,71%,%,%,13%,14% 2,8%,% Changes due to the projection of findings % 2,51%,%,% 5,94% 7,42% 1,86%,% Changes due to the collective provisioning review on non-performing exposures % 1,46% 7,88% 43,58%,% 11,82% AQR - adjusted ratio of provisions on NPE to NPE % 26,62% 39,57% 59,5% 23,53% 55,13% 23,67% ratio for exposures newly classified as NPE during the AQR % 17,62%
For information purposes only F. LEVERAGE RATIO IMPACT OF THE COMPREHENSIVE ASSESSMENT Explanatory Note: Note that the leverage ratio is based on the CRR Article 429 as of January 214. It is currently not binding, is displayed for information purposes only and has no impact on the capital shortfall (B11). As the constant balance sheet assumption, which is applied in the Stress Test, might be misleading for the leverage ratio, the ratio is displayed for AQR only. F1 Leverage Ratio at year end 213 % 8,% Please refer to Definitions and Explanations sheet F1 = A9 F2 Aggregated adjustments to Leverage Ratio due to the outcome of the AQR Basis Points -24 F2 = (D2+D21+D22)/A5 F3 AQR adjusted Leverage Ratio % 5,6% F3 = F1 + F2
3. Definitions and Explanations Reference Name Definition or further explanation A. MAIN INFORMATION ON THE BANK BEFORE THE COMPREHENSIVE ASSESSMENT (end 213) A1 A2 A3 A4 A5 A6 Total Assets (based on prudential scope of consolidation) Net (+) Profit/ (-) Loss of 213 (based on prudential scope of consolidation) Common Equity Tier 1 Capital Total risk exposure Total exposure measure according to Article 429 CRR CET1 ratio Sum of on balance positions. Note that for this and all following positions the scope of consolidation follows Article 18 CRR (therefore direct comparison with financial accounts based on accounting scope of consolidation will result in differences). Year-end 213. Net profits (positive number) or net losses (negative number) in the year 213. After taxes. Exclusive Other Comprehensive Income. The scope of consolidation follows Article 18 CRR (therefore direct comparison with financial accounts based on accounting scope of consolidation will result in differences). At year-end 213, according to CRDIV/CRR definition, transitional arrangements as of 1.1.214, Article 5 CRR. The only exception to national transitional arrangements is sovereign AFS losses (Article 467 CRR) where a harmonised approach is taken with a 2% deduction irrespective of national discretion concerning phase-in. This exception is necessary to be consistent with EBA's CET1 definition applied in the stress test exercise. This includes losses of 213 or retained earnings of 213 subject to Article 26.2 CRR. Article 92.3 CRR, "total RWA", as of year-end 213. according to CRDIV/CRR definition, transitional arrangements as of 1.1.214. Denominator of leverage ratio (A9), "leverage exposure", according to Article 429 CRR. A6=A3/A4, Article 92.1a CRR, figures as of year-end 213. With national transitional arrangements as per 1 January 214. The only exception to national transitional arrangements is sovereign AFS losses (Article 467 CRR) where a harmonised approach is taken with a 2% deduction irrespective of national discretion concerning phase-in. This exception is necessary to be consistent with EBA's CET1 definition applied in the stress test exercise. A7 Tier 1 Ratio Unadjusted Basel II figure as of 31.12.213 as reported by the bank A8 Core Tier one ratio Unadjusted Basel II figure as of 31.12.213 as reported by the bank A9 Leverage ratio at year end 213 A1 Non-performing exposures ratio See EBA Implementing Technical Standards for Supervisory Reporting (Legal basis: Article 99 of Regulation (EU) No 575/213 and ITS on Supervisory Reporting of institutions published in the Official Journal of the European Commission on 28/6/214) module for leverage ratio: - Annex X - Leverage ratio templates - Annex XI - Instructions on Leverage (Part II 2.12) Numerator: Exposure (book value plus CCF-weighted off-balance exposure) that is nonperforming according to the simplified NPE definition (see Section 2.4.4. of the AQR Phase 2 manual) at year end 213 (total of consolidated bank): An NPE is defined as: Every material exposure that is 9 days past-due even if it is not recognised as defaulted or impaired Every exposure that is impaired (respecting specifics of definition for ngaap vs. IFRS banks) Every exposure that is in default according to CRR Definition of exposure: Any facility that is NPE must be classed as such For retail: NPE is defined at the facility level For non-retail: NPE is defined at the debtor level if one material exposure is classified as NPE, all exposures to this debtor level shall be treated as NPE Materiality is defined as per the EBA ITS guidelines (i.e. as per Article 178 CRR) and hence in line with national discretion Off balance sheet exposures are included. Derivative and trading book exposures are not included as per the EBA ITS. Denominator: total exposure (performing and non-performing). Same definition of exposure as above. As of year-end 213 and total of consolidated bank.
A11 ratio for non-performing exposure Numerator: Specific allowances for individually assessed financial assets (As per IAS 39 AG.84-92. FINREP table 4.4, column 8. EBA/ITS/213/3 Annex V. Part 2. 35-38) + Specific allowances for collectively assessed financial assets (As per IAS 39 AG.84-92. FINREP table 4.4, column 9. EBA/ITS/213/3 Annex V. Part 2. 35-38) + Collective allowances for incurred but not reported losses (As per IAS 39 AG.84-92. FINREP table 4.4, column 1. EBA/ITS/213/3 Annex V. Part 2. 35-38) Denominator: the non-performing exposure (numerator of A1) As of year-end 213 and total of consolidated bank. A12 Level 3 instruments on total assets Level 3 assets are those according to IFRS 13, para. 86-9 (covering Available for Sale, Fair Value through P&L and Held for Trading) Not defined for banks using ngaap. Total assets = A1 B. MAIN RESULTS OF THE COMPREHENSIVE ASSESSMENT (CA) B1 CET1 Ratio B1=A6 B2 Aggregated adjustments due to the outcome of the AQR B3 AQR adjusted CET1 Ratio B4 B5 Aggregate adjustments due to the outcome of the baseline scenario of the joint EBA ECB Stress Test Adjusted CET1 Ratio after Baseline Scenario This is the sum of all AQR results impacting (from an accounting or prudential perspective) the CET1 ratio. The split into its components is provided in the sheet "Detailed AQR Results". In basis points, marginal effect. B3 = B1 + B2 based on year-end 213 figures and CRR/CRDIV phase-in as of 1 January 214 Additional adjustments due to baseline scenario to lowest capital level over the 3-year period. Note that this also includes phasing-in effects of CRR and CRD 4 as of arrangements of respective national jurisdiction. In line with EBA disclosure. B5= B4 + B3 Note that this is an estimate of the outcome of a hypothetical scenario and refers to a future point in time. It should not be confused with the bank's forecast or multi year plan. B6 Aggregate adjustments due to the outcome of the adverse scenario of the joint EBA ECB Stress Test Additional adjustments due to adverse scenario to lowest capital level over the 3-year period. Note that this also includes phasing-in effects of CRR and CRDIV as of arrangements of respective national jurisdiction. In line with EBA disclosure. B7 Adjusted CET1 Ratio after Adverse Scenario B7 = B5 + B6 Note that this is an estimate of the outcome of an adverse hypothetical scenario and refers to a future point in time. It should not be confused with the bank's forecast or multi-year plan. B8 Shortfall to threshold of 8% for AQR adjusted CET1 Ratio B8=(8-B3)*1 (if B3<8, otherwise ) B9 Shortfall to threshold of 8% in Baseline Scenario B9=(8-B5)*1 (if B5<8, otherwise ) B1 Shortfall to threshold of 5.5% in Adverse Scenario B1=(5.5-B7)*1 (if B7<5.5, otherwise ) B11 Aggregated Capital Shortfall of the Comprehensive Assessment B11= max( B8, B9, B1 ) B11 will be capital shortfall coming out of the comprehensive assessment. For details on which measures are considered eligible to mitigate the shortfall see the accompanying Aggregated Report.
C. Memorandum Items Please refer to the bank specific notes on the first sheet for details on any capital raising that is already reflected in the dynamic balance sheet of the Stress Test C1 C2 C3 C4 C5 C6 Raising of capital instruments eligible as Changes to CET1 due to new issuances of common equity. CET1 capital (+) Repayment of CET1 capital, buybacks (- Changes to CET1 due to repayment or reduction of CET1 (i.e. buybacks). ) Conversion to CET1 of existing hybrid Changes to CET1 due to conversion of existing hybrid instruments into CET1 which took place instruments (+) between 1 January 214 and 3 September 214. Net Issuance of Additional Tier 1 Instruments with a trigger at or above 5.5% and below 6% Net Issuance of Additional Tier 1 Instruments with a trigger at or above 6% and below 7% Net Issuance of Additional Tier 1 Instruments with a trigger at or above 7% Net issuance of AT1 Instruments (Article 52 CRR) with a trigger at or above 5.5% and below 6% between 1 January 214 and 3 September 214, expressed in terms of RWA. AT1 instruments which have been converted into CET1 are not to be accounted for in this cell to avoid double counting with C3. Net issuance of AT1 Instruments (Article 52 CRR) with a trigger at or above 6% and below 7% between 1 January 214 and 3 September 214, expressed in terms of RWA. AT1 instruments which have been converted into CET1 are not to be accounted for in this cell to avoid double counting with C3. Net issuance of AT1 Instruments (Article 52 CRR) with a trigger at or above 7% CET1 between 1 January 214 and 3 September 214, expressed in terms of RWA. AT1 instruments which have been converted into CET1 are not to be accounted for in this cell to avoid double counting with C3. C7 Incurred fines/litigation costs from January to September 214 (net of provisions) Incurred fines/litigation costs from 1 January to September 214 (net of provisions). Only litigation costs with a realized loss > 1 Basis Point of CET1 (as of 1.1.214) are in scope. D. Matrix Breakdown of AQR Result Asset class Corporates Asset class is an aggregated of the AQR sub-asset classes Project finance, Shipping, Aviation, Commercial real estate (CRE), Other real estate, Large corporates (non real estate) and Large SME (non real estate) D.A Credit Risk RWA year end 213 Total credit risk weighted assets including off balance sheet items. D.B D.C D.D D.E D.F D.G D.H D.I Portfolio selected Adjustments to provisions on sampled files Adjustments to provisions due to projection of findings Adjustment to provisions due to collective provisioning review Adjustments on CET1 before offsetting impact Portfolio size Carrying Amount Portfolio selection Adjustments on CET1 before offsetting impact Indication of the fraction of the overall RWA per asset class that was selected in Phase 1 of the AQR. This follows a "bucketing approach" rather than disclosing the precise figures. Buckets are defined as follows: "Not relevant" ; %; < 2% ; 2-4% ; 4-6% ; 6-8% ; 8-1% ; 1% Amount of adjustments to specific provisions on the credit file samples. This includes all files from the single credit file review (on a technical note: also the prioritized files). Amount of adjustments to specific provisions based on the projection of findings of the credit file review to the wider portfolio (negative numbers). Amount of adjustments to collective provisions as determined based on the challenger model in cases where the bank s collective provisioning model is found to be out of line with the standards expressed in the AQR Manual. Gross amount of the aggregated adjustments disclosed in D.C - D.E before the offsetting impact of risk protection and tax (negative numbers). Portfolio size - Level 3 Carrying Amount Indication of the carrying amount (gross mark-to-market as of year-end 213, before AQR adjustment) of Level 3 position that has been reviewed by NCA Bank Team divided by total level 3 carrying amount (gross mark-to-market as of year-end 213, before AQR adjustment and before PP&A) for this asset class. Amount of adjustments resulting from: - CVA Challenger model (D11). - the different components of the fair value exposures review (D13-D19), as well as the fair value review as a whole (D12).
D1 Additional information on portfolios with largest adjustments accounting for (at least) 3% of total banking book AQR adjustment: This breakdown is omitted where the overall AQR impact (B2) is less than 1 basis points CET1 and single rows are omitted where they have an impact of less than 1 basis point CET1. Note this adjustment is already reflected in the asset class break down of D1 to D9 and displayed here only on a more granular level. D11 CVA Adjustments resulting from CVA challenger model. CVA see Article 383 CRR CVA, calculated as the market loss-given-default multiplied by the sum of expected losses at each point in time. The expected loss at each point in time i is calculated as the product of the PD factor at that point in time and the Exposure factor at that point in time D12 D13 Adjustments to fair value assets in the banking and trading book Non derivative exposures review D2 Sum of D.F1, D.I 11 and D.I 12 Split of the aggregated adjustment from the fair value review, excluding the adjustment to CVA (D11) This includes changes in scope of exposure following PP&A. Note this includes accrual accounted real estate positions and portfolios accounted at cost. Gross amount of the aggregated CET1 adjustment based on the AQR before offsetting impact of asset protection, insurance and tax (negative number). D21 Offsetting impact due to risk protection Aggregated estimated impact of asset protection schemes (e.g. portfolio guarantees) and insurance effects that may apply toapplicable portfolios (positive number). D22 Offsetting tax impact The offsetting tax impact includes the assumed creation of DTAs, which accounts for limitations imposed by accounting rules. Appropriate CRRIV DTA deductions are made for any tax offsets. D23 Net total impact of AQR results on CET1 Net amount of the aggregated CET1 adjustment based on the AQR after offsetting impact of risk protection and tax (negative number). Sums the impact from D2, D21, D22, and incorporates the effect of changing RWA. E. Matrix Breakdown of Asset Quality Indicators The asset quality indicators are based on EBA s simplified definition of NPE. All parties involved made significant efforts to increase the degree of harmonisation of the NPE definition and its application. While the application of this definition constitutes a very important leap forward in terms of harmonisation across the euro area banking sector, the degree of harmonisation reached is not completely perfect due to factors such as different materiality thresholds across Member States. However, a solid basis of consistency has been implemented for the comprehensive assessment, implying a very significant improvement in comparability across banks from different jurisdictions. The figures presented should not be understood as accounting figures. E.A E.B E.C E.D E.E E.F E.G E.H E.I E.J unadjusted NPE Level year end 213 Changes due to the single credit file review Changes due to the projection of findings AQR - adjusted NPE level unadjusted coverage ratio of non-performing exposure, year end 213 Changes due to the single credit file review Changes due to the projection of findings Changes due to the collective provisioning review on non-performing exposures AQR - adjusted ratio of provisions on NPE to NPE ratio for exposures newly classified as NPE during the AQR Total NPE for all portfolios in-scope for detailed review during the AQR. Expressed as a percentage of Total Exposure for these portfolios Exposure re-classified from performing to non-performing according to the CFR classification review. Exposure re-classified from performing to non-performing according to the projection of findings. Numerator: Exposure (book value plus CCF-weighted off-balance exposure) reported by the bank as nonperforming according to the simplified NPE definition (see AQR Phase 2 Manual Section 2.4.4. and explanation for A1 above) at year end 213 + Exposure re-classified from performing to non-performing according to the CFR classification review and projection of findings. Denominator: total exposure (performing and non-performing). Same exposure definition as above. Specific provisions divided by non-performing exposure for portfolios in-scope for detailed review in the AQR. NB: The NPE used is that set of of exposures which were originally marked as NPE pre-aqr. Amount of adjustments to provisions based on single credit file review. Amount of adjustments to provisions based on the projection of findings of the credit file review to the wider portfolio. Amount of adjustments to collective provisions as determined based on the challenger model in cases where the bank s collective provisioning model is found to be out of line with the standards expressed in the AQR Manual. ratio adjusted for AQR findings. Additional provisions specified for exposure newly classified as non-performing during the AQR
F. LEVERAGE RATIO IMPACT OF THE COMPREHENSIVE ASSESSMENT F1 Leverage Ratio at year end 213 See A9 above F2 F3 Aggregated adjustments due to the outcome of the AQR AQR adjusted Leverage Ratio Adjustments to the leverage ratio based on all quantitative AQR adjustments affecting its components Leverage ratio as at December 213, incorporating all quantitative AQR adjustments to capital. Leverage ratio definition based on CRR Article 429 as of September 214
214 EU-wide Stress Test 214 EU-wide Stress Test Summary Adverse Scenario Summary Baseline Scenario CY - Bank of Cyprus Public Company Ltd CY - Bank of Cyprus Public Company Ltd Actual figures as of 31 December 213 mln EUR, % Actual figures as of 31 December 213 mln EUR, % Operating profit before impairments 799 Operating profit before impairments 799 Impairment losses on financial and non-financial assets in the banking book 2.97 Impairment losses on financial and non-financial assets in the banking book 2.97 Common Equity Tier 1 capital (1) 1.714 Common Equity Tier 1 capital (1) 1.714 Total Risk Exposure (1) 23.53 Total Risk Exposure (1) 23.53 Common Equity Tier 1 ratio, % (1) 7,3% Common Equity Tier 1 ratio, % (1) 7,3% Outcome of the adverse scenario as of 31 December 216 mln EUR, % Outcome of the baseline scenario as of 31 December 216 mln EUR, % 3 yr cumulative operating profit before impairments 1.319 3 yr cumulative operating profit before impairments 3.59 3 yr cumulative impairment losses on financial and non-financial assets in the banking book 1.552 3 yr cumulative impairment losses on financial and non-financial assets in the banking book 448 3 yr cumulative losses from the stress in the trading book 85 3 yr cumulative losses from the stress in the trading book 2 Valuation losses due to sovereign shock after tax and prudential filters 3 Common Equity Tier 1 capital (1) 2.978 Common Equity Tier 1 capital (1) 346 Total Risk Exposure (1) 23.11 Total Risk Exposure (1) 23.11 Common Equity Tier 1 ratio, % (1) 12,9% Common Equity Tier 1 ratio, % (1) 1,5% Memorandum items mln EUR Memorandum items mln EUR Common EU wide CET1 Threshold (8.%) 1.841 Common EU wide CET1 Threshold (5.5%) 1.266 (1) According to CRR/CRD4 definition transitional arrangements as per reporting date. Figures as of 31/12/213 computed as of first day of application: 1/1/214. Total amount of instruments with mandatory conversion into ordinary shares upon a fixed date in the 214-216 period (cumulative conversions) (2) Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under the CRR provisions that convert into Common Equity Tier 1 or are written down upon a trigger event (3) Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario (3) (1) According to CRR/CRD4 definition transitional arrangements as per reporting date. Figures as of 31/12/213 computed as of first day of application: 1/1/214. (2) Conversions not considered for CET1 computation (3) Excluding instruments with mandatory conversion into ordinary shares upon a fixed date in the 214-216 period
29.TR_Credit MAN 26/1/214 214 EU-wide Stress Test Credit Risk (mln EUR, %) LTV % (as of 31/12/213) Exposure values (as of 31/12/213) Risk exposure amounts (as of 31/12/213) Value adjustments and provisions (as of 31/12/213) Baseline Scenario Adverse Scenario F-IRB A-IRB STA F-IRB A-IRB STA F-IRB A-IRB STA as of 31/12/214 as of 31/12/215 as of 31/12/216 as of 31/12/214 as of 31/12/215 as of 31/12/216 Stock of Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Impairment rate Provisions Central banks and central governments 4.449 45 3,% 22 -,% 22 4,%,% 22 4,% 2,26% 94 4,1% 2,4% 155 4,1% 1,18% 191 4,1% Institutions 1.694 726 1,41% 76 4,% 1,1% 95 4,%,89% 11 4,% 1,55% 78 4,% 1,27% 1 4,% 1,6% 118 4,% Corporates 6.578 6.597 5.754 8.148 5 3.654 4,7% 4865 37,98% 4,75% 572 38,1% 4,46% 486 36,83% 7,41% 56 37,98% 9,2% 538 37,89% 9,57% 5212 36,85% Corporates - Of Which: Specialised Lending - - - - - - - - - - - - Corporates - Of Which: SME 4.687 5.433 3.984 6.752 413 2.832 - - - - - - - - - - - - Retail 5.99 2.666 2.531 2.675 17 1.324 2,9% 185 34,35% 2,26% 1969 34,81% 1,28% 1894 33,9% 4,13% 197 36,3% 3,42% 2131 36,61% 2,42% 248 34,11% Retail - Secured on real estate property,6 3.533 1.342 1.77 966 16 3 1,23% 431 21,63%,72% 462 2,46%,43% 484 2,9% 2,5% 487 24,47% 1,12% 515 22,38% 1,35% 567 22,47% CY - Bank of Cyprus Public Company Ltd Retail - Secured on real estate property - Of,5 441 296 155 222 2 78 1,2% 154 29,63%,7% 156 28,82%,42% 158 28,25% 1,74% 164 31,85% 1,2% 161 29,54% 1,7% 165 28,87% Retail - Secured on real estate property - Of,61 3.92 1.46 922 744 14 222 1,24% 277 19,11%,73% 36 18,12%,44% 326 17,9% 2,8% 323 22,17% 1,11% 355 2,42% 1,38% 43 2,82% Retail - Qualifying Revolving 267 15 131 139 18 98 8,71% 162 52,67% 6,64% 182 53,88% 4,4% 193 54,44% 9,26% 164 52,9% 8,4% 189 54,41% 5,96% 24 55,19% Retail - Other Retail 2.18 1.219 1.322 1.57 136 926 4,78% 1257 41,32% 4,3% 1325 43,91% 2,35% 1218 41,68% 6,77% 1319 42,7% 6,41% 1427 45,45% 3,85% 1277 41,58% Retail - Other Retail - Of Which: SME 45 432 268 548 43 297 3,98% 374 41,5% 3,8% 384 41,4% 1,87% 39 41,21% 4,42% 378 41,8% 4,1% 39 41,6% 2,94% 4 41,41% Retail - Other Retail - Of Which: non-sme 1.73 787 1.54 1.22 93 629 4,96% 883 41,24% 4,23% 941 45,4% 2,47% 827 41,91% 7,28% 941 43,7% 6,92% 137 47,8% 4,8% 877 41,66% 91 91 - - - - - - - - - - - - Equity Securitisation Other non-credit obligation assets 1.58 1.43 TOTAL 2.31 9.264 1.549 1.823 673 4.978 2,96% 6812 36,9% 2,47% 7158 37,7% 1,74% 6885 35,73% 4,8% 7148 37,52% 4,63% 7767 37,58% 3,42% 7569 36,16% Securitisation and re-securitisations positions deducted from capital * (*) Refers to the part of Securitization exposure that is deducted from capital and is not included in RWA Cyprus Exposure values (as of 31/12/213) Risk exposure amounts (as of 31/12/213) Value adjustments and provisions (as of 31/12/213) Baseline Scenario Adverse Scenario LTV % (as of F-IRB A-IRB STA F-IRB A-IRB STA F-IRB A-IRB STA as of 31/12/214 as of 31/12/215 as of 31/12/216 as of 31/12/214 as of 31/12/215 as of 31/12/216 31/12/213) Stock of Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Impairment rate (mln EUR, %) Provisions Central banks and central governments 3.15 1 3,% 22 -,% 22 4,%,% 22 4,% 2,26% 94 4,1% 2,4% 155 4,1% 1,18% 191 4,1% Institutions 22 71 1,97% 5 4,% 1,79% 9 4,% 1,61% 13 4,% 2,7% 5 4,% 1,95% 1 4,% 1,79% 14 4,% Corporates 4.593 5.499 4.1 6.81 357 2.99 4,48% 42 36,97% 4,3% 415 36,23% 3,57% 4249 35,96% 7,7% 4113 36,83% 8,32% 4369 35,98% 7,73% 4532 35,71% Corporates - Of Which: Specialised Lending - - - - - - - - - - - - Corporates - Of Which: SME 3.519 4.731 2.972 5.856 334 2.473 - - - - - - - - - - - - Retail 4.92 2.246 1.976 2.243 157 1.18 2,66% 14 33,47% 1,91% 1496 32,39% 1,16% 1554 32,1% 3,41% 144 34,31% 2,86% 1574 33,48% 2,23% 1681 33,31% Retail - Secured on real estate property,6 3.135 1.138 95 813 13 256 1,17% 39 19,45%,68% 338 18,18%,41% 358 17,89% 2,% 338 21,17% 1,4% 384 2,25% 1,31% 433 2,47% Retail - Secured on real estate property - Of,49 42 281 148 28 2 74 1,26% 8 18,86%,71% 83 18,18%,42% 84 17,96% 1,81% 82 19,29% 1,21% 86 18,77% 1,8% 9 18,63% Retail - Secured on real estate property - Of,61 2.715 857 82 65 11 182 1,16% 229 19,67%,67% 255 18,19%,41% 273 17,86% 2,2% 255 21,87% 1,42% 298 2,72% 1,34% 343 21,2% Retail - Qualifying Revolving 266 12 13 135 18 96 8,7% 159 52,9% 6,63% 179 54,7% 4,3% 19 54,62% 9,25% 161 53,13% 8,38% 186 54,59% 5,95% 21 55,35% Retail - Other Retail 1.519 1.6 895 1.295 126 756 4,72% 932 41,74% 3,63% 979 41,36% 2,23% 16 41,19% 5,31% 941 41,99% 4,9% 14 41,73% 3,55% 146 41,7% Retail - Other Retail - Of Which: SME 396 421 263 535 43 293 4,18% 352 4,48% 3,2% 363 4,17% 1,95% 369 4,3% 4,64% 353 4,58% 4,25% 368 4,32% 3,5% 377 4,23% Retail - Other Retail - Of Which: non-sme 1.123 585 633 76 83 463 4,91% 58 42,55% 3,78% 616 42,9% 2,33% 637 41,9% 5,55% 587 42,89% 5,12% 636 42,6% 3,72% 669 42,58% Equity 89 89 - - - - - - - - - - - - Securitisation Other non-credit obligation assets 1.129 1.19 TOTAL 14.12 7.745 7.166 9.43 516 4.18 2,7% 5428 35,98% 2,14% 5676 35,12% 1,48% 5837 34,8% 4,43% 5652 36,19% 4,22% 619 35,38% 3,13% 6418 35,16% Securitisation and re-securitisations positions deducted from capital * (*) Refers to the part of Securitization exposure that is deducted from capital and is not included in RWA Russian Federation Exposure values (as of 31/12/213) Risk exposure amounts (as of 31/12/213) Value adjustments and provisions (as of 31/12/213) Baseline Scenario Adverse Scenario LTV % (as of F-IRB A-IRB STA F-IRB A-IRB STA F-IRB A-IRB STA as of 31/12/214 as of 31/12/215 as of 31/12/216 as of 31/12/214 as of 31/12/215 as of 31/12/216 31/12/213) Stock of Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Impairment rate (mln EUR, %) Provisions Central banks and central governments 56 29 - - - - - - - - - - - - Institutions 111 2,33% 4,%,9% 4,%,49% 1 4,%,38% 4,%,11% 4,%,7% 2 4,% Corporates 76 155 698 217 74 145 6,11% 33 75,4% 6,42% 377 59,% 19,18% 33 81,54% 8,89% 358 75,95% 12,23% 442 58,21% 36,54% 75 122,13% Corporates - Of Which: Specialised Lending - - - - - - - - - - - - Corporates - Of Which: SME 633 151 629 213 72 143 - - - - - - - - - - - - Retail 414 96 262 118 2 8 6,98% 277 84,4% 6,66% 31 79,85% 2,59% 156 125,15% 14,79% 32 88,5% 14,31% 363 83,7% 4,45% 154 18,89% Retail - Secured on real estate property,62 16 27 33 22 6 2,2% 78 111,23% 1,34% 8 95,92%,92% 8 16,49% 3,21% 8 18,68% 2,42% 82 91,36% 2,1% 82 15,34% Retail - Secured on real estate property - Of,71 3 3 1 3 1,13% 71 964,97%,7% 71 926,29%,4% 71 96,57%,39% 71 963,6%,66% 71 919,55%,94% 71 89,63% Retail - Secured on real estate property - Of,61 13 24 32 18 5 2,25% 8 16,47% 1,37% 9 15,92%,96% 9 17,82% 3,28% 9 18,25% 2,46% 11 18,7% 2,15% 11 21,% Retail - Qualifying Revolving 1 1 12,4% 1 44,4% 9,18% 1 47,72% 5,57% 1 49,45% 12,76% 1 44,7% 11,55% 1 48,79% 8,2% 1 51,18% Retail - Other Retail 38 68 229 95 2 73 8,59% 198 77,58% 8,45% 22 75,88% 7,51% 75 17,85% 18,69% 239 83,64% 19,1% 281 82,19% 14,24% 71 118,14% Retail - Other Retail - Of Which: SME 1 1 4,69% 18 1483,92% 3,59% 18 1395,31% 2,18% 18 1351,14% 5,18% 18 1476,54% 4,72% 18 1369,64% 3,37% 18 131,99% Retail - Other Retail - Of Which: non-sme 38 67 228 94 2 73 8,59% 18 71,5% 8,46% 22 7,5% 7,65% 57 121,22% 18,72% 221 78,34% 19,4% 263 78,6% 14,63% 53 76,67% Equity 1 1 - - - - - - - - - - - - Securitisation Other non-credit obligation assets 212 151 TOTAL 1.5 25 1.161 334 76 225 5,97% 68 79,6% 5,96% 678 66,16% 6,94% 19 112,56% 9,95% 678 81,8% 11,72% 86 66,94% 12,24% 23 111,52% Securitisation and re-securitisations positions deducted from capital * (*) Refers to the part of Securitization exposure that is deducted from capital and is not included in RWA United Kingdom Exposure values (as of 31/12/213) Risk exposure amounts (as of 31/12/213) Value adjustments and provisions (as of 31/12/213) Baseline Scenario Adverse Scenario LTV % (as of F-IRB A-IRB STA F-IRB A-IRB STA F-IRB A-IRB STA as of 31/12/214 as of 31/12/215 as of 31/12/216 as of 31/12/214 as of 31/12/215 as of 31/12/216 31/12/213) Stock of Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Impairment rate (mln EUR, %) Provisions Central banks and central governments 549,% -,% 4,%,% 4,%,1% 4,%,1% 4,%,1% 4,% Institutions 356 66,3% 4,%,3% 4,%,3% 4,%,5% 4,%,7% 4,%,6% 1 4,% Corporates 24 268 184 331 1 14,9% 13 3,25% 1,1% 1 22,74%,96% 1 21,63%,14% 13 3,28% 1,95% 1 22,89% 1,84% 1 21,72% Corporates - Of Which: Specialised Lending - - - - - - - - - - - - Corporates - Of Which: SME 131 21 125 257 9 - - - - - - - - - - - - Retail 279 227 124 213 6 89 2,6% 119 27,11% 2,31% 125 29,59% 1,83% 132 28,9% 3,4% 152 34,4% 1,26% 138 3,35% 3,69% 151 29,62% Retail - Secured on real estate property,59 182 14 57 15 1 28 2,8% 32 16,29% 1,49% 33 18,83%,88% 34 18,8% 2,73% 58 29,19% -7,1% 36 2,4% 1,98% 39 2,76% Retail - Secured on real estate property - Of,59 17 1 6 1 1,23% 1 5,61%,44% 5,6%,26% 5,6%,55% 9 7,82%,97% 1 68,61%,96% 1 67,26% Retail - Secured on real estate property - Of,59 165 129 51 95 1 27 2,27% 32 17,1% 1,49% 33 18,98%,88% 34 18,95% 2,95% 49 26,33% -7,15% 35 19,85% 1,99% 37 2,24% Retail - Qualifying Revolving 1,87% 47,1% 8,28% 48,89% 5,3% 49,8% 11,47% 47,3% 1,38% 49,5% 7,37% 5,74% Retail - Other Retail 97 87 66 18 5 61 2,85% 86 36,76% 2,6% 91 37,8% 2,18% 97 35,92% 3,72% 94 38,15% 4,45% 11 37,7% 4,39% 112 34,87% Retail - Other Retail - Of Which: SME 7 8 5 12 2,47% 2 16,3%,49% 1 15,3%,43% 1 13,99%,68% 4 26,45%,91% 1 22,41%,95% 1 19,66% Retail - Other Retail - Of Which: non-sme 9 79 61 96 5 59 2,94% 84 38,13% 2,66% 9 38,28% 2,22% 96 36,38% 3,84% 9 38,91% 4,54% 1 37,38% 4,48% 111 35,2% Equity - - - - - - - - - - - - Securitisation Other non-credit obligation assets 25 24 TOTAL 1.413 495 398 544 7 13 1,28% 132 16,8% 1,28% 135 28,98% 1,% 142 28,28% 1,69% 165 2,4%,74% 148 29,73% 1,94% 162 29,% Securitisation and re-securitisations positions deducted from capital * (*) Refers to the part of Securitization exposure that is deducted from capital and is not included in RWA Romania Exposure values (as of 31/12/213) Risk exposure amounts (as of 31/12/213) Value adjustments and provisions (as of 31/12/213) Baseline Scenario Adverse Scenario LTV % (as of F-IRB A-IRB STA F-IRB A-IRB STA F-IRB A-IRB STA as of 31/12/214 as of 31/12/215 as of 31/12/216 as of 31/12/214 as of 31/12/215 as of 31/12/216 31/12/213) Stock of Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Impairment rate (mln EUR, %) Provisions Central banks and central governments 6 - - - - - - - - - - - - Institutions 222 212,32% 33 4,%,29% 34 4,%,22% 35 4,%,37% 33 4,%,37% 34 4,%,29% 35 4,% Corporates 559 213 541 288 149 6,17% 16 36,21% 5,5% 168 34,36% 4,37% 172 33,46% 7,95% 17 37,6% 7,29% 18 35,6% 6,9% 185 34,65% Corporates - Of Which: Specialised Lending - - - - - - - - - - - - Corporates - Of Which: SME 48 72 47 15 81 - - - - - - - - - - - - Retail 38 1 26 14 2 3,18% 3 36,48%,11% 3 35,3%,7% 3 34,3%,25% 4 43,41%,19% 4 41,31%,17% 4 39,37% Retail - Secured on real estate property,62 8 3,45% 7,61%,22% 9,12%,12% 9,82%,65% 1,44%,39% 12,94%,32% 15,31% Retail - Secured on real estate property - Of,,%,1%,%,1%,%,1%,%,18%,%,17%,%,17% Retail - Secured on real estate property - Of,62 8 3,46% 7,62%,22% 9,13%,12% 9,82%,66% 1,45%,39% 12,96%,33% 15,34% Retail - Qualifying Revolving 1,76% 29,75% 8,21% 3,87% 4,99% 31,47% 1,82% 29,84% 1,25% 31,22% 7,27% 32,5% Retail - Other Retail 3 9 23 13 2 3,8% 3 37,87%,7% 3 36,72%,5% 3 35,68%,11% 4 45,14%,12% 4 43,%,12% 4 4,91% Retail - Other Retail - Of Which: SME,3% 1 23,87%,2% 1 23,26%,1% 1 22,68%,3% 1 32,69%,2% 1 31,35%,1% 1 29,96% Retail - Other Retail - Of Which: non-sme 3 9 23 13 2 3,12% 2 51,62%,11% 2 49,64%,9% 2 47,93%,18% 2 57,32%,2% 2 54,5%,2% 2 51,1% Equity - - - - - - - - - - - - Securitisation Other non-credit obligation assets 3 3 TOTAL 828 222 781 32 2 152 3,28% 197 36,24% 2,1% 25 34,45% 1,34% 21 33,58% 4,2% 27 37,72% 2,75% 219 35,76% 1,81% 224 34,83% Securitisation and re-securitisations positions deducted from capital * (*) Refers to the part of Securitization exposure that is deducted from capital and is not included in RWA France Exposure values (as of 31/12/213) Risk exposure amounts (as of 31/12/213) Value adjustments and provisions (as of 31/12/213) Baseline Scenario Adverse Scenario LTV % (as of F-IRB A-IRB STA F-IRB A-IRB STA F-IRB A-IRB STA as of 31/12/214 as of 31/12/215 as of 31/12/216 as of 31/12/214 as of 31/12/215 as of 31/12/216 31/12/213) Stock of Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Impairment rate (mln EUR, %) Provisions Central banks and central governments 477 - - - - - - - - - - - - Institutions 46 9,3% 4,%,3% 4,%,3% 4,%,7% 4,%,9% 4,%,8% 4,% Corporates 3 3 1 11,6% 1 78,96% 11,39% 1 79,3% 1,5% 1 79,4% 17,34% 1 79,1% 19,65% 2 79,5% 17,78% 2 79,6% Corporates - Of Which: Specialised Lending - - - - - - - - - - - - Corporates - Of Which: SME - - - - - - - - - - - - Retail 1 1,6% 18,24% 1,14% 17,3%,69% 16,69% 2,35% 2,2% 1,89% 19,49% 1,53% 19,53% Retail - Secured on real estate property,67 1,81% 8,3%,49% 7,75%,3% 7,69% 1,65% 1,81% 1,15% 1,87% 1,6% 11,47% Retail - Secured on real estate property - Of, - - - - - - - - - - - - Retail - Secured on real estate property - Of,67 1,81% 8,3%,49% 7,75%,3% 7,69% 1,65% 1,81% 1,15% 1,87% 1,6% 11,47% Retail - Qualifying Revolving 12,17% 38,89% 9,28% 41,66% 5,64% 43,7% 12,82% 39,13% 11,6% 42,49% 8,22% 44,37% Retail - Other Retail 3,13% 46,% 2,4% 38,96% 1,46% 36,65% 3,59% 46,42% 3,32% 39,3% 2,41% 36,71% Retail - Other Retail - Of Which: SME 13,13% 88,68% 9,99% 88,63% 6,7% 88,63% 13,81% 88,63% 12,48% 88,65% 8,82% 88,63% Retail - Other Retail - Of Which: non-sme 3,12% 45,99% 2,4% 38,95% 1,46% 36,64% 3,59% 46,42% 3,31% 39,2% 2,41% 36,69% Equity - - - - - - - - - - - - Securitisation Other non-credit obligation assets TOTAL 526 12 1,81% 1 57,84%,62% 1 61,61%,44% 2 63,15% 1,23% 1 62,41%,99% 2 64,92%,63% 2 65,19% Securitisation and re-securitisations positions deducted from capital * (*) Refers to the part of Securitization exposure that is deducted from capital and is not included in RWA
29.TR_Credit MAN 26/1/214 Greece Exposure values (as of 31/12/213) Risk exposure amounts (as of 31/12/213) Value adjustments and provisions (as of 31/12/213) Baseline Scenario Adverse Scenario LTV % (as of F-IRB A-IRB STA F-IRB A-IRB STA F-IRB A-IRB STA as of 31/12/214 as of 31/12/215 as of 31/12/216 as of 31/12/214 as of 31/12/215 as of 31/12/216 31/12/213) Stock of Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Impairment rate (mln EUR, %) Provisions Central banks and central governments - - - - - - - - - - - - Institutions 125 218 6,4% 9 4,% 6,51% 16 4,% 6,2% 22 4,% 6,83% 9 4,% 7,33% 18 4,% 7,1% 24 4,% Corporates 27 56 27 64 59 13 7,36% 125 55,28% 4,19% 13 59,63% 3,65% 134 61,61% 12,15% 19 58,3% 13,44% 124 62,85% 12,5% 133 64,51% Corporates - Of Which: Specialised Lending - - - - - - - - - - - - Corporates - Of Which: SME 19 28 19 41 1 - - - - - - - - - - - - Retail 125 6 91 5 4 2,39% 6 3,96% 2,67% 9 29,66% 3,4% 13 29,1% 5,11% 1 32,76% 5,9% 15 32,3% 5,5% 2 32,2% Retail - Secured on real estate property,37 3 4 1 3 1,99% 1 26,97%,56% 2 26,2%,33% 2 25,83% 1,86% 2 27,36% 1,41% 2 26,79% 1,4% 2 27,25% Retail - Secured on real estate property - Of,58 1,% 26,42%,% 25,94%,% 25,69%,% 26,4%,% 25,85%,% 25,46% Retail - Secured on real estate property - Of,44 3 3 1 2 1 1,7% 1 27,7%,61% 1 26,25%,36% 1 25,86% 2,1% 1 27,55% 1,53% 1 26,97% 1,52% 1 27,57% Retail - Qualifying Revolving 11,6% 46,14% 8,83% 48,15% 5,36% 49,16% 12,21% 46,31% 11,4% 48,75% 7,82% 5,1% Retail - Other Retail 122 2 91 2 2 2,4% 5 31,91% 2,7% 8 3,1% 3,46% 11 29,16% 5,17% 8 33,7% 5,16% 13 32,84% 5,13% 18 32,52% Retail - Other Retail - Of Which: SME 1 1,77% 1,32%,59% 1,73%,36% 1,93%,89% 1,44%,8% 1,96%,57% 2,25% Retail - Other Retail - Of Which: non-sme 121 1 9 2 2 2,41% 5 34,6% 2,72% 8 31,2% 3,48% 11 29,95% 5,2% 8 35,4% 5,19% 13 33,66% 5,16% 18 33,15% Equity 1 1 - - - - - - - - - - - - Securitisation Other non-credit obligation assets 156 156 TOTAL 615 62 672 69 59 17 5,63% 14 49,4% 4,44% 156 5,75% 4,3% 169 5,65% 8,46% 128 51,28% 8,74% 157 52,91% 7,8% 177 52,92% Securitisation and re-securitisations positions deducted from capital * (*) Refers to the part of Securitization exposure that is deducted from capital and is not included in RWA Ukraine Exposure values (as of 31/12/213) Risk exposure amounts (as of 31/12/213) Value adjustments and provisions (as of 31/12/213) Baseline Scenario Adverse Scenario LTV % (as of F-IRB A-IRB STA F-IRB A-IRB STA F-IRB A-IRB STA as of 31/12/214 as of 31/12/215 as of 31/12/216 as of 31/12/214 as of 31/12/215 as of 31/12/216 31/12/213) Stock of Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Impairment rate (mln EUR, %) Provisions Central banks and central governments 1 15 - - - - - - - - - - - - Institutions 11 2 6,63% 11 4,% 6,95% 17 4,% 7,27% 2 4,% 7,48% 12 4,% 8,65% 19 4,% 9,83% 23 4,% Corporates 7 126 33 152 74,% 74 4,37% -42,55% 53 35,52%,% 53 35,8%,% 74 39,98% -49,3% 53 34,77%,3% 53 34,22% Corporates - Of Which: Specialised Lending - - - - - - - - - - - - Corporates - Of Which: SME 52 122 33 147 73 - - - - - - - - - - - - Retail 51 33 22 41 2 16,62% 17 8,7% 2,3% 7 28,% 1,38% 7 27,96%,78% 17 8,12% 3,35% 7 28,53% 2,59% 7 28,65% Retail - Secured on real estate property,63 41 5 16 4 2 2,32% 2 27,29% 1,12% 2 26,35%,67% 2 25,94%,48% 2 28,5% 1,95% 2 27,4% 1,71% 2 27,2% Retail - Secured on real estate property - Of,58 2 2,51% 2 78,99% 1,42% 2 78,4%,84% 2 77,55% 3,33% 2 79,9% 2,17% 2 78,1% 1,87% 2 77,44% Retail - Secured on real estate property - Of,63 41 4 16 4 2,3% 1 9,99% 1,11% 1 1,17%,66% 1 1,33%,45% 1 11,4% 1,94% 1 11,72% 1,7% 1 12,44% Retail - Qualifying Revolving 7,7% 5,18% 5,94% 5,26% 3,63% 5,33% 9,5% 5,47% 8,41% 5,81% 6,16% 51,11% Retail - Other Retail 1 28 6 37 14 1,81% 15 7,24% 5,2% 4 28,43% 3,5% 4 28,63% 1,98% 15 7,25% 6,55% 4 28,67% 4,69% 4 29,% Retail - Other Retail - Of Which: SME 1 13,12% 1 98,77% 9,99% 1 98,76% 6,6% 1 98,76% 13,81% 1 98,77% 12,48% 1 98,76% 8,83% 1 98,76% Retail - Other Retail - Of Which: non-sme 1 28 6 37 13 1,81% 14 6,95% 5,2% 4 25,14% 3,5% 4 25,39% 1,98% 14 6,96% 6,55% 4 25,41% 4,68% 4 25,81% Equity - - - - - - - - - - - - Securitisation Other non-credit obligation assets 55 5 TOTAL 198 159 122 193 2 9 3,87% 12 24,39%,8% 76 35,59% 5,38% 79 35,45% 4,38% 13 24,44% 1,18% 79 35,25% 7,51% 83 35,9% Securitisation and re-securitisations positions deducted from capital * (*) Refers to the part of Securitization exposure that is deducted from capital and is not included in RWA United States Exposure values (as of 31/12/213) Risk exposure amounts (as of 31/12/213) Value adjustments and provisions (as of 31/12/213) Baseline Scenario Adverse Scenario LTV % (as of F-IRB A-IRB STA F-IRB A-IRB STA F-IRB A-IRB STA as of 31/12/214 as of 31/12/215 as of 31/12/216 as of 31/12/214 as of 31/12/215 as of 31/12/216 31/12/213) Stock of Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Impairment rate (mln EUR, %) Provisions Central banks and central governments - - - - - - - - - - - - Institutions 198 4,3% 4,%,3% 4,%,2% 4,%,3% 4,%,4% 4,%,4% 4,% Corporates 1 11 11 1 6,5% 7 36,6%,38% 7 36,23%,15% 7 36,7% 1,72% 7 36,65% 2,24% 7 36,15% 2,% 7 35,94% Corporates - Of Which: Specialised Lending - - - - - - - - - - - - Corporates - Of Which: SME - - - - - - - - - - - - Retail 8 6 3 5 3 1,66% 3 29,% 1,1% 3 27,95%,61% 3 27,47% 2,23% 3 29,36% 1,66% 3 28,42% 1,43% 3 28,1% Retail - Secured on real estate property,5 5 3 2 2 1 1,86% 1 27,4% 1,4% 2 26,%,61% 2 25,53% 2,55% 2 27,62% 1,76% 2 26,83% 1,6% 2 26,68% Retail - Secured on real estate property - Of, - 27,53% - 27,53% - 27,53% - 27,53% - 27,53% - 27,53% Retail - Secured on real estate property - Of,5 5 3 2 2 1 1,86% 1 27,2% 1,4% 1 25,94%,61% 1 25,45% 2,55% 1 27,62% 1,76% 2 26,8% 1,6% 2 26,65% Retail - Qualifying Revolving 12,53% 35,13% 9,54% 37,46% 5,79% 38,65% 13,19% 35,33% 11,92% 38,15% 8,44% 39,76% Retail - Other Retail 2 3 1 3 1 1,2% 2 31,42%,79% 2 3,32%,48% 2 29,8% 1,33% 2 31,49% 1,26% 2 3,3%,92% 2 29,73% Retail - Other Retail - Of Which: SME 13,12% 27,6% 9,99% 28,44% 6,6% 29,17% 13,81% 27,17% 12,48% 28,87% 8,83% 29,87% Retail - Other Retail - Of Which: non-sme 2 3 1 3 1 1,1% 2 31,43%,78% 2 3,32%,48% 2 29,8% 1,32% 2 31,5% 1,25% 2 3,31%,91% 2 29,73% Equity - - - - - - - - - - - - Securitisation Other non-credit obligation assets TOTAL 27 17 43 16 1 9,9% 1 33,97%,6% 1 33,29%,4% 1 32,99%,13% 1 34,13%,1% 11 33,43%,9% 11 33,15% Securitisation and re-securitisations positions deducted from capital * (*) Refers to the part of Securitization exposure that is deducted from capital and is not included in RWA Please, select the country Exposure values (as of 31/12/213) Risk exposure amounts (as of 31/12/213) Value adjustments and provisions (as of 31/12/213) Baseline Scenario Adverse Scenario LTV % (as of F-IRB A-IRB STA F-IRB A-IRB STA F-IRB A-IRB STA as of 31/12/214 as of 31/12/215 as of 31/12/216 as of 31/12/214 as of 31/12/215 as of 31/12/216 31/12/213) Stock of Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Impairment rate (mln EUR, %) Provisions Central banks and central governments - - - - - - - - - - - - Institutions - - - - - - - - - - - - Corporates - - - - - - - - - - - - Corporates - Of Which: Specialised Lending - - - - - - - - - - - - Corporates - Of Which: SME - - - - - - - - - - - - Retail - - - - - - - - - - - - Retail - Secured on real estate property, - - - - - - - - - - - - Retail - Secured on real estate property - Of, - - - - - - - - - - - - Retail - Secured on real estate property - Of, - - - - - - - - - - - - Retail - Qualifying Revolving - - - - - - - - - - - - Retail - Other Retail - - - - - - - - - - - - Retail - Other Retail - Of Which: SME - - - - - - - - - - - - Retail - Other Retail - Of Which: non-sme - - - - - - - - - - - - Equity - - - - - - - - - - - - Securitisation Other non-credit obligation assets TOTAL - - - - - - - - - - - - Securitisation and re-securitisations positions deducted from capital * (*) Refers to the part of Securitization exposure that is deducted from capital and is not included in RWA Please, select the country Exposure values (as of 31/12/213) Risk exposure amounts (as of 31/12/213) Value adjustments and provisions (as of 31/12/213) Baseline Scenario Adverse Scenario LTV % (as of F-IRB A-IRB STA F-IRB A-IRB STA F-IRB A-IRB STA as of 31/12/214 as of 31/12/215 as of 31/12/216 as of 31/12/214 as of 31/12/215 as of 31/12/216 31/12/213) Stock of Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Impairment rate (mln EUR, %) Provisions Central banks and central governments - - - - - - - - - - - - Institutions - - - - - - - - - - - - Corporates - - - - - - - - - - - - Corporates - Of Which: Specialised Lending - - - - - - - - - - - - Corporates - Of Which: SME - - - - - - - - - - - - Retail - - - - - - - - - - - - Retail - Secured on real estate property, - - - - - - - - - - - - Retail - Secured on real estate property - Of, - - - - - - - - - - - - Retail - Secured on real estate property - Of, - - - - - - - - - - - - Retail - Qualifying Revolving - - - - - - - - - - - - Retail - Other Retail - - - - - - - - - - - - Retail - Other Retail - Of Which: SME - - - - - - - - - - - - Retail - Other Retail - Of Which: non-sme - - - - - - - - - - - - Equity - - - - - - - - - - - - Securitisation Other non-credit obligation assets TOTAL - - - - - - - - - - - - Securitisation and re-securitisations positions deducted from capital * (*) Refers to the part of Securitization exposure that is deducted from capital and is not included in RWA
3.TR_Evolution of P&L 26/1/214 214 EU-wide Stress Test P&L (mln EUR) 31/12/213 Baseline Scenario Adverse Scenario 31/12/214 31/12/215 31/12/216 31/12/214 31/12/215 31/12/216 Net interest income 1.11 1.211 1.253 1.55 775 735 491 Net trading income 7 7 8-34 -17-9 of which trading losses from stress scenarios -1-1 -42-25 -17 Other operating income -51,56 61 13 15 57 8 39 Operating profit before impairments 799 1.36 1.76 947 513 477 328 Impairment of financial assets (-) -221,13824-38 -388 244-79 -658 172 Impairment of financial assets other than instruments designated at fair value through P&L (-) -223,498824-39 -346 273-644 -619 198 Impairment Financial assets designated at fair value through P&L (-) 2,485-72 -43-29 -65-39 -26 Impairment on non financial assets (-) -76 25 25 25-119 -119-119 Operating profit after impairments from stress scenarios -1.298 681 713 1.217-315 -3 381 Other Income and expenses -1586,51-365 -133-363 -387-175 -647 Pre-Tax profit -2.884 316 58 854-72 -475-266 Tax 11,226-95 -174-256 Net income -2.873 221 46 598-72 -475-266 Attributable to owners of the parent -2.862 22 396 597-73 -484-266 of which carried over to capital through retained earnings -2.862 22 396 597-73 -484-266 of which distributed as dividends
26/1/214 214 EU-wide Stress Test RWA Baseline Scenario Adverse Scenario as of 31/12/213 as of 31/12/214 as of 31/12/215 as of 31/12/216 as of 31/12/214 as of 31/12/215 as of 31/12/216 (mln EUR) Risk exposure amount for credit risk 21.372 23.149 22.271 2.853 23.17 22.31 2.776 Risk exposure amount Securitisation and re-securitisations Risk exposure amount Other credit risk 21.372 23.149 22.271 2.853 23.17 22.31 2.776 Risk exposure amount for market risk 97 97 97 97 97 97 97 Risk exposure amount for operational risk 2.61 2.498 2.137 2.61 2.61 2.61 2.61 Transitional floors for Risk exposure amount 568 316 76 AQR Adjustments Total Risk exposure amount 23.53 25.743 24.55 23.11 25.743 24.55 23.11