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| Share Name | Share Symbol | Market | Type | Share ISIN | Share Description |
|---|---|---|---|---|---|
| Bank Of Cyprus Holdings Public Limited Company | LSE:BOCH | London | Ordinary Share | IE00BD5B1Y92 | ORD EUR0.10 (CDI) |
| Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
|---|---|---|---|---|---|---|---|---|---|---|
| 2.00 | 0.63% | 317.00 | 315.00 | 316.00 | 318.00 | 315.00 | 318.00 | 39,705 | 14:13:30 |
| Industry Sector | Turnover | Profit | EPS - Basic | PE Ratio | Market Cap |
|---|---|---|---|---|---|
| 0 | 0 | N/A | 0 |
From Apr 2019 to Apr 2024
TIDMBOCH
RNS Number : 4687X
Bank of Cyprus Holdings PLC
28 August 2020
Interim Financial Report 2 020 - Part 2
Bank of Cyprus Holdings
Additional Risk and Capital Ma n a gement Disclosures, including Pillar III sem i-annual disclosures 30
June 2020
BANK OF C Y PRUS HOLDINGS GROUP
Add i t ional R isk and C ap i tal M anagement Disclosures, inc lud i ng Pillar III se m i - annual d isclosures
Th is report i ncl u des add i t ional risk and capital manageme nt discl osures.
I n additio n, t h is re p ort i ncl u des i nf ormation p r epared in accordance w ith t he Capital R eq u ire m e n ts Reg u l a tion (CRR) a nd ame n ded Capi tal Req u ireme n ts Di r ect i ve IV (CRD IV ). The disclosures have been prepar ed in accordance w ith t he E uropean Bank i ng A u t h ori ty (E B A) G u ideli n es on material it y, prop r i e tary and co nf ide n tial ity and on d i sclosure freq u e ncy un der Articles 4 3 2(1), 4 32(2) a nd 433 of R eg u lat ion (E U) No
575 /2 013 (EBA/2014/1 4) and EBA Gu ideli n es on di sclosure req u ire m e n ts un der Part E ig ht of Reg u lat i on (EU) No 575/2 013.
1 . Credit r i sk
A ccordi ng to t he European Ban k i ng Au t h orit y's ( E BA) stan dards and E uropean C e n tral Bank 's (E CB) Gu idance to Banks on Non-Perf ormi ng loans (wh ich was p u blish ed in March 2017), No n-Perf ormi ng Ex posures (NPEs) are de f i n ed as t h ose ex po s ures t hat satisfy o ne of t he f ollo w i ng co n d i tio ns:
(i) The borro w er is assessed as un li k ely to pay its cr ed it o b l i gat i o ns in fu ll w it h o ut t he re a lisa tion of t he
coll a teral, regard less of t he e x iste nce of any past due amo unt or of t he n umber of days past d u e.
(ii) De fau lted or i m paired e x posures as per t he approach pro v ided in t he Capital Req u ireme nt Reg u lat i on (CRR), wh ich w o u ld also trigger a de fau lt un der speci f ic credit adjustme n t, di s tress restruct uri ng and ob l igor bankru ptcy.
(iii) Material e x posures as s et by t he C e n tral Bank of Cy prus (C B C), wh i ch are more t han 90 days past d u e.
(i v) Perf ormi ng f orborne e x posures un der probat ion f or wh ich addit i o nal f orb earance measures are
e x te n ded .
(v) Perf ormi ng f orb orne e x p o s ures un der prob a t i on t hat prese nt mo re t han 30 d a ys past d ue w it h in t he probat ion peri od.
Ex po sures i ncl u de all on and o ff balance sh eet e x p osures, e xcept t h ose h eld f or tradi n g, and are cat e g orised as su ch f or t h eir e n tire amo unt w it h o ut tak i ng i n to acco unt t he e x iste nce of col latera l.
The f ollo w i ng materi a l i ty crite r ia are a ppl i ed:
-- Wh en t he prob l emat ic e x p osures of a custo m er t hat fu l f il t he NPE crite r ia set out abo ve are great er t han
20 % of t he gross carry i ng amo unt of all on balance sh eet e x posures of t hat customer, t h en t he total customer e x posure is c lassi f ied as n o n-perf ormi n g; ot h erw ise o n ly t he pro b l ematic part of t he e x posure is classi f ied as n on-perf ormi n g.
-- Material arrears/e xcesses are de f i n ed as f ollo ws: - Retail e x p osures: Total arr ears/excesses amo unt greater t han EUR100 - Ex posures ot h er t han retail: Total arrears/excesses are greater t han EUR 500
and t he amo unt in arrears/excess in relation to t he c ustomer's t o tal e x posure is at least 1%.
NPEs may cease to be co nsidered as n on-perf ormi ng o n ly w h en all of t he f ollo w i ng co n d it i o ns are met: (i) The e x te nsion of f orbearance measures does n ot lead to t he recog n i t ion of imp a irme nt or de fau lt. (ii) One y ear has passed si nce t he f orbearance measures w ere e x te n ded.
(iii) Fol l o w i ng t he f orbearance measures and accordi ng to t he post-f orbearance con d it i o ns, t h ere is no past d ue amo unt or co ncerns re gardi ng t he fu ll repayme nt of t he e x posure.
(i v) No un li k ely-to-pay crite r ia e x ist f or t he deb t or.
(v) The debtor has made post-f orbearance payme n ts of a n o n-insig n i f icant am o unt of capital (di ff ere nt capital t hresho lds e x ist acc ordi ng to t he facility t y pe).
1 . Credit r i sk (co n ti nu ed)
The tabl es be l ow present the anal ysis of loans and a d vances to customers in accordance w ith t he E BA stan dards.
Hot Features
Premium
Gross loans a nd advances to c u s t o Acc u m ula t ed i m pair m en t, acc u
m ers mula t ed n egative ch a n ges in fair value
d ue to credit risk and provisio ns
O f w hich exposures Acc u m ula O f w hich exposures
with forbeara nce me t ed impair with forbeara nce me
a sures m en t, acc a sures
u mula t ed
n eg ative
ch a n ges
in fair
value
d ue to
credit risk
and provisio
ns
Gro up
gross T otal T otal
cu s t o exposures O f w exposures O f w
m er with hich with hich
loans forbeara NPEs forbeara NPEs
a nd O f w nce m eas O f w nce m eas
3 0 J une 2 0 advance hich ures hich ures
20 s 1 NPEs NPEs
EUR0 0 0 EUR0 0 0 EUR0 0 0 EUR0 0 0 EUR0 0 0 EUR0 0 0 EUR0 0 0 EUR0 0 0
Loans a nd
advances to
c u s t o
mers
Ge n eral
governm en 57 , 66
ts 6 - - - 3 ,2 64 - - -
O t h e r f i
nancial
corporations 12 5 ,499 14,715 15,561 2,024 16 , 10 4 10,286 1,792 561
Non - fina
ncial corpor 5 ,7 83
a tions , 714 939,658 736,143 478,043 56 0 ,530 478,647 224,472 211,492
O f w h i c
h: S m all
and Me d i
um s i z ed
En terpri s 4 ,2 77
es 2 , 687 665,190 670,033 439,960 45 7 ,315 387,628 208,882 197,313
O f w h i c
h: C o m
m erc i al
re al e s 4 ,2 51
tat e 2 , 558 560,506 631,856 398,940 32 2 ,742 257,944 174,542 163,957
Non - fina
ncial corpor
a tions by s
ector
C o n s tru c
t i on 69 5 ,368 133,195 82 , 94 1
W h o l e s a
l e and
retail tr 1 ,1 89
ade , 355 295,597 15 7 ,439
A cc o m mo
dation and
fo od s erv
i ce activ 1 ,0 91
i t i es , 016 32,662 43 , 50 6
R e al e
state a c t 1 ,2 07
i v i t i es , 715 216,577 11 0 ,868
Manu factu r
i ng 40 9 ,078 78,885 53 , 04 9
O ther s e 1 ,1 91
ctors , 182 182,742 11 2 ,727
H ous e hol 5 ,5 86
ds , 066 1,584,634 1,151,665 828,712 86 8 ,807 804,646 374,790 365,780
O f w h i c
h: R e s
iden t i al
mortgage 4 ,3 29
loan s 2 , 204 1,244,717 930,655 671,049 63 2 ,012 578,427 281,006 273,855
O f w h i c
h: Cre d
it for co n
s umpt i
o n 2 68 3 ,292 206,843 132,187 108,223 12 2 ,181 119,246 53,423 52,364
11 , 55 2 ,5 39 1 ,9 03 , 1 ,3 08 1 ,4 48 , 1 ,2 93
2 ,945 , 007 369 , 779 705 , 579 60 1 ,054 57 7 ,833
Loans a nd
advances to
c u s t o
mers cla ss
i fied as h
eld for sale 94 2 ,140 928,871 540,920 531,391 58 0 ,488 574,156 314,737 309,894
T otal
on-bala nce
sh 12 , 49 3 ,4 67 2 ,4 44 , 1 ,8 40 1 ,8 67,
eet 5 ,085 , 878 289 , 170 2 ,0 29 ,193 735 91 5 ,791 88 7 ,727
(1 ) Excl u di ng loans and ad vances to ce n tral banks and cr edit i nst it ut io ns.
(2) T h e anal ysis sh o wn in li n es 'n o n-f i nancial corporatio ns' and 'h o use h olds' is no n-addi t i ve across catego r i es as certain customers co u ld be in both catego r ies.
1 . Credit r i sk (co n ti nu ed)
Gross loans and advances to cus t o mers Accumulated i m pai r men t, accu m u lated
negat ive changes in f a ir value due to
cred it r i sk and provi s i ons
O f w h i ch expo Accumulated O f w h i ch expo
sures i mpa i r sures
w i th f orbearance men t, accu w i th f orbearance
measures mul a t ed measures
ne gat i ve
changes in
f a ir
value due
to cred it
r i sk and
provi s i
ons
Group
gross Tot al
cus t o Tot al O f w h exposures O f w h
mer l oans exposures i ch w i th f i ch
and O f w w i th f N PEs O f w h orbearance N PEs
31 D ece m advances h i ch orbearance i ch m easures
ber 2019 3 N PEs measures N PEs
EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000
Loans and
advances
to cus
t o mers
General
gover n m
ents 56,921 1 - - 3,389 - - -
O t her f
inanci al
corpo
rat i ons 124,343 27,459 18,489 2,366 17,542 14,843 1,466 462
No n -f i
n anc i
al corpor
a t ions 6,271,155 1,382,074 1,216,902 737,602 753,848 686,025 348,577 337,290
O f w h i
ch: Sm a
ll and
M e d ium
s i z ed
En t erp
r i s e s
4 4,662,994 1,073,846 786,069 556,483 636,820 576,635 271,110 261,229
O f w h i
ch: Com m
e rc
i al r
eal estat
e 4 4,270,225 858,998 767,008 480,382 457,622 402,751 219,952 211,902
No n -f i
n anc i al
corpor
a t ions
by s ector
Construct
i on 823,276 265,879 144,336
W ho l esa
le and r
e ta
il trade 1,294,815 371,613 185,720
Acc o m
mod ati
on and
food serv
i ce act
i v
i t i es 1,055,448 50,116 44,823
Re al
estate
act i v i
t i es 1,266,772 296,406 153,802
Profess i
ona l, sc
i e
nti f ic
and t e
chnical
ac t i v
i t i es 425,134 90,832 53,916
O t her s
e ctors 1,405,710 307,228 171,251
Househ o
lds 6,192,505 2,285,998 1,577,249 1,245,937 1,148,304 1,080,696 526,423 513,772
O f w h i
ch: R e s
i d
e nt i al
m ortgage
l o
ans 4 4,808,202 1,811,698 1,291,083 1,021,084 842,389 783,146 401,561 392,046
O f w h i
ch: Cr e
d it
for
consump t
i o n 4 770,552 280,584 177,047 151,313 158,044 156,642 71,357 70,065
12,644,924 3,695,532 2,812,640 1,985,905 1,923,083 1,781,564 876,466 851,524
Loans and
advances
to cus
t o mers
clas s i
f i ed
as he ld
f or s a
le 184,964 183,974 45,191 45,028 159,035 158,998 37,438 37,429
Tot al o
n-balance
sheet 12,829,888 3,879,506 2,857,831 2,030,933 2,082,118 1,940,562 913,904 888,953
( 3) Ex c lu d i ng l oans a nd adv a nces to c e nt r al ban ks and credit inst itu t i o ns.
( 4) T he a n a l y s is sh own in lines ' n o n - f in a n c i al corporat i o ns' and ' h o useh o lds' is n o n-addi t i ve across categor ies as cer t a in cust o mers co u ld be in bo th ca tegor ies.
2 . Li qu i d ity r i sk and f u n d i ng 2 .1 Encu mbered a nd u nenc umbered assets
A sset e ncumbrance arises from collat eral p l ed g ed agai nst secured fun di ng a nd ot h er co l latera lised ob l ig a t i o ns.
A n asset is classi f ied as e ncumbered if it has been ple d ged as co l lateral aga inst secured fun di ng and ot h er coll a teral ised o b lig a t i o ns an d, as a resu lt, is no l o n g er available to t he Bank of Cy prus H oldi n gs Gro up ( t he Gro u p) f or furt h er collat e ral or l iq u i d ity req u i r eme nts. The total e ncumbered assets of t he Gro up am o un ted to
EUR2 , 977 , 4 0 8 t h o usand as at 30 June 2020 (31 Decem ber 20 1 9: EUR 2 , 850 , 4 29 t housan d).
A n asset is class i f ied as un e ncumbered if it has n ot been p le d ged as co llat e ral agai nst secured fun di ng and ot h er co llat erali s ed o b l igat io ns. Un e ncumbered asse ts are furt h er anal ysed i n to t h ose t hat are availab le and can be pote n ti a lly pl e dg ed and t h ose t hat are n ot readily availab le to be pl e dged. As at 30 June 202 0, t he Gro up h eld EUR14 , 4 2 1 , 947 th o usand (31 December 2 0 19: EUR14 , 4 08 , 1 48 t h o usan d) of un e ncumbered ass ets t hat can be po t e n ti a lly p l ed ged and can be used to su pport p o te n ti al l iq u i d ity f un di ng n eeds and EUR2 , 68 7 , 145 t h o usand (31 Decemb er 2 0 1 9: EUR 2 , 525 , 1 61 t h o usan d) of un e ncumbered ass e ts t hat are n ot r eadi ly available to be p l ed g ed f or fun di ng r eq u ireme n ts in t h eir curre nt f orm.
Loans and adva nces to customers i n dica ted as e ncumbered as at 30 June 2020 and 31 December 2 019 are mai n ly used as collateral f or fun di ng from t he E CB a nd t he co v ered bo n d.
Loans and adva nces to customers i ncl u de mo r tgage loans of a n omi nal amou nt EUR1 , 003 mi ll i on as at 30 June
202 0 (31 Decem ber 2019: EUR1 , 000 mi l l io n) in Cy p r us, pledg ed as c oll a teral f or t he c o v ered bo nd issu ed by Bank of Cy prus Pu blic C ompany Ltd (BOC PCL) in 2 011 un der its C o v ered Bond Pr ogramme. Furt h ermore, as at 30 June 2020 h o usi ng loans of a n omi nal amo u nt EUR1 , 662 m i l lion (31 D ecember 2 0 1 9: EUR1 , 4 98 mi l l ion) in
Cy p rus are pledged as col lateral f or fun di ng from t he ECB (Note 31 of t he Consolidat ed C o n de nsed Int erim
Fi nancial S tateme n ts f or t he six mo n t hs e n ded 30 Ju ne 202 0).
The table b e low presen ts an anal ysis of t he Gro u p's e ncumbered and un e ncumbered assets and t he e xt e nt to wh ich t h ese assets are cu rre n tly pled g ed f or fun di ng or ot h er p urposes. The carry i ng amo unt of su ch ass ets is disclo s ed b e lo w:
En cu mbered Unenc u mbered
W h i ch are
Pledged as W h i ch not read ily
co llateral can potentially availab le to
be p ledged be p ledged Total
3 0 J une 2020 EUR000 EUR000 EUR000 EUR000
C ash a nd bank placeme 5 , 046 , 5 , 898 ,
n ts 102 , 7 7 8 6 3 7 748 , 9 4 3 3 5 8
1 , 780 , 1 , 998 ,
Inv e stme n ts 177 , 5 1 7 7 1 0 40 , 70 3 9 3 0
Loans and adva nces to 2 , 697 , 1 6 , 159 , 1 , 247 , 1 10 , 104
cu s tomers 1 3 9 8 1 4 6 , 2 4 0
Non-curre nt assets and
di s posal gro u ps h 372 , 5 9
eld f or sale - - 372 , 5 9 1 1
1 , 683 , 1 , 712 ,
Pr operty - 0 8 9 29 , 29 2 3 8 1
14 ,6 7 0,4 20 ,0 8
Total on- balance sheet 2 ,97 7,408 17 2 ,43 8,675 6,5 00
3 1 December 2 019
C ash a nd bank placeme 4 , 774 , 5 , 380 ,
n ts 90 , 43 7 8 4 5 515 , 6 4 1 9 2 3
1 , 633 , 1 , 905 ,
Inv e stme n ts 222 , 9 6 1 5 7 1 49 , 29 8 8 3 0
Loans and adva nces to 2 , 537 , 0 6 , 271 , 1 , 912 , 9 10 , 721
cu s tomers 3 1 8 7 9 3 1 , 8 4 1
Non-curre nt assets and
di s posal gro u ps h
eld f or sale - - 26 , 21 7 26 , 21 7
1 , 727 , 1 , 748 ,
Pr operty - 8 5 3 21 , 07 4 9 2 7
14 ,4 0 8,1 19 ,7 8
Total on- balance sheet 2 ,85 0,429 48 2 ,52 5,161 3,7 38
2 . Li qu i d ity r i sk and f u n d i ng (co n ti nu ed) 2 .1 Encu mbered a nd u nenc umbered assets (co n ti n ued)
En cumbered assets primarily co nsist of loans and advances to customers and i nv estme n ts in debt securities. Th ese are mai n ly pl e dged f or t he fun di ng facili t ies of t he C e n tral Banks (ECB and CB C) (Note 20 of t he C o nsolid a ted C o n de nsed I n terim Fi nancial S tat eme n ts f or t he six mo n t hs e n ded 30 June 202 0) and f or t he co v ered b o n d. Inv estme n ts are mai n ly used as coll a teral f or re p urchase transactio ns w ith commerc ial banks as w ell as su pp l eme n tary assets f or t he co v ered bo nd (No te 31 of t he Consolidat ed C o n de nsed Int erim Fi nancial S tateme n ts f or the six mo n t hs e n ded 30 June 202 0). En c umbered assets i ncl u de cash and o t h er liq u id asse ts placed w ith banks as collateral un der ISDA/G MRA agreeme n ts wh ich are n ot immed iately available f or use by t he Gro up b ut are re leased o n ce t he tran sact i o ns are t e rmi nated. Cash is mai n ly used to co v er coll a teral re q u ired for (i) deri vati v es and rep urchase transactio ns and (ii) trade f i nance transactio ns and g uaran tees issu e d. It is al so used as part of t he su ppleme n tary assets f or t he co v ered bo n d.
B OC PCL mai n tai ns a C o v ered B o nd Pr ogramme set up un der t he Cy prus C o v ered B o n ds l e gisl a t i on and t he
C o v e red B o n ds Directi ve of C B C. Un der t he C o v ered B o nd Pr ogramme, BOC PCL has in issue co v ered bonds of
EUR65 0 mi ll i on secured by reside n ti al m ortg a ges ori g i nated in Cy prus. On 6 June 2018, t he terms of t he co v ered bo nd have b e en ame n ded to e x te nd t he ma t urity date to 12 Decem ber 2 0 21 and set t he i n tere st ra te to 3
mo n t hs Euribor pl us 2 . 50% on a q uarterly basi s. The co v ered bo n ds are traded on t he Lux e m b urg B o urse. T he co v ered bo n ds have a co n d i t i o nal Pass-Thro u gh struct ure. A ll t he bo n ds are h eld by BOC PC L. The co v ered bo n ds are e li g ib le coll a teral f or t he Eurosystem credit opera t i o ns and are placed as coll a te ral f or accessing fun di ng from t he E C B.
Un e ncumbered assets wh ich can pote n ti a lly be p l e dged i ncl u de Cy prus loans and adva nces wh i ch are less t han 90 days past d u e. Balances w ith central banks are repo r ted as un e ncumbered and can be pl e dg e d, to t he e x te nt t hat t h e re is e x c ess availab le o v er t he mi n imum reserve r eq u i r eme n t. The mi n imum reserve req u ireme nt is re p ort ed as un encumbered n ot readily available to be pl e dge d.
Un e ncumbered assets t hat are n ot readily availab le to be pl e dg ed primari ly co nsist of loans and adva nces wh ich are pro h ib i ted by c o n tract or law to be e ncumbered or wh ich are o v er 90 days past d ue or f or wh i ch t h ere are pe n d i ng l i t igati o ns or ot h er l e gal ac t i o ns agai nst t he cust omer, a pro p ort ion of wh ich w o u ld be su itable f or use in secured fun di ng struct ures b ut are co nserva ti v ely classi f i ed as n ot readi ly available f or coll a teral. Pr o p ert ies wh ose leg al t i t le has n ot been transf erred in t he name of t he C ompany or a su bsidiary are n ot co nsidered to be r eadily availab le as coll a te ral.
In s u rance assets h eld by Gro up i nsurance su bsidiaries are n ot i ncl u d ed in t he table a bo ve or be l ow as t h ey are primarily d ue to t he i nsurance policyh olders.
The carry i ng a nd fair value of t he e ncumbered and un e n c umbered i nv estme n ts of t he Gro up as at 30 June
202 0 and 31 Decem ber 2 0 19 are as f ollo ws:
C arryi ng
value of encu Fair value C arryi ng value Fair value
m bered i nvestments of encu m of unenc umb of unenc umb
bered i nvestments e red i nvestments e red i nvestments
3 0 J une 20 20 EUR000 EUR000 EUR000 EUR000
E q u it y securities - - 194 , 6 4 0 194 , 6 4 0
178 , 0 3 1 , 626 , 7 7 1 , 641 , 3
Debt securi t ies 177 , 5 1 7 0 3 0 4
Total i nvestments 177 ,5 17 178 ,0 30 1 ,82 1,413 1 ,83 5,944
3 1 December 2 019
E q u it y securities - - 167 , 8 2 3 167 , 8 2 3
1 , 515 , 0 4 1 , 531 , 3
Debt securi t ies 222 , 9 6 1 223 ,3 62 6 3 6
Total i nvestments 222 ,9 61 22 3,3 62 1 ,68 2,869 1 ,69 9,159
2 . Li qu i d ity r i sk and f u n d i ng (co n ti nu ed)
2 .2 Li qu i d ity regu lat i on
The Gro up has to co m p ly w ith pro v i s io ns on t he Liq ui dity C o v erage Ra t io (LCR) un der CRD IV/C RR (as su ppleme n t ed by r ele vant Reg u lat io ns). It al so m on itors its posi t i on agai nst t he Net S t a ble Fun di ng Ratio (NSFR) as proposed un der Basel III and e x pected to become a reg u latory i n dica tor wh en Capital Req u ireme n ts Reg u lat ion (CRR II) is e nf orced w ith t he limit set at 1 0 0%.
The LCR is desig n ed to p r omo te sh ort - term re s i l ie nce of a Gr o u p's l i q u id i ty ri sk pro f ile by e nsuri ng t hat it has suff icie nt h igh q uality liq u id reso urces to surv i ve an acu te stress scenario last ing f or 30 days. The NSFR has been de v el o ped to pro m o te a sustai nable mat urity struct ure of assets and liabil i ties.
A s at 30 Ju ne 2020 t he Gro up was in compliance w ith all reg u latory l i q u id ity req u ireme n ts. As at 30 June
2020 , t he LCR st o od at 257% f or t he Gro up (c ompared to 2 08% at 31 December 20 1 9) and was in comp l iance w ith t he mi n i m um reg u latory r eq u ire m e nt of 10 0 %. As at 30 June 2020 t he Gr o u p's NSFR, on t he basis of t he Basel stan dards, was 134% (compared to 12 7% at 31 Decem b er 2019).
2 .3 Li qu i d ity reserves
The below table se ts o ut the Gro u p's liq u idity reserv es:
3 0 J une 20 20 3 1 Decemb er 2019
Li qu i d ity reserves
as per LCR Delegated Liq u i d ity reserves
Reg ( EU) as per
2015 /61 LCR eli LCR Delegat ed Reg
g i b le (EU)
2015 / 6 1 LCR e
li g ib le
Internal Level 1 Level 2A In te rnal Le v el Le v el
Li qu i Liq u i 1 2A
d ity reserves d ity reserves
Co m p o s i tion
of the li qu i d
ity reserves EUR000 EUR000 EUR000 EUR000 EUR000 EUR000
C ash a nd balances 4 , 898 4 , 898
w ith central banks 5 ,11 8,949 5 ,11 8,949 - , 3 6 0 , 3 6 1 -
P l aceme n ts w 424 ,9 147 , 0
ith banks 72 - - 8 6 - -
Liq u id i nv estme 115 ,0 1 , 214 1 , 115 124 , 7
n ts 1 ,35 6,668 1 ,22 6,586 09 , 1 9 7 , 1 9 6 6 3
Av ailable ECB B 656 ,9 1 , 116
u f f er 44 - - , 2 4 9 - -
115 ,0 7 , 375 6 , 013 124 , 7
Total 7 ,55 7,533 6 ,34 5,535 09 , 8 9 2 , 5 5 7 6 3
2 . Li qu i d ity r i sk and f u n d i ng (co n ti nu ed)
2 .3 Li qu i d ity reserves (co n t inu ed)
In te rnal Liq u id i ty Reserv es present t he t o tal l iq u id ass ets as de f i n ed in BOC PCL's Liq u idity Po licy. Li q u idi ty reserves as per LCR Delegated Reg u lat ion (EU) 201 5/61 present t he liq uid assets as per t he de f i n it i on of t he af oreme n t i o n ed reg u lat ion i . e. H igh Q uality Liq u id Assets (HQLA).
Un der Li q u id i ty reserves as per LCR, No s tro and p laceme n ts wi th banks are n ot i ncl u ded, as t h ey are not co nsidered HQLA (t h ey are part of t he LCR Inf lo ws).
Liq u id i nv estme n ts un der t he Liq ui dity re s erv es as p er LCR are sh o wn at mark et val u es red uced by stan dard w eig h ts as prescr ibed by the LCR reg u lat i o n. Liq u id i nv estme n ts un der In ternal Li q u id i ty reserves i ncl u de all LCR an d/or ECB el i gi b le i nv estme n ts and are sh o wn at mark et val u es n et of h a ircut based on ECB haircu ts and met h o d ol o g y.
Fi nall y, available ECB b uf fer is n ot part of t he Liq u id i ty reserves as per LCR, si nce t he assets in t he ECB
coll a teral p o ol are n ot LCR eli g i b le b ut o n ly eli g i b le as collat eral f or Eurosystem credit o perat io ns.
The Liq u idity Reserv es are managed by Tr easu r y.
Resu lti ng from t he o u tbre ak of COV I D-19, t he E CB has ado pt ed a broad set of po l icy measures to mi t igate t he eco n omic impact of t he crisis and to e nsure t hat i ts d irect ly su perv ised banks can co n ti nue to fu l f il t h eir r ole in fun di ng t he real eco n omy. A h ig h-le v el descrip t ion of t he main measures w h ich h a ve a direct or i n d irect impact on t he liq ui dity po s i tion of banks is described belo w.
The E CB an n o unced t hat it w ill allow banks to operate temporar ily be l ow t he de f i n ed le v el of 100% of t he LCR. In Ju ly 20 2 0, ECB ann ounced t hat it w i ll al low banks to o p erate b e low 1 00% of t he LCR un t il at least e n d-
2021.
I n additio n, t he package incl u ded a set of co llat eral easi ng me asures, wh ich resu lted in i ncreasi ng t he b a nks' borro w i ng capac ity at t he ECB operatio ns and imp r ov i ng t he liq ui d i ty b uff ers d ue to t he lo w er haircu ts ap pli ed to t he ECB elig i ble c oll a te rals t he bank h olds, t hat comprises of bo n ds and A dd i tio nal Cre d it C l a ims (ACC). The coll a teral eas i ng packages are desig n ed as t emporary measures (w ith t he except i on of part of t he haircut red uction on ACCs wh ich is perman e n t) t hat w i ll r ema in in place un til S e p temb er 20 21 wi th t he fl e x ib i l i ty to be e x te n ded or mo di f i e d. Furt h ermore, t he ECB e n lar ged t he scope of t he A CC frame w ork, i ncreasi ng t he un i v erse of el i gi b le loans. In relation to e x isti ng c o llat eral, t he ECB ann o un c ed chan ges in co l lat eral r u les, temp orarily accep t i ng coll a terals w ith a rati ng be l ow i nv estme nt grade, up to a certain rati ng le v e l.
A ddi t io n all y, t he package co n tai n ed m easures to p r o v ide l i q u id i ty su ppo rt to t he e uro ar ea f i nancial system, such as a series of LTROs wh ich ran from March to June 2020 so parti c ipants co u ld sh i ft t h eir o u tstan di ng LTRO amo un ts to TLTRO I II, as w ell as sig n i f icant fav o urable ame n dme n ts in the terms and characterist ics of TLTRO I I I. F urt h ermore, a n ew series of addit ional lo n ge r-term re f i nanci ng o perat i o ns, called Pan demic Emerge ncy Lo n ger-T erm R e f i nanci ng Operat i o ns (PELTROs), w ere i n trod uced wi th an i n tere st rate of 25 basis poi n ts b e low t he av erage rate ap pl i ed in t he Eurosystem's main r e f i nanci ng o perat i o ns (curren tly 0 %) o v er t he li fe of t he respect i ve PELTR Os t hat are mat uri ng in t he t h ird q uarter of 20 2 1.
3 . Min i mum Requ i red O wn Funds f or C redit, Mark et and Operat io nal Ri sk
Group 's ap pro ach to a s sess i ng t he adequacy of its i nternal cap ital
The Gro up assesses its ca pital req u ire m e n ts tak i ng in to co nsidera t i on its re g ulatory req u ire m e n ts, risk pro f ile and risk appe t i te set by t he B oD. A t hree y ear plan (Plan) is annually prepared re v isi ng t he f i nancial f orecasts and capit al p r oje c tio ns o v er a t hree y ear h o r i z on in l i g ht of r ecent de v e l op m e n ts and it is app r o v ed by t he B oD. The Plan tak es i n to acco unt t he Gro up k ey strategic pi l lars and t he Risk A ppet i te Framework (RAF). The Plan is rolled f orward on a q uarterly basis af ter tak i ng i n to acco unt t he act ual resu lts of each q uarter.
The Gro up capital project io ns are de v e l op ed w ith the object i ve of mai n tai ning capital t hat is adeq u a te in q uan tity and q ual i ty to su pport t he Gr o u p's risk prof ile, reg u l a tory and b usi n ess n eeds. Th ese are freq u e n tly mo n ito r ed aga i nst rele vant i n ternal tar get ca pit al rat ios to e nsure t h ey remain approp r iate, and co nsi d er risks to t he plan, i ncl u di ng possi ble fu t ure reg u latory changes.
The main strategic and b usi n ess risks are mo n ito r ed reg u larly by t he ExC o, t he ALCO and t he RC. T h ese commi t tees rece i ve reg ular repo r ts of r isk and pe r f ormance i n dicat ors, from rele vant managers and make decisi o ns to e nsure adh ere nce to t he Gro u p's strateg ic object i v e, wh ile remai n i ng w it h in t he Gro up RA S.
The k ey pillars of t he Gro u p's strategy are to:
-- Red uce t he le v el of d e li n q u e nt loans, arrest any ass et q ual i ty de t eri orat i on and early manage arrears
resu lti ng from t he o u tbre ak of C O VI D-19
-- A ch ie ve a lean operati ng mod el -- Mai n tain an appropriate ca pital posi t i on by i n ternally ge n erati ng capi tal -- Furt h er optimi se t he fun di ng struct ure -- Focus on t he core Cy p r us mark et -- Deli v er val ue to shareh ol d ers and ot h er stak e h olders
Overviews of RWAs
The RWAs t hat f orm t he de n omi nator of t he risk-based capit al rat io are presented b e lo w. Mi n imum capit al req u ireme n ts are calcu lat ed as 8% of t he RWAs. A ll r o ws t hat are not r ele vant to t he Gr o u p's acti vi ties are n ot i ncl u ded.
A s of 1 January 20 18 t he RWAs are re p ort ed on an IFRS 9 transit i o nal bas is un der arti c le 473(a) of t he CRR. Un til 31 March 2020 t he pro v isi o ns amo un ts of t he i n di v id ual e x posures w ere decreased by an appro priate ratio h e nce creati ng h ig h er i n di v id ual e x posures compared to t he act ual bal a nce sh eet val u es and as a resu lt comparati v e ly h ig h er RWAs and capital req u ire m e nts. As of 30 Ju ne 202 0, and f ol l o w i ng t he ame n dme nt of article 4 7 3(a) of t he CRR t hro u gh Reg u lat ion (EU) 2020 / 87 3, t he Gro up has ele c ted to app ly t he prov ision i n trod uced by t he ame n d ed reg u lat i on wh ereby t he IFRS 9 C ET1 add-back compo n e nt is assig n ed 1 00% RWA and is added to t he t ot al e x posures amo unt re p orted as part of t he Cre d it Risk RW As i nstead of bei ng alloca t ed to t he i n di vi d ual e x posures amo un t. The impact of t h is ame n dme nt did n ot have an e ff ect on t he tot al RWAs report ed and capital re q u ireme n ts of t he Gro up compared to t he pre v io us approach. The I FRS 9 transit i o nal basis e ff ect for t he st a tic comp o n e nt w i ll be p hased o ut by 1 January 2023, wh ereas t he IFRS 9 transit i o nal basis e ff ect for t he d ynamic compo n e nt w ill be p hased o ut by 1 January 2025 f o l lo w i ng recent ame n dme n ts in t he CRR. R e f er to sect i on 5 f or a descrip t ion of ame n dme n ts i n trod uced.
3 . Min i mum Requ i red O wn Funds f or C redit, Mark et and Operat io nal Ri sk (co n ti nu ed)
E U OV1 Overview of R WAs
Min i mum cap
RW As ital requ i remen
ts
3 0 J une 3 1 Decemb 3 0 J une
2020 er 2020
2019
EUR000 EUR000 EUR000
C red it r isk (exclu di ng
counterparty credit ri sk 10 , 480 ,6 11 , 411
1 (CC R)) 15 , 4 9 7 838 , 4 4 9
Of wh ich: S tan dardised 10 , 480, 11 , 411
2 Approach 6 1 5 , 4 9 7 838 , 44 9
6 CCR 15 , 561 12 , 61 8 1 , 24 5
7 Of w h ich: mark to market 12 , 189 9 , 56 8 975
Of wh ich: Credit Val uation
Adjustme nt
12 (CVA) 3 , 372 3 , 05 0 270
S e curit i s a t ion e x
p osu res in t he ban k i
14 ng b o ok (af t er t he cap) 42 , 162 45 , 63 8 3 , 37 3
Of which: S tan d ard ised 45 , 63
18 A p p r o ach 42 , 162 8 3 , 37 3
1 , 342 ,7 1 , 342 ,
23 Opera t io nal risk 00 7 0 0 107 , 4 1 6
Of wh ich: S tan dardised 1 , 342 ,7 1 , 342
25 App r oach 00 , 7 0 0 107 , 41 6
A mo un ts below t he t hresh
olds f or ded uct i on (s
u bject to 25 0% risk w e
27 i g h t) 79 , 146 77 , 55 0 6 , 33 2
11 ,9 6 0,1 12 , 890
29 To tal 84 , 0 0 3 956 ,8 15
The main dri v ers be h i nd t he decrease in RWAs arise from credit risk and t h ey relate to (a) i n creased pro v isi o n i n g, set t leme n ts/repayme n ts and curi ng in NPEs and reg u latory h igh risk e x posure class es in customer l oan s ; (b) t he imp l eme n tat ion of t he CRR II SME Disco unt Factor (SMEDF) from t he CRR ame n dme nt i n trod uced in June 2020 (ref er to S ecti on 5) wh ich e x p a n ded t he pop u lat i on of perf ormi ng e x posures t hat be n e f it f r om lo w er RW As and also re v ised t he disc o unt fac tor app lies to such e x posures resu lti ng in a r ed uct i on of RWAs of c380mi ll i o n; and (c) t he red uct i on in balan ce sh eet val u es of ot h er a ssets. The i ncrease in CCR RW As deri v es from i ncreased d eri vati ve e x posures.
The main dri v ers be h i nd the decrease in t he RWAs f or t he di ff ere nt t y p es of r isk f or t he pe r iod are anal ysed in t he tables b e lo w.
Th ere w ere no large e x posures f or i nstit u tio ns t hat e xceeded t he re l e vant limits.
3 . Min i mum Requ i red O wn Funds f or C redit, Mark et and Operat io nal Ri sk (co n ti nu ed)
3 .1 Credit Ri sk
The S tan dardised A pproach has been applied to cal c u late t he mi n imum capit al req u ireme nt in accordance w ith t he req u ire m e n ts l a id d own in Article 92 of t he CRR as sh o wn in t he table b e lo w. Mi n imum capit al req u ireme n ts are calcu lat ed as 8% of t he RWA s.
Furt h er anal ysis on t he RWA i n te nsity is available in S ection 8 . 12.
3 0 J une 3 1 Decemb
2 020 er
201 9
E xp o s u re Portfo lio EUR000 EUR000
C e n t ral go v ernme n ts or central banks 27 ,9 13 30 , 60 7
Regio nal g o v ernme n ts or local au t h ori
t ies 51 43
Pu blic sector e n t i t i es - 1
In stit u tio ns 16 ,7 99 15 , 08 1
268 , 3 1
C o rporat es 234 ,5 39 9
Retail 72 ,4 40 76 , 83 2
S e cured by mortgages on immo vable p r ope r
ty 98 ,3 94 94 , 43 2
164 , 2 9
Ex po sures in de fau lt 136 ,9 58 0
112 , 3 8
I te ms associated w ith part icu lar h igh risk 99 ,2 04 8
C o v e red bo n ds 1 ,392 1 , 30 7
I te ms representi ng securi tisation posi t i
o ns 3 ,373 3 , 65 1
C l aims on i nstit u t i o ns and corpora tes
w ith a sh ort-te rm credit assessment 38 -
C olle c ti v e Inv estme n ts Undertak i n gs
(CIU) 192 16
E q u it y 8 ,402 6 , 42 2
150 , 1 5
Ot h er items 149 ,4 34 1
923 , 5 4
Total Cap ital Requ i rement f or Credit Ri sk 849 ,1 29 0
The applicat ion of t he SMEDF is t he main dri v er b e h i nd t he decrease in e x posure class "C orpora tes". The e ff ect of i ncreased p r o v isi on i n g, settle m e n ts/repayme n ts and curi ng in NPEs a nd reg u latory h igh risk e x p osure classes in custo m er loans is p r esen ted by t he decr ease in t he h ig h er r isk e x posure class es "Ex posures in de fau lt" and " I tems ass ociated w ith particu lar ly h igh risk". The decrease in " Ce n tral go v ernme n ts or ce n tral banks" is dri v en by a decr ease in DTA balance sh eet val u e s. A ll ot h er capital r eq u ireme n ts mo v e m e n ts f ol l ow mo v eme n ts in t he book val ue of balance sh eet assets.
3 . Min i mum Requ i red O wn Funds f or C redit, Mark et and Operat io nal Ri sk (co n ti nu ed)
3 .2 Market r i sk
Th ere w ere no mi n imum capital re q u ireme n ts f or mark et risk f or 2019 and 30 June 202 0.
Due to t he sma ll trad i ng b oo k, Arti c le 94 of t he CRR was appl i ed s i nce 2 0 19 a l l o w i ng t he RWA f or trad i ng b o ok posi tio ns to be ca lcu lated in accordan ce wi th Artic le 92 paragraph 3(a) of the CRR, h e nce t he RW As and capital req u i r eme n ts are incl u ded in t he Credit Risk tables. A ll tradi ng book posit i o ns relate to eq u ity and CIUs.
FX risk does n ot req u ire any capital si nce t he material ity t hresh old set by Article 351 of t he CRR is n ot met.
3 .3 Operat i onal Ri sk
The mi n imum capi tal r e q u ireme nt f or o p erat i o nal r isk is calcu l a ted in acco rdance w ith T i t le III: Own f un ds req u ireme n ts f or o p erat i o nal risk of t he CRR.
The Gro up uses t he S tan dardised A pproach f or t he o perat i o nal risk capital cal c u lati o n.
Un der t he S tan dard ised A p proach, n et i nt erest and n o n-i n terest i ncome are c l assif ied i n to eig ht b usi n ess l i n es, as set o ut in CRR. The cap ital re q u ireme nt is calcu l a t ed as a percen tage of t he av erage i ncome o v er t he past t hree y ears, ran gi ng b e t w een 1 2% and 18% de p e n di ng on t he b usi n ess li n e. If t he capital r eq u ire m e nt in respect of any y ear of i ncome is n egati v e, it is set to z ero in t he av erage calcu latio n.
A s at 30 June 2 0 20, t he mi n imum capit al re q u ire m e nt in re lat i on to o perat i onal risk, calcu lated in accordance w ith t he S tan dardised A p proach remai n ed t he same as 31 December 2 0 1 9, at EUR107 , 4 16 t h o usan d.
S tan dard i
s ed app r oach
3 0 J une 202 0/31 Dece mber 2 0 19 EUR000
C o rporate Fi nance (CF) 98
Tradi ng and Sales (TS) 7 , 48 8
Retail Bro k erage (RBr) 109
C o mmercial Bank i ng (C B) 63 , 25 8
Retail Bank i ng (RB) 23 , 73 6
Payme nt and S ettle m e nt (PS) 12 , 32 4
A ge n cy S erv ices (A S) 357
A sset Manageme nt (AM) 46
Total Cap ital Requ i rement f or Operat i o nal Ri sk 107 ,4 16
3 . Min i mum Requ i red O wn Funds f or C redit, Mark et and Operat io nal Ri sk (co n ti nu ed)
3 .4 Credit Valuat ion Ad j us t ment (CVA) Ri sk
CV A capt ures t he credit risk of deri vati ve co un terparties not already i ncl u d ed in C o un terparty Credit Ris k. It calcu lates t he p o te n ti al lo ss on deri vati v es d ue to i ncrease in t he credit spread of t he co un terpart y.
The S tan dardised A pproach has been used to calcu late t he CVA charge f or re g u latory p urposes in acco r dance w ith t he req u ireme n ts of t he CRR (S tan dardised A pproach: Articles 381, 382 a nd 384).
3 0 J une 3 1 Decemb
2 020 er
EUR000 201 9
EUR000
CV A ( Cap ital Requ i remen t) 270 244
The i ncrease in t he capital req u ireme n ts rel a tes to an i ncrease in deri vati ve e x posure val u es.
3 .5 EU IN S1 N on-deduct ed partici pat io ns in i n s ur a nce undertak in gs
C arryi ng am o u
nt
3 0 J une 3 1 Decemb
2 020 er
201 9
EUR000 EUR000
H o l d i n g s of o wn fun ds i n s tr ume n ts
of a f inancial sector e n tity wh ere t he i nstit
ut ion has a si g n i f i cant i nv estme nt n
ot ded ucted from o wn fun ds (be f ore r isk-w
e i g h ti n g) 22 ,8 03 24 , 99 4
Total RWAs 57 ,0 08 62 , 48 5
4 . Other r i sks
4 .1 Operat i onal r i sk
Operat i o nal risk is de f i n ed as t he risk of a direct or i n direct impact loss resul ti ng from i nadeq uate or fail ed i n ternal pro c esses, p e op le and systems or e x ternal e v e n ts. The Gro up i ncl u des in t h is de f i n i t ion co m pli a nce, legal and rep u tat io nal risk.
The Gro up recog n ises that t he co n trol of opera t i o nal risk is directly rel a ted to e ff ect i ve and e ff icie nt manageme nt practi c es and h igh stan dar ds of corp orate g o v ernance. To t hat e ff ect, t he manageme nt of operat io nal r isk is geared to wards mai n tai n i ng a st r o ng i n ternal co n t r ol g o v e r nance frame w ork a nd managi ng operat io nal r isk e x posures t hro u gh a co nsiste nt set of manageme nt p r ocesses t hat dri ve r isk ide nt i f ica tio n, assessmen t, co n trol and mo n ito r i n g.
The main objecti v es of o p erat i o nal risk manageme nt w it h in t he Gro up are: (i) t he de v el o pme nt of o perat io n al risk awaren ess and cu lt u r e, (ii) t he pro v isi on of ade q uate and timely i nf ormati on to t he Gro u p's manageme nt at all le v e ls in relat ion to t he opera tio nal r isk pro f ile at a company, u n it and acti v ity le v e l, so as to faci li tate decisi on mak i ng f or r isk co n trol acti vi t i es, and (i ii) the co n trol of opera t i o nal r isk to e nsure t hat opera t i o nal losses do n ot cause material damage to t he Gro u p's franch ise a nd t hat t he impact on t he Gro u p's pro f itabi l ity and corporate o bject i v es is co n tai n e d.
Operat i o nal risks can arise from all b usi n ess li n es and from all act i v it i es carried o ut by t he Gr o up and are t hus di v erse in nat ure. To e nable e ff ecti ve manageme nt of all ma teri al opera t i o nal risks, t he o p erat io nal risk manageme nt frame w ork ado p t ed by t he Gro up is based on t he t hree l i n es of de f e nce mod e l, t hro u gh wh ich risk o wn ersh ip is dispers ed t hro u g h o ut t he organ isa tio n. The f irst li ne of d e f e nce comprises of manageme nt and staff w ho have immediate resp o nsib i l i ty of day-to-day opera tio nal risk manageme nt and o wn the risk. Each b usi n ess u n it o wn er is respo nsib le f or ide n ti fying and ma nagi ng a ll t he risks t hat arise from t he u n it's acti v i t ies as an i n tegral part of t h e ir f irst li ne respo n s ib i li t ies.
4 . Other r i sks (co n ti nu ed) 4 .1 Operat i onal r i sk (co n ti n ued)
The seco nd l i ne of de f e n ce comp r ises of t he risk manageme nt function wh ose ro le is to pro vi de opera tio n al risk o v ersig ht and i n d e p e n de nt and o bject i ve chal l e n ge to t he f irst li ne of de f e nce, su ppo r ted by ot h er special ist co n t r ol and su pport functio ns such as t he Gro up C ompliance, Legal S erv ices, I nf ormation S ecurity and H ealth and Saf ety functio ns. The t h ird l i ne of de f e nce comp r ises of t he In ternal Au dit functio n, wh ich pro v ides i n d epe n de nt ass urance o v er t he i n tegrity and e ff ecti v e n ess of t he risk manage m e nt frame w ork t hro u g h o ut t he Gro u p.
Duri ng t he f irst half of 2020, special circumstances created by t he COV I D-19 o u tbreak dro v e, to a large e x te n t, t he act i v i t ies p erf ormed by Operat io nal Ri sk Manageme n t. More speci f icall y, f or b usi n ess co nt i nu ity p urposes, BOC PCL's Pa ndemic Incide nt Manageme nt Plan was i nv o k ed e arly February 20 2 0, w ith split operat io ns e s tabl ish ed f or critical un its, al o ng w ith access gran ted to s taff, as applica ble, to w ork re m ot e l y. The Pan demic Incide nt Manageme nt Team (PIMT) was also i nv o k ed and p r o v i d ed reg u lar u pdates to t he Crisis Manageme nt C ommi t tee t o wards a proacti ve and e ff ecti ve manageme nt of the pan demic t hreat, t hrou gh a series of measures tak en a nd an n o unced to staff a nd customers.
A ddi t io n all y, e nhanced fra ud mo n itori ng was perf ormed by t he fraud risk manageme nt team as a resu lt of t he customers' acc e l erat ed shift to wards di g it al chann els. The opera t i o nal risk ma nageme nt (ORM) un it was al so faced w ith an i ncreased number of process/proced ure assessmen ts t hat eme r g ed d ue to t he s peci al circumstances created by COVI D-19.
Furt h er to t he act io ns t a k en to respo nd to t he COVI D-19 pan demic, o n go ing acti v it i es/in i t iat i v es t owards furt h er e nhanceme nt of ORM i nv ol v ed i n ter alia t he f ol l o w i n g: (i) u pgrad i ng of t he e-bank i ng fraud system, plann ed to g o-l i ve by t he e nd of 2020, (ii) trai n i ng to staff and to p-manageme nt on basic pri nciples of Fraud Risk Manageme nt t hro u gh t he e-learn i ng pl a t f orm, (iii) t he set-up of a n ew 'Th ird Party Risk Manageme n t' Un it un der t he ORM D epar tme n t, wh ich i n i t ial ly un dertook t he r espo nsi b i l ity of draf ti ng BOC PCL's 'Th ird Party Risk Manageme nt Policy' (wh ich replaced t he f o rmer 'Ou tso urci ng Pol icy') and t he re l e vant proce d ure stemmi ng from t he said po l icy, and (i v) o n goi ng re v ie ws and en hanceme n ts of t he i n ternal ORM policies, proced ures and t he ORM database.
Operat i o nal r isk loss e v e n ts are c lass i f i ed and r ecorded in t he Gr o u p's RCMS system, wh ich serves as an e n terpri se t o ol i nt egrat i ng all r isk-co n trol d a ta (i . e. risks, loss i ncide n ts, Key Risk In dicators) to pro vi de a h olist ic v iew w ith regards to risk ide n ti f icat io n, corre c ti ve act i on and statistical a nal ysis. Duri ng t he f irst h a lf of t he y ear 202 0, 99 loss e v e n ts w ith gross loss eq ual to or greater t han EUR1 , 0 00 each w ere recorded i ncl u di ng i ncide n ts of pri or y ears (m ostly leg al cases) f or wh ich losses ma teri a lised in t he f irst s ix mo n t hs of 20 20 (six mo n t hs e n ded 30 June 201 9: 379 l oss e v e n ts).
The Gro up stri v es to co ntinu o usly e nh a nce its risk c o n trol cu lt ure and i ncrease awaren ess of its emp l o y e es on operat io nal risk issu es t hro u gh o n goi ng s taff trai n i ng (bo th classro om/w orksh op t y pe of tra i n i ng and e- learn i ng sessio ns).
The Gro up also mai n tai ns adeq uate i nsurance policies to co v er f or un e x pected materi al opera t i o nal losses. Busi n ess resilie nce is treat ed as a pri ori ty and as such t he Gro up p laces s ig n i f i cant imp ortance on co n ti nu o usly
e nh anci ng t he co n ti nu ity arran geme n ts, to e nsure timely reco v ery in t he case of e v e n t s, s uch as t he COVID-
1 9 pan demic, t hat may ca use major disru ptio ns to the b usi n ess operatio ns.
4 .2 Po litical r i sk
Ex te rnal factors wh ich are be y o nd t he co n trol of t he Gro u p, su ch as de v elopme n ts in t he E uropean Un ion and t he gl o bal e c o n omy, or sp eci f ic co un tries wi th wh ich Cy prus mai n tai ns close eco n omic and i nv estme nt links, as w ell as p ol i tical and g ov ernme nt actio ns i n ternal ly, can aff ect t he o perat io ns of t he Gro u p, i ts s trat egy and prospe c ts.
4 . Other r i sks (co n ti nu ed) 4 .2 Po litical r i sk (co n ti nu ed)
Cy p rus is a small o pen e c o n omy w ith a large e xt ernal sect or. Ex ports of g o o ds and services w ere a bo ut 6 0% of Gross Dome s tic Pr od uct (GDP) d uri ng 201 7-20 19. As a resu lt, t he Cy prus eco n omy is vu l n erable to e x oge n o us de v e l opme n ts from o u tside i ts bord e rs par ticu larly de v e l opme n ts aff ecti ng its main tradi ng part n ers i ncl u di ng Russia and t he UK. C y prus is also e x posed to de v e l opme n ts in t he European Un ion a nd t he Euro z o ne t hat mig ht impact bo nd mark ets and i n terest ra tes, as w ell as to de v e l opme n ts in t he g l ob al eco n omy at large, i ncl u di ng trade.
Wh ile Cy prus has had a f i v e-y ear streak of stro ng eco n omic reco v ery in 201 5-2019, t he COVI D-19 pan demic is hav i ng a sig n i f icant impact on t he eco nomy in 2 0 20 wh ere real GDP is n ow e x pect ed to co n tract by 7 . 8% acc ordi ng to t he Europe an C ommissio n's latest p u blicat io ns, w ith o n ly a p artial re c o v ery in 2021 at 5 . 3 %, assumi ng no seco nd w a ve of t he pan demic.
The w orld w e nt t hro u gh a de vastat i ng f irst half of t he y ear 2020 un der l o c k do wn co n dit i o ns i n te n d ed to co n tain t he spread of t he pan demic. Emergi ng from t he lock do wns, h o w e v er, has n ot been easy or u n iform. COVI D-19 cases are st i ll increasi ng in some co un tri es and so me co n t a i nme nt measures are b ei ng r e-i n s tated. The resumption of eco nomic acti v ity t h e r e f ore w i ll be al t ernated and un e v e n, su bject to t he uncertai n ty of a seco nd wave and re n e w ed restrict io ns. Th is w ill be h oldi ng back co nsumpti on and in v estme nt e x pe n d i t ures mak i ng t he reco v ery o n ly partial and w eak in t he sec o nd half and i n to n e xt y e ar.
The implica tio ns of COVI D-19 f or t he g l o bal e c o n o my are many and varied. S upply chai ns are bei ng d isru pted, some b usi n esses w ill be cl osi n g, un emplo yme nt w ill remain h igh f or lo n ger and a struct ural transition wi ll be unf oldi ng as some sectors w ill be co n tract i ng and ot h ers w ill be e x pan di n g.
E mergi ng mark ets will be mo re vu l n erable to f i nancial pressures, g i v en th eir large e x p osures in f oreign curre ncy borro w i ng and t h eir vu l n erabi l i ty to cap ital o u t fl o ws. Loss of ca pital i nf lo ws w o u ld s train t he sustai nabil i ty of t h eir deb ts. E x ports are falli ng and some emerg i ng co un tries have been severely af f ected by t he decl i n es in oil pri c es. Th us, t he susceptibi l ity of emerg i ng mark ets to e x ternal sh ocks has i ncreased sig n i f ican tly as a resu lt of t he pan demic. S ome co un tries li ke Arge n ti na and Leban o n, are already in debt distress. C o un tries vu l n erable to e x ternal f i nanci ng and debt d i ff icu lties are un der i ncreased l iq u i d ity pressure t hat w ill furt h er impact econ omic gro w th leadi ng to a possib le de bt crisis f or i n d iv id ual co un tries.
C l u ster o u tb r eaks of t he v irus such as t he o n es t hat already occurred in B ei j i n g, parts of La tin Ame r ica and parts of t he US, w ill be t r o u bli ng re c o v eries and i m pedi ng g l o bal g r o w t h. Ch i na w ill see a sl ow and u ne v en eco n omic reco v ery, un der sl u ggish domest ic demand and slo w i ng e x ports.
I n Euro pe eco n omic co n d i tio ns w ill impro ve sl ig h tly in t he seco nd half a nd into n e xt y ear, b ut poli t ical and f i nancial risks w ill p ersist. Pr i vate co nsumpt i on and t o tal i nv estme nt w i ll re main be l ow pre-cri s is le v e ls and un emplo yme nt w ill be h i g h er. Fi nancial risk w ill be more p r o n o unced in so u t h ern co un tries wh ich are mo re h eav ily depe n de nt on to u r ism. Bu dget de f i c its wi ll d eteri orat e, and de bt l e v e ls w ill ri se in co un tries su ch as I tal y, S pai n, Greece, Cy prus, Port u gal and e v en Fra nce. The ECB w ill co nt i nue i ts c urre nt p oli c i es and bo nd b uy i ng programs to k eep borro w i ng costs f or member states l o w. Un der t h ese co n dit i o ns, t he risk of a f i nancial crisis is lo w. It w ill take a w orsen i ng sit uation w ith n o n-perf ormi ng loans in some co un tries, or a do wn grade of t he credit w ort h i n ess of a co un try to increase t he probab il i ty of a crisis in t he Euro z o n e.
A l so, slow re c o v eries and h ig h er un emplo yme nt rates f or lo n ger aft er 2 0 20 will be crea ti ng f e r ti le g r o und of po l itical risk to rise.
A t t he Ju ly 21st C ou nci l, EU leaders agreed on a EUR750 b i ll i on post-pan de m ic reco v ery f und kn o wn as 'N e xt Gen eration EU', and t he Mu ltiannual Fi n a ncial Framew ork 202 1-2 027 w orth abo ut EUR1 .1 tri ll i o n. The s ummit preserved t he o v erall si ze of t he reco v ery f un d, b ut red uced t he amo unt of gran ts to EUR390 b i l l ion from t he
EUR50 0 b i ll i on pro pose d. The reco v ery fund is e x pe c ted to pro v i de si g n i f icant eco n omic re l ief esp eci a l ly to
co un tries h it t he hardest by t he pan demic.
4 . Other r i sks (co n ti nu ed) 4 .2 Po litical r i sk (co n ti nu ed)
The risk of disru p tion from Bre x i t-rel a ted de v e lop me n ts remai ns. The UK has l e ft t he EU at t he e nd of Ja nuary
2020 , b ut trade n e g oti a t ions w ith t he EU are y et to co ncl u de. Th ere are a large number of issu es to n e g oti a te and li t tle ti me w it h in wh i ch to do i t. B ecause t he UK go v ernme nt ch ose not to e x te nd its m embersh ip in t he
si n gle mark et be y o nd 31 December 2 020, t he p ossibi l ity of a n o-deal e xit cann ot be ru led o ut a-priori.
Wit h o ut a trade de al UK goods impo r ted i nto t he EU w ill be su bject to t he C ommon E x ternal Tarif f. Su ch uncertai n ties impact h eav i ly t he UK eco n omy a nd its gro w th o u tl o ok f or t he y ear is n ow severely do wn gra ded.
I n addit i o n, I taly remai ns a main so urce of f i nancial risk w it h in t he Euro z o n e. The co un try is in de ep r ecessio n. Accordi ng to t he Euro p e an C ommissio n's l a test p u blicat io ns, I taly w i ll co n t ract by 11 . 3% in 2 020 and w i ll reco v er o n ly par tly by 6% in 2021. Po l i tical uncert a i n ty w ill al so ri se as t he c o un try w ill be emerg i ng from t he pan demic. A d e bt cr isis is n ot l i k ely in t he n ear t erm, b ut do wnside risks are i ncreasi n g. The bank i ng sect or is particu larly fragile as t he recession w ill be i ncreasi ng t he stock on n o n-perf ormi ng loans and as t he probabi l ity of de fau lt by i n di v id uals and compan ies w ill be r isi n g.
The Russian eco n omy may co n ti nue to d e te r iorat e. Russia is impact ed n egat i v ely by persi s te nt sanct i o ns and by low oil prices. Giv en t hat t he bank i ng sector has li nkages w ith b usi n ess and pro f essio nal services w ith Russia and t hat Russia h as beco me a major mark et f or Cy priot t o urism, any e v e n ts and de v e l op m e n ts on t he Russian eco n omy may pote n tial ly have an impact on t he Cy prus eco n omy as wel l.
Cy p rus is less e x po s ed to Greece t han it was pri or to t he crisis in 2 0 13. Gre ece's depart ure from t he Euroz o ne is no lo n ger a sh ort - term risk and t he c o un try's grow th o u tl o ok has i m pro v e d. H o w e v er, Greece c o n ti nu es to face challe n ges and lo n g-term risks.
De v el o pme n ts in ot h er n o n-EU co un tries w ith wh ich Cy prus mai n tai ns sig n i f icant eco n omic li nks, t he unresol v ed Cy prus probl em, and poli t ical and soci al unrest or escalat ion of mil i tary co nf lict in n eig h b ori ng co un tries an d/or ot h er o v erseas areas may adversely aff ect t he Cy p r us eco n omy. Political risk remai ns at an ele vat ed le v el d ue to t he de facto di v isi on of t he island and t he p o te n ti al f or t e nsion wi th Turk ey o v er hy drocarbo ns e x plorat i o ns in C y prus' Excl usi ve Economic Z o ne (EEZ ).
Giv en t he abo v e, t he Gro up recog n ises t hat unf oreseen po l itical e v e n ts can have n egati ve e ff ects on t he fu l f ilme nt of co n tract ual relat io nsh ips and obl i gat ions of its customers and o t h er co un terpart i es, wh ich may have a sig n i f icant impact on t he Gro u p's acti v it i es, o p erati ng resu lts and posi t ion.
5 . Cap ital manag e ment
The primary objecti ve of the Gro u p's capital manageme nt is to e nsure comp l i a nce w ith t he rele vant reg u latory capital req u ire m e n ts and to ma i n tain stro ng cr ed it rati n gs and h ealt hy capital adeq uacy rat i os in ord er to su pport its b usi n ess and max imise shareh olders' val u e.
The capital adeq uacy frame w ork, as in f orce, was i ncorporat ed t hro u gh t he CRR and Capital Req u ireme n ts Direct i ve IV (CRD IV) a nd came i n to e ff ect on 1 January 2014 w ith certain sp eci f ied pro v isi o ns imp leme n t ed graduall y. The CRR and CRD IV transposed t he n ew capit a l, l iq u i d ity and le v e rage stan dards of Basel III i nto t he European Un io n's leg al framew ork. CRR establi s h es t he pru de n tial re q u ireme n ts f or capit a l, liq ui dity and le v erage f or cre d it i nst it uti o ns and i nv estme nt f irms. It is di r ectly a pp l icable in all EU memb er s tates. C RD IV go v erns access to de p osi t-tak i ng acti v it i es and i nt ernal go v ernance arran geme n ts i ncl u di ng remun e ratio n, board co m posi t i on and transpare ncy. U n li ke t he CRR, member stat es w ere re q u ired to transpose t he C RD IV i n to natio nal laws and it al l o w ed natio nal reg u l a tors to impo se add i tio nal cap ital b uff er req u ireme n ts.
On 27 Ju ne 2019, t he re v ised ru les on capital and liq u i d ity (CRR II a nd CRD V) came i n to f orce. As an ame n di ng reg u lat io n, t he e x isti ng pro v i s io ns of CRR appl y, un less t h ey are ame n ded by CRR I I. Memb er states are re q u ired to t ranspose t he CRD V i n to natio nal law. C ertain p r o v isio ns t o ok imme diate e ff e ct (primarily re lat i ng to Mi nimum Req u ireme nt f or Own Fun ds a nd E ligi b le L iabi l i ties, (MREL)), b ut most chan ges w ill start to ap ply from mi d-2021. C ert a in aspects of CRR II are depe n de nt on f i nal techn ical stan dards to be issu ed by t he E BA and ado p t ed by t he European C ommissio n. The k ey c han g es i n trod uced co nsist o f, amo ng ot h ers, chan ges to q uali fy i ng crite r ia f or CET1, AT1 and Tier 2 i nstrume n ts, i n trod uct i on of req u ire m e nts f or MREL and a bi n di ng Le v erage Ratio re q u ireme nt and a Net S table Fun di ng Ratio (NSFR).
5 . Cap ital manag e ment (co n ti nu ed)
I n addit i o n, t he Re g u lat ion (EU) 2016 / 445 of t he E CB on t he e x erc ise of o pt i o ns and discr et i o ns avail a ble in Un ion law (ECB/2016/4) pro v ides cer tain transi tio nal arran geme n ts wh ich su persede t he nat io nal d iscreti o ns un less t h ey are s tricter t han t he EU Reg u lation 20 1 6/445.
Moreo v er, in June 20 20 R eg u lat i on (EU) 2 0 20/8 73 came i nto f orce wh ich pro vi des f or cert a in ame n dme n ts in respo nse to t he COV I D-19 pan demic, b r i n gi ng f orw ard some of t he capi tal re li e v i ng measures t hat w ere d ue to c ome i n to f orce at a later st a ge and i n trod uci ng modi f icat i o ns as part of t he w ider e ff orts of comp ete nt au t h orit i es to p r o v ide t he su pport n ecessary to t he instit u t i o ns. The main adj ustme n ts aff ecti ng t he Gro u p's o wn fun ds as at 30 June 2020 re late to acce l erat i ng t he imp leme n t a t i on of t he n ew SME disco unt factor un der CRR II in J une 2020 i nst ead of June 2021 (lo w er RWAs), e x te n di ng t he IFRS 9 transit i o nal arran geme nts and i n trod uci ng furt h er relief measures to CET1 allo w i ng to fu lly add back to C E T1 any i ncrease in ECL reco g n i s ed in 2020 and 2021 f or n o n-credit imp a ired l oans a nd p hasi ng in t h is starti ng from 2022. In additio n, t he ame n dme n ts, i n trod uce t emporary tre a tme nt of unreali z ed gai ns and lo sses on e x posures to ce n tral go v ernme n ts, to re g io n al go v ernme n ts or to lo cal au t h orit i es measured at fair val ue t hro u gh ot h er compre h e nsi ve i nco me wh ich is e x pe c ted to be i m pl eme n ted by t he Gro up in t he
t h ird q uarter of 2 020. Lastly f i nalisat i on of chan ges on t he app l icat ion of pru d e n t ial tre a tme nt of so f t ware assets as ame n d ed by CRR II is e x pected in t he seco nd half of 2020 advanci ng t he the imple m e n tat ion to 2 0 20 i nstead of 2021.
The C ET1 ratio of t he Gro up at 30 June 2020 stan ds at 14 . 3% and t he total capit al rat io at 17 . 8% on a transit i o nal basis.
The mi n imum Pillar I to tal capit al req u ireme nt is 8 . 0% and may be met, in addit i on to t he 4 . 5% CET1 req u ireme n t, w ith up to 1 . 5% by A ddit i o nal Tier 1 capital and w ith up to 2 . 0% by Tier 2 capital.
The Gro up is also su bject to add i tio nal cap ital re q u ireme n ts f or risks wh ich are n ot co v ered by t he Pillar I
capital re q u ireme n ts (P i l lar II add-o ns).
Fol l o w i ng t he annual Su perv isory Rev iew and Eval uation Pr ocess (SREP) perf ormed by t he ECB in 20 19 t he Gro u p's mi n imum p hased in C ET1 capital ratio and Total Cap ital Ratio remai n ed unch a n ged f or 2 020 compared to 20 1 9, wh en ig n ori ng t he p hasi ng in of t he Ot h er Systemically Important Instit u tion (O S I I) b uff er. T he Gro u p's p hase d-in CET1 capital rat io was set to 1 1 . 0%, comp r isi ng a 4 . 5% Pil lar I req u ire m e n t, a
3 . 0 % Pi llar II req u ireme nt (P 2R), t he Capit al C o n s ervation Buff er of 2 . 5% (f u lly p hased-in as of 1 January
2019 ) and t he O-SII b u f f er of 1 . 0%.
The Gro u p's Total Capital req u ireme nt is 14 . 5%, c ompri s i ng an 8 . 0% Pillar I req u ireme nt (of wh ich up to
1 . 50 % c o u ld be in t he f o rm of A dd i t i o nal Ti er 1 capi tal and up to 2 . 0 0% in t he f orm of Ti er 2 capi tal), a 3 . 0% Pillar II req u ire m e n t, t he Capital C o nser vation Buff er of 2 . 5% and t he O-SII b uff er of 1 . 0%. The ECB h as also
p ro v id ed n on-p u blic g u id a nce f or an addit i o nal Pil lar II C ET1 b u f f er. The f i nal 2019 SREP deci s ion is e ff ecti ve from 1 January 2020.
I n A pril 2020, and f ol l o wing ECB and E BA an n o un c eme n ts on 12 March 20 20 in resp o nse to t he COV I D-19 o u tbreak, BOC P CL recei v ed an ame n di ng decisi on from t he ECB ame n di ng t he composi t i on of t he Pil lar II addi t io nal o wn fun ds req u ireme n t, al lo w i ng to use A ddi t io nal Ti er 1 (AT1) capital and Tier 2 (T 2) ca pi tal to meet Pi llar II Req u ireme n ts and n ot o n ly by CET1, compared to t he 2 019 final SREP decision recei v ed in December 2 019 wh ich re q u ired P2R to be met in fu ll w ith CET1. Th is decision is e ff ecti ve from 12 March 202 0. Th is bri n gs f orward a me asure t hat was s c h ed u led to come i n to f orce in Janu ary 2021 w ith CRD V. A s a resu lt of t h is ame n di ng de c isi o n, t he mi n imum p hased-in CET1 req u ireme nt decreas ed to 9 . 7%, co m prisi ng a 4 . 5% Pillar I req u ireme n t, a 1 . 7% Pillar II req u ireme n t, the Capital C o nserva tion Bu f f er (C C B) of 2 . 5% (fu lly p hased in as of 1 January 2019) a nd t he O-SII b u f f er of 1 . 0%. ECB 's capital easi ng m easures f or COVI D-19 i ncreased t he Gro u p's C ET1 b u f f er by 131 bp s . Th ere is no c h a n ge on t he Total Capital re q u ireme n t.
I n additio n, t he EBA f in al g u id e l i n es on SREP and su perv isory stress test i ng and t he S i n gle Su perv isory M echan ism's (S SM) 2018 SREP met h odo l ogy pro v ide t hat o wn fun ds h eld f or t he p urposes of Pil lar II Gu idance cann ot be used to m e et any ot h er cap i tal req u ireme n ts (Pi llar I, Pillar II re q u ire m e n ts or t he combi n ed b uff er req u ire m e n t), and t h ere f ore cann ot be used t w ice. In li ne w ith t he f i nal 2019 SREP decisio n, t h ese n ew pro v isio ns became e ff ecti ve from 1 January 202 0.
5 . Cap ital manag e ment (co n ti nu ed)
The Gro u p's mi n imum p hased-in CET1 capital ra tio f or 20 19 was 10 . 5 %, comprisi ng of 4 . 5% Pil lar I req u ireme n t, 3 . 0% Pi llar II req u ireme n t, CCB of 2 . 5% and O-SII b u f f er of 0 . 5 %. The ECB had also pro v ided n o n-p u blic g u idance f or an addit i o nal Pillar II C ET1 b uff er.
The Gro u p's mi n imum p hased-in Tot al cap ital rat io req u ire m e nt f or 2019 was 14 . 0%, c ompri s i ng of 8 . 0% Pillar I re q u ireme nt (of wh ich up to 1 . 5 0% co uld be in t he f orm of A dd i t i o nal Ti er 1 ca pit al and up to 2 . 0 0% in t he f orm of Tier 2 capital), 3 . 0% Pillar II req u ireme n t, C CB of 2 . 5% a nd O-S II b uff er of 0 . 5%.
The abo ve mi n imum ratios apply f or both BOC PCL a nd t he Gro u p.
The capital p osi t ion of t he Gro up and BOC PCL at 30 June 2020 e xceeds b oth t h eir Pil lar I and t h eir Pil lar II add-on capit al req u i r e m e n ts. H o w e v er, t he Pill ar II add-on capital re q u ireme n ts are a p o i n t-in-time assessment and t h ere f ore are su bject to chan ge o v er time.
The CBC, in accordance w ith t he Macropru de nt ial O v ersig ht of Instit u t i o ns Law of 2 0 15, se ts, on a q u arterly basis, t he C o un te rcyclical Capital Buff er (CC y B) le v el in accordance wi th t he met h o d ol o gy descri bed in t h is law. The C BC has set t he le v el of t he CCyB f or Cy p r us at 0% f or t he s ix mo nths up to 30 June 20 20 and t he y ear 2019. The CBC has also set t he le v el of t he CCyB f or Cy prus at 0% f or t he p eri od 1 Ju ly 20 20 to S eptemb er 20 2 0.
I n accordance w ith t he p r o v isio ns of t h is law, t he CBC is also t he respo nsib le au t h ority f or t he desi g nat i on of banks t hat are Ot h er Sy s temica lly Important Insti tu tio ns (O-SIIs) and f or t he set t i ng of t he O-SII b uff er req u ireme nt f or t h ese syst emically i m portant banks. BOC PCL h as been desi g nated as an O-S II and t he CBC set t he O-SII b u f f er f or B OC PCL and t he Gro up at 2.0%.
Th is b uff er is bei ng p hased in gradual l y, hav i ng started from 1 January 2019 at 0 . 5% and i ncreasi ng by 0 . 5% e v ery y ear t h ereaf ter, until b e i ng fu lly impleme nt ed (2. 0%). In A pril 2020, t he CBC decided to delay t he p hasi ng in (0. 5%) of t he O SII b u f f er on 1 January 20 21 and 1 January 20 22 by 12 mo n t hs. C o nseq u e n tl y, t he O S II b u ff er w ill be fu lly p hased in on 1 Jan uary 2023, i nstead of 1 January 2022 as ori g i nally set.
The i nsurance su bsidiaries of t he Gro up comp ly w i th t he req u ireme n ts of t he Su peri n te n de nt of Insu rance i ncl u di ng t he m i n imum so lv e ncy ratio. The reg u lat ed UCITS manageme nt company of t he Gro u p, BOC Asset Manageme nt Ltd c omp l ies w ith t he reg u lat ory capi tal req u ire m e n ts of t he Cy prus S ecurities and Exch a n ge C ommission (CySEC) laws and reg u latio ns as at 30 June 2020. The reg u lat ed i nv estme nt f irm (CIF) of t he Gro u p, The Cy prus I nv e s tme nt and S ecurities C o r porat ion Ltd (CISCO) lac ks be h i nd t he mi n imum i n iti al capital re q u ireme nt and t he addi t io nal capi tal co nser vation b uff er as at 30 Ju ne 2020 and 31 Decemb er 2019, wh ereas as at 30 Ju ne 2020 it al so f ell b e low t he mi n imum total capi tal rat io hurdle of CyS E C. A b usi n e ss and capital plan was su bmi tt ed to CySEC in December 20 19. CySEC has pro v ided C ISCO w ith a written e xt e nsion un til 31 De c ember 20 20 to co m ply w ith t he ca pital r eq u ire m
e n ts, as per its Su perv isory Rev i ew a nd Eval uation Pr ocess (SREP). 5 . Cap ital manag e ment (co n ti nu ed)
The capital po s it i on of t he Gro up and BOC PCL as at t he report i ng date (af ter appl y i ng t he transi ti o nal arran geme n ts) is present ed belo w:
Gro u p BOC PCL
3 0 J une 3 1 Decemb 3 0 J une 3 1 Decemb
2020 er 2020 er
201 9 5 2019 5
R egu latory cap ital EUR000 EUR000 EUR000 EUR000
Transitio nal C ommon E q u 1 , 909 , 1 , 869 ,
i ty Tier 1 (C ET1) 6 1 ,70 7,010 0 4 9 1 ,66 0,989 1 0 5
Transitio nal A dd i tio nal 220 , 0 0 220 , 0 0
Ti er 1 capital (AT1) 220 ,0 00 0 220 ,0 00 0
189 , 9 5 250 , 0 0
Tier 2 capital (T 2) 199 ,0 74 5 250 ,0 00 0
Trans itio nal total regu l 2 , 319 , 2 , 339 ,
ato ry cap ital 2 ,12 6,084 0 0 4 2 ,13 0,989 1 0 5
Risk w eig h ted assets - cre 10 ,6 1 11 , 547 10 ,6 0 11 , 518 ,
dit risk 7 7,4 84 , 3 0 3 2,9 25 9 3 2
Risk w eig h ted assets - o 1 , 342 , 1 , 255 ,
p erat i o nal risk 1 ,34 2,700 7 0 0 1 ,25 5,875 8 7 5
Total r i sk wei g hted as 11 ,9 6 12 , 890 11 ,8 5 12 , 774 ,
sets 0,1 84 , 0 0 3 8,8 00 8 0 7
% % % %
Transitio nal C ommon E q u
i ty Tier 1 ratio 14 .3 14 . 8 14 .0 14 . 6
Trans itio nal total cap ital
rat io 17 .8 18 . 0 18 .0 18 . 3
Gro u p BOC PCL
3 0 J une 3 1 Decemb 3 0 J une 3 1 Decemb
202 0 8 er 202 0 8 er
2019 8 2019 8
Fu lly l oaded % % % %
C o mmon E q u ity Tier 1 ratio 12 .6 13 . 1 12 .3 12 . 9
Total capi tal rat io 16 .3 16 . 5 16 .4 16 . 6
Duri ng t he pe r i od e n d ed 30 June 2020 t he CET1 was n egati v ely aff ect ed ma i n ly by t he p hasi n g-in of IFRS 9 transit i o nal adj ustme n ts on 1 January 202 0, t he d ecrease in reserves and E CL charge s, i ncl u di ng p r o visio ns recog n ised as a resu lt of t he an ticip a ted NPE sa le agre eme nt (Project H elix 2 ). Risk w e i g h ted assets mo v eme nt and pre-p r o v isi on i ncome had a po s i t i ve e ff ect on CET1 ratio. The recently i n tro d uced adj ustme n ts in respo nse to t he COVI D-19 pan de m ic, aff ected po s iti v e ly t he CET1 rat io t hrou gh i ncreasi ng t he IFRS9 add- back (dynamic compo n e n t) and by decreasi ng Risk Weig h ted Asse ts t hro u gh t he imp l eme n tat ion of t he n ew SME disco unt factor.
A s a resu lt of t he abo v e, t he C ET1 ratio decreased by c. 50 bps d uri ng t he six mo n t hs e n ded 30 June 2020.
A s part of t he re laxat i on measures f ol l o w i ng t he COVI D-19 o u tbreak, on 12 March 2020, t he ECB and t he EBA ann o u nced t hat banks are temporari ly allo w ed to o perate b e low t he le v el of capital de f i n ed by t he Pillar II Gu idance, t he Capital C o nserva tion Buff er a nd t he Co un tercyclical Buff er. In July 202 0, t he ECB commit t ed to allow banks to opera te b e l ow t he Pil lar II g u idance (P2G) and t he combi n ed b uff er req u ireme nt un til at least e nd of 2022, w it h o ut au t omatical ly trig g eri ng su perv isory actio n s.
( 5) As per the Annual Repo rt 2019 and Pillar III Disc losu res 2019.
( 6) CE T1 includes regu lato ry deduct ions, primar ily compr i s ing intang i b le assets amounting to EUR47,835 thousand as at 30 June 2020 ( 31 December 2019: EUR51,204 thousand). (7) Inc l udes Cr edit Valuat ion Adjustments ( C VA ).
( 8) I FRS 9 fully loaded.
5 . Cap ital manag e ment (co n ti nu ed)
The Gro up has elected to apply t he EU transit ional arran geme n ts f or reg u latory capit al p urposes (EU Reg u lat i on 2 0 17/23 95) wh ere t he impact on t he impairme nt am o unt from t he i n iti al app lica tion of IFRS 9 on t he capital rat ios is phased in graduall y.
The Gro up has elect ed in prior y ears to app ly t he static-d ynamic app r oach in relat ion to t he transi t io nal arran geme n ts f or t he i ni t ial app l icat i on of IFRS 9, p ursuant to EU Reg u lati on 2017/23 95 and it t h ere f ore appl i es paragra ph 4 of Art icle 4 73(a) of t he CRR. The 'S tatic-d ynamic' ap proach al l o ws f or reca lcu lat i on of t he transit i o nal adj ustme nt p erio d ically on S tage 1 and S tage 2 loans, so as to r e f lect t he i ncrease of t he ECL pro v isi o ns w it h in t he transit i on pe r iod. The S tage 3 ECL remai ns st a tic o v er the transit i on p eri od as p er t he impact u pon i n iti al recog ni tio n.
The amo unt added each y ear decreases based on a w eig ht i ng factor un t il t he impact of IFRS 9 is fu lly absorbed back to CET1 at t he e nd of t he f i ve y ears. The impact on t he capit al posi tion f or t he y ear 2 0 18 was
5 % of t he impact on t he impairm e nt amo un ts from t he i ni tial app l icat ion of IFRS 9, i ncreasi ng to 1 5% (cumu lati v e) f or t he y ear 2019 and to 3 0% (cumu lati v e) f or t he y ear 2020.
Fol l o w i ng t he June 2020 ame n dme n ts to t he CRR, the Gro up applied t he ame n dme n ts in relat i on to t he IFRS
9 transit i o nal arran geme n ts f or S tage 1 and S tage 2 loans (i . e. t he d ynamic compo n e n t) wh ich pro v ide f or t he e x te nsion of t he transi tio nal peri od f or t he d ynamic comp o n ent. A 100% a dd back of IFRS 9 pro v isi ons is allo w ed f or t he y ears 2 020 and 2 0 21 re d uci ng to 7 5% in 2 022, to 50% in 2 023 and to 25% in 2 0 24. The
calcu lation at each re p orting peri od is to be ma de agai nst S tage 1 and S tage 2 p r o v isi o ns as at 1 January
2020 , i nstead of 1 January 2018. The calcu lation of t he static compo n e nt has not been ame n de d.
I n relation to t he t e mporary treatme nt of unreali z ed gai ns and losses f or certain e x posures measured at fair val ue t hro u gh ot h er compre h e nsi ve i ncome as descr ibed earl i er in t h is S ect io n, Reg u lation 2 0 20 /8 73 all o ws i nstit ut io ns to r emo ve from t h eir CET1 t he am o unt of unreali z ed gai ns and loss es accumu lated si n ce 31
December 2 0 1 9, e xcl u di ng f or t h o se f i nancial ass ets t hat are cre d i t-imp a ired. The re l e vant amo unt is
remo v ed at a scali ng factor of 100% from January to Decemb er 2020, red uced to 7 0% from January to December 20 21 and to 4 0% from January to De c ember 2 022. The Bank e x pects to app ly t he t emp orary treat m e nt starti ng 3Q2 02 0. As a resu lt, as at 30 J une 2020, o wn f u n ds, capital and le v erage ratios re fl ect t he fu ll impact of unreali z ed gai ns and losses measured at fair val ue t hro u gh ot h er compre h e nsi ve i ncome.
5 . Cap ital manag e ment (co n ti nu ed)
Temp late on t he co mp a r i son of i nstitutio n s' o wn f u n ds a nd ca p ital and leverage rat ios w ith and w ith o ut the app licat ion of trans itio nal arran g e ments f or IFR S9 or a nalog o us E CLs
3 0 June 3 1 March 3 1 D ecember 3 0 S e p 3 0 June
2 0 2 0 2 0 2 0 2 0 1 9 * t ember 2 0 1 9*
* * 2 0 1 9* * *
EUR 0 0 EUR 0 0 EUR 0 0
0 0 EUR 0 0 0 EUR 0 0 0 0
Comm on Equity
Tier 1 (CET 1) 1 ,7 07 1 ,8 06 , 1 ,9 09 , 1 ,9 74 , 1 1 ,9 69 ,
1 capital , 0 10 9 2 6 0 4 9 5 3 1 2 9
CET1 capital as
if IF RS 9 or anal
o g o us ECLs t
r ansiti o nal
a rr an gements
h ad n ot been 1 ,4 79 1 ,5 90 , 1 ,6 46 , 1 ,7 11 , 6 1 ,7 06 ,
2 applied , 4 50 7 8 6 5 9 3 9 8 6 7 3
1 ,9 27 2 ,0 26 , 2 ,1 29 , 2 ,1 94 , 1 2 ,1 89 ,
3 Ti er 1 capital , 0 10 9 2 6 0 4 9 5 3 1 2 9
Ti er 1 capital
as if IF RS
9 or anal o g o
us ECLs t r ansiti
o nal a rr an gements
h ad n ot been 1 ,6 99 1 ,8 10 , 1 ,8 66 , 1 ,9 31 , 6 1 ,9 26 ,
4 applied , 4 50 7 8 6 5 9 3 9 8 6 7 3
2 ,1 26 2 ,2 27 , 2 ,3 19 , 2 ,3 91 , 4 2 ,3 89 ,
5 T o ta l capital , 0 84 5 7 5 0 0 4 3 6 7 5 5
T o ta l capital
as if IF RS 9 or
anal o g o us ECLs
t r ansiti o nal
a rr an gements
h ad n ot been 1 ,9 17 2 ,0 28 , 2 ,0 75 , 2 ,1 48 , 1 2 ,1 46 ,
6 applied , 5 32 4 2 8 4 1 8 0 7 8 8 8
R isk-w e igh t ed asse ts
T o ta l r isk
-weighted asse 11 , 9 6 12 , 5 9 12 , 8 9 0 13 , 7 5 7 13 , 9 6
7 ts 0 ,184 8 ,7 9 2 ,0 0 3 ,7 0 0 2 ,0 6 8
T o ta l r isk
-weighted asse
ts as if IF RS
9 or anal ogo us
ECLs t r ansiti
o nal a rr an gements
h ad n ot been 11 , 7 3 12 , 3 6 12 , 6 0 7 13 , 4 7 1 13 , 6 7
8 applied 2 ,624 8 ,5 3 0 ,2 6 7 ,0 3 5 6 ,3 3 7
5 . Cap ital manag e ment (co n ti nu ed)
3 0 June 3 1 March 3 1 D ecember 3 0 S e p 3 0 June
2 0 2 0 2 0 2 0 2 0 1 9 * t ember 2 0 1
* * 2 0 1 9* 9* *
*
EUR 0 0 EUR 0 0 EUR 0
0 0 EUR 0 0 0 EUR 0 0 0 0 0
C apital rat ios
CET1 (as a pe rcentage
of r isk exposu 14 . 1
9 re a m o unt) 14 . 3% 14 . 3% 14 . 8 % 14 . 3 % %
CET1 (as a pe rcentage
of r isk exposu
re a m o unt) as
if I FRS 9 or anal
o g o us ECLs t
r ansiti o nal a
rr an gements h 12 . 5
10 ad n ot been applied 12 . 6% 12 . 9% 13 . 1 % 12 . 7 % %
Ti er 1 (as a pe
rcentage of r isk
exposu re a m o 15 . 7
11 unt) 16 . 1% 16 . 1% 16 . 5 % 15 . 9 % %
Ti er 1 (as a pe
rcentage of r isk
exposu re a m o
unt) as if I FRS
9 or anal o g o
us ECLs t r ansiti
o nal a rr an gements 14 . 1
12 h ad n ot been applied 14 . 5% 14 . 6% 14 . 8 % 14 . 3 % %
T o ta l capital
(as a percentage
of r isk ex p osure 17 . 1
13 a m o unt) 17 . 8% 17 . 7% 18 . 0 % 17 . 4 % %
T o ta l capital
(as a percentage
of r isk ex p osure
a m o unt) as if
IF RS 9 or anal
o g o us ECLs t
r ansiti o nal a
rr an gements had 15 . 7
14 n ot been a pplied 16 . 3% 16 . 4% 16 . 5 % 15 . 9 % %
L e v er age rat io
L ev e r age r atio 21 , 8
t o tal ex p osure 21 , 2 1 20 , 3 1 21 , 0 7 5 21 , 0 8 8 7 3 ,6
15 measure 9 ,766 6 ,6 02 ,5 1 1 ,0 2 0 6 9
10 . 0
16 L ev e r age r atio 9 .1% 10 . 0 % 10 . 1 % 10 . 4 % %
L ev e r age r atio
as if IF RS 9 or
anal o g o us ECLs
t r ansiti o nal
a rr an gements
had n ot been a
17 pplied 8 .1% 9 . 0 % 8 . 9 % 9 . 3 % 8 . 9 %
* As per t he f i nal capital reg u latory su bmissi on.
** A s per t he f i nal capital r eg u latory su bmissi on, e xcl u di ng i n terim pro fi ts .
The main dri v ers be h i nd t he decrease in RWAs arise from credit risk and t h ey relate to (a) i ncreased pro v isi o n i n g, set t leme n ts/repayme n ts and curi ng in NPEs and reg u latory h igh risk e x posure class es in customer loans; (b) t he impl eme n tat ion of t he CRR II S ME Disco unt Fac t or (SMEDF) f ollo w i ng t he June
2020 C RR ame n dme nt wh ich e x pan ded t he pop u lat ion of perf ormi ng e x posures t hat be n e f it from lo w er RWAs and also re v ised t he disco unt factor applies to such e x posures resu lti ng in a red uction of RWAs of c380mi ll i o n;
and (c) t he red uct i on in balance sh eet val u es of ot h er assets. The i ncrease in CCR RW As deri v es from
i n creased deri vat i ve e x po s ures.
The i ncrease in t he l e v era ge rat io t otal e x p osure measure f ol l o ws t he m o v eme n ts in t he Gr o u p's balance sh eet
assets.
CE T1 is n egati v ely aff ected mai n ly by t he p hasin g-in of IFRS 9 transiti onal adj ustme n ts, decrease in re val uation reserves and E CL charge s.
Tak en i n to acco unt t he abo v e, t he o v erall l e v erage rati o, wh ich is w ell abo ve the mi n imum ratio set at 3% by t he ame n ded CRR w i ll be e ff ecti ve on 28 June 20 21, has decreased in t he six mo n t hs e n d ed 30 June 2 020 compared to 31 Decem ber 2019.
6 . Leverage rat io
A ccordi ng to CRR Article 429, t he le v erage rat io, e x pressed as a percen tage, is calcu lated as t he ca pi t al measure di v ided by t he t otal e x posure measure of t he Gro u p.
The le v erage ratio of t he Gro up is presented b e lo w:
3 0 J une 3 1 Decemb
2020 er
201 9
Trans itio nal bas is EUR000 EUR000
2 , 129 ,
C apital measure (Tier1) 1 ,92 7,010 0 4 9
21 ,2 1 21 , 075
Total e x posure measure 9,7 66 , 5 1 1
Le v erage rat io (%) 9 .1 10 . 1
IFRS 9 f u l ly l oaded
1 , 866 ,
C apital measure (Tier1) 1 ,69 9,450 5 9 3
21 ,0 8 20 , 859
Total e x posure measure 4,8 37 , 3 7 1
Le v erage rat io (%) 8 .1 9 . 0
The i ncrease in t he 'Total e x posure measure' f ollo ws t he mo v eme n ts in t he Gro u p's balance sh eet ass ets.
The 'Capital measure (T ier1)' is n egat i v ely aff ected mai n ly by t he p hasi n g-in of IFRS 9 transitio nal adj ustme n ts, decrease in re val uation reserves and E CL charges.
7 . Internal Cap ital Adeq uacy As ses sment Pr oce ss (ICAAP), Inter nal Li qu i d ity As ses sment
Process (ILAAP), Pillar II and Supervis ory Rev iew and Evaluat ion Pro cess (S R EP)
The Gro up prepares t he I C AAP a nd ILA AP reports annuall y. B oth reports f or 2019 w ere appro v ed by t he B oard of Dire c tors and su bmi tt ed to t he ECB on 30 A pril 2020. Due to t he timi ng of t he t wo r epo r ts, t he b usi n ess plans and IC A AP a nd ILAAP stress scenarios have n ot b een u pdated to re f lect the impact of t he COV I D-19 in li ne w ith rele vant su perv isory commun ication on t h is issu e; h o w e v er t he COVI D-19 prelimi nary est imated impact on capit al and l iq u id i ty (based on scenarios) has been comme n t ed in t he ICAAP a nd ILAAP re p o r ts un der a separate sectio n.
B ased on t he e nd of December 2 019 ICAAP, B OC P CL has suff icie nt capit al t hro u g h o ut t he t hre e-y ear h ori z on to e nab le it to c omply with all reg u l a tory rat ios, b o th in t he base and adverse scenario, un der t he n ormati ve approach. Un der t he eco n omic persp ecti v e, a small capital sh ort fall arises in the adverse scenario, in 2 022, wh ich h o w e v er can be n eutralised by available mi tig a n ts.
The Gro up has prepared a re v iew of i ts ICAAP, w ith re f ere nce date 31 March 2020, bas ed on t he r e f orecast plan, su bmitt ed to t he Board of Dire c tors in June 2020. Th is re v iew i n dica t es t hat BOC PCL has s uff i c ie nt capital t hro u g h o ut t he t h r e e-y ear h ori z on to e nab le it to c omp ly w ith all re g u latory rat i os, b oth in t he base and adverse scenario, under t he n ormati ve appro ach. U n der t he eco n omic perspect i v e, a capital short fall arises in t he adverse sce nario, in 2 0 21 and 2 0 22. Eco n omic cap it al w i ll be close ly mo ni to r ed to e nsure suff icie nt mitigat i ng actio ns w o u ld be in place to be used in case su ch scenario r ealises.
The Gro up also u n dertak es a q uarterly re v iew of its ICA AP resu lts (as at t he e nd of J une a nd as at t he e nd of S eptemb er) co nside r i ng t he latest act ual and f orecas ted i nf ormat io n. Duri ng t he q uarterly re v ie w, t he Gro u p's risk pro f ile and risk manag eme nt po l icies and process es are re v ie w ed and any c han ges si nce t he a n n ual I CAAP e x ercise are tak en i n to co nsiderat io n.
7 . Internal Cap ital Adeq uacy As ses sment Pr oce ss (ICAAP), Inter nal Li qu i d ity As ses sment Process (ILAAP), Pillar II a nd S u pervi sory Review and Evaluat i on P roce ss (S R E P) (co n ti nu ed)
The Gro up also un dertak es a q uarterly re vi ew f or the ILAAP t hro u gh q uarterly stress te s ts su bmi t ted to t he ALCO and t he Risk C omm i tt ee of t he B oard of D ire c t ors. Duri ng t he q uarterly r e v ie w, t he l iq u i d ity r isk driv ers are assessed an d, if n ee d ed, t he stress test assu m pt i o ns are ame n ded acco r di n gl y. Any material chan ges si nce t he y ear-e nd are ass essed in terms of liq u i d it y. The q uarterly r e v iew i de n ti f ies wh et h er t he Gr o up h as an adeq uate l iq u i d ity b uff er to co v er t he st r ess o u t f l ows. T he Gro u p's ILA AP a nal ysis demo nstrates t hat t he v ol ume and capacity of liq u idity reso urces available to t he Gro up are a deq uate.
The E C B, as part of its su perv isory ro le, has been co n d ucti ng t he SREP and o nsite i nspect io ns on t he Gro u p. SREP is a h olistic ass essm e nt o f, amo n gst ot h er t h i n gs, t he Gro u p's b usi n ess mod e l, i n ternal go v ernance and i nstit ut ion-w ide co n t r ol arran geme n ts, risks to capit al and adeq uacy of capital to co v er t h ese risks and ri s ks to liq u i d ity and a deq uacy of l iq u id i ty re s o urces to co v er t h ese r isks. The ob j ect i ve of t he SREP is f or t he ECB to f orm an u p-to-date su pe r v isory v iew of t he Gro u p's risks and v iability and to f orm t he basis f or s u perv isory measures and dial o g ue w i th t he Gro u p. A ddi t io nal capital and ot h er re q u ire m e n ts co u ld be imp osed on t he Gro up as a resu lt of t h ese su perv isory pro c esses, i ncl u di ng a re v i s ion of t he l e v el of P illar II add-o ns as t he Pillar II add - o ns capi tal r eq u ireme n ts are a p oi n t-in-time assess m e nt and t h ere f ore su bject to chan ge o v er time.
The Gro up was to partici pate in t he ECB S R EP stre ss test of 2 0 20 wh ich was launch ed in Ja nuary 2020 and was to be co ncl u d ed by e nd of Ju ly 20 2 0. H o w e v er d ue to t he o u tb r eak of COVI D -19 and i ts g lob al spread, EBA decided to post po ne un til 2 0 21 t he E U-w ide Stress Test Ex ercise of 2 0 20 to a l l ow banks to f ocus on and e nsure co n ti nu ity of t h e ir c ore operat io ns. For 20 2 0, the EBA w ill carry o ut an addi t io nal E U-w i de transpar e ncy e x ercise in order to p r o v i de u pdat ed i nf ormat ion on banks' e x posures and ass et q ual i ty to mark et part ici pan ts. The E CB a nn ou nced t hat it su pports t he deci s ion of EBA to post p o ne t he stress tests e x erci se and w ill e xt e nd t he post p o n eme nt to all b a nks s u bject to t he 20 20 st r ess test.
8 . Oth er Pillar III d i sclos u res 8 .1 N on-perfo r m i ng exp o su res
The tables b e low discl ose NPEs based on t he de f i n it i o ns of t he EBA stan dards. The de f i n ition of cred it i mpaired
lo ans (S tage 3) is alig n ed to t he EBA NP Es de f i n ition (S ection 1 'Credit risk').
A ddi t io n al d e tails on t he d e f i n it i on of NPEs are disclosed in Note 2 . 1 9 .2 of t he An n ual Co nsolidated Fi nancial
S t ateme n ts f or t he y ear e n ded 31 De c ember 2 0 19.
The tables be l ow are prese n ted usi ng f ig ures per t he C o nsolid a ted C o n de nsed In terim Fi nancial S tateme n ts f or t he six mo n t hs e n ded 30 June 2 0 20 and t he A n nual C o nsolid a ted Fi nancial S t a teme n ts f or t he y ear e n d ed 31
December 2 0 19, i ncl u di ng loans and advances to customers at amo r tised co st classi f ied as h eld f or sale and loans and advances to cu s tomers measured at fair val ue t hro u gh pro f it or loss.
8 . Other Pillar III d i sclos u res (co n ti nu ed) 8 .1 N on-perfo r m i ng exp o su res (co n ti nu ed)
Cr edit quality of perfo r m i ng and non - perfo r m i ng exp o s u res by p a st d ue days
Gross carrying a mou n t/No minal amou nt
Pe rfor ming expos ures Non-perfor ming expos ures
Not past Unlikely P ast
d ue or P to pay th P ast P ast d ue P ast P ast P ast Of whic
past d ast at are d ue d ue > 1 d ue d ue d ue h: de
ue d ue not > >1 8 year > 2 > 5 > 7 fault
<= 3 0 > 3 past -d 9 0 0 <= 2 years years years ed
days 0 ue or are days days years <= 5 <= 7
days Past d ue <= 1 <= 1 years years
<= 9 <= 9 0 8 0 year
3 0 J une 2 0 days days
0 20 days
Loans a nd
advance EUR0 0 EUR0 0 EUR0 EUR0 EUR0 0 EUR0 EUR0 EUR0 EUR0 EUR0 EUR0 EUR0 0
s 9 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Cen tral ban 5 ,1 60
ks , 549 5,160,549 - - - - - - - - - -
General g ov
ern m 57 , 66
ents 6 57,666 - - - - - - - - - -
C re d it i
n s t
itutio
ns 62 2 ,052 622,052 - - - - - - - - - -
O ther f i
nan c i
al corp 14 ,
orat i o ns 11 0 ,784 110,780 4 71 5 1,435 - 2 10,730 75 461 2,012 14,715
No n - f i n
an c i
al c 4 ,8 44 93 9
orporations , 182 4,837,381 6,801 ,658 384,375 9,555 36,928 50,028 88,707 111,468 258,597 939,658
O f w h i ch 3 ,6 12 66 5
SMEs , 497 3,605,795 6,702 ,190 133,436 9,438 36,928 49,935 88,658 104,843 241,952 665,190
H o u s eh o 4 ,0 01 1 ,5
l ds , 306 3,995,781 5,525 84 , 634 196,503 24,074 78,944 134,528 381,997 269,381 499,207 1,584,634
14 , 79 14 , 78 12 , 2 ,5 33 , 11 5 19 5 47 0 38 1 75 9 2 ,5 39
6 ,539 4 ,209 33 0 39 , 007 58 2 ,313 62 9 ,874 ,286 ,779 ,310 ,816 , 007
Loans a nd
advances
to c u s t
o mers cla
ss i fied
as h eld 13 , 26 13 , 26 92 8 88 , 31 14 , 62 , 17 5 15 1 13 7 29 9
for sale 9 9 9 - ,871 8 13 2 22 9 ,263 ,583 ,952 ,394 92 8 ,871
Debt s e c
uri ties
Cen tral ban - - - - - - - - - - - -
ks
General g ov
ern m 1 ,0 70
ents , 384 1,070,384 - - - - - - - - - -
C re d it i
n s t
itutio
ns 47 7 ,698 477,698 - - - - - - - - - -
O ther f i
nan c i
al corp
orat i o ns 25 1 ,208 251,208 - - - - - - - - - -
No n - f i n
an c i
al c
orporations 6 ,7 54 6,754 - - - - - - - - - -
1 ,8 06 1 ,8 06
, 044 , 044 - - - - - - - - - -
O f f bala
nce sh
eet expos
ures
Cen tral - - -
Bank
General g ov
ern m
ents 9 ,8 00 - -
C re d it i
n s t
itutio 40 , 98
ns 3 - -
O ther f i
nan c i
al corp 13 , 35 1 ,0
orat i o ns 0 83 1,083
No n - f i n
an c i
al c 1 ,6 36 17 3
orporations , 033 ,739 173,739
H o u s eh o 11 ,
l ds 67 3 ,894 34 3 11,343
2 ,3 74 18 6
, 060 ,165 18 6 ,165
16 , 60
18 , 98 3 , 5 2 12 , 3 ,6 67 0 ,6 47 , 17 8 37 0 62 2 51 9 1 ,0 3 ,6 54
T otal 9 ,912 2 33 0 54 , 043 31 76 1 ,103 ,549 ,362 ,262 59 , 210 , 043
( 9 ) Amo u nts pr e s en t ed are b ef ore fair val ue ad j ustm e nt on i n i t ial r eco g n i t i on r elat i ng to t he l oans and ad vances to cu st o m e rs acqu i r ed as p art of the acqu i s i t ion of ce rtain op e rat i ons of Lai ki Ba nk in 2013 a nd or i g i nat ed cr e d it i mpai r ed l oans.
8 . Other Pillar III d i sclos u res (co n ti nu ed) 8 .1 N on-perfo r m i ng exp o su res (co n ti nu ed)
Cr edit quality of perfo r m i ng and no n - perfo r m i ng exp o s u res by p a st d ue days (co n ti nu ed)
G ross carrying amo unt/Nomin al amo unt
P erforming expo sures No n -performing expo sures
No t pa Un
st due P a s likely P a s P a s P a P a s P a s P a Of whic
or pa st t due to pay t due t due s t t due t due s t h: defa
due > 3 0 th > 90 > 18 due > 2 > 5 due ulted
<= 3 0 da ys at are da 0 da > 1 years years > 7
da ys <= 9 n ys <= ys year <= 5 <= 7 years
0 da ys ot pa 180 <= 1 <= 2 years years
st- da year years
due or ys
are
P a s t
3 1 due
December <= 9 0
2 0 19 da ys
Loa ns a
nd adv a EUR0 0 EUR0 0 EUR0 EUR0 EUR0 0 EUR0 EUR0 EUR0 EUR0 EUR0 EUR0 EUR0 0
n ces 10 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Ce n t r
al ban 4 ,9 0
ks 8,4 87 4,908,487 - - - - - - - - - -
Gener al
go ver n 56 ,9
ments 20 56,920 - 1 - - - - 1 - - 1
Cred it
inst it
ut 320 ,
i o ns 9 5 3 320,953 - - - - - - - - - -
O th er f
i n a n
c
i al
corporat 96 ,8 27 ,4
i o ns 84 96,822 62 59 1,442 1 16,971 102 251 7,994 698 27,459
No n- f
in an c
i al 1 ,3
corporat 4 ,8 8 8 2,0
i o ns 9,0 81 4,877,311 11,770 74 483,598 35,244 86,941 84,300 148,926 240,548 302,517 1,382,074
1 ,0
O f which 3 ,5 8 7 3,8
SMEs 9,1 48 3,577,378 11,770 46 201,038 35,221 86,937 84,147 144,341 236,608 285,554 1,073,846
2 ,2
H o u se 3 ,9 0 8 5,9
h o lds 6,5 07 3,889,848 16,659 98 365,164 81,407 154,657 181,264 511,019 440,291 552,196 2,285,998
3 ,6 265 855
14 ,1 14 ,1 28 ,4 9 5,5 850 , 2 116 , 258 , , 6 6 660 , 688 , , 4 1 3 ,6 9
78 , 832 50 , 341 91 32 0 4 6 5 2 5 6 9 6 1 9 7 8 3 3 1 5,5 32
Loa ns a
nd adv a
n ces to
c
ustomers
cla
ssified
as held
for s a 183 , 1 ,2 4 ,1 54 ,3 118 , 183 ,
le 10 990 990 - 9 7 4 5 ,3 00 42 25 - 71 9 3 6 - 9 7 4
D ebt sec
urities
Ce n t r
al ban 13 ,4
ks 16 13,416 - - - - - - - - - -
Gener al
go ver n 933 ,
ments 2 9 4 933,294 - - - - - - - - - -
Cred it
inst it
ut 521 ,
i o ns 5 9 6 521,596 - - - - - - - - - -
O th er f
i n a n
c
i al
corporat 264 ,
i o ns 3 4 7 264,347 - - - - - - - - - -
No n- f
in an c
i al
corporat
i o ns 6 ,8 49 6,849 - - - - - - - - - -
1 ,7 3 1 ,7 3
9,5 02 9,5 02 - - - - - - - - - -
O ff bala
n ce
sheet
ex p o
sures
Ce n t r - - -
al Bank
Gener al
go ver n 13 ,2
ments 82 - -
Cred it
inst it
ut 51 ,5
i o ns 69 - -
O th er f
i n a n
c
i al
corporat 18 ,2 1 ,0
i o ns 94 86 1,086
No n- f
in an c
i al
corporat 1 ,6 0 221 ,
i o ns 2,5 74 8 4 8 221,848
H o u se 704 , 8 ,6
h o lds 7 5 2 03 8,603
2 ,3 9 231 , 231 ,
0,4 71 5 3 7 5 3 7
4 ,1 265 855
18 ,3 15 ,8 28 ,4 1 1,0 855 , 5 117 , 262 , , 6 6 714 , 807 , , 4 1 4 ,1 1
To t al 09 , 795 90 , 833 91 43 0 4 8 9 4 6 9 4 6 5 6 8 7 6 9 1 1,0 43
Th e NPEs at 30 J une 2020 am o u nted to EUR3,468 millio n, c o mpared to EUR3,880 million at 31 De c em b er 2019, ref l e c t i ng a reduct i on of 11%, de s p ite the COV I D -19 lockdown in March 2020, m a i n ly dr i ven by the c o m p l e t i on of Proje ct Veloc i ty 2 and organ ic reduct i on of EUR279 millio n. The reducti on in gro ss l oans and advan c es to c u sto m ers by 2% s i n ce 31 De c e mber 2019 is at tributed m a i n ly to the c o m p l e t i on of Proje ct Ve l o c i ty 2 (s a le of EUR133 milli on of gross l oan s) and repay m ents. New l oans o r i g i nated and dra w d o wns of ex i s t i ng f a cili t i es dur i ng 20 20 amo unted to EUR571 million c o m pared to EUR1,008 million f or the six mo nths ended 30 J une 2019 (down by 33 % ). The reduct i on in new loans f oll o ws the re str i c t i ve m easures as a re s u lt of the o utbreak of COV I D -19. The m o v e m ent of l oans and advan c es to c u sto m ers is d i sc l o s ed in N ote
29.6 of the C o n s olidated C o nden s ed I nte r im F i nan c i al State m ents of the C o mpany f or the s ix mo nths ended 30 J une 2020.
( 10 ) Amo u nts pr e s en t ed are b ef ore fair val ue ad j ustm e nt on i n i t ial r eco g n i t i on r elat i ng to t he l oans and ad vances to cu st o m e rs acqu i r ed as p art of the acqu i s i t ion of ce rtain op e rat i ons of Lai ki Ba nk in 2013 a nd or i g i nat ed cr e d it i mpai r ed l oans.
8 . Other Pillar III d i sclos u r es (co n ti nu ed) 8 .1 N on-perfo r m i ng exp o su res (co n ti nu ed)
Per f orm i ng a nd n o n-p e r f orm i ng exp o s ures a nd related provi s io ns
Gross carrying am ount/no minal am A c c umulated impairment, a
ount ccumulated negative chang es in
fair value due to credit risk
and pro visi ons
Performing exp N on-performing
Performing exp osures N on-performing osures - accumulated exp osures- accumulated
exp osures impairment and impairment, ac
pro visions cumulated
negative changes
in fair val ue C ollateral and
due to f inan c ial
c redit risk and guarantees
pro visi ons received
O f whi O f Of O f O f O f O O f A c c O n per O n non-
ch stage whi ch whi whi ch whi ch whi f whi whi ch umulated forming perf
1 stage ch stage stage ch stage ch stage partial exposures orming
30 June 2 stage 3 1 2 stage 3 write exposures
2020 2 2 off
EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000
Loans and
advances 11
5 , 1 5 , 1
C e n t ral 6 0 , 6 0 ,
ba n ks 5 4 9 5 4 9 - - - - - - - - - - - - -
G e n eral
gover n 3 , 3 ,
men 57 , 6 6 , 1 51 , 2 6 2 5 51 , 7 1
ts 6 6 1 1 5 5 5 - - - 4 10 4 - - - 4 8 7 9 -
C red it i
n s t i t 6 2 2 6 2 2
u , 0 5 , 0 5
t i ons 2 2 - - - - 92 92 - - - - - - -
O t h er fi
n anci al
Co rporat 1 1 0 5 , 2 ,
i , 7 8 68 , 9 41 , 14 , 14 , 8 1 3 , 5 2 7 10 , 10 , 12 , 9 80 , 9 4 4 , 3 0
ons 4 8 1 8 0 3 7 1 5 - 7 1 5 8 4 6 2 2 8 6 - 2 8 6 0 3 1 1
No n - fi n
anci al
Co rporat 4 , 8 3 , 7 9 3 9 8 2 3 81 , 24 , 4 7 8 4 3 7 5 1 5 4 , 2 6
i 4 4 , 4 0 ,6 8 9 5 , 6 5 , 5 5 8 8 57 , 8 5 , 6 4 , 9 7 , 9 4 7 , 3 5 3 6 8 ,
ons 1 8 2 86 ,2 72 8 - 6 3 0 2 4 9 7 - 5 5 0 1 1 6
3 , 6 2 , 8 7 1 6 6 6 6 69 18 3 8 3 8 4 8 1 3 , 2 5
O f w hi ch 1 2 , 9 4 , 7 , 7 5 , 1 5 , 1 , 6 50 , , 9 7 , 6 7 , 6 , 5 6 5 , 3 8 2 6 6
S MEs 4 9 7 7 6 8 2 4 9 0 - 9 0 8 7 0 9 8 6 7 2 8 - 2 8 8 6 , 4 1 5
4 , 0 3 , 0 1 , 5 1 , 5 64 , 8 0 4 8 0 4 8 8 7 3 , 5 6
H o u s eh 0 1 , 5 5 , 9 3 5 8 4 , 8 4 , 1 6 42 , 22 ,0 , 6 4 , 6 4 , 4 4 8 , 0 9 7 5 9 ,
o l ds 3 0 6 9 6 4 ,4 56 6 3 4 - 6 3 4 1 0 9 2 69 6 - 6 4 1 4 1 5
14,796,539 12,654,343 1,924,086 2,539,007 - 2,422,905 155,218 102,764 52,454 1,293,579 - 1,252,907 1,416,779 7,968,101 1,131,832
Loans and
advances
to
customers
c
lassi f
ied
as held
for
sal e 11 13,269 3,050 10,219 928,871 - 928,871 6,332 1,283 5,049 574,156 - 574,156 674,521 6,540 347,465
Debt
securities
C e n t ral - - - - - - - - - - - - - - -
ba n ks
G e n eral
gover n 1 , 0 1 , 0 1 ,
men 7 0 , 2 0 , 50 , 5 9 1 , 3 2 5
ts 3 8 4 0 4 6 3 3 8 - - - 4 4 1 3 - - - - - -
C red it i
n s t i t 4 7 7 4 7 7
u , 6 9 , 1 9
t i ons 8 8 - - - - 29 29 - - - - - - -
O t h er fi
n anci al 2 5 1 2 2 7
corpora , 2 0 , 3 2 1 3
ti o ns 8 1 - - - - 0 1 3 0 - - - - - - -
No n - fi n
anci al
corpora 6 , 7 6 , 7
ti o ns 5 4 5 4 - - - - 1 1 - - - - - - -
1,806,044 1,731,319 50,338 - - - 1,754 1,501 253 - - - - - -
Off -bal
ance-sheet
exposures
C e n t ral - - - - - - - - - - - - - - -
ba n ks
G e n eral
gover n
men 9 , 8 9 , 8 5 , 5 9
ts 0 0 - 0 0 - - - - - - - - - - 3 -
C red it i
n s t i t
u 40 , 9 40 , 9
t i ons 8 3 8 3 - - - - - - - - - - - - -
O t h er fi
n anci al
corpora 13 , 3 1 , 7 11 , 1 , 0 1 , 0 8 , 9 5
ti o ns 5 0 7 0 5 8 0 8 3 - 8 3 3 - 3 - - - - 3 4
No n - fi n
anci al 1 , 6 1 , 0 5 6 5 1 7 3 1 7 3
corpora 3 6 , 7 0 , , 6 0 , 7 3 , 7 3 5 2 3 8 17 , 17 , 8 6 4 , 9 , 6 7
ti o ns 0 3 3 4 2 6 7 9 - 9 1 1 3 7 4 1 5 3 - 1 5 3 - 8 5 6 3
6 7 3 4 4 2 2 3 1
H o u s eh , 8 9 , 8 3 , 0 5 11 , 11 , 1 8 9 , 2 , 5 4
o l ds 4 6 8 3 4 3 - 3 4 3 17 2 15 - - - - 6 7 4 6
2,374,060 1,556,015 818,045 186,165 - 186,165 541 139 402 17,153 - 17,153 - 1,069,076 12,223
T otal 18,989,912 15,944,727 2,802,688 3,654,043 - 3,537,941 163,845 105,687 58,158 1,884,888 - 1,844,216 2,091,300 9,043,717 1,491,520
( 11 ) A mou n ts pre s e nt ed are be fore f air value a d j u s t m e nt on initial recog n i tio n. T he f air va l ue ad j u s t m e nt on i nitial recog nition rela t es to the loa ns and adva nces to c u s t o m ers acq uired as part of t he acq u i sition of cert ain op era tions of Laiki Ba nk in 2 013 a nd origin a t ed credit i m paired loa ns.
8 . Other Pillar III d i sclos u r es (co n ti nu ed) 8 .1 N on-perfo r m i ng exp o su res (co n ti nu ed)
Per f orm i ng a nd n o n-p e r f orm i ng exp o s ures a nd related provi s io ns (co n ti nu ed)
Gross carrying am ount/no minal am A c c umulated impairment, a
ount ccumulated negative chang es in
fair value due to credit risk
and pro visi ons
Performing exp N on-performing
Performing exp osures N on-performing osures - accumulated exp osures- accumulated
exp osures impairment and impairment, ac
pro visions cumulated
negative changes
in fair val ue C ollateral and
due to f inan c ial
c redit risk and guarantees
pro visi ons received
O f whi O f Of O f O f O f O O f A c c O n per O n non-
ch stage whi ch whi whi ch whi ch whi f whi whi ch umulated forming perf
31 De 1 stage ch stage stage ch stage ch stage partial exposures orming
cember 2 stage 3 1 2 stage 3 write exposures
2019 2 2 off
EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000
Loans and
advances 12
4 , 9 4 , 9
C e n t ral 0 8 , 0 8 ,
ba n ks 4 8 7 4 8 7 - - - - - - - - - - - - -
G e n eral
gover n 3 , 3 ,
men 56 , 9 6 , 1 50 , 3 8 3 7 52 , 0 4
ts 2 0 1 1 8 0 9 1 - 1 9 11 8 - - - 4 8 5 5 1
C red it i
n s t i t 3 2 0 3 2 0
u , 9 5 , 9 5
t i ons 3 3 - - - - 72 72 - - - - - - -
O t h er fi
n anci al
Co rporat 2 , 1 , 1 0 3
i 96 , 8 53 , 8 43 , 27 , 27 , 6 9 1 , 1 5 8 14 , 14 , , 7 5 68 , 4 4 12 , 5
ons 8 4 6 9 0 1 5 4 5 9 - 4 5 9 9 1 1 8 8 4 3 - 8 4 3 4 4 7 1
No n - fi n
anci al
Co rporat 4 , 8 3 , 9 8 8 9 1 , 3 1 , 3 67 , 25 , 6 8 6 6 8 6 7 0 5 4 , 2 4
i 8 9 , 9 9 , , 5 3 8 2 , 8 2 , 8 2 42 , 0 5 , 0 2 , 0 2 , 4 2 4 , 9 0 5 7 8 ,
ons 0 8 1 5 4 3 8 0 7 4 - 0 7 4 3 7 7 2 1 5 - 5 1 8 7 0 3
1 , 1 ,
3 , 5 2 , 9 6 2 0 7 3 0 7 3 60 20 5 7 5 7 6 7 1 3 , 2 0
O f w hi ch 8 9 , 6 0 , 8 , 8 , 8 4 , 8 4 , 1 40 , , 0 6 , 6 6 , 6 , 7 2 2 , 9 1 4 7 1
S MEs 1 4 8 3 4 5 0 3 6 - 6 8 5 1 6 5 2 0 3 5 - 3 5 3 3 , 9 0 0
3 , 9 3 , 1 7 5 2 2 , 2 2 , 2 67 , 21 , 1 , 0 1 , 0 1 , 0 3 , 4 7 1 , 1 7
H o u s eh 0 6 , 5 3 , , 8 0 8 5 , 8 5 , 6 0 46 , 2 9 8 0 , 8 0 , 6 2 , 8 , 4 6 6 , 9 2
o l ds 5 0 7 7 0 2 5 9 9 8 - 9 9 8 8 3 1 0 8 6 9 6 - 6 9 6 1 0 8 2 0
14,178,832 12,442,665 1,736,167 3,695,532 - 3,695,532 141,591 90,276 51,315 1,781,564 - 1,781,564 1,871,768 7,843,859 1,768,195
Loans and
advances
to
customers
c
lassi f
ied
as held
for
sal e 12 990 177 813 183,974 - 183,974 37 7 30 158,998 - 158,998 310.294 592 14,062
Debt
securities
C e n t ral 13 , 4 13 , 4
ba n ks 1 6 1 6 - - - - - - - - - - - - -
G e n eral
gover n 9 3 3 8 8 4 1 ,
men , 2 9 , 1 6 49 , 3 1 4 7
ts 4 4 1 3 0 - - - 9 8 4 3 6 - - - - - -
C red it i
n s t i t 5 2 1 5 2 1
u , 5 9 , 5 9
t i ons 6 6 - - - - 36 36 - - - - - - -
O t h er fi
n anci al 2 6 4 2 6 4
corpora , 3 4 , 3 4 1 4
ti o ns 7 7 - - - - 0 1 4 0 - - - - - - -
No n - fi n
anci al
corpora 6 , 8 6 , 8
ti o ns 4 9 4 9 - - - - - - - - - - - - -
1,739,502 1,690,372 49,130 - - - 1,495 1,019 476 - - - - - -
Off -bal
ance-sheet
exposures
C e n t ral - - - - - - - - - - - - - - -
ba n ks
G e n eral
gover n
men 13 , 2 13 , 6 , 9 4
ts 8 2 2 2 8 0 - - - - - - - - - - 0 -
C red it i
n s t i t
u 51 , 5 51 , 5
t i ons 6 9 6 9 - - - - - - - - - - - - -
O t h er fi
n anci al
corpora 18 , 2 7 , 0 11 , 1 , 0 1 , 0 12 , 3 7 1 , 0 3
ti o ns 9 4 0 2 2 9 2 8 6 - 8 6 1 - 1 - - - - 7 5
No n - fi n
anci al 1 , 6 1 , 1 4 1 5 2 2 1 2 2 1
corpora 0 2 , 8 7 , , 4 8 , 8 4 , 8 4 1 9 1 4 21 , 21 , 8 2 1 , 6 , 2 5
ti o ns 5 7 4 0 8 7 7 8 - 8 7 49 8 9 0 4 - 9 0 4 - 5 5 2 8
7 0 4 4 7 3 2 3 1
H o u s eh , 7 5 , 5 0 , 2 4 8 , 6 8 , 6 2 0 8 , 2 , 3 2
o l ds 2 9 3 0 3 - 0 3 10 1 9 - - - - 7 3 3 2
2,390,471 1,719,169 671,302 231,537 - 231,537 208 50 158 21,904 - 21,904 - 1,049,602 9,615
T otal 18,309,795 15,852,383 2,457,412 4,111,043 - 4,111,043 143,331 91,352 51,979 1,962,466 - 1,962,466 2,182,062 8,894,053 1,791,872
( 12 ) A mou n ts pre s e nt ed are be fore f air value a d j u s t m e nt on initial recog n i tio n. T he f air va l ue ad j u s t m e nt on i nitial recog nition rela t es to the loa ns a nd advances to c u s t o m ers acq uired as part of t he acq u i sition of cert ain op era tions of Laiki Ba nk in 2 013 a nd origin a t ed credit i m paired loa ns.
8 . Other Pillar III d i sclos u r es (co n ti nu ed) 8 .1 N on-perfo r m i ng exp o su res (co n ti nu ed)
Per f orm i ng a nd n o n-p e r f orm i ng exp o s ures a nd related provi s io ns (co n ti nu ed)
Reg u latory e x pe c tat i o ns
On 14 of March 2 018 ECB p u blish ed an NPE add e n d um wh ich su ppleme n ts t he NPE g u idance by sp e c i fy i ng what t he E CB deems to be pru de nt le v els of pro v i s io ns f or n ew NPEs. The E CB w ill in t h is co n te xt assess amo ng ot h er t h i n gs, t he le n gth of t ime an e x posure has been classi f ied as NPE (v i n tage) as w ell as t he
coll a teral h eld. The ECB w ill li nk t he superv i s ory e x p ectat i o ns in t h is adde n d um to n ew NPEs classi f i ed as s uch from 1 A pril 2018 o nwards, irrespecti ve of t he reason of classi f icatio n.
I n Ju ly 2018, E CB a nn ounced addi t io nal st eps in its su perv i s ory approach to the stock of NP Es. The approach creates a co nsiste nt fram e w ork f or addressing t he issu e, as part of t he s u perv isory dial o g u e, t hro u gh ban k- speci f ic su perv isory e x pe c tat i o ns aimed at ach ie v i ng adeq uate p r o v isi o n i ng of legacy NP Es. Th is assessme nt was g u ided b y: i) i n di v id ual banks' c urrent NPE ratios, ii) t h eir main f i n a ncial feat ures, iii) t h eir NPE red uction strategy ( if availabl e ), and i v) a be nchmark i ng of c omparable p eers in order to e nsure co nsi s te nt treatme n t. Most recent d a ta and t h eir capacity to abso rb ad di t io nal p r o v isio ns w ere also co nside r ed. A ll S ig nif icant Instit u tio ns (SIs) have been assessed w ith t he aim of set t i ng ban k-speci fic e x pectat io ns so as to e nsure co n ti nu ed p r ogress in red uci ng legacy r isks and t he same co v e rage of t he s tock and fl ow of NP Es o v er t he medi um term.
B OC P C L, bei ng a bank w ith ele vated le v els of NPEs, recei v ed a letter from t he EC B, as part of normal su perv isory acti v it i es, co n tai n i ng q ualit a ti ve ele m e n ts, f ocused on ensuri ng it is managi ng a nd addre ssi ng NPEs in li ne w ith su perv isory e x p ectatio ns.
On 22 Au g ust 2019 t he ECB has re v ised its su pervisory e x pectat io ns f or pru d e n tial p r o v isi o n i ng of n ew NPEs speci f ied in t he "NPE A dde n d um", a f ter tak i ng i n to acco unt t he ado p t i on of t he n ew EU reg u lation t hat o ut li n es t he Pil lar I t r eatme nt f or NPEs. Su perv isory e x pectatio ns f or co v erage of st ock of NPEs remain unch a n ge d. NPEs arisi ng from loans origi nat ed af ter 26 A pril 2 019 in pri nci p le are su bject sol e ly to Pi llar II treatme n t. Tak i ng i n to acco unt t he speci f ici ties of t he su perv isory e x pectat io ns, banks will t hus be ask ed to i nf orm t he ECB of any di ff ere nces b e t w een t h eir pract ices and t he pru d e n tial p r o v isio ning e x pect a tio ns, as part of t he SREP s u perv isory dial o g u e, from early 20 21 o nwards. Su perv isory e x pectat i o ns f or t he stock of NPEs (i . e. loans classi fi ed as NPEs on 31 March 2 0 18) r emain unch a n ged, as commun i cated in t he Su perv isory R e v iew and Eval uation Pr ocess le tt ers sent to banks and in the press release in Ju ly 20 1 8.
Co ll ateral obta i ned by tak i ng p o s sess ion and execution p roce sses
C ollat e ral obtain ed by taking possession
June 2 0 20 D ece mber 2 0 19
Value at Accumu la Value at Accumu la
in i tial t ed nega in i tial t ed nega
recognition t i ve changes recognition t i ve changes
EUR 0 0 EUR 0 0 EUR 0 0
0 EUR 0 0 0 0 0
P ro p er t y, plant and eq - - - -
ui pment (PP & E)
Other than PP &E
R e sidential imm o v able 23 , 2 5 4 8 2 ,1 16 , 3 0
p r ope r ty 5 4 6 ,412 0 54 7
Co mmercial imm o v able p 6 9 4 ,9 84 , 8 6
r ope r ty 6 1 4 ,062 1 0 2 ,798 9 3 3
M ov a ble pr o per ty (aut - - - -
o, s hipping, etc.)
E quity and debt inst r u 66 , 7 1 28 , 2 5 66 , 7 1 15 , 2 7
m e nts 4 6 4 3
3 5 5 ,8
Other 3 7 8 ,562 8 ,6 90 8 4 2 ,0 9 1
1 ,6 05 1 ,5 99
T otal , 7 50 1 6 2 ,994 , 7 45 1 1 8 ,534
8 . Other Pillar III d i sclos u r es (co n ti nu ed)
8 .1 N on-perfo r m i ng exp o su res (co n ti nu ed)
E U C R2-B Chan ges in s t ock of defau lted and i mpaired l oans and debt secur ities
De fau lted e x posures are e x posures t hat satisfy t he NPE de f i n itio n.
Con t r act ual
value defau lted
expo s ures
3 0 J une 2020 EUR000
Openi ng balance 6 , 333 , 0 2 3
Loans and debt securities that have de f a u lted
or impaired d uri ng t he peri od 31 , 3 5 0
Ret urn ed to n o n-de fau lted stat us (1 12 , 6 8 0)
A mo un ts written o ff (134 , 0 7 7)
Ot h er chan ges (227 , 6 3 1)
C l os i n g balance 5 ,88 9,985
Con t r act ual
value defau lted
expo s ures
3 1 December 20 19 EUR000
12 , 945 , 9 3
Openi ng balance 1
Loans and debt securities that have de f a u lted
or impaired d uri ng t he y ear 188 , 7 9 5
Ret urn ed to n o n-de fau lted stat us (349 , 1 5 7)
A mo un ts written o ff (440 , 9 4 2)
Ot h er chan ges (6, 011 , 6 0 4)
C l os i n g balance 6 ,33 3,023
The decrease in t he gross co n tract ual val ue of de fau lted e x p osures in t he pe r iod is d r i v en at i ts majo r i ty by t he sale of V elo c ity 2 po r tf olio wh ich is re f lect ed in li ne 'Oth er chan ges'. 'Other chan ges' i ncl u de to a lesser e x te nt n ormal mo v eme n ts in t he balances s uch as accru ed i n terest, repayme n ts and w it h drawals. The table abo ve pre s e n ts t he mo v eme nt si nce 1 January 2020 to 30 June 20 2 0, wh ereas t he co m parati ve tab le for 2 019 presents t he mo v eme nt for t he y ear e n ded 31 December 20 1 9.
8 . Other Pillar III d i sclos u r es (co n ti nu ed) 8 .1 N on-perfo r m i ng exp o su res (co n ti nu ed)
E U C R2-A Chan ges in s t ock of general and speci fic credit r i sks adj u stm e nt
The ch a n ges in t he acc u m u lated speci f ic and ge n eral adj ustme nt are as f ollo ws:
2020 201 9
A ccumu lated A ccumu lated A ccumu lated A ccumu lated
speci f ic general cred speci f ic general cred
cred it r it r i sk cred it r it r i sk
i sk ad j ad j us t i sk ad j ad j us t
us t ment ment us t ment ment
EUR000 EUR000 EUR000 EUR000
3 , 462 ,
1 January 1 ,80 3,550 - 0 0 5 -
In creases d ue to amo un
ts set aside f or estimat
ed loan loss es d uri ng 350 , 4 8
t he peri od 351 ,2 83 - 6 -
Decreases d ue to amo un
ts re v ersed f or estimat
ed loan loss es d uri ng (221 , 0 6
t he peri od (166,8 2 8) - 2) -
De creases d ue to amo un
ts tak en agai nst accu
m u lated cred it risk adjustme (246 , 6 6
n ts (136,0 2 4) - 1) -
I mp act of e xchan ge rate
di ff ere nces and ot h
er adj ustme n ts (1,637) - 7 , 23 3 -
In t er e s t ( p r o v
i d e d) not re c o g nised
in t he i n c o me s t a
t e m e nt 39 ,628 - 8 3 , 90 3 -
Disposal of V eloci ty 2/
H el ix 1 and
V elo ci ty 1 port fo l (1, 602 ,
i os (112,0 9 8) - 8 2 5) -
3 0 J une 1 ,77 7,874 - 1 ,83 3,079 -
Reco v eries on credit risk
adjustme n ts recorded directly
to t he i ncome stat eme
nt 12 ,0 11 - 14 , 73 9 -
S pe c i f i c cre d it
risk adju s t m e n ts d
irect ly re c orded to t
he i n c o me stateme nt (15,375) - 240 -
A l l reco v e r ies on cred it ri sk adj ustme n ts and speci fic credit risk adj ustme n ts are made v ia t he accumu lat ed allo wance acco un t.
The abo ve table i ncl u des credit losses re lat i ng to loans and adva nces to customers classi fi ed as h eld for sale b ut d o es not i ncl u de t he resid ual fair val ue adj ustme n ts on i ni tial re c og n i t ion of loans acqu i r ed from La i ki Bank and ori g i nated cr ed it i mpaired, and p r o v isi o ns f or impairm e nt on f i nancial g uaran tees and comm i tme n ts amo un ti ng to EUR 17 , 6 94 t housand (30 J une 2019: EUR 2 2 , 151 t h o usan d).
8 . Other Pillar III d i sclos u r es (co n ti nu ed) 8 .2 Forbeara nce
Forbearance measures occ ur in sit uatio ns in wh ich the borro w er is co nside r ed to be unable to me et t he t erms and co n di t io ns of t he co n tract d ue to f i nancial di fficu lties. Tak i ng i nto c o nsiderat i on t h ese d i ff icu lties, t he Gro up deci d es to mo di fy the terms a nd co n d i t i o ns of t he co n tract to p r o v ide the borro w er wi th t he abi l i ty to service t he debt or re f i nance t he co n tract, eit h er part ially or fu ll y.
The practice of e xt e n di ng f orbearance measures co nstit ut es a grant of a co n c ession wh et h er temp orari ly or perman e n tly to t hat b orrow er. A co ncession may i nv ol ve restruct uri ng t he co n tract ual terms of a de bt or payme nt in some f orm o th er t han cash, su ch as an arran geme nt wh ereby t he borro w er transf ers col lateral ple d ged to t he Gro u p.
Forborne e x p osures are r e f erred to as r esch ed u led loans and advances to c ustomers in t he C o nsol i dated C o n de nsed In terim Fi nancial S tat eme n ts of t he Gr o up f or t he six m o n t hs e n ded 30 June 2 0 20 and t h eir de f i n it i on is alig n ed w ith t he EBA de f i n ition of f orborne e x posures.
Furt h er i nf ormation on t he de f i n it i o n, mo v eme nt and credit q uality of f orborne e x posures can be f o und in Note
29 . 1 0 of t he C o nsolid a ted C o n de nsed In terim Fi nancial S tateme n ts of t he C o m pany f or t he six mo n t hs e n ded
3 0 June 202 0.
8 . Other Pillar III d i sclos u r es (co n ti nu ed) 8 .2 Forbeara nce (co n ti nu ed)
Cr edit quality of f orb o r ne expos u res
Accumu la t ed impairme
Gr oss car r ying amoun t/nominal n t, accumula t ed
amount of e xposures w i th forbear nega t i ve changes
ance measures in fair value due
to credit risk and
provis ions
N on -performing forborne C ollat e ral receiv
ed and fin ancial guar
ant ees receiv ed on
forborne exposures
Of which:
colla t eral
and fin
ancial
Of which: Of which: guaran t
defaul t impaired ees receiv
ed ed on non-
performing
On non- e xposures
On performing performing with
Performing forborne forborne forbearance
forborne exposures exposures measures
3 0 June 2 0 EUR 0 0 EUR 0 0 EUR 0 0 EUR 0 0 EUR 0 0 EUR 0 0 EUR 0 0 EUR 0 0
20 0 0 0 0 0 0 0 0
L oans and
advances 13
Cent r al ban - - - - - - - -
ks
Gen e r al g - - - - - - - -
o ver nments
Cred it - - - - - - - -
instituti o
ns
Other f
inancial c o
rpo r 13 , 5 3
ati o ns 7 2 ,0 2 4 2 ,0 2 4 2 ,0 2 4 1 ,2 3 1 5 6 1 2 ,4 3 1 1 ,4 5 3
N o n- f
inancial co
r p or 2 5 8 ,1 4 7 8 ,0 4 7 8 ,0 4 7 8 ,0 12 , 9 8 2 1 1 ,4 4 0 7 ,4 1 9 3 ,1
ati o ns 0 0 4 3 4 3 4 3 0 9 2 6 1 2 9
H o u seh o 3 2 2 ,9 8 2 8 ,7 8 2 8 ,7 8 2 8 ,7 3 6 5 ,7 7 3 8 ,5 4 5 1 ,9
lds 5 3 1 2 1 2 1 2 9 ,0 1 0 8 0 5 0 7 7
1 ,3 08 1 ,3 08 1 ,3 08 23 , 2 2 1 ,1 48
5 9 4 ,590 , 7 79 , 7 79 , 7 79 1 5 7 7 ,833 , 4 42 6 4 6 ,559
L oans and
advances to
cus
tomers
classified
he ld for
sale 13 9 ,5 29 5 3 1 ,391 5 3 1 ,391 5 3 1 ,391 4 ,8 43 3 0 9 ,894 2 2 1 ,083 2 1 6 ,379
D e bt s ecur - - - - - - - -
i ties
L oans c ommi
tments giv
en 4 ,4 75 5 ,1 95 5 ,1 95 5 ,1 95 - - 4 ,0 57 1 ,0 70
1 ,8 45 1 ,8 45 1 ,8 45 28 , 0 6 1 ,3 73
T otal 6 0 8 ,594 , 3 65 , 3 65 , 3 65 4 8 8 7 ,727 , 5 82 8 6 4 ,008
( 13 ) A mou n ts pre s e nt ed are be fore f air value a d j u s t m e nt on initial recog n i tio n. T he f air va l ue ad j u s t m e nt on i nitial recog nition rela t es to the loa ns a nd adva nces to c u s t o m ers acq uired as part of t he acq u i sition of cert ain op era tions of Laiki Ba nk in 2 013 a nd origin a t ed credit i m paired loa ns.
8 . Other Pillar III d i sclos u r es (co n ti nu ed) 8 .2 Forbeara nce (co n ti nu ed)
Cr edit quality of f orb o r ne expos u res (co n ti nu ed)
Accumu la t ed impairme
Gr oss car r ying amoun t/nominal n t, accumula t ed
amount of e xposures w i th forbear nega t i ve changes
ance measures in fair value due
to credit risk and
provis ions
N on -performing forborne C ollat e ral receiv
ed and fin anc ial
guar ant ees receiv
ed on forborne exposures
Of which:
colla t eral
and fin
ancial
Of which: Of which: guaran t
defaul t impaired ees receiv
ed ed on non-
performing
On non- e xposures
On performing performing with
Performing forborne forborne forbearance
forborne exposures exposures measures
3 1 D ecember EUR 0 0 EUR 0 0 EUR 0 0 EUR 0 0 EUR 0 0 EUR 0 0 EUR 0 0 EUR 0 0
2 0 19 0 0 0 0 0 0 0 0
L oans and
advances 14
Cent r al ban - - - - - - - -
ks
Gen e r al g o - - - - - - - -
ver nments
Cred it - - - - - - - -
instituti o ns
Other f
inancial c o
rpo r 16 , 1 2
ati o ns 3 2 ,3 6 6 2 ,3 6 6 2 ,3 6 6 1 ,0 0 4 4 6 2 5 ,2 6 9 1 ,8 8 5
N o n- f
inancial co r
p or 4 7 9 ,3 7 3 7 ,6 7 3 7 ,6 6 0 3 ,5 11 , 2 8 3 3 7 ,2 7 2 8 ,4 3 2 3 ,5
ati o ns 0 0 0 2 0 2 5 1 7 9 0 3 0 5 0
H o u seh o 3 3 1 ,3 1 ,2 45 1 ,2 45 1 ,2 35 12 , 6 5 5 1 3 ,7 1 ,0 16 , 7 1 6 ,5
lds 1 2 , 9 3 7 , 9 3 7 , 1 2 4 1 7 2 9 1 9 5 9
1 ,9 85 1 ,9 85 1 ,8 41 24 , 9 4 1 ,7 50 1 ,0 41
8 2 6 ,735 , 9 05 , 9 05 , 0 41 2 8 5 1 ,524 , 6 18 , 9 94
L oans and
advances to
cus
tomers
classified he
ld for 45 , 0 45 , 0 45 , 0 37 , 4 2
sale 14 1 6 3 2 8 2 8 2 8 9 9 3 ,3 81 3 ,3 76
D e bt s ecur - - - - - - - -
i ties
L oans c ommi
tments giv en 5 ,6 98 9 ,2 33 9 ,2 33 9 ,2 33 - - 5 ,2 65 -
2 ,0 40 2 ,0 40 1 ,8 95 24 , 9 5 1 ,7 59 1 ,0 45
T otal 8 3 2 ,596 , 1 66 , 1 66 , 3 02 1 8 8 8 ,953 , 2 64 , 3 70
( 14 ) A mou n ts pre s e nt ed are be fore f air value a d j u s t m e nt on initial recog n i tio n. T he f air va l ue ad j u s t m e nt on i nitial recog nition rela t es to the loa ns a nd adva nces to c u s t o m ers acq uired as part of t he acq u i sition of cert ain op era tions of Laiki Ba nk in 2 013 a nd origin a t ed credit i m paired loa ns.
8 . Other Pillar III d i sclos u r es (co n ti nu ed)
8 .3 E xp o s u res s u bject to measures a pp lied in res p onse to the COVID-19 c r i s is
The table b e l ow pro v i d es an o v erv iew of t he cred it q uality of l oans and adva nces su bject to mora to r i um on loan repayme n ts app l i ed in t he l ig ht of t he COVI D-19 crisis. The t y pe of el i gi b le m orat ori um gran ted was t he suspe nsion of i nstalme n ts of capital and i nt erest f or a peri od of n i ne mo n t hs. Moratori um was a ppl i ed to all e l ig i ble i n d i v i d uals or legal e n t i ties acro ss di ff ere nt sectors.
Acc umulated impairment, a c c umulated G ross
G ross carrying amo unt negative c h a nges in fair v alue due carrying
to credit risk a mo
unt
P erforming No n performing P erforming No n performing
O f whic O f O f whic O f
h: I whic h: I whic
nstruments h: nstruments h: unlikely
O f whic with O f whic Unlikely O f whic with O f to pay
3 0 Ju ne h: Expo significa h: Expo to pay h: Expo significa whic th at
2 0 20 sures nt in crea sures th at sures nt f h: Expo are n
with se in with are n with in crea sures ot
forbeara credit forbeara ot forbeara se in with pa st-
n ce mea risk sin n ce mea pa st- n ce mea c redit orbeara due or
sures ce initial sures due or sures risk sin n ce pa st-due
recognition pa st- ce initial mea <= 9
but n ot due <= recognition sures 0 da
credit- 9 0 but n ot ys I n flows
impaired da ys credit- to n o
(Stage 2) impaired n-
(Stage performing
2) expo sures
EUR0 EUR0 EUR0 EUR0 0 EUR0 EUR0 EUR0 EUR0 EUR0 EUR0 EUR0 0 EUR0 EUR0 EUR0 EUR0
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Loa ns a nd
adv a n ces 5 ,9 5 ,5 400 293 129
subject to 1 7,5 1 6,8 1 ,3 0 , 7 0 , 0 0 , 8 8 35 23 ,1 94 65 ,3
moratorium 21 14 - 9,9 53 7 - 3 7 ,1 35 - 70 ,7 53 - 48 533
O f wh i c
h: H o useh
o lds 2,147,703 1,985,005 - 565,867 162,698 - 82,526 60,248 18,904 - 12,979 41,345 - 21,165 270
o f whi c
h: Co
llateralised
by
r esidential
imm o v able
proper ty 1,769,543 1,639,294 - 444,944 130,248 - 68,523 42,068 13,817 - 10,100 28,251 - 14,184 206
o f wh i c
h: No n- f
i nan c i
al corporat
i o ns 3,690,601 3,453,834 - 710,030 236,767 - 209,320 68,642 15,274 - 9,416 53,368 - 44,155 263
o f whi c
h: Sm a ll
and Mediu
m -sized
Enterpr
ises 2,777,823 2,667,678 - 521,642 110,144 - 83,176 39,889 11,498 - 6,644 28,391 - 19,432 263
o f whi c
h: Co
llateralised
by co
mmercial
imm o v able
proper ty 3,243,516 3,066,674 - 614,089 176,842 - 156,228 33,206 10,199 - 5,841 23,008 - 16,800 85
The f orbearance measure col umn abo ve re f ers to forbearance measures gran ted post t he morat ori um date bei ng 29 March 2020. Moratori um re f ers to t he suspe nsion of capital and i n terest payme n ts un til 31 Decemb er 2020 f or nat ural perso ns, self-emplo y ed perso ns and b usi n esses made availab le f or a ll e li gib le b orro w ers wi th no arrears f or more t han 30 days as at 29 F ebruary 2020. Th is was passed t hro u gh a bi ll in Parliame nt on 29 March 2020.
8 . Other Pillar III d i sclos u r es (co n ti nu ed)
8 .3 E xp o s u res s u bject to measures a pp lied in res p onse to the COVID-19 c r i s is (co n ti nu ed)
The table b elow pro vi des an o v erv iew of t he vo l ume of loans and a d vances su bject to le g isl a ti ve and n o n-legisl a ti ve morat ori um by re s id u al mat urity of t h is morato r i um. The moratori um le n gth appli ed was f or n i ne mo n t hs, e n di ng 31 December 2020.
Gross carrying a mou nt
R e s id ual mat uri ty of morator i
um
O f w < = 3 > 3 mon > 6 mon > 9 m
hic h: mon t hs t hs t hs on t hs > 1 year
Legisla < = 6 < = 9 < = 12
tive O f w mon t hs m o n ths mon t hs
Nu m ber morator hic h:
of obligors i um e xpired
EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0
0 0 0 0 0 0 0 0
Loans a nd
advances
for w hich
morator i
um was o f f 24 , 83 5 ,9 44
ered 8 , 250
Loans a nd
advances
s u b j ect
to morator
i um (gra nt 24 , 81 5 ,9 17 5 ,9 17 5 ,9 17
ed) 8 , 521 , 521 - - - , 521 - -
o f w hich: H
o u s
eh olds 2,147,703 2,147,703 - - - 2,147,703 - -
o f w hich: C
ollateralised
by re
sidential imm
ovable
property 1,769,543 1,769,543 - - - 1,769,543 - -
o f w h i c h:
No n
- f i nan c i
al corp
orat i o ns 3,690,601 3,690,601 - - - 3,690,601 - -
o f w hich: S
mall
and Medium -s
i z ed
En terpris es 2,777,823 2,777,823 - - - 2,777,823 - -
o f w hich: C
ollateralised
by c o mm
ercial i m
mov able pr
operty 3,243,516 3,243,516 - - - 3,243,516 - -
The Gro up has n ot gran ted n e w ly origi nated loans and advances u n der n e w ly a pplica ble p u b l ic guaran tee sch emes i n trod uced in respo nse to
C OVI D-19 crisis.
8 . Other Pillar III d i sclos u r es (co n ti nu ed)
8 .4 Mark-to -Market Met h od f or Derivat ives and Fi nancial Co llateral C om prehen s ive Ap p r oach f or Secur ity Fi nancing T rans act i o ns
Deri vati ve e x posure val u es are calcu lat ed by app l ying t he Mark-to-mark et M et h od of t he CRR wh ereby t he e x posure val ue is t he sum o f:
-- Positi ve mark-t o-mark et af ter tak i ng i n to acco un t: (a) Accru ed i n terest
(b) Net t i ng w it h in each cou n terparty (wh ere set-o ff agreeme nt e x ists)
Pote n ti al fu t ure credit e x p osure: A d d-on amo unt eq ual to a percen tage of t he n omi nal amo unt of each deal based on its remai n i ng ma t urity and t he t y pe of co n tract.
The mark-to-mark et of deri vati v es is calcu lated usi ng t he Net Pr esent Val ue (NP V) of f u t ure cash f lo ws me t h od. Wh ere t he deri vati v es are un der I SDA, article 298 of t he CRR is applied wh ere by t he si n gle deri vati ve e x posure
v al u es u n der t he particu lar agreeme nt are n ett ed in t he mann er described by paragraph 1(c) of article 298 of t he CRR.
I n t he case wh ere a Credit Su pport Ann ex ( CSA) agreeme nt is in place (and the rele vant amo unt has already been set t led) t he e x posure is set to z ero, si nce no credit risk e x ists.
S FT e x posure val u es are calcu lated by appl y i ng t he Fi nancial C ollateral C ompre h e nsi ve A pproach of the CRR
and t he appropriate su perv isory v olati l ity adj ustme n ts wh ereby t he e x posure val ue is n et o f:
-- S e curity val ue posted as coll a teral wh ich is t he sum of its book val ue and an appropriate add - on based on su perv isory v olati l ity adj ustme n ts. The appropri a te su perv isory v ol a ti l ity adj ustme n ts are based on t he t y pe of securit y, its issu er, t h eir e x ternal credit assessment and th eir resid ual mat urit y.
-- The cash recei v ed un der t he rep urchase agreeme nt transactio n.
On ly C y prus has deri vati ve and S FT transactio ns. A ll SFT transactio ns are perf ormed w ith Instit u tio ns.
3 0 J une 3 1 Decemb
2020 er
2019
EUR000 EUR000
In stit u tio ns 28 ,6 16 17 , 73 7
C o rporat es 970 718
Retail 25 15
C l aims on i nstit u t i o ns and corpora tes
w ith a sh ort-te rm credit assessment 946 -
Total 30 ,5 57 18 , 47 0
The increase in ex posure values relates to increased derivati ve exp osure values.
The table b elow sh o ws t he anal ysis of CCR per approach. A ll ro ws and col umns t hat are n ot re l e vant to t he
i n stit ut io n's acti v i t ies or m et h ods app li ed are n ot i ncl u ded.
8 . Other Pillar III d i sclos u r es (co n ti nu ed)
8 .4 Mark-to -Market Meth od f or Derivat ives and Fi nancial Co llateral Comp rehens ive Ap p r oach f or Secur ity Fi nancing T rans act i o ns (co n ti nu ed)
E U CC R1 - Analys is of the Counter party Cr e d it R i sk (CC R) expo s ure by app r oach
E xposure
R ep l acement at D e fau
co st/cu r Po ten t lt (EAD) post
rent market ial f utu Cred it R RW As
va l u e re credit i sk Mit i
exposure g ation (C
R M)
3 0 J une 20 20 EUR000 EUR000 EUR000 EUR000
Mark to mark et 4 , 03 2 11 , 88 9 13 , 49 7 3 , 65 9
Fi nancial collateral compr
e h e nsi ve met h od (f or
SFTs) 17 , 06 0 8 , 53 0
Total 12 ,1 89
3 1 December 2 0 19
Mark to mark et 620 8 , 38 5 733 699
Fi nancial collateral compr
e h e nsi ve met h od (f or
SFTs) 17 , 73 7 8 , 86 9
Total 9 ,568
The i ncrease in t he RWAs in deri vat i ve transactio ns un der t he mark-to-mark et me t h od s tems from i n creased deri vati ve e x p osure val u es. The decrease in t he SFT RWAs u n der t he f i nancial c oll a teral c ompre h e nsi ve m et h od stems from t he o v erall de crease in balance sh eet val u es in S FT transactio ns.
8 . Other Pillar III d i sclos u r es (co n ti nu ed) 8 .5 Regu latory CVA charge f or cap ital calcu lat i on
The table be l ow pro v ides a summary of t he e x posu re su bject to CVA reg u latory calcu latio n s. A ll ro ws that are n ot rele vant to t he Gro u p's acti v it i es or met h ods app l i ed are n ot i ncl u ded.
E U CC R2 - CVA cap ital charge
3 0 J une 2020 3 1 Decemb er 2019
Ex p o Ex po sure
s ur e value RWA val ue RWA
EUR000 EUR000 EUR000 EUR000
A l l port f o l ios su bject 30 , 55 18 , 47 3 , 05
4 to t he stan dardised met h od 8 3 , 37 2 0 0
Total s u bject to the C VA cap 18 ,4
5 ital charge 30 ,5 58 3 ,372 70 3 ,050
8 .6 CCR expo s ures by reg u latory p o rtfo lio and r i sk
The table b e low p r o v i d es a break do wn of a ll CCR e x posure s, calcu lated un der t he S tan dard ised A p pro ach, by port fo l io (t y pe of co un terparties) and by r isk w eig h t. A ll ro ws and c ol umns t hat are n ot r ele vant to t he Gr o u p's acti v i t ies are n ot i ncl u ded.
E U CC R3 - Stand a rd i s ed appr oach - CCR exp o s u res by regu lat ory po rtfolio and r i sk
Ri s k Wei ghts
Of wh
ich unrat
E xp o s u re classes 2% 20% 50% 75% 100% Total e d 15
3 0 J une 20 20 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000
2 , 74 7 , 54 18 , 33 28 , 61
6 In stit u tio ns 4 1 2 - - 7 -
7 C o rporat es - - - - 970 970 970
8 Retail - - - 25 - 25 25
In stit u tio ns and
corporates w ith a
sh ort-term credit
9 assessment - - 946 - - 946 -
19 ,2 30 ,5
11 Total 2 ,744 7 ,541 78 25 970 58 995
3 1 December 2 019
17 , 73 17 , 73
6 In stit u tio ns - - 7 - - 7 -
7 C o rporat es - - - - 718 718 718
8 Retail - - - 15 - 15 15
17 ,7 18 ,4
11 Total - - 37 15 718 70 733
The o v erall al l ocat ion of e x posure val u es amo ng e x posure classes remai ns unchan ged. The o v erall i ncrease in e x posure val u es in 'Insti tu tio n s' and 'Instit u t i o ns a nd corpora tes wi th a sh o r t-term cred it ass essmen t' is t he resu lt of i ncreased deri vative transactio ns.
( 15 ) I nclu des all ex posu res f or which an issue/issu er or c o u nt ry r ating (wh e re a pp lica b le) is n ot a v aila b le or th ey fo ll ow a uni form reg ulat o ry t reatment un der the stan d a rd ised a p p r o ach of the C RR.
8 . Other Pillar III d i sclos u r es (co n ti nu ed)
8 .7 Gro ss Pos itive Fair Value of Con t ract s, Netting Benefits, Netted Cur rent Credit Exp o s ure, Co llateral held and Net Derivat ives Credit Exp o sure
The gross po s iti ve fair val ue of Gro up de r i vati ve c o n tacts, wh ich mai n ly co nsist of IRS and FX co n tracts, is presented in t he tab le b e l ow:
3 0 J une 3 1 Decemb
2020 er
2019
Gro ss p o s itive fair value EUR000 EUR000
Cy p rus a nd Gro up 16 ,0 27 23 , 04 0
The Bank has n etti ng be n e f its f or t he de r i vati v es, thro u gh t he ISDA/C SA agr eeme n ts si g n ed w ith t he majori ty of co un terparties. The n etted cred it e x p osure f or t he Gro up deri vati ve co n tracts (w it h o ut co nsideri ng co llateral arran geme n ts), is presented in t he table b e lo w:
3 0 J une 3 1 Decemb
2020 er
2019
N etted credit expo s ure EUR000 EUR000
Cy p rus a nd Gro up 4 ,032 620
3 0 J une 3 1 Decemb
2020 er
2019
N et derivat ive credit ex po s ure EUR000 EUR000
Cy p rus a nd Gro up 1 ,642 150
The n et credit e x p osure of Gro up deri vati ve c on tracts, af ter co nsideri ng both t he be n e fi ts from legal ly e nf orceable n et t i ng agre eme n ts and collateral arran geme n ts, is presented in t he table belo w. C o l lateral recei v ed t hro u gh t he CSA agreeme n ts from c o un te r part i es as at 30 June 2020 was EUR 2 , 390 t h o usand (31
December 2 019: EUR 4 70 t housan d).
E U CC R5-A Impact of n ett i ng and c o llateral held on exp o sure values
Gro ss p o N etted
s itive fair N etting current credit Co ll ateral N et credit
value or net benefits expo s ure held expo s ure
carryi ng amo
u nt
3 0 J une 20 20 EUR000 EUR000 EUR000 EUR000 EUR000
D er ivat ives 16 , 02 7 11 , 99 5 4 , 03 2 2 , 39 0 1 , 64 2
S FTs 17 , 06 0 - 17 , 06 0 - 17 , 06 0
C ross-prod uct - - - - -
n et t i ng
Total 33 ,0 87 11 ,9 95 21 ,0 92 2 ,390 18 ,7 02
3 1 December 2
019
D er ivat ives 23 , 04 0 22 , 42 0 620 470 150
S FTs 17 , 73 7 - 17 , 73 7 - 17 , 73 7
C ross-prod uct - - - - -
n et t i ng
Total 40 ,7 77 22 ,4 20 18 ,3 57 470 17 ,8 87
8 . Other Pillar III d i sclos u r es (co n ti nu ed)
8 .8 Co m p o s ition of co llateral f or expos u res to CCR
A break do wn of all t y pes of collateral p ost ed or recei v ed by banks to su pport or red uce CCR e x posures, is presented b elo w:
E U CC R5-B Co m p o s ition of co llateral f or expos u res to CCR
Co ll ateral used
Co ll ateral used in derivat ive transact in
io ns S FTs
Fair value of co llateral Fair value of posted Fair value
received co llateral of co llateral
received
Fair value
S egregated Unsegr e gated S egregated Unsegr e gated of posted
co llateral
3 0 J une
2020 EUR000 EUR000 EUR000 EUR000 EUR000 EUR000
C ash - 2 , 39 0 51 , 46 1 3 , 59 2 - 3 , 88 6
Total - 2 ,390 51 ,4 61 3 ,592 - 3 ,886
3 1 December
201 9
C ash -470 28 , 61 0 7 , 90 7 -4 , 58 7
Total -470 28 ,6 10 7 ,907 -4 ,587
In crease in Mark to Mark et losses of t he o u tstan di ng deri vati ve transact i o ns si nce last report i ng date; t ranslate i n to h ig h er po s ted amo unt in t he case of d eri vat i v es. The lo w er p ost ed am o unt in SFTs is as a result of REPO mat urit y.
8 .9 EU C R1-A Credit quality of expo s ures by exp o su re class and i n str u ment
The gross carry i ng val ue r elates to t he co n tract ual balances be f o re any imp a irme n ts made v ia an al lo wance or v ia a d irect red uct ion in t he carry i ng amo unt acc ordi ng to t he ap plica ble acco un ti ng frame w ork. C ol umn (c) represents t he val ue adjustme nt used in t he calcu l a tion of t he RW As i ncl u di ng any ot h er o wn f u n ds red uctio ns, wh ile col umn (e) is a su bset of c ol umn (c) and represents t he part ial and t o tal amo unt of pri ncip al and past-d ue i n terest of any on-balan ce sh eet i nstrume nt t hat is derecog n ised because the i nstit u t i on has no re aso nable e x pectat io ns of r eco v eri ng t he co n trac t ual cash-f lo ws. C ol umn (f) i ncl u des chan ges in col umn (c) b e t w een t he curre nt and t he pre v io us year calcu lated at e x posure class le v el.
The amo un ts i ncl u ded in col umn (a) represent all de fau lted e x p osures in accordance w ith Article 1 78 of t he CRR. Row ' Ex posures in d e fau l t' is an i nf ormati ve row wh ich is n ot i ncl u ded in t he ro ws 'Total stan dar d ised approach' and 'Total'. C o lumn (a) summarises t he de fau lted e x posures t hat have been repo r ted in e x posure class 'Ex posures in de fau l t' accordi ng to Article 112(j) of t he CRR and it i ncl u des t he de fau lted e x posures in all ot h er e x posure c lasses e xcept f or 'I tems asso c iated w ith particu larly h igh risk' and 'E q u ity Ex posures' w h ich is i ncl u ded in row 'Ot h er'.
8 . Other Pillar III d i sclos u r es (co n ti nu ed)
8 .9 EU C R1-A Credit quality of expo s ures by exp o su re class and i n str u ment (co n ti nu ed) Material ity app li e d: A ll e x posure classes t hat do not e xceed 1% of t otal n et e x posures have been i ncl u ded in
'Ot h er'.
EU CR1-A C r ed it qual ity of exp osu r es by exp osu re cl ass and i n str ument
a b c d e f g
Gross carrying Credit risk Net values
values of ad ju st
m ent charges
of the period
De fau Non- de Specific
l t ed fault ed credit Ge n eral Acc u m ( a+ b-c-d)
exposures exposures risk ad credit risk ula t ed
ju st m ad ju st wri t e-of
ent m ent fs
3 0 J une 2 EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0
0 20 0 0 0 0 0 0 0
Cen tral g ov
ern m ents or
c entral ban
ks - 6,551,509 1,584 - - 463 6 ,549,925
I n s t i tu
t i o ns - 868,933 123 - - ( 94,340) 868,810
C o r porates 2 ,065,874 4,486,990 1,566,510 - 971,975 56,406 4 ,986,354
O f w h i c
h: SMEs 863,671 2,833,983 738,779 - 428,994 20,148 2,958,875
R e tail 2 ,036,281 2,482,288 1,693,539 - 822,404 ( 112,307) 2 ,825,030
O f w h i c
h: SMEs 471,578 721,941 377,787 - 167,814 ( 66,404) 815,732
Se cu r ed by
mortgages on
im m ov a b
le property 1 ,081,883 3,557,843 352,185 - 135,832 148,126 4 ,287,541
O f w h i c
h: SMEs 196,913 821,255 56,914 - 22,839 18,303 961,254
E x pos ures
in de fau lt 5 ,184,038 - 3,440,173 - - ( 32,806) 1 ,743,865
I te ms as s
oc iated w ith
partic u lar
ly high risk 705,947 840,664 504,986 - 335,089 ( 9,050) 1 ,041,625
O ther expos
ures - 1,970,585 55,604 - - 31 1 ,914,981
O ther - 608,745 2,588 - 487 144 606,157
T otal st a
n dardis ed 5 ,88 21 , 36 4 ,17 2 ,26 5,7 ( 10 ,5 23 , 08
approach 9,9 85 7 ,557 7,1 19 - 87 27) 0 ,423
5 ,88 21 , 36 4 ,17 2 ,26 5,7 ( 10 ,5 23 , 08
T otal 9,9 85 7 ,557 7,1 19 - 87 27) 0 ,423
O f w hic h:
Loans 5,724,621 16,813,767 4,102,204 - 2,265,787 ( 9,711) 18,436,184
O f w hic h:
D ebt s ecuriti
es - 1,732,879 1,620 - - 461 1,731,259
O f w hic h:
O f f-balan
ce s he et e
x p o s ures 165,364 805,993 17,691 - - ( 1,30 8) 953,666
8 . Other Pillar III d i sclos u r es (co n ti nu ed)
8 .9 EU C R1-A Credit quality of expo s ures by exp o su re class and i n str u ment (co n ti nu ed)
E U C RI-A Credit quality of expo s ures by exp o su re class and i n str u ment
a b c d e f g
Gross carrying Credit Net values
values of risk ad
ju st m
ent charges
of the
year
De fau Non- de Specific Ge n eral
l t ed fault ed credit credit Acc u m ( a+ b-c-d)
exposures exposures risk ad risk ad ula t ed
ju st m ju st m wri t e-of
ent ent fs
3 1 Dece m ber EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0
2 019 0 0 0 0 0 0 0
Cen tral g ov ern
m ents or c entral
ban ks - 6,148,482 1,121 - - ( 167) 6,147,361
I n s t i tu t
i o ns 94,362 631,336 94,463 - 94,361 343 631,235
C o r porates 1,980,168 4,510,952 1,510,104 - 1,015,450 ( 2,989,983) 4,981,016
O f w h i c h:
SMEs 939,586 2,813,177 718,631 - 454,454 ( 2,630,529) 3,034,132
( 156,50
R e tail 2,377,876 2,575,805 1,805,846 - 960,359 8) 3,147,835
O f w h i c h:
SMEs 588,605 740,736 444,191 - 245,646 ( 49,806) 885,150
Se cu r ed by m
ortgages on im
m ov a b le property 1,095,592 3,313,286 204,059 - 91,147 2,135 4,204,819
O f w h i c h:
SMEs 189,552 751,264 38,611 - 17,862 ( 20,763) 902,205
E x pos ures in
de fau lt 5,547,999 - 3,472,979 - - ( 3,123,512) 2,075,020
I te ms as s oc
iated w ith partic
u lar ly high risk 785,024 921,340 514,036 - 342,719 ( 1,516,012) 1,192,328
O ther expos ures - 2,050,695 55,573 - - 55,515 1,995,122
( 3,02
O ther 85 630,982 2,444 - 485 2) 628,623
T otal St a n 6 ,3 33 20 , 78 4 ,1 87 2 ,5 04 ( 4 ,60 22 , 92
dardis ed approach , 107 2 ,878 , 646 - , 521 7,6 99) 8 ,339
6 ,3 33 20 , 78 4 ,1 87 2 ,5 04 ( 4 ,60 22 , 92
T otal , 107 2 ,878 , 646 - , 521 7,6 99) 8 ,339
O f w hic h: Loans 6,124,883 16,173,439 4,111,915 - 2,504,521 ( 4,657,476) 18,186,407
O f w hic h: D
ebt s ecurities - 1,665,186 1,159 - - ( 137) 1,664,027
O f w hic h: Off
- balan c e- s ( 5,60
heet expos ures 208,140 860,189 18,999 - - 4) 1,049,330
The main dri v ers b e h i nd the o v erall decr ease in n et val u es are anal ysed in S ection 3 . 1. In t h eir maj ori ty t h ey relate to a d ecrease in Gr oss carry i ng val u es of D e fau lted e x posures w ith fai r ly stable corr espo n d i ng S peci f ic credit adjustme n ts and Accumu lated writ e-o ffs and to an i ncrease of t he Gross carry i ng val u es of No n-defau lted e x posures.
8 . Other Pillar III d i sclos u r es (co n ti nu ed) 8 .10 Credit quality of expo su res by i nd u stry
The descript i on in relat ion to t he col umns on t he table be l ow corresp o n ds to t he descri pt i o ns as pro v ided f or table i ncl u d ed in section 8 .9 abo v e.
In d u stry 'Oth er services' i ncl u des e x posures to Pr i v a te i n di vi d uals, Acti v i t ies of e x traterri to r ial organ i zat ions and bod i es, Ot h er services act iv ities and Fi nancial and Insurance acti v ities.
Material ity app l ied: A ll i n d ustry sectors t hat do n ot e xceed 1% of tot al n et e x p osures have been i ncl u ded in row
'Oth er'. The i n d ustry groups t hat have been i ncl u d ed in "Ot h er" are agricu lt ure, f orestry and f ish i n g, mi n i ng and q uarry i n g, electrici ty, gas, steam and air co n dit i o ning su ppl y, water su ppl y, Inf ormation and commun icatio n,
hu man h ealth services and social w ork act i vi ties, e d ucation and arts and entert a i nme nt and recreat ion, and
admi n istrat i ve and su pport service acti v it i es.
E U C R 1-B Credit quality of expo s ures by i n d us try or cou nterparty types
de f ault ed
8 . Other Pillar III d i sclos u r es (co n ti nu ed) 8 .10 Credit quality of expo su res by i nd u stry (co n ti nu ed)
E U C RI-B Credit quality of expo s ures by i n d us try or cou nter party types
a b c d e f g
Gross carrying Credit Net values
values of ri sk ad
ju st m
ent charges
of the
year
D e f Non- de Ge n
a u l t fault ed Specific eral credit Acc u m ( a+
e d e xpo exposures ri sk ad risk ad ula t ed b-c-d)
sures ju st m ju st wri t e-of
ent m ent fs
3 1 Dece m ber EUR0 0 EUR0 0 EUR0 0 EUR0 EUR0 0 EUR0 0 EUR0
2 019 0 0 0 0 0 0 0 0 0
M anu f a c t u ( 249,90
ring 240,225 510,417 162,848 - 96,128 5) 587,794
C o n s tru c tion 648,104 1,026,304 361,121 - 210,929 ( 1,599,589) 1,313,287
W h o le s ale and ( 598,58
r e tail trade 727,279 1,520,817 450,535 - 231,998 5) 1,797,561
T r an sport and
s t o ra ge 66,795 388,730 52,135 - 36,853 ( 89,252) 403,390
A cco mm od at ion
and f ood s er vice ( 373,48
a c tivities 211,782 1,135,760 176,659 - 128,123 6) 1,170,883
R e al estate ac ( 543,76
t i v i t ies 471,973 1,801,369 324,310 - 228,493 7) 1,949,032
P ro f ess io nal,
s c i en t i fic
a nd t e c hn i
cal ac t i v i t ( 302,37
ies 269,315 486,914 197,729 - 141,197 1) 558,500
Pu blic a d m ini
str a t i on and
d e f en c e, c
o m p ul s ory s
oc i al secu r i ( 3,37
ty 6 6,387,818 3,562 - 486 6) 6,384,262
O ther s erv i c ( 595,25
es 3,289,065 6,702,911 2,207,246 - 1,299,427 5) 7,784,730
( 252,11
O ther 408,563 821,838 251,501 - 130,887 3) 978,900
6 ,3 33 20 , 78 4 ,1 87 2 ,5 04 ( 4 ,60 22 ,
T otal , 107 2 ,878 , 646 - , 521 7,6 99) 92 8 ,339
The main dri v ers b e h i nd t he o v erall decrease in n et val u es are anal ysed in secti on 3 . 1. At t h eir majori ty th ere is a decrease in Gross carry i ng val u es of De fau lted e x posures across all i n d ust r i es w ith fairly sable corre s po n di ng S peci f ic cred it adj ustme nts and Acc umu lated writ e - o ffs and to an i ncrease the Gross carry i ng val u es of No n- de fau lted e x posures acro ss all i n d ustrie s.
8 . Other Pillar III d i sclos u r es (co n ti nu ed) 8 .11 Credit quality of expo su res by geo g rap hy
The descrip t ion in rel a tion to t he c ol umns on t he table be l ow corre s po n ds to t he descri p t i o ns as p r ov ided f or table i ncl u d ed in section 8 .9 abo v e.
The co un try or geograp h ical area in wh ich t he e x posure is classi fi ed is dri v en
by t he co un t ry of reside nce/i nco r porat ion of t he co un terpart y.
The material i ty of geograp h ical areas has been determi n ed usi ng t he f ollo w i ng t hresh old: A ll EU co un tries t hat do n ot e xceed 1% of t ot al n et e x posures have b een i ncl u ded in 'Oth er co un tri es' and all n o n-EU co un tri es t hat do n ot e xceed 1% of t ot al n et e x p osures have been i ncl u ded in 'Oth er g e ogra p h ical areas'. Th ere are n ot any n on-EU cou n tries t hat e xceed t he 1% t hresh o l d. 'S upranatio nal' e x posures are i ncl u ded in 'Oth er geogra p h ical areas'.
E U C R1-C Credit quality of expo s ures by g e ogr a phy
a b c d e f g
Gross carrying value Credit Net values
of risk ad
ju st m
ent charges
of the
period
De fau l Non- de Specific
t ed exposures fault ed credit Ge n eral Acc u m ( a+ b-c-d)
exposures risk ad credit risk ula t ed
ju st m ad ju st wri t e-of
ent m ent fs
3 0 J une 2 EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0
0 20 0 0 0 0 0 0 0
22 ,0
5 ,67 1,1 20 ,3 70 4 ,01 2 ,17 6,8 ( 14 ,1 26 , 3
E U Cou ntries 91 , 2 07 5,0 77 - 04 49) 21
C y prus 5,145,111 18,812,140 3 ,569,635 - 1,855,780 54,193 20,387,616
U n i ted K
i ngd om 301,780 301,583 244,299 - 181,479 24,208 359,064
F ran ce 167 259,796 103 - 18 8 259,860
Gree ce 31,196 333,435 24,246 - 5,439 ( 97,231) 340,385
O ther co untr
i es 192,937 663,253 176,794 - 134,088 4,673 679,396
O t h e r geograp 218 , 7 997 , 3 162 , 1 ,05
hical areas 9 4 5 0 0 4 2 - 88 ,9 83 3 ,622 4,1 02
23 ,0
5 ,88 9,9 21 ,3 67 4 ,17 2 ,26 5,7 ( 10 ,5 80 , 4
T otal 85 , 5 57 7,1 19 - 87 27) 23
8 . Other Pillar III d i sclos u r es (co n ti nu ed)
8 .11 Credit quality of expo su res by geo g rap hy (co n ti nu ed)
E U C RI - C Credit quality of exposur es by geo g raphy
a b c d e f g
Gross carrying value Credit Net values
of risk ad
ju st m
ent charges
of the
year
De fau l Non- de Specific
t ed exposures fault ed credit Ge n eral Acc u m ( a+ b-c-d)
exposures risk ad credit risk ula t ed
ju st m ad ju st wri t e-of
ent m ent fs
3 1 Dece m EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0
ber 2 019 0 0 0 0 0 0 0
6 ,0 95 19 , 89 4 ,0 29 2 ,4 25 ( 4 ,57 21 , 95
E U Cou ntries , 092 0 ,191 , 226 - , 649 5,2 03) 6 ,057
C y prus 5,464,822 18,364,022 3,515,442 - 2,025,982 ( 4,483,466) 20,313,402
U n i ted K ( 5,53
i ngd om 302,061 246,878 220,091 - 160,462 2) 328,848
F ran ce 78 307,808 95 - 27 28 307,791
Gree ce 132,609 339,603 121,477 - 101,645 ( 18,000) 350,735
O ther co untr
i es 195,522 631,880 172,121 - 137,533 ( 68,233) 655,281
O t h e r geograp 78 , 87 ( 32 ,4
hical areas 23 8 ,015 89 2 ,687 15 8 ,420 - 2 96) 97 2 ,282
6 ,3 33 20 , 78 4 ,1 87 2 ,5 04 ( 4 ,60 22 , 92
T otal , 107 2 ,878 , 646 - , 521 7,6 99) 8 ,339
The main dri v ers be h i nd t he o v erall decrease in n et val u es are anal ysed in section 3 . 1. At t h eir maj ori ty t h ey relate to Cy prus w ith a decrease in gross carr y i ng val u es of De fau lted e x posures w ith fairly stable correspo n d i ng S peci f ic cre dit adj ust m e n ts and Accumu lated wri t e-o ffs and to an i ncrease in t he gross carry i ng val u es of No n-de fau lted.
8 . Other Pillar III d i sclos u r es (co n ti nu ed) 8 .12 Conce ntrat io ns w i t h in C redit Ri sk Mitigat i on
The table be l ow ill ustra tes t he e ff ect of all CRM te c hn iq u es applied in accordance w ith t he C RR i ncl u di ng t he f i nancial collateral comp r e h e nsi ve met h od. The exposure amo unt display ed in t he table be l ow is af ter t he applica t i on of speci f ic cred it risk adj ustme n ts.
RWA de nsity is a s yn t h etic metric on t he risk i n ess of each port f ol i o.
A l l ro ws and col umns t hat are n ot rele vant to t he Gro u p's acti v ities are n ot i ncl u ded in t he table b e l o w.
E U C R4 Stand a rd i sed A p proach - Credit r i sk ex p os u re and Cr e d it Ri sk Mitigat i on ( C RM) effects
a b c d e f
3 0 J une 2 E xposures be fore E xposures p o R W As a nd R WA
0 20 CCF a nd st CCF a nd C RM den sity
CRM
On -balance- O f f -bala On -balance- O f f -bala
sh eet amou nce- sh sh eet nce- sh R W As R W A de
nt eet a mou amou nt eet a mou ns i ty
nt nt
E xposure clas EUR0 0 EUR0 0 EUR0 0 EUR0 0 EUR0 0 %
s es 0 0 0 0 0
Cen tral go
v ern m ents
or c entral
1 ban ks 6,549,873 52 6,584,179 - 348,915 5.3
R e g ional
g ov ern m ent
or loc al a
uth o r i t
2 i es 108,114 9,183 56,910 20 642 1.1
Public s e c
tor en t i t
3 i es 64,910 699 64,909 16 5 0.0
Mu l tilateral
de v e l op
4 m ent ban ks 81,409 - 126,031 - - 0.0
I n ternat i
o nal organ
5 i s ati o ns 107,074 - 107,074 - - 0.0
I n s t i tu
6 tions 827,187 41,623 827,650 25,194 199,255 23.4
C o r porat
7 es 3,231,466 1,177,228 3,057,823 226,953 2,930,769 89.2
8 R e tail 1,466,710 965,141 1,200,834 73,165 905,477 71.1
Se c u red by
mor tgages on
immovab le pr
9 operty 3,453,414 61,100 3,347,154 30,146 1,229,928 36.4
E x p os ures
10 in de fau lt 1,603,906 139,959 1,595,115 29,594 1,711,976 105.4
H i ghe r -
r i sk catego
11 ries 865,113 176,512 795,312 31,392 1,240,055 150.0
12 C ov ere d bonds 173,961 - 173,961 - 17,396 10.0
I n s t i tu
t i o ns and
corporat es
w ith a
s h o rt -term
cre d it
ass e s s m
13 ent - - - - - 0.0
C o ll e c t
i ve i n v e
s t m ent underta
k i ngs ( CIU
14 s) 3,274 - 3,274 - 2,394 73.1
15 E qu ity 57,533 - 57,533 - 105,021 182.5
16 O ther ite ms 1,914,981 - 1,914,981 - 1,867,927 97.5
20 ,5 08 2 ,57 1,4 19 , 91 416 , 4 10 ,5 59
17 T ot al , 9 25 97 2 ,740 8 0 , 7 60 51 . 9
8 . Other Pillar III d i sclos u r es (co n ti nu ed)
8 .12 Conce ntrat io ns w i t h in C redit Ri sk Mitigat i on (co n ti nu ed)
E U C R4 Stand a rd i s ed Ap p r oac h -Cr e d it r i sk expo s ure and Credit Ri sk Mitigat i on (C RM) effects
(co n ti nu ed)
a b c d e f
3 1 D ecember 2 Exp osures before Exp osures post CCF R W As a nd R WA
0 19 CCF and and densi ty
CR M CR M
O n - ba O ff - O n - ba O ff - R W A
l a n c ba l a nc l a n c e ba l a nc R W As densi ty
e s h e e s h e s h e et e s h e
et et amou amou nt et amou
a mount nt nt
EUR 0 0 EUR 0 0 EUR 0 0 EUR 0 0 EUR 0 0 %
Exp osure c lasses 0 0 0 0 0
Cen tral go v ern
m ents or c entral
ban ks 6,147,322 39 6,182,199 - 382,591 6.2
R e g ional g ov
ern m ent or loc
al a uth ori t i
es 116,832 12,619 65,688 20 542 0.8
Public s e c tor
en t i t i es 81,720 719 81,698 41 9 -
Mu l tilateral de
v e l op m ent ban
ks 112,144 - 158,415 - - -
I n ternat i o nal
organ i s ati o
ns 107,307 - 107,307 - - -
I n s t i tu tions 579,003 52,231 579,047 27,127 179,648 29.6
C o r porat es 3,323,220 1,122,883 3,157,118 214,653 3,353,301 99.5
R e tail 1,532,259 1,001,720 1,263,734 85,889 960,387 71.2
Se c u red by mor
tgages on immovab
le pr operty 3,221,557 57,013 3,115,178 28,998 1,180,406 37.5
E x p os ures in
de fau lt 1,899,021 175,999 1,879,130 34,366 2,053,619 107.3
H i ghe r - r i
sk catego ries 980,729 211,599 895,399 41,167 1,404,849 150.0
C ov ere d bo nds 163,331 - 163,331 - 16,333 10.0
C o ll e c t i ve
i n v e s t m ent
underta k i ngs
( CIU s) 205 - 205 - 205 100.0
E qu ity 33,745 - 33,745 - 80,275 237.9
O ther ite ms 1,995,122 - 1,995,122 - 1,876,882 94.1
20 , 29 2 ,6 34 19 , 67 11 , 48
T otal 3 ,517 , 822 7 ,316 43 2 ,261 9 ,047 57 . 1
The main dri v ers be h i nd the decrease in t he RW As i n t e nsity is e x plai n ed in sect i on 3 . 1.
8 . Other Pillar III d i sclos u r es (co n ti nu ed) 8 .12 Conce ntrat io ns w i t h in C redit Ri sk Mitigat i on (co n ti nu ed)
The table be l ow pre s e n ts the e x posure val ue e xcl u d ing loans and advances classi f ied as h e ld f or sa le co v ered by f i nancial collateral, ot h er collat eral, g uaran tees and credit de r i vati v es.
E U C R3 Credit r i sk m itigat i on techn i ques overview
Exp osures Exp osures Exp osures Exp osures Exp osures
3 0 June 2 0 20 unsecured secured - secured by secured by secured by
- carr ying carr ying colla t eral fin ancial credit deriv
amount amount guaran t a t i v es
ees
EUR 0 0 EUR 0 0 EUR 0 0 EUR 0 0 EUR 0 0
0 0 0 0 0
6 3 4 ,2 9 ,4 69 , 9 ,0 05 , 86 , 2 2
T o ta l l o ans 7 6 9 6 4 4 2 7 6 -
T o ta l debt secu r 1 ,6 30 , 1 7 3 ,9 1 7 3 ,9
ities 3 29 6 1 6 1 - -
2 ,2 64 9 ,6 43 9 ,1 79 86 , 2 2
T otal e xposures , 6 05 , 925 , 3 88 6 -
98 , 9 6 1 ,1 44 1 ,1 07 16 , 1 9
Of which de f aulted 6 , 5 7 5 , 4 3 0 7 -
3 1 D ecember 2 0 19
7 0 0 ,6 10 , 0 2 9 ,6 00 , 56 , 6 4
T o ta l l o ans 7 5 1 ,1 6 6 2 6 2 6 -
T o ta l debt secu r 1 ,5 74 , 1 6 3 ,3 1 6 3 ,3
ities 6 7 5 3 2 3 2 - -
2 ,2 75 10 , 1 8 9 ,7 63 56 , 6 4
T otal e xposures , 3 50 4 ,498 , 5 94 6 -
1 0 9 ,0 1 ,8 01 1 ,7 60 13 , 9 5
Of which de f aulted 5 4 , 1 2 8 , 2 3 2 3 -
Ex po sures in u nsecured debt securi ties w ere i ncreased d uri ng t he six mo n t hs e n ded 30 June 20 20 (from a tot al EUR1 , 5 75 mi l lion as at 31 Decemb er 2019 to a t o tal EUR1 , 6 30 mi l lion as at 30 June 2020). Th is was dri v en by a combi nat ion of b o n ds mat urity and acqu isi t ion of n ew debt securi ties, mai nly Cy prus Go v ernme nt tre asury bi l ls, d uri ng t he six mo n ths e n ded 30 June 2020.
Unsecured and secured loan e x posures h a ve decreased d uri ng t he six mo n t hs e n ded 30 June 2020 mai n ly d ue to t he classi f icat ion of Pr o j ect H elix 2 port f ol io as h eld f or sale.
8 .13 Break d own of expo s ur es by asset class and r isk wei ght u n der the Sta ndard i sed A pp r oach
The e x posures are disclosed post co nv ersion factors and post risk mitig a t i on techn iq u es.
A l l ro ws and col umns t hat are n ot rele vant to t he Gro u p's acti v ities are n ot i ncl u ded in t he table b e l o w.
201
8 . Other Pillar III d i sclos u r es (co n ti nu ed)
8 .13 Break d own of expo s ur es by asset class and r isk wei ght u n der the Sta ndard i sed A pp r oach (co n ti nu ed)
E U C R5 Stand a rd i sed A p proach
Ri sk wei g ht
3 0 Ju ne 2 Of wh
0 1 0 1 5 2 5 O th Ded ich unrated
20 0% 2 % 10% 20% 35% 50% 75% 0 % 0 % 0 % er ucted Total 16
Exposure c EUR EUR EUR 0 EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR 0 EUR 0
lasses 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
C ent r al
gov
ernmen ts
or
cent r al
banks 6 ,204,334 - - 38,663 - - - 341,182 - - - - 6,584,179 341,181
R egional
government
or local a
u thorit
ies 53,718 - - 3 ,212 - - - - - - - - 56,930 -
P ublic sect
or
ent i ties 64,902 - - 23 - - - - - - - - 64,925 -
M ultilater
al
development
b
anks 126,031 - - - - - - - - - - - 126,031 81,409
I nt erna t
io
n al org
anisa
tio ns 107,074 - - - - - - - - - - - 107,074 107,074
I nstitutio
ns 1 ,236 2 ,744 - 780,616 - 86,820 - 9 ,242 802 - - - 881,460 -
C orpora tes - - - - - - - 3 ,246,179 39,567 - - - 3,285,746 3 ,226,191
R etail - - - - - - 1 ,274,024 - - - - - 1,274,024 1 ,274,023
Secured by m
ort
g a ges on
immova ble
property - - - - 2 ,569,897 807,403 - - - - - - 3,377,300 3 ,377,300
Exposures in
def
ault - - - - - - - 1 ,450,177 174,532 - - - 1,624,709 1 ,624,708
H igher-risk
categories - - - - - - - - 826,704 - - - 826,704 826,704
C overed
bonds - - 173,961 - - - - - - - - - 173,961 -
I
nstitutions
and corpora
tes
with a
short-
term credit
assessment - - - - - 946 - - - - - - 946 -
C oll ective
inves
t ment
und erta
kings
(CIUs) - - - 282 - 1 ,308 - 1 ,684 - - - - 3,274 3 ,203
Equity - - - - - - - 25,875 - 31,658 - - 57,533 57,533
O t her i
tems 115,856 - - 42,543 - - - 1 ,707,797 - - 48,785 47,835 1,962,816 1,962,817
6 ,6 865 2 ,5 896 1 ,2 6 ,7 1 ,0
7 3,1 2 ,7 173 , , 3 3 6 9,8 , 4 7 7 4,0 8 2,1 4 1,6 31 ,6 48 ,7 47 ,8 20 ,4 12 ,8
Total 51 44 9 6 1 9 97 7 24 36 05 58 85 35 07,6 12 82,1 43
( 16 ) In c l udes all expo su r es for w hich an i ssu e/i s s u er or cou nt ry r a ting is not a v ailable or th ey follow u nif o rm regu l a tory t r e a tme n t.
8 . Other Pillar III d i sclos u r es (co n ti nu ed)
8 .13 Break d own of expo s ur es by asset class and r isk wei ght u n der the Sta ndard i sed A pp r oach (co n ti nu ed)
E U C R5 Stand a rd i sed A p proach
Ri sk wei g ht
Of wh
ich
December 2 0 1 0 0 1 5 0 2 5 Ot Ded unrated
19 0% 4% 10% 20% 35% 50% 75% % % 0 % her ucted Total 17
EUR EUR
Exposure c EUR 0 EUR EUR EUR EUR EUR EUR 0 EUR 0 EUR 0 0 0 0 0 EUR EUR 0 EUR 0
lasses 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
C ent r al
governmen
ts or cent 6 , 1
r 5 , 780 11 , 11 , 379 ,0 8 2 , 379 ,0
al banks , 04 0 - 3 0 8 4 1 7 - - - 9 1 - - 343 - 1 9 9 9 1
R egional
government
or local
authorit 62 , 9 2 , 70 65 ,7
ies 9 9 - - 9 - - - - - - - - 0 8 -
P ublic sect
or ent i 81 , 6 81 ,7
ties 9 4 - - 45 - - - - - - - - 3 9 -
M ultilater
al 1 5 8
development 158 ,4 , 4 1 112 ,1
b anks 1 5 - - - - - - - - - - - 5 4 4
I nt erna t 1 0 7
io n al org 107 ,3 , 3 0 107 ,3
anis ations 0 7 - - - - - - - - - - - 7 0 7
6 2 3
I nstitut io 1 , 27 500 ,7 91 , 6 , 16 24 , 3 , 9 1
ns 3 - - 6 5 - 3 4 9 - 7 5 7 - - - 1 -
3 , 3
3 , 331 41 , 1 7 2 , 3 , 315
C orpora tes - - - - - - - , 30 6 8 3 - - - 4 8 9 , 70 5
1 , 3
1 , 349 4 9 , 1 , 349
R etail - - - - - - , 63 8 - - - - - 6 3 8 , 63 5
Secured by m
ort g a ges
on immova 2 , 400 3 , 1
ble , 23 743 ,9 4 4 , 3 , 144
property - - - - 2 4 4 - - - - - - 1 7 6 , 17 5
1 , 9
Exposures in 1 , 633 280 ,2 1 3 , 1 , 913
def ault - - - - - - - , 25 0 4 6 - - - 4 9 6 , 49 5
9 3 6
H igher-risk 936 ,5 , 5 6 936 ,5
categories - - - - - - - - 6 6 - - - 6 6 5
1 6 3
C overed 163 ,3 , 3 3
bonds - - 3 1 - - - - - - - - - 1 -
C oll ective
inves t
ment
und erta
kings
(CIUs) - - - - - - - 205 - - - - 2 0 5 205
31 ,
2 , 72 0 2 33 ,7 33 , 7
Equity - - - - - - - 5 - 0 - - 4 5 4 5
36 , 2 , 0
O t her i 151 ,5 50 , 1 , 756 8 4 51 , 4 6 , 2 , 046
tems 5 1 - - 4 7 1 - - - , 25 6 - - 4 2 0 4 3 2 6 , 32 6
2 ,
6 , 3 1 7 5 6 4 0 0 8 3 1 , 3 7 , 1 1 , 2 31 37 20 ,1 13 ,3
4 3 , 4 , 6 5 , 4 , 2 3 5 , 2 4 9 , 0 9 , 8 2 , ,0 2 ,1 8 51 ,2 79 ,2 38 ,3
Total 2 7 9 - 3 9 0 7 2 9 3 6 3 8 0 0 0 3 5 2 0 7 0 4 5 1 9 3
The main dri v ers be h i nd t he o v erall decr ease in n et val u es are anal ysed in section 3 .1 wh ich are prese n ted by t he sh i ft of e x po s ure val u es from h ig h er RWs to lo w er RWs across all e x posure class es. "Ot h er" risk w eig h ts in e x posure class "Other items" i ncl u d es t he bo ok val ue of prope r ties h e ld f or sale t hat have been o n-boarded af ter a failed auction and risk w eig ht e xceeds t he n o rmal 100% r isk w eig ht f ol low i ng SREP recomme n dat io n.
( 17 ) In c l udes all expo su r es for w hich an i ssu e/i s s u er or cou nt ry r a ting is not a v ailable or th ey follow u nif o rm regu l a tory t re a tme n t.
8 . Other Pillar III d i sclos u r es (co n ti nu ed) 8 .14 Secur itisat i on pos itio ns
S e curitisat ion resu lts from a transaction or sch eme w h ereby t he credit risk associated w ith an e x posure or pool of e x posures is tranch ed hav i ng both of t he f ollo w i ng characterist ics:
(a) payme n ts in t he transact i on or sch eme are depe n de nt u pon t he perf ormance of t he e x posure or pool of e x posures; and
(b) t he su bordi nat i on of tranch es determi n es t he di s trib u t i on of losses d uri ng t he o n goi ng li fe of t he transaction or sch eme.
Duri ng 2019, t he Gro up d isposed a po r t f o l io of l oans and advances to cust omers w ith a gross b o ok val ue of EUR 2 .8 bi l lion (of wh ich EUR2 .7 billi on related to n o n-perf orm ing loans) (t he Port f olio) a nd stock of property w ith carry i ng val ue amo un ti ng to EUR109 mil l ion ( kn o wn as 'Project H eli x' or t he 'Transac tio n ') and stock of property (k no wn as
'Project H eli x' or t he 'Transactio n') t hro u gh t he transf er of t he Port f ol io by BOC PCL to a licensed Cy priot Cred it
A cqu iri ng C ompany (t he ' C yCA C').
B OC PCL recei v ed co nsid eration of c. EUR 1 , 186 m i l l i on on comp l et i o n, re f l ect i ng adj ustme n ts resu l t i ng from, i n t er alia, loan repayme n ts rece i v ed on t he Port f o l io si nce t he re f ere nce date of 31 March 2018, of wh ich EUR45 mill ion co ncern t he BOC PCL part icipat i on in t he senior d e bt issu ed to f i nance t he transactio n, rep r esenti ng c. 4% of t he tot al acqu isi t i on fun di n g. Ot h er t han t he abo v e, BOC PCL has no ot h er securi tisat ion po s i t io ns. Th is t ransaction has been classi f ied as a Tradit i o nal S ecuritisat io n. In J une 2019 t he Gro up has derecog n ised t he dispo s ed port fo l io relat i ng to Pr oje ct H eli x.
The senior de bt is c lassi f ied as an i nv estme nt in debt s ecurit i es at am orti s ed cost. A cash-f low bas ed E CL approach is used f or t he calcu lation of t he ECL of t h is senior term facil i t y. For t he calcu l a t i on of t he IFRS 9 pro v isi on and t he set t i ng of t he IFRS 9 stagi n g, t hree cash f low streams are used: The cash f lo ws as per t he Busi n ess Plan e x pectations (opti m istic scenario), t he cash f lo ws un der a baseli ne scenario (i . e. t he Busi n ess Plan cash f lo ws adj usted to take i n to acco unt t he act ual payme n ts of t he faci lity up to d a te and t he Bank's e x pectat io ns f or t he fu t ure cash f lo ws) and t he cash f lo ws un der an adverse sc e nario (i . e. t he Busi n ess Plan cash f lo ws adj usted to take i n to acco unt t he act ual payme n ts of t he facility up to date and t he Ban k's e x pectat i o ns f or t he fu t ure cash f lo ws u nder an adverse scenari o ). The ECL is calcu lated as t he w eig h t ed l oss arisi ng by compari ng i ts IFRS gross carry i ng amo unt (calcu lat ed in t he pre vi o us peri od) w ith t he present val ue of e x pect ed cash flo ws un der each of t he t hree scenarios. In case no loss arises by compari ng t he abo ve cash f lo ws, t he ECL is f l o ored to t he prod uct of i) t he balance sh eet amount of t he b o n d, ii) a 1 2-mo n th PD of 3 . 3 1% wh ich is b a s ed on t he rati ng of t he Bank wh ich is si n gle B and iii) a loss gi v en de fau lt (LGD) of 10% wh ich is t he f loor of t he Basel 3 re v ised IRB frame w ork based on reside n tial and commercial real e s tat e.
I n addit i on to cred it and liq u idity risks, ot h er i nh ere nt risks may stem from pote n ti al breach es in warra nties and disclai m ers in t he agree m e n t. BOC P CL does n ot have any material retai n ed posi tio ns and t h ere is no n eed for furt h er h edgi n g. No re-sec uritisat io ns are a ppl i ed.
B OC P CL bei ng t he orig inator (direct ly i nv ol v ed in t he origi nal agreeme nt wh ich created t he ob l i gatio ns or po t e n tial o b lig a t i o ns gi v i ng rise to t he securi tised e x posures) in t he Pr oject H elix tradi t i o nal securi tisat ion transaction i nv est ed in t he senior tranche of t he d e bt securi t ies issu ed wh ereby tradi t io nal s ecuritisa t ion means t he eco n omic transf er of t he e x posures bei ng securit ised (transf er of o wn ersh ip).
8 . Other Pillar III d i sclos u r es (co n ti nu ed) 8 .14 Secur itisat i on pos itio ns (co n ti nu ed)
B OC P CL has applied t he S tan dardised A pproach f or securiti zat ion po s it i o ns (SE C - SA) wh ereby a look-t hro u gh approach is used in calculati ng t he RW As and cap it al req u i r eme n ts f or t he p osi tion h e ld in t he securi t isat i on un der article 2 61 of t he EU Reg u lation 20 1 7/24 01 ame n di ng t he CRR.
Tr ad itio nal
E xp o s C ap ital
3 0 J une 20 20 u re RWA R equ i rements
V al u e
Bank acts as or i g i n ator EUR000 EUR000 EUR000
Loans to corpora tes or SMEs
(treated as corpora tes) 36 , 919 42 , 162 3 , 373
Total 36 ,9 19 42 ,1 62 3 ,373
3 1 December 2 0 19
Bank acts as or i g i n ator
Loans to corpora tes or SMEs
(treated as corpora tes) 39 , 94 6 45 , 63 8 3 , 65 1
Total 39 ,9 46 45 ,6 38 3 ,651
B OC P CL does n ot h old any re-securitisat i on posi t io ns or tradi ng book securi t i zation po s it i o n.
DE FINITIONS
A llo w ance f or e x pected loan credit losses
A llo w ance f or e x pect ed l oan credit loss es comp r ise s: (i) allo wance f or e x pect ed credit losses ( EC L) on l o a ns and advances to customers (i ncl u di ng allo wance f or e x pected cr ed it l osses on l oans and advances to customers h eld f or sa le ), (ii) the resid ual fair val ue adj ustme nt on i n i t ial re c og ni ti on of loans and advances to customers (i ncl u di ng re s i d ual fair val ue adj ustme nt on i n iti al re c og n i t ion on loans and advances to customers h eld f or sale ), (iii) allo wance f or e x pected cre dit losses f or o ff-balance sh eet e x posures ( f i nancial guaran tees and commitme nts) disclo s ed on t he balance s h eet w it h in ot h er liab i l i t ies and (i v) t he a ggreg a te f a ir val ue adj ustme nt on l oans and advances to custo m e rs classi f i ed and m easured at FVPL.
C o st to i ncome rat io C ost to i ncome rat io is calcu lated as t he t o tal s taff costs (on an un derl y i ng b asis as reco nciled in t he t a ble furt h er belo w), special le vy on deposi ts a nd co n trib u t i ons to S i n gle R esol u t i on Fund (SRF) and Deposit Guaran tee Fund (DGF) (on an un derl y i ng basis as reco nciled in t he table furt h er belo w), and ot h er operat i ng e x pe nses (excl u di ng 'A d v isory and ot h er restruct uri ng cost s-organic', any restruct uri ng costs relati ng to NPE sales, and p r o v isio ns f or l i tig a tio n, claims, reg u latory and o t h er matt ers) (on an un derl y i ng basis as reco nci l ed in t he t a ble furt h er belo w) di v i d ed by total i ncome on t he u n derl y i ng basis (as de f i n ed belo w).
Dig i tal ly e n gaged customers ratio
Th is is t he ratio of dig i tal ly e n gaged i n di v id ual customers to t he t ot al number of i n di v id ual cust omers. D ig i tally e n gaged customers are t he i n di v id uals who use t he di g ital chann els of BOC PCL (mobile bank i ng app, bro wser and ATMs) to perf orm bank i ng transactio ns, as w ell as digital e n a blers such as a ban k-issued card to perf orm o nl i ne card p urchases, based on an i n ternally d e v e l o p ed scorecard.
Gross loans C omprises: (i) gross loans and adva nces to customers measured at amortised cost be f ore t he re s id ual fair val ue adj ustme nt on i n itial reco g n i t ion (i ncl u di ng loans and advances to customers classi fi ed as n o n-curre nt assets h eld f or sale) and (ii) loans and ad v a nces to customers classif ied and measured at FVPL adj usted f or t he aggreg a te fair val ue adj ustme n t.
Gross loans are report ed be f ore t he resid ual fair val ue adj ustme nt on i n i tial recog n i t ion rel a ti ng to l oans acqu ired from Lai ki Bank (calcu lated as t he di ff ere nce bet w e en t he ou tstan di ng co n tract ual amo unt and t he fair val ue of loans acqu ired). Th is appl i es f or loans and advances measured at amortised c ost on t he stat u tory basis.
In te rest earn i ng assets
In te rest earn i ng assets i ncl u de: cash and balances with central banks, pl us loans and advances to banks, pl us n et l oans and advances to cust omers ( i ncl u d ing loans and advances to cu s tomers c lassi f i ed as n o n-curre nt assets h eld f or sal e ), pl us i nv estme n ts (excl u di ng eq u it i es and mu t ual f un ds).
Le v erage rat io The le v erage rat io is t he ratio of tan gi b le t o tal eq u ity (i ncl u di ng Ot h er eq ui ty i nstrume n ts) to t o tal asse ts as presented on t he balance sh eet.
Loan credit l osses Loan credit l osses comprise: (i) credit loss es to cov er credit risk on loans a nd advances to customers, (ii) n et g a i ns on dere c o g n it i on of f i nancial asse ts measured at amort ised cost and (iii) n et gai ns on loans and advances to customers at FVPL, f or t he report i ng peri o d.
Loan credit l osses charge (cost of risk)
Loan cred it l osses charge (cost of r isk) (y ear to dat e) is calcu l a ted as t he l o an credit l osses (as d e f i n ed) (annualised based on y ear to d a te days) di v i d ed by the av erage gross loans (as de f i n ed ). The av erage balance is calcu lated as t he av erage of t he ope n i ng balance and t he closi ng balance f or t he reporti ng pe r i od.
Net f ee and commissi on i ncome o v er tot al i ncome
Fee and commiss ion i ncome less f ee and commiss i on e x pe nse di vi ded by t o tal i ncome (as de f i n ed ).
Net In terest Margin Net i n tere st margin is calcu lated as t he n et i n terest i ncome (per t he un derl y i ng basis) (annualised based on y ear to date day s) di vi ded by t he q uarterly av e rage i n terest earn i ng asse ts (as de f i n ed). Quarterly av e rage i nt erest earn i ng asse ts e xcl u de i n terest earn i ng assets of any disco n ti nu ed operat io ns at each q uarter e n d, if applicabl e.
Net loans and advances to customers
C o mprises g r oss l oans (as de f i n ed) n et of al lo wance f or e x pect ed l oan credit losses (as de f i n ed, b ut e xcl u di ng allo wance f or e x pect ed cred it l osses on off- balance sh eet e x posures).
Net loans to depo s i ts rat io
Net l oans to de p osi ts rat io is ca lcu lated as t he gross loans (as de f i n ed) n et of allo wance f or e x pe c ted l oan cred it losses (as d e f i n ed), di vi ded by custo m er depo s its.
New le n di ng in t he
In te rim
Manageme nt Report
New le n di ng i ncl u des t he av erage YTD chan ge (if positi v e) f or o v erdraft facil i tie s.
Non-perf ormi ng e x posures (NPEs)
A s per t he EBA stan dards and European C e n tral Bank's (EC B) Gu idance to Banks on Non-Perf ormi ng Loans (wh ich was p u blish ed in March 2017), NPEs are de f ined as t h ose ex posures t hat satisfy o ne of t he f ollo w i ng co n di t io ns:
(i) The borro w er is assessed as un li k e ly to pay its cre dit o b l igat io ns in fu ll w it h o ut t he re a lisat i on of t he co l latera l, re gardless of t he e x iste nce of any past d ue amo unt or of t he n umber of days past d u e.
(ii) De fau lted or imp a ired e x p osures as per t he ap proach pro v ided in t he
C apital Re q u ireme nt R e g u lation (CRR), wh ich w ould al so t r igger a de fau lt un der spe c i f ic cre dit a djustme n t, d istress r estruct uri ng and ob l igor bankru ptcy.
(iii) Material e x p osures as set by t he C e n tral B a nk of C y prus (C BC ), w h ich are more t han 90 days past d u e.
(i v) Perf ormi ng f orb orne e x p osures un der probat ion f or wh ich addit i o nal f orbearance measures are ex te n ded.
(v) Perf ormi ng f orborne e x p osures un der probat i on t hat present more t han 30 days past d ue w it h in t he probation pe r iod.
Wh en a speci f ic part of t he e x posures of a customer t hat fu l f ils t he NPE criteria set o ut abo ve is g r eater t han 20% of t he gross carry i ng amo unt of all on balance sh eet e x posures of t hat c ustomer, t h en t he t o tal customer e x posure is classi fi ed as n on-perf ormi n g; ot h e r w ise o n ly t he speci f ic part of t he e x po s ure is classi fi ed as n on-perf ormi n g.
The NP Es are reported be f ore t he d ed uct i on of allo wance f or e x pected loan credit losses (as de f i n ed).
Non-recurri ng items No n-recurri ng items as presen ted in t he ' C o nso lidat ed C o n d e nsed In terim Income S tateme nt on t he un derl y i ng basi s' relate to: (i) A d v isory and ot h er restruct uri ng costs - organ ic, (ii) Pr o v isio ns/n et l oss relat i ng to NPE sales, i ncl u di ng restruct uri ng e x pe nses, (iii) Loss on re m easureme nt of i nv est m e nt in associate u pon class i f icat i on as h eld for sa le (CNP) n et of share of pro fit from associates (f or t he six m on t hs e n ded 30 June 2 019 o n l y ), and (i v) Re v ersal of impairme nt of de f erred t ax assets (DTA) a nd impairme nt of ot h er tax recei vab les (f or t he six mo n t hs e n ded 30 June 2019 o n l y).
NPE co v erage ratio The NPE co v erage ratio is calcu lated as t he al lo w a nce f or e x pect ed l oan credit losses (as de f i n ed) o v er NPEs (as de f i n ed).
NPE ratio The NPE ratio is calcu lated as t he NP Es (as de f i n ed) di v ided by gross loans (as de f i n ed).
Operati ng p r o f it Operati ng p r o f it c omp r ises pro f it be f o re loan credit loss es (as de f i n e d), impairme n ts of o t h er f i nancial and n o n-f i nancial assets, pro v i s io ns f or l i t igati o n, claims, reg u lat ory and ot h er matters, tax, (pro fit)/loss att r ib u tab le to no n- co n tro l li ng i n te r ests and no n-recurri ng items (as de f i n ed).
Operati ng p r o f it ret urn on av erage assets
Operati ng p r o f it re t urn on av erage assets is calcu lat ed as t he an n ualised (bas ed on y ear to date days) operati ng p r o f it (on an u n derl y i ng basis) (as de f i n ed) di v id ed by t he q uarte r ly av erage of t otal ass ets f or t he rele vant p eri o d. Av erage tot al asse ts e xcl u de t ot al assets of disco nt i nu ed o p eratio ns at each q uart er e n d, if applicab le.
Pr o f it/(l oss) af ter tax - organ ic (attrib u t a ble to t he o wn ers of t he C ompany)
Pr o f it/(l oss) af ter tax - organ ic (attri b u table to t he own ers of t he C o m pany) is t he pro f it/( loss) af ter tax and be f ore n on-recurri ng items (as de f i n ed abov e) (attrib u t a ble to t he o wn e rs of t he C ompany ), e xcept f or t he 'A d v isory and oth er restruct uri ng costs - orga n ic'.
Total i ncome Total i nco me un der t he un derl y i ng basis comp r ises tot al of n et i nt erest i ncome, n et f ee a nd c o mm i s s ion i n c o m e, n et f o r ei gn e x c h a n ge g a i n s, n et g a i ns on f i n a n c i al i n s t r u m e nt t r a n s a c ti o ns a nd di s po s a l / di s s ol u ti on of s u b s id i ar ies a nd a ss o c i a tes ( e xcl u di ng n et g a i ns on l oans and advances to customers at FVPL), i n s u r a n ce i n c o me n et of c l a i ms a nd c o mm i s s ion s, n et g a i n s /( l o ss e s) f r om r e v a lu a tion a nd di s po sal of in v e s t m e nt p r ope r tie s, n et g a i ns on di s p o sal of s to ck of p r op e r ty a nd ot h er in c o me ( on t he u n d er l y i ng b as i s). A reco nciliat ion of t h ese amo un ts bet w een t he stat ut ory and t he un derl y i ng bases is disc losed in t he In terim Manageme nt Report un der sect i on 'Gro up f i nancial resu lts on t he u n derl y i ng basi s'.
R EC ON CILIATIONS
For t he p urpose of t he 'De f i n it i o ns and e x planatio ns of A lternati ve Perf ormance Measures Disclosure s', re f ere nce to 'N o t e' rel a t es to t he respe c ti ve no te in t he C o nsol i dat ed C o n d e nsed In terim Fi nancial S tateme n ts f or t he six mon t hs e n ded 30 June 202 0.
1 . (a) Reconciliat i on of Gr oss l o a ns and advances to cu sto mers
3 0 J une 3 1 Decemb
2020 er
201 9
EUR000 EUR000
Gross loans and adva nces to customers (as 12 ,4 9 1,4 12 , 821 ,
de f i n ed a bo v e) 27 8 3 8
R econcili ng items:
Resid ual fair val ue adj ustme nt on i n (201 , 9 9
itial re c og n i t ion (Note 29 . 2) (179,4 7 9) 9)
Loans and adva nces to cu s tomers classi
fi ed as h eld f or sale (173 , 8 8
(Note 2 9 . 7) (910,9 7 2) 1)
Resid ual fair val ue adj ustme nt on i n
i t ial re c og n i t ion on loans and advances
to customers classi f ied as h eld f or sale
(Note 29 . 7) (31,168) (11 , 083)
Loans and advances to customers measured at
fair val ue t hro u gh pro f it and loss (No (369 , 2 9
te 16) (293,5 4 1) 3)
A gg regate fair val ue adjustme nt on l oans
and advances to customers measured at fair
val ue t hro u gh pro f it or loss (37,014) (57 , 436)
Gro ss l oans and advances to c us t omers
at a mortis ed co st as per t he C o n s o
li d ated C o nden sed Inter im Fi nancial 11 ,0 3 9,2 12 , 008 ,
Statements (Note 16) 53 1 4 6
1 . (b) Reconciliat i on of Loans and advances to cu sto mers clas s ified as held f or sale
3 0 J une 3 1 Decemb
2020 er
201 9
EUR000 EUR000
Loans and adva nces to customers classi fi
ed as h eld f or sale as per t he un derl 184 , 9 6
y i ng basis 942 ,1 40 4
R econcili ng items:
Resid ual fair val ue adj ustme nt on i n
i t ial re c og n i t ion on loans and advances
to customers classi f ied as h eld f or sale
(Note 2 9 . 7) (31,168) (11 , 083)
L o ans a nd a dvances to cus t omers class
ified as held f or sale as per t he C o n
s o li d ated C o nden sed Inter im Fi nancial 173 , 8 8
Statements (Note 19) 910 ,9 72 1
2 . (a) Reconciliat i on of A ll owance for expected c redit l o s ses on l o a ns a nd a dvances to cus t omers (ECL)
3 0 J une 3 1 Decemb
2020 er
201 9
EUR000 EUR000
A llo w ance f or e x pect ed credit losses
on loans and advances to customers (as de 2 , 096 ,
f i n ed abov e) 2 ,04 3,229 1 8 0
R econcili ng items:
Resid ual fair val ue adj ustme nt on i n (201 , 9 9
itial re c og n i t ion (Note 29 . 2) (179,4 7 9) 9)
A gg regate fair val ue adjustme nt on l oans
and advances to customers measured at fair
val ue t hro u gh pro f it or loss (37,014) (57 , 436)
A llo w ance f or e x pect ed credit losses
on loans and advances to customers classi (147 , 9 5
f ied as h e ld f or sale (Note 29 . 8) (549,3 2 0) 2)
Resid ual fair val ue adj ustme nt on i n
i t ial re c og n i t ion on loans and advances
to customers classi f ied as h eld f or sale
(Note 29 . 7) (31,168) (11 , 083)
Pr o v isio ns f or f i nancial g u aran tees
and commitme n ts (Note 23) (17,694) (22 , 112)
All owance f or ECL f or i mpairment of l
oans and advances to cus t omers as per t
he Con s o li dated C o n den sed Inter im 1 , 655 ,
Fi nancial Statements (N ote 1 6) 1 ,22 8,554 5 9 8
2 . ( b) Reconciliat i on of All owance f or ex pected c redit l oss es on l oans a nd adva nces to cus t omers class ified as held f or sale (ECL)
3 0 J une 3 1 Decemb
2020 er
201 9
EUR000 EUR000
A llo w ance f or e x pect ed credit losses
on loans and advances to customers classi
f ied as h e ld f or sale as per t he un de 159 , 0 3
r l y i ng basis 580 ,4 88 5
R econcili ng items:
Resid ual fair val ue adj ustme nt on i n
i t ial re c og n i t ion on loans and advances
to customers classi f ied as h eld f or sale
(Note 2 9 . 7) (31,168) (11 , 083)
All owance f or ECL f or i mpairment of l
oans and advances to cus t omers clas s ified
as held for sale as per the Co n so li dated
C o n dens ed Inter im Fi nancial Sta tements 147 , 9 5
(Note 19) 549 ,3 20 2
3 . Reconciliat i on of NPEs
3 0 J une 3 1 Decemb
2020 er
201 9
EUR000 EUR000
3 , 879 ,
NPEs (as de f i n ed abo v e) 3 ,46 7,878 5 0 8
R econcili ng items:
Loans and advances to c ustomers (NPEs) classi (172 , 8 8
f i ed as h eld f or sale (Note 1 b e lo w) (897,3 4 4) 0)
Resid ual fair val ue adj ustme nt on i n
i t ial re c og n i t ion on loans and advances
to customers (NPEs) classi f ied as h eld
f or sale (Note 2 belo w) (31,527) (11 , 096)
Loans and advances to customers measured at (144 , 8 6
fair val ue t hro u gh pro f it and loss (NPEs) (116,1 0 3) 6)
(511 , 9 3
POCI (NPE s) (Note 3 bel ow) (334,8 9 7) 3)
S tage 3 g r o ss l o a ns and advances to
c us t omers at amorti sed c o st as per t
he C o n s o li dated C o nd e nsed Inter 3 , 038 ,
im Fi nancial Statements (N ote 2 9 . 6) 2 ,08 8,007 7 3 3
N PE ratio
3 , 879 ,
NPEs (as per table abo v e) (EUR000) 3 ,46 7,878 5 0 8
Gross loans and adva nces to customers (as
per table abo v e) 12 ,4 9 1,4 12 , 821 ,
(EUR000) 27 8 3 8
Ratio of NPE/Gross loans ( %) 27 .8% 30 . 3 %
N o te 1 : Gross loans at amort ised c ost aft er resid ual fair val ue adj ust m e nt on i ni tial recog ni t i on
class i f ied as h eld f or sale incl u de an amo unt of EUR 76 1,863 t h o usand S tage 3 l o a ns (31 Decem ber 20 1 9:
EUR150 , 2 0 6 t h o usand S tage 3 l oans) and an amo unt of EUR 1 3 5 , 480 t h o usand POCI - S tage 3 l oans (o ut of a tot al of EUR 1 35 , 4 87 t h o usand POCI loans) (31 Decem ber 2 019: EUR 2 2 , 674 t h o usa nd POCI - S tage 3 l oans (o ut of a t o tal of EUR 22 , 6 79 t h o usand POCI loans) as disc losed in N ote 2 9 .7 of t he C o nso l idat ed C o n de nsed In terim Fi nancial S tateme n ts f or t he six mo n t hs e n ded 30 June 202 0.
N o te 2 : Resid ual fair v a l ue adj ustme nt on i n i t ial recog n i t ion of loans and advances to custo m ers
class i f ied as h eld f or sale i ncl u des an amo unt of EUR 5 , 235 t h o usand f or S tage 3 l oans ( 31 D ecember
2019 : EUR3 , 4 02 t h o usand f or S tage 3 l oans) and an amo unt of EUR 2 6 , 292 t h o usand f or POCI - S tage 3 loans (31 D ecember 2 0 1 9: EUR 7 , 694 t h o usand f or POCI - S tage 3 l oans) as di sclosed in No te 29 .7 of t he C o nsolid a ted C o n de nsed In terim Fi nancial S tateme n ts f or t he six mo n t hs e n d ed 30 June 202 0.
N o te 3 : Gross loans and a d vances to customers at amorti s ed cost b e f ore resid ual fair val ue adj ustme nt on i n itial r e c og ni tion i ncl u de an amo unt of EUR 334 , 8 97 t h o usand PO CI - S tage 3 loans (o ut of a tot al of
EUR442 , 6 5 6 t h o usand POCI loans) ( 31 December 2 0 19: EUR511 , 9 33 t h o usand PO CI - S tage 3 loans (o ut of
a total of EUR 627 , 2 12 t h o u sand PO CI loans)) as discl osed in No te 29 .6 of t he C o nsolid a ted C o n de nsed
In te rim Fi nancial S tateme n ts f or t he six mo n t hs e n d ed 30 June 202 0.
4 . Reconciliat i on of Loan c redit l osses
S i x mo n t hs end
ed
3 0 J une
2020 2019
EUR000 EUR000
Loan credit l osses per t he un derl y i ng
basis 87 ,4 25 86 , 88 3
R econcili ng items:
Loan cred it l osses re lating to H e l ix
po r t f o l io and NPE sales, disclo s ed
un der n o n-recurri ng i t ems wi t h in
'Pro v isio ns/n et l oss relat i ng to NPE
sale s, i ncl u di ng restruct uri ng e x
pe nses' un der t he un derl y i ng basis 90 ,6 62 16 , 58 2
103 , 4 6
178 ,0 87 5
Loan cred it loss es (as d e f i n ed) are
reco nci led to t he stat u tory basis as
f ollo ws:
C redit l osses to c o v er credit r isk on 108 , 9 1
loans and advances to customers (Note 1 0) 183 ,7 11 1
Net gai ns on derecog n i t ion of f i nancial
assets measured at amorti s ed cost (In terim
Consolidat ed Income S tate m e n t) (2,617) (5, 429)
Net gai ns on loans and ad vances to customers
at FVPL (Note 8) (3,007) (17 )
103 , 4 6
178 ,0 87 5
R ATIO IN FORMATION
For t he p urpose of t he 'De f i n it i o ns and e x planatio ns of A lternati ve Perf ormance M easures Disclosures', re f ere nce to 'N o t e' rel a t es to t he respe c ti ve no te in t he C o nsol i dat ed C o n d e nsed In terim Fi nancial S tateme n ts f or t he six mon t hs e n ded 30 June 2020.
1 . Net Interest Marg in
Reco ncili a t i on of t he vari o us compo n e n ts of n et in terest marg in from t he un derl y i ng basis to t he stat u tory basis is pro vi ded belo w:
S i x mo n t hs end
ed
3 0 J une
2020 2019
1 .1. Reconciliat i on of Net i n terest i
ncome EUR000 EUR000
Net i n tere st i ncome as per t he un derl 170 , 1 4
y i ng basis 167 ,8 00 7
R eclass ificat i ons f or:
Net i n te r est i ncome re lat ing to t he
H e lix po r t f o l i o, disclo s ed un der
n on-recurri ng items w it h in 'Pr o v isio
ns/n et loss rel a t ing to NPE sales, i ncl
u di ng restruct uri ng e x pe nses' un der
t he un derl y ing basis - 33 , 96 2
Net i n tere st i ncome as per t he stat u 204 , 1 0
tory basis 167 ,8 00 9
N et i nterest i nco me used in the calcu 343 , 1 1
lat i on of NIM (annuali sed) 337 ,4 44 4
3 0 J une 3 1 March 3 1 Decemb
2020 2020 er
201 9
1 .2. Interest earn ing as sets EUR000 EUR000 EUR000
C ash a nd balances w ith ce n tral 4 , 398 , 5 , 060 ,
banks 5 ,27 6,398 7 8 1 0 4 2
455 , 2 8 320 , 8 8
Loans and adva nces to banks 621 ,9 60 4 1
10 ,1 0 10 , 596 , 10 , 721
Loans and adva nces to cu s tomers 4,2 40 5 3 6 , 8 4 1
Loans and advances to customers h
e ld f or sale (No te
19) 361 ,6 52 23 , 70 0 25 , 92 9
I nv e stme n ts
1 , 781 , 1 , 738 ,
Debt securi t ies (No te 13) 1 ,80 4,290 9 9 2 0 0 7
Less: Inv estme n ts w h ich are n
ot i n terest b eari ng (23,887) (21 , 496) (23 , 593)
18 ,1 4 17 , 234 , 17 , 843
Total i nterest earn ing assets 4,6 53 7 9 7 , 1 0 7
1 .3. Quarter ly ave rage i n terest
ear n i ng
assets ( EUR000)
17 ,7 4
- as at 30 June 2020 0,8 52
18 , 270
- as at 30 June 2019 , 8 1 4
2 . Cost to i ncome rat io
2 .1. Reco ncili a t i on of t he vari ous compo n e n ts of t ot al e x pe nses used in t he cost to i nco me rat io calcu lation from t he un derl y i ng basis to t he stat u tory basis is pro v id ed be l o w:
S i x mo n t hs end
ed
3 0 J une
2020 2019
EUR000 EUR000
2 .1.1. Reconciliat i on of Sta ff cos
ts
Total S taff costs as per t he un derl y 111 , 5 0
i ng basis 96 ,2 08 0
Reclassi f icat io ns f or:
S t aff costs relat i ng to t he H elix
po r t f o l i o, re c lassi f i ed un der
t he un derl y i ng basis to 'Pr o v isio
ns/net loss relat i ng to NPE sales, i ncl
u di ng restruct uri ng e x pe nses' - 2 , 74 4
Total S taff costs as per t he stat u tory 114 , 2 4
basis 96 ,2 08 4
2 .1.2. Reconciliat i on of Other operat
ing expen ses
Total Ot h er o p erati ng e x p e nses
as per t he u n derl y i ng basis 68 ,6 33 84 , 39 8
Reclassi f icat io ns f or:
Operati ng e x pe nses rel a t ing to t
he H elix port fo l i o, presented w it
h in 'Pr o v isio ns/n et lo ss relati ng
to NPE sal es, i ncl u di ng restruct uri
ng e x pe nses' u nder t he un derl y i
ng basis 12 ,0 00 12 , 20 9
Pro v isio ns/(reversal of pro v isi o ns)
f or l i tig a t ion, claims, reg u latory
and ot h er ma t ters, separa tely p r esent
ed un der t he un derl y i ng basis 4 ,044 (2, 683)
A d v i sory and ot h er restruct uri ng
costs - organ ic, separately presented un
der t he un derl y i ng basis (restat e
d*) 6 ,183 10 , 17 8
Restruct uri ng costs rel a ti ng to t he
H elix po r t f ol io and NPE sales, presen
ted w it h in 'Pro v i s i o ns/n et loss
rel a ti ng to NPE sale s, i ncl u di ng
restruct uri ng e x pe nses' un der t he
un derl y i ng basis (restat e d *) 3 ,704 8 , 86 5
Total Ot h er o p erati ng e x p e nses 112 , 9 6
as per t he stat u tory basis 94 ,5 64 7
* Reclassi f icat io ns made to comparat i ve i nf ormat i on of t he un derl y i ng basis w ere made so t hat a d v isory and ot h er re s truct uri ng costs f or t he six mo n t hs e n ded 30 June 2 0 19 of EUR1 , 2 85 t h o usand (re lati ng to Pr oject H e l ix 2 l oan port f ol i o, wh ich was classi f ied as h eld f or sale as at 30 June 2020 ), pre vi o usly report ed w it h in 'A d v isory and ot h er r estruct uri ng c osts - organ ic', w ere disc l osed un der n o n-recurri ng items wi t h in 'Pro v isio ns/n et l oss re lat i ng to NPE sales, i ncl u di ng re s truct uri ng e x pe nses' un der t he un derl y i ng basis.
2 . Cost to i ncome rat io (co n ti nu ed)
S i x mo n t hs end
ed
3 0 J une
2020 2019
EUR000 EUR000
2 .1.3. Special levy on depos i ts on credit
in stitutio ns in Cypr u s, c on t r i bution
to S i ng le Reso l ution Fund and oth er
levies
S pe cial le vy on depo s its on credit
i nst it u t i o ns in Cy prus a nd co n
trib u t i on to S i n gle Re s ol u t i
on Fund (SRF) per the un derl y i ng basis 15 ,3 23 12 , 47 7
Reclassi f icat ion f or:
Le vy fee rel a ti ng to t he re v ised
i ncome tax le g islatio n, wh ich has been
disclosed wi t h in 'R e v ersal of impairm
e n t/(impairme n t) of de f erred tax assets
(DTA) and impairme nt of ot h er tax recei
vabl es' un der t he u n d erl y i ng basis
(Note 9) - 6 , 25 5
S pe cial le vy on depo s i ts on credit
i nstit ut io ns in Cy p r us, co n trib
u t i on to S i n g le Resol ut ion fund
and ot h er le v ies as restat e d ** p
er t he stat u t ory basis 15 ,3 23 18 , 732
** For i nf ormat ion on t he restate m e nt of t he comparati ve amo un ts un der t he s tat u tory basis p l ease re f er to No te 3 .1 of t he C o nsolidat ed C o n de nsed In terim Fi nancial S tateme n ts.
2 .2. Reco ncili a t i on of t he vari o us compo n e n ts of tot al i ncome (as de f i n ed) used in t he cost to i ncome rat io calcu lat i on from t he un derl y i ng basis to t he stat u tory basis is pro v ided b e lo w:
S i x mo n t hs end
ed
3 0 J une
2020 2019
EUR000 EUR000
2 .2.1. Reconciliat i on of Net fee and
co mm is s i on i ncome
Total Net f ee and co mmission i ncome as
p er t he un derl y i ng basis 71 ,2 45 74 , 90 0
Reclassi f icat io ns f or:
Fee and commission i ncome rel a ti ng to
t he H el ix port f ol i o, disclo s ed
un der n on-recu rri ng items w it h in
'Pro v isi ons/n et loss relat i ng to NPE
sale s, i ncl u di ng restruct uri ng e
x pe nses' per t he un derl y i ng basis - 5 , 86 7
Total n et f ee and comm ission i ncome
as re s tat e d ** per t he stat u tory
basis 71 ,2 45 80 , 767
2 .2.2. Reconciliat i on of Net f orei
gn exch a nge gains and Net gains on fi
nancial i nstrument tran sact i o ns and
d i sp o sal/d i s s o l ution of su b s
i d iar ies and as s ociates
Total Net f ore ign e xchan ge gai ns and
n et g a i ns on f i nancial i nstrume n
ts transactio ns and disposal/d isso l u
tion of su bsidiaries and associates as
per t he un derl y i ng basis 12 ,3 84 26 , 25 5
Reclassi f icat io ns f or:
Net g a i ns on l oans and ad vances to
custo m ers meas ured at fair val ue t hro
u gh pro f it or loss (FVPL), disclosed
w it h in 'Loan cred it losses' per t he
un derl y i ng basis (Note 8) 3 ,007 17
Total Net f ore ign e xchan ge gai ns and
n et g a i ns on f i nancial i nstrume nt
transactio ns and disposal / disso l u t
i on of su bsidiari es and associates as
per t he stat u tory basis (see b e lo w) 15 ,3 91 26 , 27 2
Net f oreign e xchan ge gai ns as per t
he stat u tory basis 10 ,5 43 14 , 11 7
Net gai ns on f i nancial i nst r ume nt
transactio ns and disposa l/diss ol u t
i on of su bsidiari es and associates as
per t he stat u tory basis 4 ,848 12 , 15 5
Total Net f ore ign e xchan ge gai ns and
Net gai ns on f inancial i nstrume nt transactio
ns and disposa l/disso l u t i on of su
bsidiari es and associates as per t he stat
u tory basis 15 ,3 91 26 , 27 2
Reco ncili a t i on of Net i n te r est i ncome bet w e en t
he un derl y i ng and t he stat ut ory basis has be en pro v
id ed in t he tables abov e.
** For i nf ormat ion on t he restate m e nt of t he comparati ve amo un ts un der t he s tat u tory basis p l ease re f er to No te 3 .1 of t he C o nsolidat ed C o n de nsed In terim Fi nancial S tateme n ts.
3 . Operat i ng p r o fit return on ave rage as sets
The vario us compo n e n ts used in t he de t ermi nat i on of t he operati ng p r o f it re t urn on av erage assets are pro v id ed be l o w:
31
3 0 J une 3 1 March Decem be
2020 2020 r
201 9
EUR000 EUR000 EUR000
Total assets us ed in the com p
utation of the operat ing p r o
fit return on ave rage as sets/per
the Inter im C o n s o li dated 21 ,3 7 20 , 430 21 , 122
Balance Sheet 0,8 08 , 7 9 2 , 8 2 2
3 0 J une 3 0 June
2020 2019
EUR000 EUR000
252 , 1 5
Operati ng p r o f it 218 ,3 34 2
20 ,9 7 21 , 902
Quarterly av erage tot al assets 4,8 07 , 6 3 2
The reco nciliat ion of t he vario us compo n e n ts of operat i ng pro fit b e t w een t he un derl y i ng and t he stat u tory basis has been pro v ided in t he tab les abo v e.
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END
IR PPUGCRUPUUBR
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August 28, 2020 05:51 ET (09:51 GMT)
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