Interim Financial Report 2020 - Part 3

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 Management Disclosures, including Pillar III semi-annual disclosures   30 June   2020

BANK OF CYPRUS HOLDINGS GROUP

Additional Risk and Capital Management Disclosures, including Pillar III semi-annual disclosures

This report includes additional risk and capital management disclosures.

I n addition, this report includes information prepared in accordance with the Capital Requirements Regulation (CRR) and amended Capital Requirements Directive IV (CRD IV).   The disclosures have been prepared in accordance with the European Banking Authority (EBA) Guidelines on materiality, proprietary and confidentiality and on disclosure frequency under Articles 432(1), 432(2) and 433 of Regulation (EU) No

575 /2013 (EBA/2014/14) and EBA Guidelines on disclosure requirements under Part Eight of Regulation (EU) No 575/2013.

1 .   Credit risk

A ccording to the European Banking Authority's (EBA) standards and European Central Bank's (ECB) Guidance to Banks on Non-Performing loans (which was published in March 2017), Non-Performing Exposures (NPEs) are defined as those exposures that satisfy one of the following conditions:

(i)  The borrower is assessed as unlikely to pay its credit obligations in full without the realisation of the

collateral, regardless of the existence of any past due amount or of the number of days past due.

(ii)   Defaulted or impaired exposures as per the approach provided in the Capital Requirement Regulation (CRR), which would also trigger a default under specific credit adjustment, distress restructuring and obligor bankruptcy.

(iii)   Material exposures as set by the Central Bank of Cyprus (CBC), which are more than 90 days past due.

(iv)   Performing  forborne  exposures  under  probation  for  which  additional  forbearance  measures  are

e x te n ded .

(v)  Performing forborne exposures under probation that present more than 30 days past due within the probation period.

Ex po sures include all on and off balance sheet exposures, except those held for trading, and are categorised as such for their entire amount without taking into account the existence of collateral.

The following materiality criteria are applied:

·     When the problematic exposures of a customer that fulfil the NPE criteria set out above are greater than

20 % of the gross carrying amount of all on balance sheet exposures of that customer, then the total customer exposure is classified as non-performing; otherwise only the problematic part of the exposure is classified as non-performing.

·     Material arrears/excesses are defined as follows:

-  Retail exposures: Total arrears/excesses amount greater than €100

-  Exposures other than retail: Total arrears/excesses are greater than €500

and the amount in arrears/excess in relation to the customer's total exposure is at least 1%.

NPEs may cease to be considered as non-performing only when all of the following conditions are met: (i)  The extension of forbearance measures does not lead to the recognition of impairment or default. (ii)  One year has passed since the forbearance measures were extended.

(iii)  Following the forbearance measures and according to the post-forbearance conditions, there is no past due amount or concerns regarding the full repayment of the exposure.

(iv)   No unlikely-to-pay criteria exist for the debtor.

(v)  The debtor has made post-forbearance payments of a non-insignificant amount of capital (different capital thresholds exist according to the facility type).

1 .  Credit risk  (continued)

The tables below present the analysis of loans and advances to customers in accordance with the EBA standards.

3 0June 2020	Grossloansandadvancestocustomers								Accumulatedimpairment,accumulatednegativechangesin fairvaluedue tocreditriskandprovisions
	Groupgross customer loansand advances 1	O fwhichNPEs	O fwhichexposureswith forbearancemeasures						Accumulated impairment, accumulated n eg ativechanges in fairvaluedue to creditriskand provisions	O fwhichNPEs			O fwhichexposureswith forbearancemeasures
			T otalexposures with forbearance measures			O fwhichNPEs							T otalexposures with forbearance measures			O fwhichNPEs
	€0 0 0	€0 0 0	€0 0 0			€0 0 0			€0 0 0	€0 0 0			€0 0 0			€0 0 0
Loansandadvancestocustomers
Generalgovernments	57 , 66 6	-	-			-			3 ,264	-			-			-
O t h e rfinancialcorporations	12 5 ,499	14,715	15,561			2,024			16 , 10 4	10,286			1,792			561
Non-financialcorporations	5 ,783,714	939,658	736,143			478,043			56 0 ,530	478,647			224,472			211,492
O fwhich:SmallandMediumsized En terprises 2	4 ,277,687	665,190	670,033			439,960			45 7 ,315	387,628			208,882			197,313
O fwhich:Commercialrealestate 2	4 ,251,558	560,506	631,856			398,940			32 2 ,742	257,944			174,542			163,957
Non-financialcorporationsbysector
C o n s truction	69 5 ,368	133,195							82 , 94 1
W h o l e s a l eandretailtrade	1 ,189,355	295,597							15 7 ,439
A cc o m mo dationand foodserviceactivities	1 ,091,016	32,662							43 , 50 6
R e alestateactivities	1 ,207,715	216,577							11 0 ,868
Manufacturing	40 9 ,078	78,885							53 , 04 9
O thersectors	1 ,191,182	182,742							11 2 ,727
H ouseholds	5 ,586,066	1,584,634	1,151,665			828,712			86 8 ,807	804,646			374,790			365,780
O fwhich:Residentialmortgageloans 2	4 ,329,204	1,244,717	930,655			671,049			63 2 ,012	578,427			281,006			273,855
O fwhich:Creditfor consumption 2	68 3 ,292	206,843	132,187			108,223			12 2 ,181	119,246			53,423			52,364
	11 , 55 2 ,945	2 ,539,007	1 ,903,369			1 ,308,779			1 ,448,705	1 ,293,579			60 1 ,054			57 7 ,833
Loansandadvancestocustomers classifiedas heldforsale	94 2 ,140	928,871	540,920			531,391			58 0 ,488	574,156			314,737			309,894
T otalon-balancesheet	12 , 49 5 ,085	3 ,467,878	2 ,444,289			1 ,840,170			2 ,029,193	1 ,867,735			91 5 ,791			88 7 ,727

(1 )  Excluding loans and advances to central banks and credit institutions.

(2)   T h e analysis shown in lines 'non-financial corporations' and 'households' is non-additive across categories as certain customers could be in both categories.

1 .  Credit risk  (continued)

31 December2019	Gross loansandadvancestocustomers								Accumulated impairment,accumulatednegative changesinfair value due tocredit riskandprovisions
	Groupgross customer loansand advances 3	O fwhich N PEs	O fwhichexposureswith forbearancemeasures						Accumulated impairment, accumulated negative changesinfair value due to credit riskand provisions	O fwhich N PEs			O fwhichexposureswith forbearancemeasures
			Total exposureswith forbearancemeasures			O fwhich N PEs							Total exposures withforbearance measures			O fwhich N PEs
	€000	€000	€000			€000			€000	€000			€000			€000
Loansandadvancestocustomers
General governments	56,921	1	-			-			3,389	-			-			-
O t herfinancial corporations	124,343	27,459	18,489			2,366			17,542	14,843			1,466			462
No n -f i n ancial corporations	6,271,155	1,382,074	1,216,902			737,602			753,848	686,025			348,577			337,290
O fwhich: Smalland Medium sized Enterprises 4	4,662,994	1,073,846	786,069			556,483			636,820	576,635			271,110			261,229
O fwhich:Commercialreal estate 4	4,270,225	858,998	767,008			480,382			457,622	402,751			219,952			211,902
No n -f i n ancial corporations bysector
Construction	823,276	265,879							144,336
W holesaleand retailtrade	1,294,815	371,613							185,720
Accommodation and foodserviceactivities	1,055,448	50,116							44,823
Realestateactivities	1,266,772	296,406							153,802
Professional,scientific and technical activities	425,134	90,832							53,916
O t her sectors	1,405,710	307,228							171,251
Households	6,192,505	2,285,998	1,577,249			1,245,937			1,148,304	1,080,696			526,423			513,772
O fwhich:Residentialmortgageloans 4	4,808,202	1,811,698	1,291,083			1,021,084			842,389	783,146			401,561			392,046
O fwhich:Credit for consumption 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
Loansandadvancestocustomers classifiedasheldforsale	184,964	183,974	45,191			45,028			159,035	158,998			37,438			37,429
Total on-balancesheet	12,829,888	3,879,506	2,857,831			2,030,933			2,082,118	1,940,562			913,904			888,953

( 3)  Excluding loans and advances to central banks and credit institutions.

( 4) The analysis shown in lines 'non-financial corporations' and 'households' is non-additive across categories as certain customers could be in both categories.

2 .   Liquidity risk and funding

2 .1   Encumbered and unencumbered assets

A sset encumbrance arises from collateral pledged against secured funding and other collateralised obligations.

A n asset is classified as encumbered if it has been pledged as collateral against secured funding and other collateralised obligations and, as a result, is no longer available to the Bank of Cyprus Holdings Group (the Group) for further collateral or liquidity requirements. The total encumbered assets of the Group amounted to

€2 , 977 , 4 0 8 thousand as at 30 June 2020 (31 December 2019: €2,850,429 thousand).

A n asset is classified as unencumbered if it has not been pledged as collateral against secured funding and other collateralised obligations. Unencumbered assets are further analysed into those that are available and can be potentially pledged and those that are not readily available to be pledged. As at 30 June 2020, the Group held €14,421,947 thousand (31 December 2019: €14,408,148 thousand) of unencumbered assets that can be potentially pledged and can be used to support potential liquidity funding needs and €2,687,145 thousand (31 December 2019: €2,525,161 thousand) of unencumbered assets that are not readily available to be pledged for funding requirements in their current form.

Loans and advances to customers indicated as encumbered as at 30 June 2020 and 31 December 2019 are mainly used as collateral for funding from the ECB and the covered bond.

Loans and advances to customers include mortgage loans of a nominal amount €1,003 million as at 30 June

202 0 (31 December 2019: €1,000 million) in Cyprus, pledged as collateral for the covered bond issued by Bank of Cyprus Public Company Ltd (BOC PCL) in 2011 under its Covered Bond Programme. Furthermore, as at 30 June 2020 housing loans of a nominal amount €1,662 million (31 December 2019: €1,498 million) in

Cy p rus are pledged as collateral for funding from the ECB (Note 31 of the Consolidated Condensed Interim

Financial Statements for the six months ended 30 June 2020).

The table below presents an analysis of the Group's encumbered and unencumbered assets and the extent to which these assets are currently pledged for funding or other purposes. The carrying amount of such assets is disclosed below:

3 0June2020	En cumbered	Unencumbered		Total
	Pledgedas collateral	W h i chcan potentially bepledged	W h i charenot readily availabletobe pledged
	€000	€000	€000	€000
C ashandbankplacements	102 , 7 7 8	5 , 046 , 6 3 7	748 , 9 4 3	5 , 898 , 3 5 8
Inv e stments	177 , 5 1 7	1 , 780 , 7 1 0	40 , 70 3	1 , 998 , 9 3 0
Loansandadvancestocustomers	2 , 697 , 1 1 3	6 , 159 , 9 8 1	1 , 247 , 1 4 6	10 , 104 , 2 4 0
Non-currentassetsanddisposal groupsheldforsale	-	-	372 , 5 9 1	372 , 5 9 1
Property	-	1 , 683 , 0 8 9	29 , 29 2	1 , 712 , 3 8 1
Totalon-balancesheet	2 ,977,408	14 ,670,417	2 ,438,675	20 ,086,500

3 1December 2019
C ashandbankplacements	90 , 43 7	4 , 774 , 8 4 5	515 , 6 4 1	5 , 380 , 9 2 3
Inv e stments	222 , 9 6 1	1 , 633 , 5 7 1	49 , 29 8	1 , 905 , 8 3 0
Loansandadvancestocustomers	2 , 537 , 0 3 1	6 , 271 , 8 7 9	1 , 912 , 9 3 1	10 , 721 , 8 4 1
Non-currentassetsanddisposal groupsheldforsale	-	-	26 , 21 7	26 , 21 7
Property	-	1 , 727 , 8 5 3	21 , 07 4	1 , 748 , 9 2 7
Totalon-balancesheet	2 ,850,429	14 ,408,148	2 ,525,161	19 ,783,738

2 .   Liquidity risk and funding  (continued)

2 .1   Encumbered and unencumbered assets (continued)

En cumbered assets primarily consist of loans and advances to customers and investments in debt securities. These are mainly pledged for the funding facilities of the Central Banks (ECB and CBC) (Note 20 of the Consolidated Condensed Interim Financial Statements for the six months ended 30 June 2020) and for the covered bond. Investments are mainly used as collateral for repurchase transactions with commercial banks as well as supplementary assets for the covered bond (Note 31 of the Consolidated Condensed Interim Financial Statements for the six months ended 30 June 2020). Encumbered assets include cash and other liquid assets placed with banks as collateral under ISDA/GMRA agreements which are not immediately available for use by the Group but are released once the transactions are terminated. Cash is mainly used to cover collateral required for (i) derivatives and repurchase transactions and (ii) trade finance transactions and guarantees issued. It is also used as part of the supplementary assets for the covered bond.

B OC PCL maintains a Covered Bond Programme set up under the Cyprus Covered Bonds legislation and the

C o v e red Bonds Directive of CBC. Under the Covered Bond Programme, BOC PCL has in issue covered bonds of

€65 0 million secured by residential mortgages originated in Cyprus. On 6 June 2018, the terms of the covered bond have been amended to extend the maturity date to 12 December 2021 and set the interest rate to 3

months  Euribor  plus  2.50%  on  a  quarterly  basis.  The  covered  bonds  are  traded  on  the  Luxemburg Bourse. The covered bonds have a conditional Pass-Through structure. All the bonds are held by BOC PCL. The covered bonds are eligible collateral for the Eurosystem credit operations and are placed as collateral for accessing funding from the ECB.

Unencumbered assets which can potentially be pledged include Cyprus loans and advances which are less than 90 days past due. Balances with central banks are reported as unencumbered and can be pledged, to the extent that there is excess available over the minimum reserve requirement. The minimum reserve requirement is reported as unencumbered not readily available to be pledged.

Unencumbered assets that are not readily available to be pledged primarily consist of loans and advances which are prohibited by contract or law to be encumbered or which are over 90 days past due or for which there are pending litigations or other legal actions against the customer, a proportion of which would be suitable for use in secured funding structures but are conservatively classified as not readily available for collateral.  Properties whose legal title has not been transferred in the name of the Company or a subsidiary are not considered to be readily available as collateral.

In s u rance assets held by Group insurance subsidiaries are not included in the table above or below as they are primarily due to the insurance policyholders.

The carrying and fair value of the encumbered and unencumbered investments of the Group as at 30 June

202 0 and 31 December 2019 are as follows:

3 0June2020	C arrying valueof encumbered investments	Fairvalueof encumbered investments	C arryingvalueof unencumbered investments	Fairvalueof unencumbered investments
	€000	€000	€000	€000
E q u it ysecurities	-	-	194 , 6 4 0	194 , 6 4 0
Debtsecurities	177 , 5 1 7	178 , 0 3 0	1 , 626 , 7 7 3	1 , 641 , 3 0 4
Totalinvestments	177 ,517	178 ,030	1 ,821,413	1 ,835,944

3 1December 2019
E q u it ysecurities	-	-	167 , 8 2 3	167 , 8 2 3
Debtsecurities	222 , 9 6 1	223 ,362	1 , 515 , 0 4 6	1 , 531 , 3 3 6
Totalinvestments	222 ,961	22 3,362	1 ,682,869	1 ,699,159

2 .   Liquidity risk and funding  (continued)

2 .2   Liquidity regulation

The Group has to comply with provisions on the Liquidity Coverage Ratio (LCR) under CRD IV/CRR (as supplemented by relevant Regulations). It also monitors its position against the Net Stable Funding Ratio (NSFR)  as  proposed  under  Basel  III  and  expected  to  become  a  regulatory  indicator  when  Capital Requirements Regulation ΙΙ (CRR II) is enforced with the limit set at 100%.

The LCR is designed to promote short-term resilience of a Group's liquidity risk profile by ensuring that it has sufficient high quality liquid resources to survive an acute stress scenario lasting for 30 days. The NSFR has been developed to promote a sustainable maturity structure of assets and liabilities.

A s at 30 June 2020 the Group was in compliance with all regulatory liquidity requirements. As at 30 June

2020 , the LCR stood at 257% for the Group (compared to 208% at 31 December 2019) and was in compliance with the minimum regulatory requirement of 100%. As at 30 June 2020 the Group's NSFR, on the basis of the Basel ΙΙΙ standards, was 134% (compared to 127% at 31 December 2019).

2 .3   Liquidity reserves

The below table sets out the Group's liquidity reserves:

Co m p o s i tionof the liquidityreserves	3 0June2020			3 1December2019
	Internal Liquidity reserves	Liquidityreservesas per LCRDelegated Reg (EU) 2015 /61LCR eligible		In te rnal Liquidity reserves	Liquidityreservesasper LCRDelegatedReg (EU) 2015 / 6 1LCReligible
		Level1	Level2A		Level1	Level2A
	€000	€000	€000	€000	€000	€000
C ashandbalanceswith centralbanks	5 ,118,949	5 ,118,949	-	4 , 898 , 3 6 0	4 , 898 , 3 6 1	-
P l acementswithbanks	424 ,972	-	-	147 , 0 8 6	-	-
Liquidinvestments	1 ,356,668	1 ,226,586	115 ,009	1 , 214 , 1 9 7	1 , 115 , 1 9 6	124 , 7 6 3
Av ailableECBBuffer	656 ,944	-	-	1 , 116 , 2 4 9	-	-
Total	7 ,557,533	6 ,345,535	115 ,009	7 , 375 , 8 9 2	6 , 013 , 5 5 7	124 , 7 6 3

2 .   Liquidity risk and funding  (continued)

2 .3   Liquidity reserves  (continued)

In te rnal Liquidity Reserves present the total liquid assets as defined in BOC PCL's Liquidity Policy. Liquidity reserves as per LCR Delegated Regulation (EU) 2015/61 present the liquid assets as per the definition of the aforementioned regulation i.e. High Quality Liquid Assets (HQLA).

Under Liquidity reserves as per LCR, Nostro and placements with banks are not included, as they are not considered HQLA (they are part of the LCR Inflows).

Liquid investments under the Liquidity reserves as per LCR are shown at market values reduced by standard weights as prescribed by the LCR regulation. Liquid investments under Internal Liquidity reserves include all LCR and/or ECB eligible investments and are shown at market values net of haircut based on ECB haircuts and methodology.

Finally, available ECB buffer is not part of the Liquidity reserves as per LCR, since the assets in the ECB

collateral pool are not LCR eligible but only eligible as collateral for Eurosystem credit operations.

The Liquidity Reserves are managed by Treasury.

Resulting from the outbreak of COVID-19, the ECB has adopted a broad set of policy measures to mitigate the economic impact of the crisis and to ensure that its directly supervised banks can continue to fulfil their role in funding the real economy. A high-level description of the main measures which have a direct or indirect impact on the liquidity position of banks is described below.

The ECB announced that it will allow banks to operate temporarily below the defined level of 100% of the LCR. In July 2020, ECB announced that it will allow banks to operate below 100% of the LCR until at least end-

2021.

I n addition, the package included a set of collateral easing measures, which resulted in increasing the banks' borrowing capacity at the ECB operations and  improving the liquidity buffers due to the lower haircuts applied to the ECB eligible collaterals the bank holds, that comprises of bonds and Additional Credit Claims (ACC). The collateral easing packages are designed as temporary measures (with the exception of part of the haircut reduction on ACCs which is permanent) that will remain in place until September 2021 with the flexibility to be extended or modified. Furthermore, the ECB enlarged the scope of the ACC framework, increasing the universe of eligible loans. In relation to existing collateral, the ECB announced changes in collateral rules, temporarily accepting collaterals with a rating below investment grade, up to a certain rating level.

A ddi t io n ally, the package contained measures to provide liquidity support to the euro area financial system, such as a series of LTROs which ran from March to June 2020 so participants could shift their outstanding LTRO amounts to TLTRO III, as well as significant favourable amendments in the terms and characteristics of TLTRO III. Furthermore, a new series of  additional longer-term refinancing operations, called Pandemic Emergency Longer-Term Refinancing Operations (PELTROs), were introduced with an interest rate of 25 basis points below the average rate applied in the Eurosystem's main refinancing operations (currently 0%) over the life of the respective PELTROs that are maturing in the third quarter of 2021.

3 .   Minimum Required Own Funds for Credit, Market and Operational Risk

Group's approach to assessing the adequacy of its internal capital

The Group assesses its capital requirements taking into consideration its regulatory requirements, risk profile and risk appetite set by the BoD. A three year plan (Plan) is annually prepared revising the financial forecasts and capital projections over a three year horizon in light of recent developments and it is approved by the BoD. The Plan takes into account the Group key strategic pillars and the Risk Appetite Framework (RAF). The Plan is rolled forward on a quarterly basis after taking into account the actual results of each quarter.

The Group capital projections are developed with the objective of maintaining capital that is adequate in quantity and quality to support the Group's risk profile, regulatory and business needs. These are frequently monitored against relevant internal target capital ratios to ensure they remain appropriate, and consider risks to the plan, including possible future regulatory changes.

The main strategic and business risks are monitored regularly by the ExCo, the ALCO and the RC. These committees receive regular reports of risk and performance indicators, from relevant managers and make decisions to ensure adherence to the Group's strategic objective, while remaining within the Group RAS.

The key pillars of the Group's strategy are to:

·   Reduce the level of delinquent loans, arrest any asset quality deterioration and early manage arrears

resulting from the outbreak of COVID-19

·   A chieve a lean operating model

·   Maintain an appropriate capital position by internally generating capital

·   Further optimise the funding structure

·   Focus on the core Cyprus market

·   Deliver value to shareholders and other stakeholders

Overviews of RWAs

The RWAs that form the denominator of the risk-based capital ratio are presented below. Minimum capital requirements are calculated as 8% of the RWAs. All rows that are not relevant to the Group's activities are not included.

A s of 1 January 2018 the RWAs are reported on an IFRS 9 transitional basis under article 473(a) of the CRR. Until 31 March 2020 the provisions amounts of the individual exposures were decreased by an appropriate ratio hence creating higher individual exposures compared to the actual balance sheet values and as a result comparatively higher RWAs and capital requirements. As of 30 June 2020, and following the amendment of article 473(a) of the CRR through Regulation (EU) 2020/873, the Group has elected to apply the provision introduced by the amended regulation whereby the IFRS 9 CET1 add-back component is assigned 100% RWA and is added to the total exposures amount reported as part of the Credit Risk RWAs instead of being allocated to the individual exposures amount. The impact of this amendment did not have an effect on the total RWAs reported and capital requirements of the Group compared to the previous approach. The IFRS 9 transitional basis effect for the static component will be phased out by 1 January 2023, whereas the IFRS 9 transitional basis effect for the dynamic component will be phased out by 1 January 2025 following recent amendments in the CRR. Refer to section 5 for a description of amendments introduced.

3 .  Minimum Required Own Funds for Credit, Market and Operational Risk  (continued)

E U OV1 Overview of RWAs

		RW As		Minimumcapital requirements
		3 0June 2020	3 1December 2019	3 0June 2020
		€000	€000	€000
1	C reditrisk(excludingcounterpartycredit risk(CCR))	10 , 480 ,615	11 , 411 , 4 9 7	838 , 4 4 9
2	Ofwhich: StandardisedApproach	10 , 480, 6 1 5	11 , 411 , 4 9 7	838 , 44 9
6	CCR	15 , 561	12 , 61 8	1 , 24 5
7	Ofwhich:marktomarket	12 , 189	9 , 56 8	975
12	Ofwhich: CreditValuationAdjustment (CVA)	3 , 372	3 , 05 0	270
14	S e curitisationexposuresinthe banking book(afterthecap)	42 , 162	45 , 63 8	3 , 37 3
18	Ofwhich:StandardisedApproach	42 , 162	45 , 63 8	3 , 37 3
23	Operationalrisk	1 , 342 ,700	1 , 342 , 7 0 0	107 , 4 1 6
25	Ofwhich: StandardisedApproach	1 , 342 ,700	1 , 342 , 7 0 0	107 , 41 6
27	A mountsbelowthethresholdsfor deduction(subjectto 250%riskweight)	79 , 146	77 , 55 0	6 , 33 2
29	Total	11 ,960,184	12 , 890 , 0 0 3	956 ,815

The main drivers behind the decrease in RWAs arise from credit risk and they relate to (a) increased provisioning, settlements/repayments and  curing  in  NPEs  and  regulatory high  risk  exposure classes  in customer  loans;  (b)  the  implementation of  the  CRR  II  SME  Discount  Factor  (SMEDF)  from  the  CRR amendment introduced in June 2020 (refer to Section 5) which expanded the population of performing exposures that benefit from lower RWAs and also revised the discount factor applies to such exposures resulting in a reduction of RWAs of c380million; and (c) the reduction in balance sheet values of other assets. The increase in CCR RWAs derives from increased derivative exposures.

The main drivers behind the decrease in the RWAs for the different types of risk for the period are analysed in the tables below.

There were no large exposures for institutions that exceeded the relevant limits.

3 .   Minimum Required Own Funds for Credit, Market and Operational Risk  (continued)

3 .1   Credit Risk

The Standardised Approach has been applied to calculate the minimum capital requirement in accordance with the  requirements laid  down  in  Article  92  of  the  CRR  as  shown  in  the  table  below.  Minimum  capital requirements are calculated as 8% of the RWAs.

Further analysis on the RWA intensity is available in Section 8.12.

E xposurePortfolio	3 0June 2 020	3 1December 201 9
	€000	€000
C e n t ralgovernmentsorcentralbanks	27 ,913	30 , 60 7
Regional governmentsorlocalauthorities	51	43
Publicsectorentities	-	1
In stitutions	16 ,799	15 , 08 1
C o rporates	234 ,539	268 , 3 1 9
Retail	72 ,440	76 , 83 2
S e curedbymortgagesonimmovableproperty	98 ,394	94 , 43 2
Ex po suresindefault	136 ,958	164 , 2 9 0
I te msassociatedwithparticularhighrisk	99 ,204	112 , 3 8 8
C o v e redbonds	1 ,392	1 , 30 7
I te msrepresentingsecuritisationpositions	3 ,373	3 , 65 1
C l aimsoninstitutionsand corporateswithashort-termcreditassessment	38	-
C olle c ti v eInvestmentsUndertakings(CIU)	192	16
E q u it y	8 ,402	6 , 42 2
Otheritems	149 ,434	150 , 1 5 1
TotalCapitalRequirementfor CreditRisk	849 ,129	923 , 5 4 0

The application of the SMEDF is the main driver behind the decrease in exposure class "Corporates". The effect of increased provisioning, settlements/repayments and curing in NPEs and regulatory high risk exposure classes in customer loans is presented by the decrease in the higher risk exposure classes "Exposures in default" and "Items associated with particularly high risk". The decrease in "Central governments or central banks" is driven by a decrease in DTA balance sheet values. All other capital requirements movements follow movements in the book value of balance sheet assets.

3 .   Minimum Required Own Funds for Credit, Market and Operational Risk  (continued)

3 .2    Market risk

There were no minimum capital requirements for market risk for 2019 and 30 June 2020.

Due to the small trading book, Article 94 of the CRR was applied since 2019 allowing the RWA for trading book positions to be calculated in accordance with Article 92 paragraph 3(a) of the CRR, hence the RWAs and capital requirements are included in the Credit Risk tables. All trading book positions relate to equity and CIUs.

FX risk does not require any capital since the materiality threshold set by Article 351 of the CRR is not met.

3 .3   Operational Risk

The minimum capital requirement for operational risk is calculated in accordance with Title III: Own funds requirements for operational risk of the CRR.

The Group uses the Standardised Approach for the operational risk capital calculation.

Under the Standardised Approach, net interest and non-interest income are classified into eight business lines, as set out in CRR. The capital requirement is calculated as a percentage of the average income over the past three years, ranging between 12% and 18% depending on the business line. If the capital requirement in respect of any year of income is negative, it is set to zero in the average calculation.

A s at 30 June 2020, the minimum capital requirement in relation to operational risk, calculated in accordance with the Standardised Approach remained the same as 31 December 2019, at €107,416 thousand.

3 0June2020/31December 2019	S tandardised approach
	€000
C o rporateFinance(CF)	98
TradingandSales(TS)	7 , 48 8
Retail Brokerage(RBr)	109
C o mmercialBanking(CB)	63 , 25 8
Retail Banking(RB)	23 , 73 6
Paymentand Settlement(PS)	12 , 32 4
A ge n cyServices(AS)	357
A ssetManagement(AM)	46
TotalCapitalRequirementforOperationalRisk	107 ,416

3 .  Minimum Required Own Funds for Credit, Market and Operational Risk  (continued)

3 .4  Credit Valuation Adjustment (CVA) Risk

CV A captures the credit risk of derivative counterparties not already included in Counterparty Credit Risk. It calculates the potential loss on derivatives due to increase in the credit spread of the counterparty.

The Standardised Approach has been used to calculate the CVA charge for regulatory purposes in accordance with the requirements of the CRR (Standardised Approach: Articles 381, 382 and 384).

	3 0June 2 020 €000	3 1December 201 9 €000
CV A(CapitalRequirement)	270	244

The increase in the capital requirements relates to an increase in derivative exposure values.

3 .5  EU INS1 Non-deducted participations in insurance undertakings

	C arryingamount
	3 0June 2 020	3 1December 201 9
	€000	€000
H o l d i n g sofownfundsinstrumentsofafinancialsectorentity wherethe institution  has  a  significant  investment  not  deductedfromownfunds (beforerisk-weighting)	22 ,803	24 , 99 4
TotalRWAs	57 ,008	62 , 48 5

4 .   Other risks

4 .1   Operational risk

Operational risk is defined as the risk of a direct or indirect impact loss resulting from inadequate or failed internal processes, people and systems or external events. The Group includes in this definition compliance, legal and reputational risk.

The Group recognises that the control of operational risk is directly related to effective and efficient management practices and high standards of corporate governance. To that effect, the management of operational risk is geared towards maintaining a strong internal control governance framework and managing operational risk exposures through a consistent set of management processes that drive risk identification, assessment, control and monitoring.

The main objectives of operational risk management within the Group are: (i) the development of operational risk awareness and culture, (ii) the provision of adequate and timely information to the Group's management at all levels in relation to the operational risk profile at a company, unit and activity level, so as to facilitate decision making for risk control activities, and (iii) the control of operational risk to ensure that operational losses do not cause material damage to the Group's franchise and that the impact on the Group's profitability and corporate objectives is contained.

Operational risks can arise from all business lines and from all activities carried out by the Group and are thus diverse in nature. To enable effective management of all material operational risks, the operational risk management framework adopted by the Group is based on the three lines of defence model, through which risk ownership is dispersed throughout the organisation. The first line of defence comprises of management and staff who have immediate responsibility of day-to-day operational risk management and own the risk. Each business unit owner is responsible for identifying and managing all the risks that arise from the unit's activities as an integral part of their first line responsibilities.

4 .   Other risks  (continued)

4 .1   Operational risk  (continued)

The second line of defence comprises of the risk management function whose role is to provide operational risk oversight and independent and objective challenge to the first line of defence, supported by other specialist control and support functions such as the Group Compliance, Legal Services, Information Security and Health and Safety functions. The third line of defence comprises of the Internal Audit function, which provides independent assurance over the integrity and effectiveness of the risk management framework throughout the Group.

During the first half of 2020, special circumstances created by the COVID-19 outbreak drove, to a large extent, the activities performed by Operational Risk Management. More specifically, for business continuity purposes, BOC PCL's Pandemic Incident Management Plan was invoked early February 2020, with split operations established for critical units, along with access granted to staff, as applicable, to work remotely. The Pandemic Incident Management Team (PIMT) was also invoked and provided regular updates to the Crisis Management Committee towards a proactive and effective management of the pandemic threat, through a series of measures taken and announced to staff and customers.

A ddi t io n ally, enhanced fraud monitoring was performed by the fraud risk management team as a result of the customers' accelerated shift towards digital channels.  The operational risk management (ORM) unit was also faced with an increased number of process/procedure assessments that emerged due to the special circumstances created by COVID-19.

Further to the actions taken to respond to the COVID-19 pandemic, ongoing activities/initiatives towards further enhancement of ORM involved inter alia the following: (i) upgrading of the e-banking fraud system, planned to go-live by the end of 2020, (ii) training to staff and top-management on basic principles of Fraud Risk Management through the e-learning platform, (iii) the set-up of a new 'Third Party Risk Management' Unit under the ORM Department, which initially undertook the responsibility of drafting BOC PCL's 'Third Party Risk  Management  Policy'  (which  replaced  the  former  'Outsourcing  Policy')  and  the  relevant  procedure stemming from the said policy, and (iv) ongoing reviews and enhancements of the internal ORM policies, procedures and the ORM database.

Operational risk loss events are classified and recorded in the Group's RCMS system, which serves as an enterprise tool integrating all risk-control data (i.e. risks, loss incidents, Key Risk Indicators) to provide a holistic view with regards to risk identification, corrective action and statistical analysis. During the first half of the year 2020, 99 loss events with gross loss equal to or greater than €1,000 each were recorded including incidents of prior years (mostly legal cases) for which losses materialised in the first six months of 2020 (six months ended 30 June 2019: 379 loss events).

The Group strives to continuously enhance its risk control culture and increase awareness of its employees on operational risk issues through ongoing staff training (both classroom/workshop type of training and e- learning sessions).

The Group also maintains adequate insurance policies to cover for unexpected material operational losses. Business resilience is treated as a priority and as such the Group places significant importance on continuously

e nh ancing the continuity arrangements, to ensure timely recovery in the case of events, such as the COVID-

1 9 pandemic, that may cause major disruptions to the business operations.

4 .2   Political risk

Ex te rnal factors which are beyond the control of the Group, such as developments in the European Union and the global economy, or specific countries with which Cyprus maintains close economic and investment links, as well as political and government actions internally, can affect the operations of the Group, its strategy and prospects.

4 .   Other risks  (continued)

4 .2   Political risk  (continued)

Cy p rus is a small open economy with a large external sector. Exports of goods and services were about 60% of Gross Domestic Product (GDP) during 2017-2019. As a result, the Cyprus economy is vulnerable to exogenous developments from  outside  its  borders  particularly developments affecting  its  main  trading partners including Russia and the UK. Cyprus is also exposed to developments in the European Union and the Eurozone that might impact bond markets and interest rates, as well as to developments in the global economy at large, including trade.

While Cyprus has had a five-year streak of strong economic recovery in 2015-2019, the COVID-19 pandemic is having a significant impact on the economy in 2020 where real GDP is now expected to contract by 7.8% according to the European Commission's latest publications, with only a partial recovery in 2021 at 5.3%, assuming no second wave of the pandemic.

The world went through a devastating first half of the year 2020 under lockdown conditions intended to contain the spread of the pandemic. Emerging from the lockdowns, however, has not been easy or uniform. COVID-19 cases are still increasing in some countries and some containment measures are being re-instated. The resumption of economic activity therefore will be alternated and uneven, subject to the uncertainty of a second wave and renewed restrictions. This will be holding back consumption and investment expenditures making the recovery only partial and weak in the second half and into next year.

The implications of COVID-19 for the global economy are many and varied. Supply chains are being disrupted, some businesses will be closing, unemployment will remain high for longer and a structural transition will be unfolding as some sectors will be contracting and others will be expanding.

E merging markets will be more vulnerable to financial pressures, given their large exposures in foreign currency borrowing and their vulnerability to capital outflows. Loss of capital inflows would strain the sustainability of their debts. Exports are falling and some emerging countries have been severely affected by the declines in oil prices. Thus, the susceptibility of emerging markets to external shocks has increased significantly as a result of the pandemic. Some countries like Argentina and Lebanon, are already in debt distress. Countries vulnerable to external financing and debt difficulties are under increased liquidity pressure that will further impact economic growth leading to a possible debt crisis for individual countries.

C l u ster outbreaks of the virus such as the ones that already occurred in Beijing, parts of Latin America and parts of the US, will be troubling recoveries and impeding global growth. China will see a slow and uneven economic recovery, under sluggish domestic demand and slowing exports.

I n Europe economic conditions will improve slightly in the second half and into next year, but political and financial risks will persist. Private consumption and total investment will remain below pre-crisis levels and unemployment will be higher. Financial risk will be more pronounced in southern countries which are more heavily dependent on tourism. Budget deficits will deteriorate, and debt levels will rise in countries such as Italy, Spain, Greece, Cyprus, Portugal and even France. The ECB will continue its current policies and bond buying programs to keep borrowing costs for member states low. Under these conditions, the risk of a financial crisis is low. It will take a worsening situation with non-performing loans in some countries, or a downgrade of the credit worthiness of a country to increase the probability of a crisis in the Eurozone.

A l so, slow recoveries and higher unemployment rates for longer after 2020 will be creating fertile ground of political risk to rise.

A t the July 21st Council, EU leaders agreed on a €750 billion post-pandemic recovery fund known as 'Next Generation EU', and the Multiannual Financial Framework 2021-2027 worth about €1.1 trillion. The summit preserved the overall size of the recovery fund, but reduced the amount of grants to €390 billion from the

€50 0 billion proposed. The recovery fund is expected to provide significant economic relief especially to

countries hit the hardest by the pandemic.

4 .   Other risks  (continued)

4 .2   Political risk  (continued)

The risk of disruption from Brexit-related developments remains. The UK has left the EU at the end of January

2020 , but trade negotiations with the EU are yet to conclude. There are a large number of issues to negotiate and little time within which to do it. Because the UK government chose not to extend its membership in the

single market beyond 31 December 2020, the possibility of a no-deal exit cannot be ruled out a-priori.

Without a trade deal UK goods imported into the EU will be subject to the Common External Tariff. Such uncertainties impact heavily the UK economy and its growth outlook for the year is now severely downgraded.

I n addition, Italy remains a main source of financial risk within the Eurozone. The country is in deep recession. According to the European Commission's latest publications, Italy will contract by 11.3% in 2020 and will recover only partly by 6% in 2021. Political uncertainty will also rise as the country will be emerging from the pandemic. A debt crisis is not likely in the near term, but downside risks are increasing. The banking sector is particularly fragile as the recession will be increasing the stock on non-performing loans and as the probability of default by individuals and companies will be rising.

The Russian economy may continue to deteriorate. Russia is impacted negatively by persistent sanctions and by low oil prices. Given that the banking sector has linkages with business and professional services with Russia and that Russia has become a major market for Cypriot tourism, any events and developments on the Russian economy may potentially have an impact on the Cyprus economy as well.

Cy p rus is less exposed to Greece than it was prior to the crisis in 2013. Greece's departure from the Eurozone is no longer a short-term risk and the country's growth outlook has improved. However, Greece continues to face challenges and long-term risks.

Developments in other non-EU countries with which Cyprus maintains significant economic links, the unresolved Cyprus problem, and political and social unrest or escalation of military conflict in neighboring countries and/or other overseas areas may adversely affect the Cyprus economy.  Political risk remains at an elevated level due to the de facto division of the island and the potential for tension with Turkey over hydrocarbons explorations in Cyprus' Exclusive Economic Zone (EEZ).

Given the above, the Group recognises that unforeseen political events can have negative effects on the fulfilment of contractual relationships and obligations of its customers and other counterparties, which may have a significant impact on the Group's activities, operating results and position.

5 .   Capital management

The primary objective of the Group's capital management is to ensure compliance with the relevant regulatory capital requirements and to maintain strong credit ratings and healthy capital adequacy ratios in order to support its business and maximise shareholders' value.

The capital adequacy framework, as in force, was incorporated through the CRR and Capital Requirements Directive IV (CRD IV) and came into effect on 1 January 2014 with certain specified provisions implemented gradually. The CRR and CRD IV transposed the new capital, liquidity and leverage standards of Basel III into the European Union's legal framework. CRR establishes the prudential requirements for capital, liquidity and leverage for credit institutions and investment firms. It is directly applicable in all EU member states. CRD IV governs access to deposit-taking activities and internal governance arrangements including remuneration, board composition and transparency. Unlike the CRR, member states were required to transpose the CRD IV into national laws and it allowed national regulators to impose additional capital buffer requirements.

On 27 June 2019, the revised rules on capital and liquidity (CRR II and CRD V) came into force. As an amending regulation, the existing provisions of CRR apply, unless they are amended by CRR II. Member states are required to transpose the CRD V into national law. Certain provisions took immediate effect (primarily relating to Minimum Requirement for Own Funds and Eligible Liabilities, (MREL)), but most changes will start to apply from mid-2021. Certain aspects of CRR II are dependent on final technical standards to be issued by the EBA and adopted by the European Commission. The key changes introduced consist of, among others, changes to qualifying criteria for CET1, AT1 and Tier 2 instruments, introduction of requirements for MREL and a binding Leverage Ratio requirement and a Net Stable Funding Ratio (NSFR).

5 .   Capital management  (continued)

I n addition, the Regulation (EU) 2016/445 of the ECB on the exercise of options and discretions available in Union law (ECB/2016/4) provides certain transitional arrangements which supersede the national discretions unless they are stricter than the EU Regulation 2016/445.

Moreover, in June 2020 Regulation (EU) 2020/873 came into force which provides for certain amendments in response to the COVID-19 pandemic, bringing forward some of the capital relieving measures that were due to come into force at a later stage and introducing modifications as part of the wider efforts of competent authorities to provide the support necessary to the institutions. The main adjustments affecting the Group's own funds as at 30 June 2020 relate to accelerating the implementation of the new SME discount factor under CRR II in June 2020 instead of June 2021 (lower RWAs), extending the IFRS 9 transitional arrangements and introducing further relief measures to CET1 allowing to fully add back to CET1 any increase in ECL recognised in 2020 and 2021 for non-credit impaired loans and phasing in this starting from 2022. In addition, the amendments, introduce temporary treatment of unrealized gains and losses on exposures to central governments, to regional governments or to local authorities measured at fair value through other comprehensive income which is expected to be implemented by the Group in the third quarter of 2020. Lastly finalisation of changes on the application of prudential treatment of software assets as amended by CRR II is expected in the second half of 2020 advancing the the implementation to 2020 instead of 2021.

The CET1 ratio of the Group at 30 June 2020 stands at 14.3% and the total capital ratio at 17.8% on a transitional basis.

The minimum Pillar I total capital requirement is 8.0% and may be met, in addition to the 4.5% CET1 requirement, with up to 1.5% by Additional Tier 1 capital and with up to 2.0% by Tier 2 capital.

The Group is also subject to additional capital requirements for risks which are not covered by the Pillar I

capital requirements (Pillar II add-ons).

Following the annual Supervisory Review and Evaluation Process (SREP) performed by the ECB in 2019 the Group's  minimum  phased  in  CET1  capital  ratio  and  Total  Capital  Ratio remained unchanged for  2020 compared to 2019, when ignoring the phasing in of the Other Systemically Important Institution (O SII) buffer. The Group's phased-in CET1 capital ratio was set to 11.0%, comprising a 4.5% Pillar I requirement, a

3 . 0 % Pillar II requirement (P2R), the Capital Conservation Buffer of 2.5% (fully phased-in as of 1 January

2019 ) and the O-SII buffer of 1.0%.

The Group's Total Capital requirement is 14.5%, comprising an 8.0% Pillar I requirement (of which up to

1 . 50 % could be in the form of Additional Tier 1 capital and up to 2.00% in the form of Tier 2 capital), a 3.0% Pillar II requirement, the Capital Conservation Buffer of 2.5% and the O-SII buffer of 1.0%. The ECB has also

p rovided non-public guidance for an additional Pillar II CET1 buffer. The final 2019 SREP decision is effective from 1 January 2020.

I n April 2020, and following ECB and EBA announcements on 12 March 2020 in response to the COVID-19 outbreak, BOC PCL received an amending decision from the ECB amending the composition of the Pillar II additional own funds requirement, allowing to use Additional Tier 1 (AT1) capital and Tier 2 (T2) capital to meet Pillar II Requirements and not only by CET1, compared to the 2019 final SREP decision received in December 2019 which required P2R to be met in full with CET1. This decision is effective from 12 March 2020. This brings forward a measure that was scheduled to come into force in January 2021 with CRD V.  A s a result of this amending decision, the minimum phased-in CET1 requirement decreased to 9.7%, comprising a 4.5% Pillar I requirement, a 1.7% Pillar II requirement, the Capital Conservation Buffer (CCB) of 2.5% (fully phased in as of 1 January 2019) and the O-SII buffer of 1.0%.  ECB 's capital easing measures for COVID-19 increased the Group's CET1 buffer by 131 bps . There is no change on the Total Capital requirement.

I n addition, the EBA final guidelines on SREP and supervisory stress testing and the Single Supervisory Mechanism's (SSM) 2018 SREP methodology provide that own funds held for the purposes of Pillar II Guidance cannot be used to meet any other capital requirements (Pillar I, Pillar II requirements or the combined buffer requirement), and therefore cannot be used twice. In line with the final 2019 SREP decision, these new provisions became effective from 1 January 2020.

5 .   Capital management  (continued)

The Group's minimum phased-in CET1 capital ratio for 2019 was 10.5%, comprising of 4.5% Pillar I requirement, 3.0% Pillar II requirement, CCB of 2.5% and O-SII buffer of 0.5%. The ECB had also provided non-public guidance for an additional Pillar II CET1 buffer.

The Group's minimum phased-in Total capital ratio requirement for 2019 was 14.0%, comprising of 8.0% Pillar I requirement (of which up to 1.50% could be in the form of Additional Tier 1 capital and up to 2.00% in the form of Tier 2 capital), 3.0% Pillar II requirement, CCB of 2.5% and O-SII buffer of 0.5%.

The above minimum ratios apply for both BOC PCL and the Group.

The capital position of the Group and BOC PCL at 30 June 2020 exceeds both their Pillar I and their Pillar II add-on  capital  requirements.  However,  the  Pillar  II  add-on  capital  requirements  are  a  point-in-time assessment and therefore are subject to change over time.

The CBC, in accordance with the Macroprudential Oversight of Institutions Law of 2015, sets, on a quarterly basis, the Countercyclical Capital Buffer (CCyB) level in accordance with the methodology described in this law. The CBC has set the level of the CCyB for Cyprus at 0% for the six months up to 30 June 2020 and the year 2019. The CBC has also set the level of the CCyB for Cyprus at 0% for the period 1 July 2020 to September 2020.

I n accordance with the provisions of this law, the CBC is also the responsible authority for the designation of banks that are Other Systemically Important Institutions (O-SIIs) and for the setting of the O-SII buffer requirement for these systemically important banks. BOC PCL has been designated as an O-SII and the CBC set the O-SII buffer for BOC PCL and the Group at 2.0%.

This buffer is being phased in gradually, having started from 1 January 2019 at 0.5% and increasing by 0.5% every year thereafter, until being fully implemented (2.0%). In April 2020, the CBC decided to delay the phasing in (0.5%) of the O SII buffer on 1 January 2021 and 1 January 2022 by 12 months. Consequently, the O SII buffer will be fully phased in on 1 January 2023, instead of 1 January 2022 as originally set.

The insurance subsidiaries of the Group comply with the requirements of the Superintendent of Insurance including the minimum solvency ratio. The regulated UCITS management company of the Group, BOC Asset Management Ltd complies with the regulatory capital requirements of the Cyprus Securities and Exchange Commission (CySEC) laws and regulations as at 30 June 2020. The regulated investment firm (CIF) of the Group, The Cyprus Investment and Securities Corporation Ltd (CISCO) lacks behind the minimum initial capital requirement and the additional capital conservation buffer as at 30 June 2020 and 31 December 2019, whereas as at 30 June 2020 it also fell below the minimum total capital ratio hurdle of CySEC. A business and capital plan was submitted to CySEC in December 2019. CySEC has provided CISCO with a written extension until  31  December 2020 to  comply with  the  capital  requirements, as per  its  Supervisory Review and Evaluation Process (SREP).

5 .  Capital management  (continued)

The capital position of the Group and BOC PCL as at the reporting date (after applying the transitional arrangements) is presented below:

R egulatorycapital	Gro u p		BOCPCL
	3 0June 2020	3 1December 201 9 5	3 0June 2020	3 1December 2019 5
	€000	€000	€000	€000
TransitionalCommonEquityTier1(CET1) 6	1 ,707,010	1 , 909 , 0 4 9	1 ,660,989	1 , 869 , 1 0 5
TransitionalAdditionalTier1capital (AT1)	220 ,000	220 , 0 0 0	220 ,000	220 , 0 0 0
Tier2capital (T2)	199 ,074	189 , 9 5 5	250 ,000	250 , 0 0 0
Transitionaltotalregulatorycapital	2 ,126,084	2 , 319 , 0 0 4	2 ,130,989	2 , 339 , 1 0 5
Riskweightedassets- creditrisk 7	10 ,617,484	11 , 547 , 3 0 3	10 ,602,925	11 , 518 , 9 3 2
Riskweightedassets- operationalrisk	1 ,342,700	1 , 342 , 7 0 0	1 ,255,875	1 , 255 , 8 7 5
Totalriskweightedassets	11 ,960,184	12 , 890 , 0 0 3	11 ,858,800	12 , 774 , 8 0 7
	%	%	%	%
TransitionalCommonEquityTier1ratio	14 .3	14 . 8	14 .0	14 . 6
Transitionaltotalcapitalratio	17 .8	18 . 0	18 .0	18 . 3

Fully loaded	Gro u p		BOCPCL
	3 0June 202 0 8	3 1December 2019 8	3 0June 202 0 8	3 1December 2019 8
	%	%	%	%
C o mmonEquityTier1ratio	12 .6	13 . 1	12 .3	12 . 9
Total capital ratio	16 .3	16 . 5	16 .4	16 . 6

During the period ended 30 June 2020 the CET1 was negatively affected mainly by the phasing-in of IFRS 9 transitional adjustments on 1 January 2020, the decrease in reserves and ECL charges, including provisions recognised as a  result of  the  anticipated NPE  sale agreement (Project Helix 2).  Risk weighted assets movement and pre-provision income had a positive effect on CET1 ratio. The recently introduced adjustments in response to the COVID-19 pandemic, affected positively the CET1 ratio through increasing the IFRS9 add- back (dynamic component) and by decreasing Risk Weighted Assets through the implementation of the new SME discount factor.

A s a result of the above, the CET1 ratio decreased by c.50 bps during the six months ended 30 June 2020.

A s part of the relaxation measures following the COVID-19 outbreak, on 12 March 2020, the ECB and the EBA announced that banks are temporarily allowed to operate below the level of capital defined by the Pillar II Guidance, the Capital Conservation Buffer and the Countercyclical Buffer. In July 2020, the ECB committed to allow banks to operate below the Pillar II guidance (P2G) and the combined buffer requirement until at least end of 2022, without automatically triggering supervisory actions.

( 5) As per the Annual Report 2019 and Pillar III Disclosures 2019.

( 6) CET1 includes regulatory deductions, primarily comprising intangible assets amounting to €47,835 thousand as at 30 June 2020 (31 December 2019: €51,204 thousand). (7) Includes Credit Valuation Adjustments (CVA).

( 8) IFRS 9 fully loaded.

5 .   Capital management  (continued)

The Group has elected to apply the EU transitional arrangements for regulatory capital purposes (EU Regulation 2017/2395) where the impact on the impairment amount from the initial application of IFRS 9 on the capital ratios is phased in gradually.

The Group has elected in prior years to apply the static-dynamic approach in relation to the transitional arrangements for the initial application of IFRS 9, pursuant to EU Regulation 2017/2395 and it therefore applies paragraph 4 of Article 473(a) of the CRR. The 'Static-dynamic' approach allows for recalculation of the transitional adjustment periodically on Stage 1 and Stage 2 loans, so as to reflect the increase of the ECL provisions within the transition period. The Stage 3 ECL remains static over the transition period as per the impact upon initial recognition.

The amount added each year decreases based on a weighting factor until the impact of IFRS 9 is fully absorbed back to CET1 at the end of the five years. The impact on the capital position for the year 2018 was

5 % of the impact on the impairment amounts from the initial application of IFRS 9, increasing to 15% (cumulative) for the year 2019 and to 30% (cumulative) for the year 2020.

Following the June 2020 amendments to the CRR, the Group applied the amendments in relation to the IFRS

9 transitional arrangements for Stage 1 and Stage 2 loans (i.e. the dynamic component) which provide for the extension of the transitional period for the dynamic component. A 100% add back of IFRS 9 provisions is allowed for the years 2020 and 2021 reducing to 75% in 2022, to 50% in 2023 and to 25% in 2024. The

calculation at each reporting period is to be made against Stage 1 and Stage 2 provisions as at 1 January

2020 , instead of 1 January 2018. The calculation of the static component has not been amended.

I n relation to the  t e mporary treatment of unrealized gains and losses for certain exposures measured at fair value through other comprehensive income as described earlier in this Section, Regulation  2 0 20 /873  allows institutions to remove from their CET1 the amount of unrealized gains and losses accumulated since 31

December 2019, excluding for those financial assets that are credit-impaired. The relevant amount is

removed at a scaling factor of 100% from January to December 2020, reduced to 70% from January to December 2021 and to 40% from January to December 2022. The Bank expects to apply the temporary treatment starting 3Q2020. As a result, as at 30 June 2020, own funds, capital and leverage ratios reflect the full impact of unrealized gains and losses measured at fair value through other comprehensive income.

5 .  Capital management  (continued)

Template on the comparison of institutions' own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS9 or analogous ECLs

		3 0June 2 0 2 0 *	3 1March 2 0 2 0 *	3 1December 2 0 1 9 *	3 0September 2 0 1 9* *	3 0June 2 0 1 9* *
		€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0
1	Common Equity Tier1 (CET1) capital	1 ,707,010	1 ,8 06 , 9 2 6	1 ,9 09 , 0 4 9	1 ,9 74 , 1 5 3	1 ,9 69 , 1 2 9
2	CET1 capital asif IFRS9 or analogousECLs transitional arrangementshadnot beenapplied	1 ,479,450	1 ,5 90 , 7 8 6	1 ,6 46 , 5 9 3	1 ,7 11 , 6 9 8	1 ,7 06 , 6 7 3
3	Ti er 1capital	1 ,927,010	2 ,0 26 , 9 2 6	2 ,1 29 , 0 4 9	2 ,1 94 , 1 5 3	2 ,1 89 , 1 2 9
4	Ti er 1capital asif IFRS 9 or analogousECLs transitional arrangementshadnot beenapplied	1 ,699,450	1 ,8 10 , 7 8 6	1 ,8 66 , 5 9 3	1 ,9 31 , 6 9 8	1 ,9 26 , 6 7 3
5	T o ta l capital	2 ,126,084	2 ,2 27 , 5 7 5	2 ,3 19 , 0 0 4	2 ,3 91 , 4 3 6	2 ,3 89 , 7 5 5
6	T o ta l capital as if IFRS9 or analogousECLs transitional arrangementshadnot beenapplied	1 ,917,532	2 ,0 28 , 4 2 8	2 ,0 75 , 4 1 8	2 ,1 48 , 1 0 7	2 ,1 46 , 8 8 8
	R isk-weightedassets
7	T o ta l risk-weighted assets	11 , 9 6 0 ,184	12 , 5 9 8 ,7 9 2	12 , 8 9 0 ,0 0 3	13 , 7 5 7 ,7 0 0	13 , 9 6 2 ,0 6 8
8	T o ta l risk-weighted assetsasifIFRS9 or analogous ECLs transitional arrangementshadnot beenapplied	11 , 7 3 2 ,624	12 , 3 6 8 ,5 3 0	12 , 6 0 7 ,2 6 7	13 , 4 7 1 ,0 3 5	13 , 6 7 6 ,3 3 7

5 .  Capital management  (continued)

		3 0June 2 0 2 0 *	3 1March 2 0 2 0 *	3 1December 2 0 1 9 *	3 0September 2 0 1 9* *	3 0June 2 0 1 9* *
		€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0
	C apital ratios
9	CET1(asapercentageof risk exposure amount)	14 . 3%	14 . 3%	14 . 8 %	14 . 3 %	14 . 1 %
10	CET1(asapercentageof risk exposure amount) as if IFRS9 or analogous ECLstransitional arrangementshadnot beenapplied	12 . 6%	12 . 9%	13 . 1 %	12 . 7 %	12 . 5 %
11	Ti er 1(asapercentageof risk exposure amount)	16 . 1%	16 . 1%	16 . 5 %	15 . 9 %	15 . 7 %
12	Ti er 1(asapercentageof risk exposure amount) as if IFRS9 or analogous ECLstransitional arrangementshadnot beenapplied	14 . 5%	14 . 6%	14 . 8 %	14 . 3 %	14 . 1 %
13	T o ta l capital (asa percentageof risk exposureamount)	17 . 8%	17 . 7%	18 . 0 %	17 . 4 %	17 . 1 %
14	T o ta l capital (asa percentageof risk exposureamount) asif IFRS9 oranalogous ECLs transitional arrangements hadnotbeenapplied	16 . 3%	16 . 4%	16 . 5 %	15 . 9 %	15 . 7 %
	L e v er ageratio
15	L everageratio total exposuremeasure	21 , 2 1 9 ,766	20 , 3 1 6 ,602	21 , 0 7 5 ,5 1 1	21 , 0 8 8 ,0 2 0	21 , 8 7 3 ,6 6 9
16	L everageratio	9 .1%	10 . 0 %	10 . 1 %	10 . 4 %	10 . 0 %
17	L everageratio as if IFRS9 or analogousECLs transitional arrangements hadnotbeenapplied	8 .1%	9 . 0 %	8 . 9 %	9 . 3 %	8 . 9 %

* As per the final capital regulatory submission.

** A s per the final capital regulatory submission, excluding interim profits .

The main drivers behind the decrease in RWAs arise from credit risk and they relate to (a) increased provisioning, settlements/repayments and  curing  in  NPEs  and  regulatory high  risk  exposure classes  in customer loans; (b) the implementation of the CRR II SME Discount Factor (SMEDF) following the June

2020 C RR amendment which expanded the population of performing exposures that benefit from lower RWAs and also revised the discount factor applies to such exposures resulting in a reduction of RWAs of c380million;

and (c) the reduction in balance sheet values of other assets. The increase in CCR RWAs derives from

i n creased derivative exposures.

The increase in the leverage ratio total exposure measure follows the movements in the Group's balance sheet

assets.

CE T1 is negatively affected mainly by the phasing-in of IFRS 9 transitional adjustments, decrease in revaluation reserves and ECL charges.

Taken into account the above, the overall leverage ratio, which is well above the minimum ratio set at 3% by the amended CRR will be effective on 28 June 2021, has decreased in the six months ended 30 June 2020 compared to 31 December 2019.

6 .  Leverage ratio

A ccording to CRR Article 429, the leverage ratio, expressed as a percentage, is calculated as the capital measure divided by the total exposure measure of the Group.

The leverage ratio of the Group is presented below:

	3 0June 2020	3 1December 201 9
Transitionalbasis	€000	€000
C apital measure(Tier1)	1 ,927,010	2 , 129 , 0 4 9
Total exposuremeasure	21 ,219,766	21 , 075 , 5 1 1
Leverageratio(%)	9 .1	10 . 1
IFRS 9fullyloaded
C apital measure(Tier1)	1 ,699,450	1 , 866 , 5 9 3
Total exposuremeasure	21 ,084,837	20 , 859 , 3 7 1
Leverageratio(%)	8 .1	9 . 0

The increase in the 'Total exposure measure' follows the movements in the Group's balance sheet assets.

The 'Capital measure (Tier1)' is negatively affected mainly by the phasing-in of IFRS 9 transitional adjustments, decrease in revaluation reserves and ECL charges.

7 .   Internal  Capital  Adequacy  Assessment  Process  (ICAAP),  Internal  Liquidity  Assessment

Process (ILAAP), Pillar II and Supervisory Review and Evaluation Process (SREP)

The Group prepares the ICAAP and ILAAP reports annually. Both reports for 2019 were approved by the Board of Directors and submitted to the ECB on 30 April 2020. Due to the timing of the two reports, the business plans and ICAAP and ILAAP stress scenarios have not been updated to reflect the impact of the COVID-19 in line with relevant supervisory communication on this issue; however the COVID-19 preliminary estimated impact on capital and liquidity (based on scenarios) has been commented in the ICAAP and ILAAP reports under a separate section.

B ased on the end of December 2019 ICAAP, BOC PCL has sufficient capital throughout the three-year horizon to enable it to comply with all regulatory ratios, both in the base and adverse scenario, under the normative approach. Under the economic perspective, a small capital shortfall arises in the adverse scenario, in 2022, which however can be neutralised by available mitigants.

The Group has prepared a review of its ICAAP, with reference date 31 March 2020, based on the reforecast plan, submitted to the Board of Directors in June 2020.  This review indicates that BOC PCL has sufficient capital throughout the three-year horizon to enable it to comply with all regulatory ratios, both in the base and adverse scenario, under the normative approach. Under the economic perspective, a capital shortfall arises in the adverse scenario, in 2021 and 2022. Economic capital will be closely monitored to ensure sufficient mitigating actions would be in place to be used in case such scenario realises.

The Group also undertakes a quarterly review of its ICAAP results (as at the end of June and as at the end of September) considering the latest actual and forecasted information. During the quarterly review, the Group's risk profile and risk management policies and processes are reviewed and any changes since the annual ICAAP exercise are taken into consideration.

7 .   Internal  Capital  Adequacy  Assessment  Process  (ICAAP),  Internal  Liquidity  Assessment Process  (ILAAP),  Pillar  II  and  Supervisory  Review  and  Evaluation  Process  (SREP) (continued)

The Group also undertakes a quarterly review for the ILAAP through quarterly stress tests submitted to the ALCO and the Risk Committee of the Board of Directors. During the quarterly review, the liquidity risk drivers are assessed and, if needed, the stress test assumptions are amended accordingly. Any material changes since the year-end are assessed in terms of liquidity. The quarterly review identifies whether the Group has an adequate liquidity buffer to cover the stress outflows. The Group's ILAAP analysis demonstrates that the volume and capacity of liquidity resources available to the Group are adequate.

The ECB, as part of its supervisory role, has been conducting the SREP and onsite inspections on the Group. SREP is a holistic assessment of, amongst other things, the Group's business model, internal governance and institution-wide control arrangements, risks to capital and adequacy of capital to cover these risks and risks to liquidity and adequacy of liquidity resources to cover these risks. The objective of the SREP is for the ECB to form an up-to-date supervisory view of the Group's risks and viability and to form the basis for supervisory measures and dialogue with the Group. Additional capital and other requirements could be imposed on the Group as a result of these supervisory processes, including a revision of the level of Pillar II add-ons as the Pillar II add-ons capital requirements are a point-in-time assessment and therefore subject to change over time.

The Group was to participate in the ECB SREP stress test of 2020 which was launched in January 2020 and was to be concluded by end of July 2020. However due to the outbreak of COVID-19 and its global spread, EBA decided to postpone until 2021 the EU-wide Stress Test Exercise of 2020 to allow banks to focus on and ensure continuity of their core operations. For 2020, the EBA will carry out an additional EU-wide transparency exercise in order to provide updated information on banks' exposures and asset quality to market participants. The ECB announced that it supports the decision of EBA to postpone the stress tests exercise and will extend the postponement to all banks subject to the 2020 stress test.

8 .   Other Pillar III disclosures

8 .1   Non-performing exposures

The tables below disclose NPEs based on the definitions of the EBA standards. The definition of credit impaired

lo ans (Stage 3) is aligned to the EBA NPEs definition (Section 1 'Credit risk').

A ddi t io n al details on the definition of NPEs are disclosed in Note 2.19.2 of the Annual Consolidated Financial

S t atements for the year ended 31 December 2019.

The tables below are presented using figures per the Consolidated Condensed Interim Financial Statements for the six months ended 30 June 2020 and the Annual Consolidated Financial Statements for the year ended 31

December 2019, including loans and advances to customers at amortised cost classified as held for sale and loans and advances to customers measured at fair value through profit or loss.

8 .  Other Pillar III disclosures  (continued)

8 .1  Non-performing exposures (continued)

Cr edit quality of performing and non-performing exposures by past due days

3 0June 2020	Grosscarryingamount/Nominalamount
	Pe rformingexposures			Non-performingexposures
		Notpast dueor pastdue ≤ 3 0days	P astdue > 3 0days ≤ 9 0days		Unlikelytopay thatarenot past-dueorare Pastdue ≤ 9 0days	P astdue> 9 0days ≤ 1 8 0days	P astdue >1 8 0days ≤ 1year	P ast due > 1year ≤ 2years	P astdue > 2years ≤ 5years	P astdue > 5years ≤ 7years	P astdue > 7years	Of which: defaulted
Loansandadvances 9	€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
Cen tralbanks	5 ,160,549	5,160,549	-	-	-	-	-	-	-	-	-	-
Generalgovernments	57 , 66 6	57,666	-	-	-	-	-	-	-	-	-	-
C reditinstitutions	62 2 ,052	622,052	-	-	-	-	-	-	-	-	-	-
O therfinancialcorporations	11 0 ,784	110,780	4	14 , 71 5	1,435	-	2	10,730	75	461	2,012	14,715
No n - f i n ancialcorporations	4 ,844,182	4,837,381	6,801	93 9 ,658	384,375	9,555	36,928	50,028	88,707	111,468	258,597	939,658
O fwhichSMEs	3 ,612,497	3,605,795	6,702	66 5 ,190	133,436	9,438	36,928	49,935	88,658	104,843	241,952	665,190
H o u s eh o l ds	4 ,001,306	3,995,781	5,525	1 ,584,634	196,503	24,074	78,944	134,528	381,997	269,381	499,207	1,584,634
	14 , 79 6 ,539	14 , 78 4 ,209	12 , 33 0	2 ,539,007	58 2 ,313	33 , 62 9	11 5 ,874	19 5 ,286	47 0 ,779	38 1 ,310	75 9 ,816	2 ,539,007
Loansandadvancestocustomers classifiedas heldforsale 9	13 , 26 9	13 , 26 9	-	92 8 ,871	88 , 31 8	14 , 13 2	62 , 22 9	17 5 ,263	15 1 ,583	13 7 ,952	29 9 ,394	92 8 ,871
Debtsecurities
Cen tralbanks	-	-	-	-	-	-	-	-	-	-	-	-
Generalgovernments	1 ,070,384	1,070,384	-	-	-	-	-	-	-	-	-	-
C reditinstitutions	47 7 ,698	477,698	-	-	-	-	-	-	-	-	-	-
O therfinancialcorporations	25 1 ,208	251,208	-	-	-	-	-	-	-	-	-	-
No n - f i n ancialcorporations	6 ,754	6,754	-	-	-	-	-	-	-	-	-	-
	1 ,806,044	1 ,806,044	-	-	-	-	-	-	-	-	-	-
O f fbalancesheetexposures
Cen tralBank	-			-								-
Generalgovernments	9 ,800			-								-
C reditinstitutions	40 , 98 3			-								-
O therfinancialcorporations	13 , 35 0			1 ,083								1,083
No n - f i n ancialcorporations	1 ,636,033			17 3 ,739								173,739
H o u s eh o l ds	67 3 ,894			11 , 34 3								11,343
	2 ,374,060			18 6 ,165								18 6 ,165
T otal	18 , 98 9 ,912	16 , 60 3 , 5 2 2	12 , 33 0	3 ,654,043	67 0 ,631	47 , 76 1	17 8 ,103	37 0 ,549	62 2 ,362	51 9 ,262	1 ,059,210	3 ,654,043

( 9 ) Amounts presented are before fair value adjustment on initial recognition relating to the loans and advances to customers acquired as part of the acquisition of certain operations of Laiki Bank in 2013 and originated credit impaired loans.

8 .  Other Pillar III disclosures  (continued)

8 .1  Non-performing exposures (continued)

Cr edit quality of performing and non-performing exposures by past due days  (continued)

3 1December 2019	G ross carryingamount/Nominalamount
	P erformingexposures				No n -performingexposures
		No tpast due or pastdue ≤ 3 0days	P a s tdue > 3 0days ≤ 9 0days		Un likelytopay thatarenot past- due or are P a s tdue ≤ 9 0days	P a s tdue >90 days≤180 days	P a s tdue > 18 0days ≤ 1 year	P a s tdue > 1 year ≤ 2 years	P a s tdue > 2 years ≤ 5 years	P a s tdue > 5 years ≤ 7 years	P a s tdue > 7 years	Of which: defaulted
Loans and advances 10	€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
Central banks	4 ,908,487	4,908,487	-	-	-	-	-	-	-	-	-	-
Generalgovernments	56 ,920	56,920	-	1	-	-	-	-	1	-	-	1
Creditinstitutions	320 , 9 5 3	320,953	-	-	-	-	-	-	-	-	-	-
O th erfinancialcorporations	96 ,884	96,822	62	27 ,459	1,442	1	16,971	102	251	7,994	698	27,459
No n- f in ancialcorporations	4 ,889,081	4,877,311	11,770	1 ,382,074	483,598	35,244	86,941	84,300	148,926	240,548	302,517	1,382,074
O fwhichSMEs	3 ,589,148	3,577,378	11,770	1 ,073,846	201,038	35,221	86,937	84,147	144,341	236,608	285,554	1,073,846
H o u seholds	3 ,906,507	3,889,848	16,659	2 ,285,998	365,164	81,407	154,657	181,264	511,019	440,291	552,196	2,285,998
	14 ,178,832	14 ,150,341	28 ,491	3 ,695,532	850 , 2 0 4	116 , 6 5 2	258 , 5 6 9	265 , 6 6 6	660 , 1 9 7	688 , 8 3 3	855 , 4 1 1	3 ,695,532
Loans and advancesto customers classifiedas held for sale 10	990	990	-	183 , 9 7 4	5 ,300	1 ,242	4 ,125	-	54 ,371	118 , 9 3 6	-	183 , 9 7 4
D ebt securities
Central banks	13 ,416	13,416	-	-	-	-	-	-	-	-	-	-
Generalgovernments	933 , 2 9 4	933,294	-	-	-	-	-	-	-	-	-	-
Creditinstitutions	521 , 5 9 6	521,596	-	-	-	-	-	-	-	-	-	-
O th erfinancialcorporations	264 , 3 4 7	264,347	-	-	-	-	-	-	-	-	-	-
No n- f in ancialcorporations	6 ,849	6,849	-	-	-	-	-	-	-	-	-	-
	1 ,739,502	1 ,739,502	-	-	-	-	-	-	-	-	-	-
O ffbalancesheet exposures
Central Bank	-			-								-
Generalgovernments	13 ,282			-								-
Creditinstitutions	51 ,569			-								-
O th erfinancialcorporations	18 ,294			1 ,086								1,086
No n- f in ancialcorporations	1 ,602,574			221 , 8 4 8								221,848
H o u seholds	704 , 7 5 2			8 ,603								8,603
	2 ,390,471			231 , 5 3 7								231 , 5 3 7
Total	18 ,309,795	15 ,890,833	28 ,491	4 ,111,043	855 , 5 0 4	117 , 8 9 4	262 , 6 9 4	265 , 6 6 6	714 , 5 6 8	807 , 7 6 9	855 , 4 1 1	4 ,111,043

Th e NPEs at 30 June 2020 amounted to €3,468 million, compared to €3,880 million at 31 December 2019, reflecting a reduction of 11%, despite the COVID-19 lockdown in March 2020, mainly driven by the completion of Project Velocity 2 and organic reduction of €279 million. The reduction in gross loans and advances to customers by 2% since 31 December 2019 is attributed mainly to the completion of Project Velocity 2 (sale of €133 million of gross loans) and repayments. New loans originated and drawdowns of existing facilities during 2020 amounted to €571 million compared to €1,008 million for the six months ended 30 June 2019 (down by 33%). The reduction in new loans follows the restrictive measures as a result of the outbreak of COVID-19. The movement of loans and advances to customers is disclosed in Note

29.6 of the Consolidated Condensed Interim Financial Statements of the Company for the six months ended 30 June 2020.

( 10 ) Amounts presented are before fair value adjustment on initial recognition relating to the loans and advances to customers acquired as part of the acquisition of certain operations of Laiki Bank in 2013 and originated credit impaired loans.

8 .  Other Pillar III disclosures  (continued)

8 .1  Non-performing exposures (continued)

Performing and non-performing exposures and related provisions

30 June 2020	Grosscarryingamount/nominalamount						A c c umulated impairment,accumulatednegative changes in fair value due to creditriskand provisions						A c c umulated partial write off	C ollateralandfinancialguarantees received
	Performingexposures			N on-performingexposures			Performingexposures- accumulated impairmentand provisions			N on-performingexposures- accumulated impairment,accumulated negative changes in fair value due to c reditriskand provisions
		O f which stage 1	O f which stage 2		Of which stage 2	O f which stage 3		O f which stage 1	O f which stage 2		O f which stage 2	O f which stage 3		O n performing exposures	O n non- performing exposures
	€000	€000	€000	€000	€000	€000	€000	€000	€000	€000	€000	€000	€000	€000	€000
Loans andadvances 11
C e n t ralbanks	5 , 1 6 0 , 5 4 9	5 , 1 6 0 , 5 4 9	-	-	-	-	-	-	-	-	-	-	-	-	-
G e n eralgovernments	57 , 6 6 6	6 , 1 1 1	51 , 5 5 5	-	-	-	3 , 2 6 4	10	3 , 2 5 4	-	-	-	4 8 7	51 , 7 1 9	-
C reditinstitutions	6 2 2 , 0 5 2	6 2 2 , 0 5 2	-	-	-	-	92	92	-	-	-	-	-	-	-
O t h erfinancial Co rporations	1 1 0 , 7 8 4	68 , 9 8 1	41 , 8 0 3	14 , 7 1 5	-	14 , 7 1 5	5 , 8 1 8	3 , 5 4 6	2 , 2 7 2	10 , 2 8 6	-	10 , 2 8 6	12 , 9 0 3	80 , 9 4 1	4 , 3 0 1
No n - financial Co rporations	4 , 8 4 4 , 1 8 2	3 , 7 4 0 ,686	8 9 5 ,272	9 3 9 , 6 5 8	-	8 2 3 , 5 5 6	81 , 8 8 3	57 , 0 2 4	24 , 8 5 9	4 7 8 , 6 4 7	-	4 3 7 , 9 7 5	5 1 5 , 9 4 5	4 , 2 6 7 , 3 5 0	3 6 8 , 1 1 6
O fwhich SMEs	3 , 6 1 2 , 4 9 7	2 , 8 9 4 , 7 6 8	7 1 7 , 7 2 4	6 6 5 , 1 9 0	-	6 6 5 , 1 9 0	69 , 6 8 7	50 , 0 9 8	18 , 9 6 7	3 8 7 , 6 2 8	-	3 8 7 , 6 2 8	4 8 1 , 5 6 8	3 , 2 5 5 , 3 8 6	2 6 6 , 4 1 5
H o u s eholds	4 , 0 0 1 , 3 0 6	3 , 0 5 5 , 9 6 4	9 3 5 ,456	1 , 5 8 4 , 6 3 4	-	1 , 5 8 4 , 6 3 4	64 , 1 6 1	42 , 0 9 2	22 ,0 69	8 0 4 , 6 4 6	-	8 0 4 , 6 4 6	8 8 7 , 4 4 4	3 , 5 6 8 , 0 9 1	7 5 9 , 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 andadvances to customersclassifiedas heldfor sale 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
Debtsecurities
C e n t ralbanks	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
G e n eralgovernments	1 , 0 7 0 , 3 8 4	1 , 0 2 0 , 0 4 6	50 , 3 3 8	-	-	-	1 , 5 9 4	1 , 3 4 1	2 5 3	-	-	-	-	-	-
C reditinstitutions	4 7 7 , 6 9 8	4 7 7 , 1 9 8	-	-	-	-	29	29	-	-	-	-	-	-	-
O t h erfinancial corporations	2 5 1 , 2 0 8	2 2 7 , 3 2 1	-	-	-	-	1 3 0	1 3 0	-	-	-	-	-	-	-
No n - financial corporations	6 , 7 5 4	6 , 7 5 4	-	-	-	-	1	1	-	-	-	-	-	-	-
	1,806,044	1,731,319	50,338	-	-	-	1,754	1,501	253	-	-	-	-	-	-
Off -balance-sheet exposures
C e n t ralbanks	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
G e n eralgovernments	9 , 8 0 0	-	9 , 8 0 0	-	-	-	-	-	-	-	-	-	-	5 , 5 9 3	-
C reditinstitutions	40 , 9 8 3	40 , 9 8 3	-	-	-	-	-	-	-	-	-	-	-	-	-
O t h erfinancial corporations	13 , 3 5 0	1 , 7 7 0	11 , 5 8 0	1 , 0 8 3	-	1 , 0 8 3	3	-	3	-	-	-	-	8 , 9 5 3	4
No n - financial corporations	1 , 6 3 6 , 0 3 3	1 , 0 7 0 , 4 2 6	5 6 5 , 6 0 7	1 7 3 , 7 3 9	-	1 7 3 , 7 3 9	5 2 1	1 3 7	3 8 4	17 , 1 5 3	-	17 , 1 5 3	-	8 6 4 , 8 5 6	9 , 6 7 3
H o u s eholds	6 7 3 , 8 9 4	4 4 2 , 8 3 6	2 3 1 , 0 5 8	11 , 3 4 3	-	11 , 3 4 3	17	2	15	-	-	-	-	1 8 9 , 6 7 4	2 , 5 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 ) Amounts presented are before fair value adjustment on initial recognition. The fair value adjustment on initial recognition relates to the loans and advances to customers acquired as part of the acquisition of certain operations of Laiki Bank in 2013 and originated credit impaired loans.

8 .  Other Pillar III disclosures  (continued)

8 .1  Non-performing exposures (continued)

Performing and non-performing exposures and related provisions  (continued)

31 December2019	Grosscarryingamount/nominalamount						A c c umulated impairment,accumulatednegative changes in fair value dueto creditriskand provisions						A c c umulated partial write off	C ollateralandfinancialguarantees received
	Performingexposures			N on-performingexposures			Performingexposures- accumulated impairmentand provisions			N on-performingexposures- accumulated impairment,accumulated negative changes in fair value due to c reditriskand provisions
		O f which stage 1	O f which stage 2		Of which stage 2	O f which stage 3		O f which stage 1	O f which stage 2		O f which stage 2	O f which stage 3		O n performing exposures	O n non- performing exposures
	€000	€000	€000	€000	€000	€000	€000	€000	€000	€000	€000	€000	€000	€000	€000
Loans andadvances 12
C e n t ralbanks	4 , 9 0 8 , 4 8 7	4 , 9 0 8 , 4 8 7	-	-	-	-	-	-	-	-	-	-	-	-	-
G e n eralgovernments	56 , 9 2 0	6 , 1 1 1	50 , 8 0 9	1	-	1	3 , 3 8 9	11	3 , 3 7 8	-	-	-	4 8 5	52 , 0 4 5	1
C reditinstitutions	3 2 0 , 9 5 3	3 2 0 , 9 5 3	-	-	-	-	72	72	-	-	-	-	-	-	-
O t h erfinancial Co rporations	96 , 8 8 4	53 , 8 6 9	43 , 0 1 5	27 , 4 5 9	-	27 , 4 5 9	2 , 6 9 9	1 , 1 1 1	1 , 5 8 8	14 , 8 4 3	-	14 , 8 4 3	1 0 3 , 7 5 4	68 , 4 4 4	12 , 5 7 1
No n - financial Co rporations	4 , 8 8 9 , 0 8 1	3 , 9 9 9 , 5 4 3	8 8 9 , 5 3 8	1 , 3 8 2 , 0 7 4	-	1 , 3 8 2 , 0 7 4	67 , 8 2 3	42 , 7 7 2	25 , 0 5 1	6 8 6 , 0 2 5	-	6 8 6 , 0 2 5	7 0 5 , 4 2 1	4 , 2 4 4 , 9 0 8	5 7 8 , 7 0 3
O fwhichSMEs	3 , 5 8 9 , 1 4 8	2 , 9 6 0 , 3 4 5	6 2 8 , 8 0 3	1 , 0 7 3 , 8 4 6	-	1 , 0 7 3 , 8 4 6	60 , 1 8 5	40 , 1 6 5	20 , 0 2 0	5 7 6 , 6 3 5	-	5 7 6 , 6 3 5	6 7 1 , 7 2 3	3 , 2 0 2 , 9 1 3	4 7 1 , 9 0 0
H o u s eholds	3 , 9 0 6 , 5 0 7	3 , 1 5 3 , 7 0 2	7 5 2 , 8 0 5	2 , 2 8 5 , 9 9 8	-	2 , 2 8 5 , 9 9 8	67 , 6 0 8	46 , 3 1 0	21 , 2 9 8	1 , 0 8 0 , 6 9 6	-	1 , 0 8 0 , 6 9 6	1 , 0 6 2 , 1 0 8	3 , 4 7 8 , 4 6 2	1 , 1 7 6 , 9 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 andadvances to customersclassifiedas heldfor sale 12	990	177	813	183,974	-	183,974	37	7	30	158,998	-	158,998	310.294	592	14,062
Debtsecurities
C e n t ralbanks	13 , 4 1 6	13 , 4 1 6	-	-	-	-	-	-	-	-	-	-	-	-	-
G e n eralgovernments	9 3 3 , 2 9 4	8 8 4 , 1 6 4	49 , 1 3 0	-	-	-	1 , 3 1 9	8 4 3	4 7 6	-	-	-	-	-	-
C reditinstitutions	5 2 1 , 5 9 6	5 2 1 , 5 9 6	-	-	-	-	36	36	-	-	-	-	-	-	-
O t h erfinancial corporations	2 6 4 , 3 4 7	2 6 4 , 3 4 7	-	-	-	-	1 4 0	1 4 0	-	-	-	-	-	-	-
No n - financial corporations	6 , 8 4 9	6 , 8 4 9	-	-	-	-	-	-	-	-	-	-	-	-	-
	1,739,502	1,690,372	49,130	-	-	-	1,495	1,019	476	-	-	-	-	-	-
Off -balance-sheet exposures
C e n t ralbanks	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
G e n eralgovernments	13 , 2 8 2	2	13 , 2 8 0	-	-	-	-	-	-	-	-	-	-	6 , 9 4 0	-
C reditinstitutions	51 , 5 6 9	51 , 5 6 9	-	-	-	-	-	-	-	-	-	-	-	-	-
O t h erfinancial corporations	18 , 2 9 4	7 , 0 0 2	11 , 2 9 2	1 , 0 8 6	-	1 , 0 8 6	1	-	1	-	-	-	-	12 , 3 7 7	1 , 0 3 5
No n - financial corporations	1 , 6 0 2 , 5 7 4	1 , 1 8 7 , 0 8 7	4 1 5 , 4 8 7	2 2 1 , 8 4 8	-	2 2 1 , 8 4 8	1 9 7	49	1 4 8	21 , 9 0 4	-	21 , 9 0 4	-	8 2 1 , 5 5 2	6 , 2 5 8
H o u s eholds	7 0 4 , 7 5 2	4 7 3 , 5 0 9	2 3 1 , 2 4 3	8 , 6 0 3	-	8 , 6 0 3	10	1	9	-	-	-	-	2 0 8 , 7 3 3	2 , 3 2 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 ) Amounts presented are before fair value adjustment on initial recognition. The fair value adjustment on initial recognition relates to the loans and advances to customers acquired as part of the acquisition of certain operations of Laiki Bank in 2013 and originated credit impaired loans.

8 .   Other Pillar III disclosures  (continued)

8 .1   Non-performing exposures  (continued)

Performing and non-performing exposures and related provisions  (continued)

Regulatory expectations

On 14 of March 2018 ECB published an NPE addendum which supplements the NPE guidance by specifying what the ECB deems to be prudent levels of provisions for new NPEs. The ECB will in this context assess among other things, the length of time an exposure has been classified as NPE (vintage) as well as the

collateral held. The ECB will link the supervisory expectations in this addendum to new NPEs classified as such from 1 April 2018 onwards, irrespective of the reason of classification.

I n July 2018, ECB announced additional steps in its supervisory approach to the stock of NPEs. The approach creates a consistent framework for addressing the issue, as part of the supervisory dialogue, through bank- specific supervisory expectations aimed at achieving adequate provisioning of legacy NPEs. This assessment was guided by: i) individual banks' current NPE ratios, ii) their main financial features, iii) their NPE reduction strategy (if available), and iv) a benchmarking of comparable peers in order to ensure consistent treatment. Most recent data and their capacity to absorb additional provisions were also considered. All Significant Institutions (SIs) have been assessed with the aim of setting bank-specific expectations so as to ensure continued progress in reducing legacy risks and the same coverage of the stock and flow of NPEs over the medium term.

B OC PCL, being a bank with elevated levels of NPEs, received a letter from the ECB, as part of normal supervisory activities, containing qualitative elements, focused on ensuring it is managing and addressing NPEs in line with supervisory expectations.

On 22 August 2019 the ECB has revised its supervisory expectations for prudential provisioning of new NPEs specified in the "NPE Addendum", after taking into account the adoption of the new EU regulation that outlines the Pillar I treatment for NPEs. Supervisory expectations for coverage of stock of NPEs remain unchanged. NPEs arising from loans originated after 26 April 2019 in principle are subject solely to Pillar II treatment. Taking into account the specificities of the supervisory expectations, banks will thus be asked to inform the ECB of any differences between their practices and the prudential provisioning expectations, as part of the SREP supervisory dialogue, from early 2021 onwards. Supervisory expectations for the stock of NPEs (i.e. loans classified as NPEs on 31 March 2018) remain unchanged, as communicated in the Supervisory Review and Evaluation Process letters sent to banks and in the press release in July 2018.

Co ll ateral obtained by taking possession and execution processes

	C ollateral obtained bytakingpossession
	June2020		D ece mber 2019
	Valueat initial recognition	Accumulated negative changes	Valueat initial recognition	Accumulated negative changes
	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0
P ro p erty,plant andequipment (PP&E)	-	-	-	-
Otherthan PP&E
R e sidential immovableproperty	5 4 6 ,412	23 , 2 5 0	4 8 2 ,1 54	16 , 3 0 7
Commercial immovableproperty	6 1 4 ,062	1 0 2 ,798	6 9 4 ,9 9 3	84 , 8 6 3
M ov a bleproperty (auto, shipping, etc.)	-	-	-	-
E quityanddebt instruments	66 , 7 1 4	28 , 2 5 6	66 , 7 1 4	15 , 2 7 3
Other	3 7 8 ,562	8 ,690	3 5 5 ,8 8 4	2 ,0 9 1
T otal	1 ,605,750	1 6 2 ,994	1 ,599,745	1 1 8 ,534

8 .  Other Pillar III disclosures  (continued)

8 .1  Non-performing exposures  (continued)

E U CR2-B Changes in stock of defaulted and impaired loans and debt securities

Defaulted exposures are exposures that satisfy the NPE definition.

3 0June 2020	Con t r actualvalue defaulted exposures
	€000
Opening balance	6 , 333 , 0 2 3
Loansanddebtsecuritiesthathavedefaultedorimpairedduringtheperiod	31 , 3 5 0
Returnedto non-defaultedstatus	(112,680)
A mountswrittenoff	(134,077)
Otherchanges	(227,631)
C l os i n gbalance	5 ,889,985

3 1 December2019	Con t r actualvalue defaulted exposures
	€000
Opening balance	12 , 945 , 9 3 1
Loansanddebtsecuritiesthathavedefaultedorimpairedduringtheyear	188 , 7 9 5
Returnedto non-defaultedstatus	(349,157)
A mountswrittenoff	(440,942)
Otherchanges	(6,011,604)
C l os i n gbalance	6 ,333,023

The decrease in the gross contractual value of defaulted exposures in the period is driven at its majority by the sale of Velocity 2 portfolio which is reflected in line 'Other changes'. 'Other changes' include to a lesser extent normal movements in the balances such as accrued interest, repayments and withdrawals. The table above presents the movement since 1 January 2020 to 30 June 2020, whereas the comparative table for 2019 presents the movement for the year ended 31 December 2019.

8 .  Other Pillar III disclosures  (continued)

8 .1  Non-performing exposures  (continued)

E U CR2-A Changes in stock of general and specific credit risks adjustment

The changes in the accumulated specific and general adjustment are as follows:

	2020		201 9
	A ccumulated specific creditrisk adjustment	A ccumulated general creditrisk adjustment	A ccumulated specific creditrisk adjustment	A ccumulated general creditrisk adjustment
	€000	€000	€000	€000
1January	1 ,803,550	-	3 , 462 , 0 0 5	-
In creasesduetoamountssetaside forestimatedloanlossesduringthe period	351 ,283	-	350 , 4 8 6	-
Decreasesduetoamountsreversed forestimatedloanlossesduringthe period	(166,828)	-	(221,062)	-
De creasesduetoamountstaken againstaccumulatedcreditrisk adjustments	(136,024)	-	(246,661)	-
I mp actofexchangeratedifferences andotheradjustments	(1,637)	-	7 , 23 3	-
In t er e s t(provided)notrecognisedin theincomestatement	39 ,628	-	8 3 , 90 3	-
DisposalofVelocity2/Helix1and V elo city1portfolios	(112,098)	-	(1,602,825)	-
3 0June	1 ,777,874	-	1 ,833,079	-
Recoveriesoncreditrisk adjustmentsrecordeddirectly tothe income statement	12 ,011	-	14 , 73 9	-
S pe c i f i ccreditriskadjustments directlyrecordedtotheincome statement	(15,375)	-	240	-

A l l recoveries on credit risk adjustments and specific credit risk adjustments are made via the accumulated allowance account.

The above table includes credit losses relating to loans and advances to customers classified as held for sale but does not include the residual fair value adjustments on initial recognition of loans acquired from Laiki Bank and originated credit impaired, and provisions for impairment on financial guarantees and commitments amounting to €17,694 thousand (30 June 2019: €22,151 thousand).

8 .   Other Pillar III disclosures  (continued)

8 .2   Forbearance

Forbearance measures occur in situations in which the borrower is considered to be unable to meet the terms and conditions of the contract due to financial difficulties.  Taking into consideration these difficulties, the Group decides to modify the terms and conditions of the contract to provide the borrower with the ability to service the debt or refinance the contract, either partially or fully.

The practice of extending forbearance measures constitutes a grant of a concession whether temporarily or permanently to that borrower.  A concession may involve restructuring the contractual terms of a debt or payment in some form other than cash, such as an arrangement whereby the borrower transfers collateral pledged to the Group.

Forborne exposures are referred to as rescheduled loans and advances to customers in the Consolidated Condensed Interim Financial Statements of the Group for the six months ended 30 June 2020 and their definition is aligned with the EBA definition of forborne exposures.

Further information on the definition, movement and credit quality of forborne exposures can be found in Note

29 . 1 0 of the Consolidated Condensed Interim Financial Statements of the Company for the six months ended

3 0 June 2020.

8 .  Other Pillar III disclosures  (continued)

8 .2  Forbearance (continued)

Cr edit quality of forborne exposures

3 0June2020	Gr osscarryingamount/nominalamountof exposures withforbearancemeasures				Accumulatedimpairment, accumulatednegative changesinfairvaluedueto creditrisk andprovisions		C ollateral receivedand financialguarantees receivedonforborne exposures
	Performing forborne	N on-performingforborne			On performing forborne exposures	On non- performing forborne exposures
			Of which: defaulted	Of which: impaired				Of which: collateral and financial guarantees receivedon non- performing e xposureswith forbearance measures
	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0
L oansandadvances 13
Centralbanks	-	-	-	-	-	-	-	-
General governments	-	-	-	-	-	-	-	-
Credit institutions	-	-	-	-	-	-	-	-
Other financial corporations	13 , 5 3 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-financial corporations	2 5 8 ,1 0 0	4 7 8 ,0 4 3	4 7 8 ,0 4 3	4 7 8 ,0 4 3	12 , 9 8 0	2 1 1 ,4 9 2	4 0 7 ,4 6 1	1 9 3 ,1 2 9
H o u seholds	3 2 2 ,9 5 3	8 2 8 ,7 1 2	8 2 8 ,7 1 2	8 2 8 ,7 1 2	9 ,0 1 0	3 6 5 ,7 8 0	7 3 8 ,5 5 0	4 5 1 ,9 7 7
	5 9 4 ,590	1 ,308,779	1 ,308,779	1 ,308,779	23 , 2 2 1	5 7 7 ,833	1 ,148,442	6 4 6 ,559
L oansandadvancestocustomers classifiedheldforsale 13	9 ,529	5 3 1 ,391	5 3 1 ,391	5 3 1 ,391	4 ,843	3 0 9 ,894	2 2 1 ,083	2 1 6 ,379
D e btsecurities	-	-	-	-	-	-	-	-
L oanscommitmentsgiven	4 ,475	5 ,195	5 ,195	5 ,195	-	-	4 ,057	1 ,070
T otal	6 0 8 ,594	1 ,845,365	1 ,845,365	1 ,845,365	28 , 0 6 4	8 8 7 ,727	1 ,373,582	8 6 4 ,008

( 13 ) Amounts presented are before fair value adjustment on initial recognition. The fair value adjustment on initial recognition relates to the loans and advances to customers acquired as part of the acquisition of certain operations of Laiki Bank in 2013 and originated credit impaired loans.

8 .  Other Pillar III disclosures  (continued)

8 .2  Forbearance (continued)

Cr edit quality of forborne exposures (continued)

3 1December2019	Gr osscarryingamount/nominalamountof exposures withforbearancemeasures				Accumulatedimpairment, accumulatednegative changesinfairvaluedueto creditrisk andprovisions		C ollateral receivedand financialguarantees receivedonforborne exposures
	Performing forborne	N on-performingforborne			On performing forborne exposures	On non- performing forborne exposures
			Of which: defaulted	Of which: impaired				Of which: collateral and financial guarantees receivedon non- performing e xposureswith forbearance measures
	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0
L oansandadvances 14
Centralbanks	-	-	-	-	-	-	-	-
General governments	-	-	-	-	-	-	-	-
Credit institutions	-	-	-	-	-	-	-	-
Other financial corporations	16 , 1 2 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-financial corporations	4 7 9 ,3 0 0	7 3 7 ,6 0 2	7 3 7 ,6 0 2	6 0 3 ,5 5 1	11 , 2 8 7	3 3 7 ,2 9 0	7 2 8 ,4 3 0	3 2 3 ,5 5 0
H o u seholds	3 3 1 ,3 1 2	1 ,2 45 , 9 3 7	1 ,2 45 , 9 3 7	1 ,2 35 , 1 2 4	12 , 6 5 1	5 1 3 ,7 7 2	1 ,0 16 , 9 1 9	7 1 6 ,5 5 9
	8 2 6 ,735	1 ,985,905	1 ,985,905	1 ,841,041	24 , 9 4 2	8 5 1 ,524	1 ,750,618	1 ,041,994
L oansandadvancestocustomers classifiedheldforsale 14	1 6 3	45 , 0 2 8	45 , 0 2 8	45 , 0 2 8	9	37 , 4 2 9	3 ,381	3 ,376
D e btsecurities	-	-	-	-	-	-	-	-
L oanscommitmentsgiven	5 ,698	9 ,233	9 ,233	9 ,233	-	-	5 ,265	-
T otal	8 3 2 ,596	2 ,040,166	2 ,040,166	1 ,895,302	24 , 9 5 1	8 8 8 ,953	1 ,759,264	1 ,045,370

( 14 ) Amounts presented are before fair value adjustment on initial recognition. The fair value adjustment on initial recognition relates to the loans and advances to customers acquired as part of the acquisition of certain operations of Laiki Bank in 2013 and originated credit impaired loans.

8 .   Other Pillar III disclosures  (continued)

8 .3   Exposures subject to measures applied in response to the COVID-19 crisis

The table below provides an overview of the credit quality of loans and advances subject to moratorium on loan repayments applied in the light of the COVID-19 crisis.  The type of eligible moratorium granted was the suspension of instalments of capital and interest for a period of nine months. Moratorium was applied to all eligible individuals or legal entities across different sectors.

	G ross carryingamount							Accumulatedimpairment,accumulatednegativechangesinfairvaluedue to creditrisk							G ross carrying a mount
		P erforming			No nperforming				P erforming			No nperforming			I n flows to non- performing exposures
3 0June 2020			O fwhich: Exposures with forbearance measures	O fwhich: Instruments with significant increase in creditrisk since initial recognition butnot credit- impaired (Stage2)		O fwhich: Exposures with forbearance measures	O f which: Unlikely topay thatare not past- due or past- due <= 9 0days			O fwhich: Exposures with forbearance measures	O fwhich: Instruments with significant increase in c reditrisk since initial recognition butnot credit- impaired (Stage2)	f	O fwhich: Exposures with orbearance measures	O f which: unlikely topay thatare not past- due or past-due <= 9 0 days
	€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	€0 0 0	€0 0 0
Loans and advances subjectto moratorium	5 ,917,521	5 ,516,814	-	1 ,309,953	400 , 7 0 7	-	293 , 0 0 3	129 , 8 8 7	35 ,135	-	23 ,170	94 ,753	-	65 ,348	533
O fwhich:Households	2,147,703	1,985,005	-	565,867	162,698	-	82,526	60,248	18,904	-	12,979	41,345	-	21,165	270
o fwhich: Collateralised by r esidential imm o v able property	1,769,543	1,639,294	-	444,944	130,248	-	68,523	42,068	13,817	-	10,100	28,251	-	14,184	206
o fwhich: Non- financial corporations	3,690,601	3,453,834	-	710,030	236,767	-	209,320	68,642	15,274	-	9,416	53,368	-	44,155	263
o fwhich: Small andMedium-sized Enterprises	2,777,823	2,667,678	-	521,642	110,144	-	83,176	39,889	11,498	-	6,644	28,391	-	19,432	263
o fwhich: Collateralised by commercial imm o v able property	3,243,516	3,066,674	-	614,089	176,842	-	156,228	33,206	10,199	-	5,841	23,008	-	16,800	85

The forbearance measure column above refers to forbearance measures granted post the moratorium date being 29 March 2020. Moratorium refers to the suspension of capital and interest payments until 31 December 2020 for natural persons, self-employed persons and businesses made available for all eligible borrowers with no arrears for more than 30 days as at 29 February 2020. This was passed through a bill in Parliament on 29 March 2020.

8 .  Other Pillar III disclosures  (continued)

8 .3  Exposures subject to measures applied in response to the COVID-19 crisis  (continued)

The table below provides an overview of the volume of loans and advances subject to legislative and non-legislative moratorium by residual maturity of this moratorium. The moratorium length applied was for nine months, ending 31 December 2020.

	Numberof obligors	Grosscarryingamount
			O fwhich: Legislative moratorium	O fwhich: e xpired	R e s idualmaturityof moratorium
					< = 3 months	> 3 months < = 6 months	> 6 months < = 9 months	> 9 m onths < = 12 months	> 1year
		€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0
Loansandadvancesforwhich moratoriumwasoffered	24 , 83 8	5 ,944,250
Loansandadvancessubjectto moratorium(granted)	24 , 81 8	5 ,917,521	5 ,917,521	-	-	-	5 ,917,521	-	-
o f which:Households		2,147,703	2,147,703	-	-	-	2,147,703	-	-
o f which:Collateralisedby residentialimmovableproperty		1,769,543	1,769,543	-	-	-	1,769,543	-	-
o f which:Non-financialcorporations		3,690,601	3,690,601	-	-	-	3,690,601	-	-
o f which:SmallandMedium-sized En terprises		2,777,823	2,777,823	-	-	-	2,777,823	-	-
o f which:Collateralisedby commercialimmovableproperty		3,243,516	3,243,516	-	-	-	3,243,516	-	-

The Group has not granted newly originated loans and advances under newly applicable public guarantee schemes introduced in response to

C OVID-19 crisis.

8 .  Other Pillar III disclosures  (continued)

8 .4  Mark-to-Market Method for Derivatives and Financial Collateral Comprehensive Approach for Security Financing Transactions

Derivative exposure values are calculated by applying the Mark-to-market Method of the CRR whereby the exposure value is the sum of:

·   Positive mark-to-market after taking into account: (a)  Accrued interest

(b)  Netting within each counterparty (where set-off agreement exists)

Potential future credit exposure: Add-on amount equal to a percentage of the nominal amount of each deal based on its remaining maturity and the type of contract.

The mark-to-market of derivatives is calculated using the Net Present Value (NPV) of future cash flows method. Where the derivatives are under ISDA, article 298 of the CRR is applied whereby the single derivative exposure

v alues under the particular agreement are netted in the manner described by paragraph 1(c) of article 298 of the CRR.

I n the case where a Credit Support Annex (CSA) agreement is in place (and the relevant amount has already been settled) the exposure is set to zero, since no credit risk exists.

S FT exposure values are calculated by applying the Financial Collateral Comprehensive Approach of the CRR

and the appropriate supervisory volatility adjustments whereby the exposure value is net of:

·   S e curity value posted as collateral which is the sum of its book value and an appropriate add-on based on supervisory volatility adjustments. The appropriate supervisory volatility adjustments are based on the type of security, its issuer, their external credit assessment and their residual maturity.

·   The cash received under the repurchase agreement transaction.

Only Cyprus has derivative and SFT transactions. All SFT transactions are performed with Institutions.

	3 0June 2020	3 1December 2019
	€000	€000
In stitutions	28 ,616	17 , 73 7
C o rporates	970	718
Retail	25	15
C l aimsoninstitutionsand corporateswithashort-termcredit assessment	946	-
Total	30 ,557	18 , 47 0

The increase in exposure values relates to increased derivative exposure values.

The table below shows the analysis of CCR per approach. All rows and columns that are not relevant to the

i n stitution's activities or methods applied are not included.

8 .  Other Pillar III disclosures  (continued)

8 .4  Mark-to-Market Method for Derivatives and Financial Collateral Comprehensive Approach for Security Financing Transactions  (continued)

E U CCR1 - Analysis of the Counterparty Credit Risk (CCR) exposure by approach

	R eplacement cost/current market val u e	Po tential futurecredit exposure	E xposureat Default (EAD) post CreditRisk Mitigation (CRM)	RW As
3 0June2020	€000	€000	€000	€000
Marktomarket	4 , 03 2	11 , 88 9	13 , 49 7	3 , 65 9
Financialcollateralcomprehensive method(forSFTs)			17 , 06 0	8 , 53 0
Total				12 ,189

3 1December 2019
Marktomarket	620	8 , 38 5	733	699
Financialcollateralcomprehensive method(forSFTs)			17 , 73 7	8 , 86 9
Total				9 ,568

The increase in the RWAs in derivative transactions under the mark-to-market method stems from increased derivative exposure values. The decrease in the SFT RWAs under the financial collateral comprehensive method stems from the overall decrease in balance sheet values in SFT transactions.

8 .  Other Pillar III disclosures  (continued)

8 .5  Regulatory CVA charge for capital calculation

The table below provides a summary of the exposure subject to CVA regulatory calculations. All rows that are not relevant to the Group's activities or methods applied are not included.

E U CCR2 - CVA capital charge

		3 0June2020		3 1December2019
		Ex p o s ur e value	RWA	Ex po sure value	RWA
		€000	€000	€000	€000
4	A l lportfoliossubjecttothe standardised method	30 , 55 8	3 , 37 2	18 , 47 0	3 , 05 0
5	Totalsubjecttothe CVAcapitalcharge	30 ,558	3 ,372	18 ,470	3 ,050

8 .6   CCR exposures by regulatory portfolio and risk

The table below provides a breakdown of all CCR exposures, calculated under the Standardised Approach, by portfolio (type of counterparties) and by risk weight. All rows and columns that are not relevant to the Group's activities are not included.

E U CCR3 - Standardised approach - CCR exposures by regulatory portfolio and risk

E xposure classes		Ri s kWeights					Total	Ofwhich unrated 15
		2%	20%	50%	75%	100%
3 0June2020		€000	€000	€000	€000	€000	€000	€000
6	In stitutions	2 , 74 4	7 , 54 1	18 , 33 2	-	-	28 , 61 7	-
7	C o rporates	-	-	-	-	970	970	970
8	Retail	-	-	-	25	-	25	25
9	In stitutionsandcorporates withashort-termcredit assessment	-	-	946	-	-	946	-
11	Total	2 ,744	7 ,541	19 ,278	25	970	30 ,558	995

3 1December 2019
6	In stitutions	-	-	17 , 73 7	-	-	17 , 73 7	-
7	C o rporates	-	-	-	-	718	718	718
8	Retail	-	-	-	15	-	15	15
11	Total	-	-	17 ,737	15	718	18 ,470	733

The overall allocation of exposure values among exposure classes remains unchanged. The overall increase in exposure values in 'Institutions' and 'Institutions and corporates with a short-term credit assessment' is the result of increased derivative transactions.

( 15 ) Includes all exposures for which an issue/issuer or country rating (where applicable) is not available or they follow a uniform regulatory treatment under the standardised approach of the CRR.

8 .  Other Pillar III disclosures  (continued)

8 .7  Gross Positive Fair Value of Contracts, Netting Benefits, Netted Current Credit Exposure, Collateral held and Net Derivatives Credit Exposure

The gross positive fair value of Group derivative contacts, which mainly consist of IRS and FX contracts, is presented in the table below:

Grosspositivefairvalue	3 0June 2020	3 1December 2019
	€000	€000
Cy p rusandGroup	16 ,027	23 , 04 0

The Bank has netting benefits for the derivatives, through the ISDA/CSA agreements signed with the majority of counterparties. The netted credit exposure for the Group derivative contracts (without considering collateral arrangements), is presented in the table below:

N ettedcreditexposure	3 0June 2020	3 1December 2019
	€000	€000
Cy p rusandGroup	4 ,032	620

N etderivativecreditexposure	3 0June 2020	3 1December 2019
	€000	€000
Cy p rusandGroup	1 ,642	150

The net credit exposure of Group derivative contracts, after considering both the benefits from legally enforceable netting agreements and  collateral arrangements, is  presented in  the  table  below. Collateral received through the CSA agreements from counterparties as at 30 June 2020 was €2,390 thousand (31

December 2019: €470 thousand).

E U CCR5-A Impact of netting and collateral held on exposure values

	Grosspositive fairvalueor netcarrying amount	N etting benefits	N etted current credit exposure	Co ll ateral held	N etcredit exposure
3 0June2020	€000	€000	€000	€000	€000
D erivatives	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-productnetting	-	-	-	-	-
Total	33 ,087	11 ,995	21 ,092	2 ,390	18 ,702

3 1December 2019
D erivatives	23 , 04 0	22 , 42 0	620	470	150
S FTs	17 , 73 7	-	17 , 73 7	-	17 , 73 7
C ross-productnetting	-	-	-	-	-
Total	40 ,777	22 ,420	18 ,357	470	17 ,887

8 .  Other Pillar III disclosures  (continued)

8 .8  Composition of collateral for exposures to CCR

A breakdown of all types of collateral posted or received by banks to support or reduce CCR exposures, is presented below:

E U CCR5-B Composition of collateral for exposures to CCR

3 0June 2020	Co ll ateralused in derivativetransactions				Co ll ateralused in S FTs
	Fairvalueofcollateral received		Fairvalueof posted collateral		Fairvalue of collateral received	Fairvalue of posted collateral
	S egregated	Unsegregated	S egregated	Unsegregated
	€000	€000	€000	€000	€000	€000
C ash	-	2 , 39 0	51 , 46 1	3 , 59 2	-	3 , 88 6
Total	-	2 ,390	51 ,461	3 ,592	-	3 ,886

3 1December 201 9
C ash	-	470	28 , 61 0	7 , 90 7	-	4 , 58 7
Total	-	470	28 ,610	7 ,907	-	4 ,587

In crease in Mark to Market losses of the outstanding derivative transactions since last reporting date; translate into higher posted amount in the case of derivatives. The lower posted amount in SFTs is as a result of REPO maturity.

8 .9   EU CR1-A Credit quality of exposures by exposure class and instrument

The gross carrying value relates to the contractual balances before any impairments made via an allowance or via a direct reduction in the carrying amount according to the applicable accounting framework. Column (c) represents the value adjustment used in the calculation of the RWAs including any other own funds reductions, while column (e) is a subset of column (c) and represents the partial and total amount of principal and past-due interest of any on-balance sheet instrument that is derecognised because the institution has no reasonable expectations of recovering the contractual cash-flows. Column (f) includes changes in column (c) between the current and the previous year calculated at exposure class level.

The amounts included in column (a) represent all defaulted exposures in accordance with Article 178 of the CRR. Row 'Exposures in default' is an informative row which is not included in the rows 'Total standardised approach' and 'Total'. Column (a) summarises the defaulted exposures that have been reported in exposure class 'Exposures in default' according to Article 112(j) of the CRR and it includes the defaulted exposures in all other exposure classes except for 'Items associated with particularly high risk' and 'Equity Exposures' which is included in row 'Other'.

8 .  Other Pillar III disclosures  (continued)

8 .9  EU CR1-A Credit quality of exposures by exposure class and instrument  (continued) Materiality applied: All exposure classes that do not exceed 1% of total net exposures have been included in

'Other'.

EU CR1-A Credit quality of exposures by exposure class and instrument

	a	b	c	d	e	f	g
	Grosscarryingvaluesof		Specific creditrisk adjustment	General creditrisk adjustment	Accumulated write-offs	Creditrisk adjustment chargesof theperiod	Netvalues
	Defaulted exposures	Non- defaulted exposures					( a+b-c-d)
3 0June 2020	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0
Cen tralgovernments orcentralbanks	-	6,551,509	1,584	-	-	463	6 ,549,925
I n s t i tutions	-	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 fwhich: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 fwhich:SMEs	471,578	721,941	377,787	-	167,814	( 66,404)	815,732
Se curedby mortgageson immovableproperty	1 ,081,883	3,557,843	352,185	-	135,832	148,126	4 ,287,541
O fwhich:SMEs	196,913	821,255	56,914	-	22,839	18,303	961,254
E x posuresindefault	5 ,184,038	-	3,440,173	-	-	( 32,806)	1 ,743,865
I temsassociatedwith particularlyhighrisk	705,947	840,664	504,986	-	335,089	( 9,050)	1 ,041,625
O therexposures	-	1,970,585	55,604	-	-	31	1 ,914,981
O ther	-	608,745	2,588	-	487	144	606,157
T otalstandardised approach	5 ,889,985	21 , 36 7 ,557	4 ,177,119	-	2 ,265,787	( 10 ,527)	23 , 08 0 ,423
T otal	5 ,889,985	21 , 36 7 ,557	4 ,177,119	-	2 ,265,787	( 10 ,527)	23 , 08 0 ,423
O fwhich:Loans	5,724,621	16,813,767	4,102,204	-	2,265,787	( 9,711)	18,436,184
O fwhich:Debt securities	-	1,732,879	1,620	-	-	461	1,731,259
O fwhich:Off-balance sheetexposures	165,364	805,993	17,691	-	-	( 1,308)	953,666

8 .  Other Pillar III disclosures  (continued)

8 .9  EU CR1-A Credit quality of exposures by exposure class and instrument  (continued)

E U CRI-A Credit quality of exposures by exposure class and instrument

	a	b	c	d	e	f	g
	Grosscarryingvaluesof		Specific creditrisk adjustment	General creditrisk adjustment	Accumulated write-offs	Creditrisk adjustment chargesof theyear	Netvalues
	Defaulted exposures	Non- defaulted exposures					( a+b-c-d)
3 1December2019	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0
Cen tralgovernmentsor centralbanks	-	6,148,482	1,121	-	-	( 167)	6,147,361
I n s t i tutions	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 fwhich:SMEs	939,586	2,813,177	718,631	-	454,454	( 2,630,529)	3,034,132
R e tail	2,377,876	2,575,805	1,805,846	-	960,359	( 156,508)	3,147,835
O fwhich:SMEs	588,605	740,736	444,191	-	245,646	( 49,806)	885,150
Se curedbymortgageson immovableproperty	1,095,592	3,313,286	204,059	-	91,147	2,135	4,204,819
O fwhich:SMEs	189,552	751,264	38,611	-	17,862	( 20,763)	902,205
E x posuresindefault	5,547,999	-	3,472,979	-	-	( 3,123,512)	2,075,020
I temsassociatedwith particularlyhighrisk	785,024	921,340	514,036	-	342,719	( 1,516,012)	1,192,328
O therexposures	-	2,050,695	55,573	-	-	55,515	1,995,122
O ther	85	630,982	2,444	-	485	( 3,022)	628,623
T otalStandardised approach	6 ,333,107	20 , 78 2 ,878	4 ,187,646	-	2 ,504,521	( 4 ,607,699)	22 , 92 8 ,339
T otal	6 ,333,107	20 , 78 2 ,878	4 ,187,646	-	2 ,504,521	( 4 ,607,699)	22 , 92 8 ,339
O fwhich:Loans	6,124,883	16,173,439	4,111,915	-	2,504,521	( 4,657,476)	18,186,407
O fwhich:Debtsecurities	-	1,665,186	1,159	-	-	( 137)	1,664,027
O fwhich:Off-balance- sheetexposures	208,140	860,189	18,999	-	-	( 5,604)	1,049,330

The main drivers behind the overall decrease in net values are analysed in Section 3.1. In their majority they relate to a decrease in Gross carrying values of Defaulted exposures with fairly stable corresponding Specific credit adjustments and Accumulated write-offs and to an increase of the Gross carrying values of Non-defaulted exposures.

8 .  Other Pillar III disclosures  (continued)

8 .10  Credit quality of exposures by industry

The description in relation to the columns on the table below corresponds to the descriptions as provided for table included in section 8.9 above.

In d u stry 'Other services' includes exposures to Private individuals, Activities of extraterritorial organizations and bodies, Other services activities and Financial and Insurance activities.

Materiality applied: All industry sectors that do not exceed 1% of total net exposures have been included in row

'Other'. The industry groups that have been included in "Other" are agriculture, forestry and fishing, mining and quarrying, electricity, gas, steam and air conditioning supply, water supply, Information and communication,

hu man health services and social work activities, education and arts and entertainment and recreation, and

administrative and support service activities.

E U CR1-B Credit quality of exposures by industry or counterparty types

de f aulted

8 .  Other Pillar III disclosures  (continued)

8 .10  Credit quality of exposures by industry  (continued)

E U CRI-B Credit quality of exposures by industry or counter party types

	a	b	c	d	e	f	g
	Grosscarryingvaluesof		Specificrisk adjustment	General creditrisk adjustment	Accumulated write-offs	Creditrisk adjustment chargesof theyear	Net values
	D e f a u l t e d exposures	Non- defaulted exposures					( a+b-c-d)
3 1December2019	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0
M anufacturing	240,225	510,417	162,848	-	96,128	( 249,905)	587,794
C o n s truction	648,104	1,026,304	361,121	-	210,929	( 1,599,589)	1,313,287
W h o lesaleandretailtrade	727,279	1,520,817	450,535	-	231,998	( 598,585)	1,797,561
T r ansportandstorage	66,795	388,730	52,135	-	36,853	( 89,252)	403,390
A cco mm od at ionand food serviceactivities	211,782	1,135,760	176,659	-	128,123	( 373,486)	1,170,883
R e alestateactivities	471,973	1,801,369	324,310	-	228,493	( 543,767)	1,949,032
P ro f essional,scientificand technicalactivities	269,315	486,914	197,729	-	141,197	( 302,371)	558,500
Publicadministrationand defence,compulsory  social security	6	6,387,818	3,562	-	486	( 3,376)	6,384,262
O therservices	3,289,065	6,702,911	2,207,246	-	1,299,427	( 595,255)	7,784,730
O ther	408,563	821,838	251,501	-	130,887	( 252,113)	978,900
T otal	6 ,333,107	20 , 78 2 ,878	4 ,187,646	-	2 ,504,521	( 4 ,607,699)	22 , 92 8 ,339

The main drivers behind the overall decrease in net values are analysed in section 3.1. At their majority there is a decrease in Gross carrying values of Defaulted exposures across all industries with fairly sable corresponding Specific credit adjustments and Accumulated write-offs and to an increase the Gross carrying values of Non- defaulted exposures across all industries.

8 .   Other Pillar III disclosures  (continued)

8 .11   Credit quality of exposures by geography

The description in relation to the columns on the table below corresponds to the descriptions as provided for table included in section 8.9 above.

The  country  or  geographical  area  in  which  the  exposure  is  classified  is  driven  by  the  country  of residence/incorporation of the counterparty.

The materiality of geographical areas has been determined using the following threshold: All EU countries that do not exceed 1% of total net exposures have been included in 'Other countries' and all non-EU countries that do not exceed 1% of total net exposures have been included in 'Other geographical areas'. There are not any non-EU countries that exceed the 1% threshold. 'Supranational' exposures are included in 'Other geographical areas'.

E U CR1-C Credit quality of exposures by geography

	a	b	c	d	e	f	g
	Grosscarryingvalueof		Specific creditrisk adjustment	General creditrisk adjustment	Accumulated write-offs	Creditrisk adjustment chargesof theperiod	Netvalues
	Defaulted exposures	Non- defaulted exposures					( a+b-c-d)
3 0June 2020	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0
E UCountries	5 ,671,191	20 ,370,207	4 ,015,077	-	2 ,176,804	( 14 ,149)	22 ,026,321
C y prus	5,145,111	18,812,140	3 ,569,635	-	1,855,780	54,193	20,387,616
U n i tedKingdom	301,780	301,583	244,299	-	181,479	24,208	359,064
F rance	167	259,796	103	-	18	8	259,860
Greece	31,196	333,435	24,246	-	5,439	( 97,231)	340,385
O thercountries	192,937	663,253	176,794	-	134,088	4,673	679,396
O t h e rgeographical areas	218 , 7 9 4	997 , 3 5 0	162 , 0 4 2	-	88 ,983	3 ,622	1 ,054,102
T otal	5 ,889,985	21 ,367,557	4 ,177,119	-	2 ,265,787	( 10 ,527)	23 ,080,423

8 .  Other Pillar III disclosures  (continued)

8 .11  Credit quality of exposures by geography  (continued)

E U CRI - C Credit quality of exposures by geography

	a	b	c	d	e	f	g
	Grosscarryingvalueof		Specific creditrisk adjustment	General creditrisk adjustment	Accumulated write-offs	Creditrisk adjustment chargesof theyear	Netvalues
	Defaulted exposures	Non- defaulted exposures					( a+b-c-d)
3 1December2019	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0
E UCountries	6 ,095,092	19 , 89 0 ,191	4 ,029,226	-	2 ,425,649	( 4 ,575,203)	21 , 95 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 tedKingdom	302,061	246,878	220,091	-	160,462	( 5,532)	328,848
F rance	78	307,808	95	-	27	28	307,791
Greece	132,609	339,603	121,477	-	101,645	( 18,000)	350,735
O thercountries	195,522	631,880	172,121	-	137,533	( 68,233)	655,281
O t h e rgeographical areas	23 8 ,015	89 2 ,687	15 8 ,420	-	78 , 87 2	( 32 ,496)	97 2 ,282
T otal	6 ,333,107	20 , 78 2 ,878	4 ,187,646	-	2 ,504,521	( 4 ,607,699)	22 , 92 8 ,339

The main drivers behind the overall decrease in net values are analysed in section 3.1. At their majority they relate  to  Cyprus  with  a  decrease  in  gross  carrying  values  of  Defaulted  exposures  with  fairly  stable corresponding Specific credit adjustments and Accumulated write-offs and to an increase in the gross carrying values of Non-defaulted.

8 .   Other Pillar III disclosures  (continued)

8 .12   Concentrations within Credit Risk Mitigation

The table below illustrates the effect of all CRM techniques applied in accordance with the CRR including the financial collateral comprehensive method. The exposure amount displayed in the table below is after the application of specific credit risk adjustments.

RWA density is a synthetic metric on the riskiness of each portfolio.

A l l rows and columns that are not relevant to the Group's activities are not included in the table below.

E U CR4 Standardised Approach - Credit risk exposure and Credit Risk Mitigation (CRM) effects

		a	b	c	d	e	f
	3 0June 2020	E xposuresbeforeCCFand CRM		E xposurespostCCFand CRM		R W AsandRWAdensity
	E xposureclasses	On -balance- sheet amount	O f f -balance- sheetamount	On -balance- sheet amount	O f f -balance- sheetamount	R W As	R W Adensity
		€0 0 0	€0 0 0	€0 0 0	€0 0 0	€0 0 0	%
1	Cen tralgovernmentsor centralbanks	6,549,873	52	6,584,179	-	348,915	5.3
2	R e g ionalgovernmentor localauthorities	108,114	9,183	56,910	20	642	1.1
3	Publicsector entities	64,910	699	64,909	16	5	0.0
4	Multilateral developmentbanks	81,409	-	126,031	-	-	0.0
5	I n ternational organisations	107,074	-	107,074	-	-	0.0
6	I n s t i tutions	827,187	41,623	827,650	25,194	199,255	23.4
7	C o r porates	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
9	Se c u redbymortgages onimmovableproperty	3,453,414	61,100	3,347,154	30,146	1,229,928	36.4
10	E x p osuresindefault	1,603,906	139,959	1,595,115	29,594	1,711,976	105.4
11	H i gher-riskcategories	865,113	176,512	795,312	31,392	1,240,055	150.0
12	C ov ere dbonds	173,961	-	173,961	-	17,396	10.0
13	I n s t i tutionsand corporateswitha s h o rt-termcredit assessment	-	-	-	-	-	0.0
14	C o llectiveinvestment undertakings(CIUs)	3,274	-	3,274	-	2,394	73.1
15	E quity	57,533	-	57,533	-	105,021	182.5
16	O theritems	1,914,981	-	1,914,981	-	1,867,927	97.5
17	T otal	20 ,508,925	2 ,571,497	19 , 91 2 ,740	416 , 4 8 0	10 ,559,760	51 . 9

8 .  Other Pillar III disclosures  (continued)

8 .12  Concentrations within Credit Risk Mitigation  (continued)

E U  CR4  Standardised  Approach-Credit  risk  exposure  and  Credit  Risk  Mitigation (CRM)  effects

(continued)

	a	b	c	d	e	f
3 1December2019	Exposuresbefore CCFand CR M		Exposurespost CCFand CR M		R W AsandRWAdensity
Exposure classes	O n - ba l a n c e sheet a mount	O ff - ba l a nc e sheetamount	O n - ba l a n c e sheetamount	O ff - ba l a nc e sheetamount	R W As	R W A density
	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0	%
Cen tralgovernmentsor centralbanks	6,147,322	39	6,182,199	-	382,591	6.2
R e g ionalgovernmentorlocal authorities	116,832	12,619	65,688	20	542	0.8
Publicsectorentities	81,720	719	81,698	41	9	-
Multilateraldevelopment banks	112,144	-	158,415	-	-	-
I n ternationalorganisations	107,307	-	107,307	-	-	-
I n s t i tutions	579,003	52,231	579,047	27,127	179,648	29.6
C o r porates	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 redbymortgageson immovableproperty	3,221,557	57,013	3,115,178	28,998	1,180,406	37.5
E x p osuresindefault	1,899,021	175,999	1,879,130	34,366	2,053,619	107.3
H i gher-riskcategories	980,729	211,599	895,399	41,167	1,404,849	150.0
C ov ere dbonds	163,331	-	163,331	-	16,333	10.0
C o llectiveinvestment undertakings(CIUs)	205	-	205	-	205	100.0
E quity	33,745	-	33,745	-	80,275	237.9
O theritems	1,995,122	-	1,995,122	-	1,876,882	94.1
T otal	20 , 29 3 ,517	2 ,634,822	19 , 67 7 ,316	43 2 ,261	11 , 48 9 ,047	57 . 1

The main drivers behind the decrease in the RWAs intensity is explained in section 3.1.

8 .  Other Pillar III disclosures  (continued)

8 .12  Concentrations within Credit Risk Mitigation  (continued)

The table below presents the exposure value excluding loans and advances classified as held for sale covered by financial collateral, other collateral, guarantees and credit derivatives.

E U CR3 Credit risk mitigation techniques overview

3 0June2020	Exposures unsecured- carrying amount	Exposures secured- carrying amount	Exposures securedby collateral	Exposures securedby financial guarantees	Exposures securedby credit derivatives
	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0	€ 0 0 0
T o ta l loans	6 3 4 ,2 7 6	9 ,4 69 , 9 6 4	9 ,0 05 , 4 2 7	86 , 2 2 6	-
T o ta l debt securities	1 ,6 30 , 3 29	1 7 3 ,9 6 1	1 7 3 ,9 6 1	-	-
T otal exposures	2 ,264,605	9 ,643,925	9 ,179,388	86 , 2 2 6	-
Of whichdefaulted	98 , 9 6 6	1 ,1 44 , 5 7 5	1 ,1 07 , 4 3 0	16 , 1 9 7	-
3 1December2019
T o ta l loans	7 0 0 ,6 7 5	10 , 0 2 1 ,1 6 6	9 ,6 00 , 2 6 2	56 , 6 4 6	-
T o ta l debt securities	1 ,5 74 , 6 7 5	1 6 3 ,3 3 2	1 6 3 ,3 3 2	-	-
T otal exposures	2 ,275,350	10 , 1 8 4 ,498	9 ,763,594	56 , 6 4 6	-
Of whichdefaulted	1 0 9 ,0 5 4	1 ,8 01 , 1 2 8	1 ,7 60 , 2 3 2	13 , 9 5 3	-

Ex po sures in unsecured debt securities were increased during the six months ended 30 June 2020 (from a total €1,575 million as at 31 December 2019 to a total €1,630 million as at 30 June 2020). This was driven by a combination of bonds maturity and acquisition of new debt securities, mainly Cyprus Government treasury bills, during the six months ended 30 June 2020.

Unsecured and secured loan exposures have decreased during the six months ended 30 June 2020 mainly due to the classification of Project Helix 2 portfolio as held for sale.

8 .13  Breakdown of exposures by asset class and risk weight under the Standardised Approach

The exposures are disclosed post conversion factors and post risk mitigation techniques.

A l l rows and columns that are not relevant to the Group's activities are not included in the table below.

201

8 .  Other Pillar III disclosures  (continued)

8 .13  Breakdown of exposures by asset class and risk weight under the Standardised Approach (continued)

E U CR5 Standardised Approach

3 0June2020	Ri skweight												Total	Ofwhich unrated 16
	0%	2 %	10%	20%	35%	50%	75%	1 0 0 %	1 5 0 %	2 5 0 %	O ther	Deducted
Exposureclasses	€ 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	€ 0 0 0
C entralgovernmentsor centralbanks	6 ,204,334	-	-	38,663	-	-	-	341,182	-	-	-	-	6,584,179	341,181
R egionalgovernmentorlocal authorities	53,718	-	-	3 ,212	-	-	-	-	-	-	-	-	56,930	-
P ublicsectorentities	64,902	-	-	23	-	-	-	-	-	-	-	-	64,925	-
M ultilateraldevelopment banks	126,031	-	-	-	-	-	-	-	-	-	-	-	126,031	81,409
I nternationalorganisations	107,074	-	-	-	-	-	-	-	-	-	-	-	107,074	107,074
I nstitutions	1 ,236	2 ,744	-	780,616	-	86,820	-	9 ,242	802	-	-	-	881,460	-
C orporates	-	-	-	-	-	-	-	3 ,246,179	39,567	-	-	-	3,285,746	3 ,226,191
R etail	-	-	-	-	-	-	1 ,274,024	-	-	-	-	-	1,274,024	1 ,274,023
Securedbymortgageson immovableproperty	-	-	-	-	2 ,569,897	807,403	-	-	-	-	-	-	3,377,300	3 ,377,300
Exposuresindefault	-	-	-	-	-	-	-	1 ,450,177	174,532	-	-	-	1,624,709	1 ,624,708
H igher-riskcategories	-	-	-	-	-	-	-	-	826,704	-	-	-	826,704	826,704
C overedbonds	-	-	173,961	-	-	-	-	-	-	-	-	-	173,961	-
I nstitutionsandcorporates witha short-termcredit assessment	-	-	-	-	-	946	-	-	-	-	-	-	946	-
C ollectiveinvestment undertakings(CIUs)	-	-	-	282	-	1 ,308	-	1 ,684	-	-	-	-	3,274	3 ,203
Equity	-	-	-	-	-	-	-	25,875	-	31,658	-	-	57,533	57,533
O t heritems	115,856	-	-	42,543	-	-	-	1 ,707,797	-	-	48,785	47,835	1,962,816	1,962,817
Total	6 ,673,151	2 ,744	173 , 9 6 1	865 , 3 3 9	2 ,569,897	896 , 4 7 7	1 ,274,024	6 ,782,136	1 ,041,605	31 ,658	48 ,785	47 ,835	20 ,407,612	12 ,882,143

( 16 ) Includes all exposures for which an issue/issuer or country rating is not available or they follow uniform regulatory treatment.

8 .   Other Pillar III disclosures  (continued)

8 .13   Breakdown of exposures by asset class and risk weight under the Standardised Approach  (continued)

E U CR5 Standardised Approach

December2019	Ri skweight
	0%	4%	10%	20%	35%	50%	75%	1 0 0 %	1 5 0 %	2 5 0 %	Other	Deducted	Total	Ofwhich unrated 17
Exposureclasses	€ 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	€ 0 0 0
C entralgovernmentsor centralbanks	5 , 780 , 04 0	-	11 , 3 0 8	11 , 4 1 7	-	-	-	379 ,0 9 1	-	-	343	-	6 , 1 8 2 , 1 9 9	379 ,0 9 1
R egionalgovernmentor localauthorities	62 , 9 9 9	-	-	2 , 70 9	-	-	-	-	-	-	-	-	65 ,7 0 8	-
P ublicsectorentities	81 , 6 9 4	-	-	45	-	-	-	-	-	-	-	-	81 ,7 3 9	-
M ultilateraldevelopment banks	158 ,4 1 5	-	-	-	-	-	-	-	-	-	-	-	1 5 8 , 4 1 5	112 ,1 4 4
I nternational organisations	107 ,3 0 7	-	-	-	-	-	-	-	-	-	-	-	1 0 7 , 3 0 7	107 ,3 0 7
I nstitutions	1 , 27 3	-	-	500 ,7 6 5	-	91 , 3 4 9	-	6 , 16 7	24 , 3 5 7	-	-	-	6 2 3 , 9 1 1	-
C orporates	-	-	-	-	-	-	-	3 , 331 , 30 6	41 , 1 8 3	-	-	-	3 , 3 7 2 , 4 8 9	3 , 315 , 70 5
R etail	-	-	-	-	-	-	1 , 349 , 63 8	-	-	-	-	-	1 , 3 4 9 , 6 3 8	1 , 349 , 63 5
Securedbymortgages onimmovableproperty	-	-	-	-	2 , 400 , 23 2	743 ,9 4 4	-	-	-	-	-	-	3 , 1 4 4 , 1 7 6	3 , 144 , 17 5
Exposuresindefault	-	-	-	-	-	-	-	1 , 633 , 25 0	280 ,2 4 6	-	-	-	1 , 9 1 3 , 4 9 6	1 , 913 , 49 5
H igher-riskcategories	-	-	-	-	-	-	-	-	936 ,5 6 6	-	-	-	9 3 6 , 5 6 6	936 ,5 6 5
C overedbonds	-	-	163 ,3 3 1	-	-	-	-	-	-	-	-	-	1 6 3 , 3 3 1	-
C ollectiveinvestment undertakings(CIUs)	-	-	-	-	-	-	-	205	-	-	-	-	2 0 5	205
Equity	-	-	-	-	-	-	-	2 , 72 5	-	31 , 0 2 0	-	-	33 ,7 4 5	33 , 7 4 5
O t heritems	151 ,5 5 1	-	-	50 , 4 7 1	-	-	-	1 , 756 , 25 6	-	-	36 , 8 4 4	51 , 2 0 4	2 , 0 4 6 , 3 2 6	2 , 046 , 32 6
Total	6 , 3 4 3 , 2 7 9	-	1 7 4 , 6 3 9	5 6 5 , 4 0 7	2 , 4 0 0 , 2 3 2	8 3 5 , 2 9 3	1 , 3 4 9 , 6 3 8	7 , 1 0 9 , 0 0 0	1 , 2 8 2 , 3 5 2	31 ,0 2 0	37 ,1 8 7	51 ,2 0 4	20 ,1 79 ,2 5 1	13 ,3 38 ,3 9 3

The main drivers behind the overall decrease in net values are analysed in section 3.1 which are presented by the shift of exposure values from higher RWs to lower RWs across all exposure classes. "Other" risk weights in exposure class "Other items" includes the book value of properties held for sale that have been on-boarded after a failed auction and risk weight exceeds the normal 100% risk weight following SREP recommendation.

( 17 ) Includes all exposures for which an issue/issuer or country rating is not available or they follow uniform regulatory treatment.

8 .   Other Pillar III disclosures  (continued)

8 .14   Securitisation positions

S e curitisation results from a transaction or scheme whereby the credit risk associated with an exposure or pool of exposures is tranched having both of the following characteristics:

(a)  payments in the transaction or scheme are dependent upon the performance of the exposure or pool of exposures; and

(b)  the subordination of tranches determines the distribution of losses during the ongoing life of the transaction or scheme.

During 2019, the Group disposed a portfolio of loans and advances to customers with a gross book value of €2.8 billion (of which €2.7 billion related to non-performing loans) (the Portfolio) and stock of property with carrying value amounting to €109 million (known as 'Project Helix' or the 'Transaction') and stock of property (known as

'Project Helix' or the 'Transaction') through the transfer of the Portfolio by BOC PCL to a licensed Cypriot Credit

A cquiring Company (the 'CyCAC').

B OC PCL received consideration of c.€1,186 million on completion, reflecting adjustments resulting from, inter alia, loan repayments received on the Portfolio since the reference date of 31 March 2018, of which €45 million concern the BOC PCL participation in the senior debt issued to finance the transaction, representing c.4% of the total acquisition funding. Other than the above, BOC PCL has no other securitisation positions.  This transaction has been classified as a Traditional Securitisation.   In June 2019 the Group has derecognised the disposed portfolio relating to Project Helix.

The senior debt is classified as an investment in debt securities at amortised cost. A cash-flow based ECL approach is used for the calculation of the ECL of this senior term facility.  For the calculation of the IFRS 9 provision and the setting of the IFRS 9 staging, three cash flow streams are used: The cash flows as per the Business Plan expectations (optimistic scenario), the cash flows under a baseline scenario (i.e. the Business Plan cash flows adjusted to take into account the actual payments of the facility up to date  and the Bank's expectations for the future cash flows) and the cash flows under an adverse scenario (i.e. the Business Plan cash flows adjusted to take into account the actual payments of the facility up to date and the Bank's expectations for the future cash flows under an adverse scenario). The ECL is calculated as the weighted loss arising by comparing its IFRS gross carrying amount (calculated in the previous period) with the present value of expected cash flows under each of the three scenarios. In case no loss arises by comparing the above cash flows, the ECL is floored to the product of i) the balance sheet amount of the bond, ii) a 12-month PD of 3.31% which is based on the rating of the Bank which is single B and iii) a loss given default (LGD) of 10% which is the floor of the Basel 3 revised IRB framework based on residential and commercial real estate.

I n addition to credit and liquidity risks, other inherent risks may stem from potential breaches in warranties and disclaimers in the agreement. BOC PCL does not have any material retained positions and there is no need for further hedging. No re-securitisations are applied.

B OC PCL being the originator (directly involved in the original agreement which created the obligations or potential obligations giving rise to the securitised exposures) in the Project Helix traditional securitisation transaction invested in the senior tranche of the debt securities issued whereby traditional securitisation means the economic transfer of the exposures being securitised (transfer of ownership).

8 .   Other Pillar III disclosures  (continued)

8 .14   Securitisation positions  (continued)

B OC PCL has applied the Standardised Approach for securitization positions (SEC-SA) whereby a look-through approach is used in calculating the RWAs and capital requirements for the position held in the securitisation under article 261 of the EU Regulation 2017/2401 amending the CRR.

	Tr aditional
3 0June2020	E xposure V al u e	RWA	C apital R equirements
Bankactsas originator	€000	€000	€000
LoanstocorporatesorSMEs(treatedas corporates)	36 , 919	42 , 162	3 , 373
Total	36 ,919	42 ,162	3 ,373

3 1December 2019
Bankactsas originator
LoanstocorporatesorSMEs(treatedas corporates)	39 , 94 6	45 , 63 8	3 , 65 1
Total	39 ,946	45 ,638	3 ,651

B OC PCL does not hold any re-securitisation positions or trading book securitization position.

DE FINITIONS

A llo w ance for expected loan credit losses

A llo w ance for expected loan credit losses comprises: (i) allowance for expected credit losses (ECL) on loans and advances to customers (including allowance for expected credit losses on loans and advances to customers held for sale), (ii) the residual fair value adjustment on initial recognition of loans and advances to customers (including residual fair value adjustment on initial recognition on loans and advances to customers held for sale), (iii) allowance for expected credit losses for off-balance sheet exposures (financial guarantees and commitments) disclosed on the balance sheet within other liabilities and (iv) the aggregate fair value adjustment on loans and advances to customers classified and measured at FVPL.

C o st to income ratio   Cost to income ratio is calculated as the total staff costs (on an underlying basis as reconciled in the table further below), special levy on deposits and contributions to Single Resolution Fund (SRF) and Deposit Guarantee Fund (DGF) (on an underlying basis as reconciled in the table further below), and other operating expenses (excluding 'Advisory and other restructuring costs-organic', any restructuring costs relating to NPE sales, and provisions for litigation, claims, regulatory and other matters) (on an underlying basis as reconciled in the table further below) divided by total income on the underlying basis (as defined below).

Digitally engaged customers ratio

This is the ratio of digitally engaged individual customers to the total number of individual customers. Digitally engaged customers are the individuals who use the digital channels of BOC PCL (mobile banking app, browser and ATMs) to perform banking transactions, as well as digital enablers such as a bank-issued card to perform online card purchases, based on an internally developed scorecard.

Gross loans   Comprises: (i) gross loans and advances to customers measured at amortised cost before the residual fair value adjustment on initial recognition (including loans and advances to customers classified as non-current assets held for sale) and (ii) loans and advances to customers classified and measured at FVPL adjusted for the aggregate fair value adjustment.

Gross loans are reported before the residual fair value adjustment on initial recognition  relating  to  loans  acquired  from  Laiki  Bank  (calculated  as  the difference between the outstanding contractual amount and the fair value of loans acquired). This applies for loans and advances measured at amortised cost on the statutory basis.

In te rest earning assets

In te rest earning assets include: cash and balances with central banks, plus loans and advances to banks, plus net loans and advances to customers (including loans and advances to customers classified as non-current assets held for sale), plus investments (excluding equities and mutual funds).

Leverage ratio   The leverage ratio is the ratio of tangible total equity (including Other equity instruments) to total assets as presented on the balance sheet.

Loan credit losses   Loan credit losses comprise: (i) credit losses to cover credit risk on loans and advances to customers, (ii) net gains on derecognition of financial assets measured at amortised cost and (iii) net gains on loans and advances to customers at FVPL, for the reporting period.

Loan credit losses charge (cost of risk)

Loan credit losses charge (cost of risk) (year to date) is calculated as the loan credit losses (as defined) (annualised based on year to date days) divided by the average gross loans (as defined). The average balance is calculated as the average of the opening balance and the closing balance for the reporting period.

Net fee and commission income over total income

Fee and commission income less fee and commission expense divided by total income (as defined).

Net Interest Margin   Net interest margin is calculated as the net interest income (per the underlying basis) (annualised based on year to date days) divided by the quarterly average interest earning assets (as defined). Quarterly average interest earning assets exclude interest earning assets of any discontinued operations at each quarter end, if applicable.

Net loans and advances to customers

C o mprises gross loans (as defined) net of allowance for expected loan credit losses (as defined, but excluding allowance for expected credit losses on off- balance sheet exposures).

Net loans to deposits ratio

Net loans to deposits ratio is calculated as the gross loans (as defined) net of allowance for expected loan credit losses (as defined), divided by customer deposits.

New lending in the

In te rim

Management Report

New lending includes the average YTD change (if positive) for overdraft facilities.

Non-performing exposures (NPEs)

A s per the EBA standards and European Central Bank's (ECB) Guidance to Banks on Non-Performing Loans (which was published in March 2017), NPEs are defined as those exposures that satisfy one of the following conditions:

(i)   The borrower is assessed as unlikely to pay its credit obligations in full  without  the  realisation  of  the  collateral,  regardless  of  the existence of any past due amount or of the number of days past due.

(ii)  Defaulted or impaired exposures as per the approach provided in the

C apital Requirement Regulation (CRR), which would also trigger a default under specific credit adjustment, distress restructuring and obligor bankruptcy.

(iii)   Material exposures as set by the Central Bank of Cyprus (CBC), which are more than 90 days past due.

(iv)   Performing forborne exposures under probation for which additional forbearance measures are extended.

(v)   Performing forborne exposures under probation that present more than 30 days past due within the probation period.

When a specific part of the exposures of a customer that fulfils the NPE criteria set out above is greater than 20% of the gross carrying amount of all on balance sheet exposures of that customer, then the total customer exposure is classified as non-performing; otherwise only the specific part of the exposure is classified as non-performing.

The NPEs are reported before the deduction of allowance for expected loan credit losses (as defined).

Non-recurring items   Non-recurring  items  as  presented  in  the  'Consolidated  Condensed  Interim Income Statement on the underlying basis' relate to: (i) Advisory and other restructuring costs - organic, (ii) Provisions/net loss relating to NPE sales, including restructuring expenses, (iii) Loss on remeasurement of investment in associate upon classification as held for sale (CNP) net of share of profit from associates (for the six months ended 30 June 2019 only), and (iv) Reversal of impairment of deferred tax assets (DTA) and impairment of other tax receivables (for the six months ended 30 June 2019 only).

NPE coverage ratio   The NPE coverage ratio is calculated as the allowance for expected loan credit losses (as defined) over NPEs (as defined).

NPE ratio   The NPE ratio is calculated as the NPEs (as defined) divided by gross loans (as defined).

Operating profit   Operating  profit  comprises  profit  before  loan  credit  losses  (as  defined), impairments of other financial and non-financial assets, provisions for litigation, claims, regulatory and other matters, tax, (profit)/loss attributable to non- controlling interests and non-recurring items (as defined).

Operating profit return on average assets

Operating profit return on average assets is calculated as the annualised (based on year to date days) operating profit (on an underlying basis) (as defined) divided by the quarterly average of total assets for the relevant period. Average total assets exclude total assets of discontinued operations at each quarter end, if applicable.

Profit/(loss) after tax - organic (attributable to the owners of the Company)

Profit/(loss) after tax - organic (attributable to the owners of the Company) is the profit/(loss) after tax and before non-recurring items (as defined above) (attributable to the owners of the Company), except for the 'Advisory and other restructuring costs - organic'.

Total income   Total income under the underlying basis comprises total of net interest income, net fee and commission income, net foreign exchange gains, net gains on financial instrument transactions and disposal/dissolution of subsidiaries and associates (excluding net gains on loans and advances to customers at FVPL), insurance income net of claims and commissions, net gains/(losses) from revaluation and disposal of investment properties, net gains on disposal of stock of property and other income (on the underlying basis). A reconciliation of these amounts between the statutory and the underlying bases is disclosed in the Interim Management Report under section 'Group financial results on the underlying basis'.

R EC ONCILIATIONS

For the purpose of the 'Definitions and explanations of Alternative Performance Measures Disclosures', reference to 'Note' relates to the respective note in the Consolidated Condensed Interim Financial Statements for the six months ended 30 June 2020.

1 .  (a) Reconciliation of Gross loans and advances to customers

	3 0June 2020	3 1December 201 9
	€000	€000
Grossloansandadvancestocustomers(asdefinedabove)	12 ,491,427	12 , 821 , 8 3 8
R econcilingitems:
Residual fairvalueadjustmentoninitialrecognition(Note29.2)	(179,479)	(201,999)
Loansandadvancestocustomersclassifiedasheldforsale (Note29.7)	(910,972)	(173,881)
Residualfairvalueadjustmentoninitialrecognitiononloansand advancestocustomersclassifiedasheldforsale(Note29.7)	(31,168)	(11,083)
Loansandadvancestocustomersmeasuredatfairvaluethrough profitandloss(Note 16)	(293,541)	(369,293)
A gg regate  fair  value  adjustment  on  loans  and  advances  to customersmeasuredatfairvaluethroughprofitorloss	(37,014)	(57,436)
Grossloansandadvancestocustomersatamortisedcost aspertheConsolidated CondensedInterimFinancial Statements (Note16)	11 ,039,253	12 , 008 , 1 4 6

1 .  (b) Reconciliation of Loans and advances to customers classified as held for sale

	3 0June 2020	3 1December 201 9
	€000	€000
Loansandadvancestocustomersclassifiedasheldforsale as per theunderlyingbasis	942 ,140	184 , 9 6 4
R econcilingitems:
Residualfairvalueadjustmentoninitialrecognitiononloansand advancestocustomersclassifiedasheldforsale(Note29.7)	(31,168)	(11,083)
L o ansandadvances tocustomersclassifiedasheld forsale aspertheConsolidated CondensedInterimFinancial Statements (Note19)	910 ,972	173 , 8 8 1

2 .  (a) Reconciliation of Allowance for expected credit losses on loans and advances to customers (ECL)

	3 0June 2020	3 1December 201 9
	€000	€000
A llo w anceforexpectedcreditlossesonloansandadvancesto customers(asdefinedabove)	2 ,043,229	2 , 096 , 1 8 0
R econcilingitems:
Residual fairvalueadjustmentoninitialrecognition(Note29.2)	(179,479)	(201,999)
A gg regate  fair  value  adjustment  on  loans  and  advances  to customersmeasuredatfairvaluethroughprofitorloss	(37,014)	(57,436)
A llo w anceforexpectedcreditlossesonloansandadvancesto customersclassifiedasheldforsale(Note 29.8)	(549,320)	(147,952)
Residualfairvalueadjustmentoninitialrecognitiononloansand advancestocustomersclassifiedasheldforsale(Note29.7)	(31,168)	(11,083)
Provisionsforfinancialguaranteesandcommitments(Note23)	(17,694)	(22,112)
Allowance forECLforimpairment ofloans andadvancesto customersaspertheConsolidated CondensedInterim FinancialStatements (Note16)	1 ,228,554	1 , 655 , 5 9 8

2 .  (b) Reconciliation of Allowance for expected credit losses on loans and advances to customers classified as held for sale (ECL)

	3 0June 2020	3 1December 201 9
	€000	€000
A llo w anceforexpectedcreditlossesonloansandadvancesto customersclassifiedasheldforsaleaspertheunderlyingbasis	580 ,488	159 , 0 3 5
R econcilingitems:
Residualfairvalueadjustmentoninitialrecognitiononloansand advancestocustomersclassifiedasheldforsale(Note29.7)	(31,168)	(11,083)
Allowance forECLforimpairment ofloans andadvancesto customers  classified  as  held  for  sale  as  per  the ConsolidatedCondensedInterimFinancial Statements (Note 19)	549 ,320	147 , 9 5 2

3 .  Reconciliation of NPEs

	3 0June 2020	3 1December 201 9
	€000	€000
NPEs(asdefinedabove)	3 ,467,878	3 , 879 , 5 0 8
R econcilingitems:
Loansandadvancestocustomers(NPEs)classifiedasheldfor sale(Note1below)	(897,344)	(172,880)
Residualfairvalueadjustmentoninitialrecognition onloansand advances tocustomers(NPEs)classifiedasheldforsale(Note2 below)	(31,527)	(11,096)
Loansandadvancestocustomersmeasuredatfairvaluethrough profitandloss(NPEs)	(116,103)	(144,866)
POCI(NPEs)(Note3below)	(334,897)	(511,933)
S tage   3   gross  loans  and   advances  to  customers  at amortised costas pertheConsolidatedCondensedInterim Financial Statements (Note29.6)	2 ,088,007	3 , 038 , 7 3 3
N PEratio
NPEs(aspertableabove)(€000)	3 ,467,878	3 , 879 , 5 0 8
Grossloansandadvancestocustomers(aspertableabove) (€000)	12 ,491,427	12 , 821 , 8 3 8
RatioofNPE/Grossloans(%)	27 .8%	30 . 3 %

N o te 1 : Gross loans at amortised cost after residual fair value adjustment on initial recognition

classified as held for sale include an amount of €761,863 thousand Stage 3 loans (31 December 2019:

€150 , 2 0 6 thousand Stage 3 loans) and an amount of €135,480 thousand POCI - Stage 3 loans (out of a total of €135,487 thousand POCI loans) (31 December 2019: €22,674 thousand POCI - Stage 3 loans (out of a total of  €22,679 thousand POCI loans) as disclosed in Note 29.7 of the Consolidated Condensed Interim Financial Statements for the six months ended 30 June 2020.

N o te 2 : Residual fair value adjustment on initial recognition of loans and advances to customers

classified as held for sale includes an amount of €5,235 thousand for Stage 3 loans (31 December

2019 : €3,402 thousand for Stage 3 loans) and an amount of €26,292 thousand for POCI - Stage 3 loans (31 December 2019: €7,694 thousand for POCI - Stage 3 loans) as disclosed in Note 29.7 of the Consolidated Condensed Interim Financial Statements for the six months ended 30 June 2020.

N o te 3 : Gross loans and advances to customers at amortised cost before residual fair value adjustment on initial recognition include an amount of €334,897 thousand POCI - Stage 3 loans (out of a total of

€442 , 6 5 6 thousand POCI loans) (31 December 2019: €511,933 thousand POCI - Stage 3 loans (out of

a total of €627,212 thousand POCI loans)) as disclosed in Note 29.6 of the Consolidated Condensed

In te rim Financial Statements for the six months ended 30 June 2020.

4 .  Reconciliation of Loan credit losses

	S i xmonthsended 3 0June
	2020	2019
	€000	€000
Loancreditlossespertheunderlyingbasis	87 ,425	86 , 88 3
R econcilingitems:
Loan creditlossesrelatingtoHelixportfolioandNPEsales, disclosed undernon-recurring itemswithin'Provisions/netloss relatingtoNPEsales, includingrestructuringexpenses' underthe underlyingbasis	90 ,662	16 , 58 2
	178 ,087	103 , 4 6 5
Loancreditlosses(asdefined)arereconciledtothestatutory basisasfollows:
C redit  losses  to  cover  credit  risk  on  loans  and  advances  to customers(Note 10)	183 ,711	108 , 9 1 1
Net  gains  on  derecognition  of  financial  assets  measured  at amortisedcost(InterimConsolidatedIncomeStatement)	(2,617)	(5,429)
NetgainsonloansandadvancestocustomersatFVPL(Note8)	(3,007)	(17 )
	178 ,087	103 , 4 6 5

R ATIO INFORMATION

For the purpose of the 'Definitions and explanations of Alternative Performance Measures Disclosures', reference to 'Note' relates to the respective note in the Consolidated Condensed Interim Financial Statements for the six months ended 30 June 2020.

1 .  Net Interest Margin

Reconciliation of the various components of net interest margin from the underlying basis to the statutory basis is provided below:

	S i xmonthsended 3 0June
	2020	2019
1 .1.  Reconciliationof Netinterestincome	€000	€000
Netinterestincomeaspertheunderlyingbasis	167 ,800	170 , 1 4 7
R eclassificationsfor:
NetinterestincomerelatingtotheHelixportfolio,disclosedunder non-recurring itemswithin'Provisions/net lossrelatingtoNPEsales, includingrestructuringexpenses'underthe underlyingbasis	-	33 , 96 2
Netinterestincomeasperthe statutorybasis	167 ,800	204 , 1 0 9
N et  interest  income  used  in  the  calculation  of  NIM (annualised)	337 ,444	343 , 1 1 4

1 .2.  Interestearningassets	3 0June 2020	3 1March 2020	3 1December 201 9
	€000	€000	€000
C ashandbalanceswithcentralbanks	5 ,276,398	4 , 398 , 7 8 1	5 , 060 , 0 4 2
Loansandadvancestobanks	621 ,960	455 , 2 8 4	320 , 8 8 1
Loansandadvancestocustomers	10 ,104,240	10 , 596 , 5 3 6	10 , 721 , 8 4 1
Loansandadvances tocustomers heldforsale(Note 19)	361 ,652	23 , 70 0	25 , 92 9
I nv e stments
Debtsecurities(Note13)	1 ,804,290	1 , 781 , 9 9 2	1 , 738 , 0 0 7
Less:Investmentswhicharenotinterestbearing	(23,887)	(21,496)	(23,593)
Totalinterestearningassets	18 ,144,653	17 , 234 , 7 9 7	17 , 843 , 1 0 7
1 .3.  Quarterly  average  interest  earning assets (€000)
-  asat30June2020	17 ,740,852
-  asat30June2019	18 , 270 , 8 1 4

2 .  Cost to income ratio

2 .1.  Reconciliation of the various components of total expenses used in the cost to income ratio calculation from the underlying basis to the statutory basis is provided below:

	S i xmonthsended 3 0June
	2020	2019
	€000	€000
2 .1.1.  Reconciliationof Staffcosts
Total Staffcostsaspertheunderlyingbasis	96 ,208	111 , 5 0 0
Reclassificationsfor:
S t affcostsrelatingtotheHelixportfolio, reclassified underthe underlyingbasisto'Provisions/net lossrelatingtoNPEsales, includingrestructuringexpenses'	-	2 , 74 4
Total Staffcostsasperthestatutorybasis	96 ,208	114 , 2 4 4
2 .1.2.  Reconciliationof Otheroperatingexpenses
Total Otheroperatingexpensesaspertheunderlyingbasis	68 ,633	84 , 39 8
Reclassificationsfor:
OperatingexpensesrelatingtotheHelixportfolio, presented within'Provisions/net lossrelatingtoNPEsales,including restructuringexpenses'underthe underlying basis	12 ,000	12 , 20 9
Provisions/(reversal ofprovisions)forlitigation,claims, regulatoryandothermatters,separatelypresentedunderthe underlyingbasis	4 ,044	(2,683)
A d v i soryandotherrestructuringcosts-organic,separately presentedundertheunderlyingbasis(restated*)	6 ,183	10 , 17 8
Restructuringcosts relatingtotheHelix portfolioandNPEsales, presentedwithin'Provisions/netloss relating toNPEsales, includingrestructuringexpenses' undertheunderlyingbasis (restated*)	3 ,704	8 , 86 5
Total Otheroperatingexpensesasperthestatutorybasis	94 ,564	112 , 9 6 7

* Reclassifications made to comparative information of the underlying basis were made so that advisory and other restructuring costs for the six months ended 30 June 2019 of €1,285 thousand (relating to Project Helix 2 loan portfolio, which was classified as held for sale as at 30 June 2020), previously reported within 'Advisory and other restructuring costs - organic', were disclosed under non-recurring items within 'Provisions/net loss relating to NPE sales, including restructuring expenses' under the underlying basis.

2 .  Cost to income ratio  (continued)

	S i xmonthsended 3 0June
	2020	2019
	€000	€000
2 .1.3.  Speciallevyondepositsoncreditinstitutions inCyprus,contribution toSingleResolution Fund and otherlevies
S pe ciallevyondeposits oncreditinstitutionsinCyprusand contribution toSingleResolutionFund(SRF)pertheunderlying basis	15 ,323	12 , 47 7
Reclassificationfor:
Levyfeerelatingtotherevisedincometaxlegislation,which has been disclosedwithin 'Reversal of impairment/(impairment) ofdeferred taxassets(DTA)andimpairment ofothertax receivables' underthe underlying basis(Note9)	-	6 , 25 5
S pe ciallevyondepositsoncreditinstitutions inCyprus, contribution toSingleResolution fundandotherleviesas restated**perthestatutorybasis	15 ,323	18 , 732

** For information on the restatement of the comparative amounts under the statutory basis please refer to Note 3.1 of the Consolidated Condensed Interim Financial Statements.

2 .2.  Reconciliation of the various components of total income (as defined) used in the cost to income ratio calculation from the underlying basis to the statutory basis is provided below:

	S i xmonthsended 3 0June
	2020	2019
	€000	€000
2 .2.1.  Reconciliation  of   Net   fee   and   commission income
TotalNetfeeandcommissionincomeaspertheunderlying basis	71 ,245	74 , 90 0
Reclassificationsfor:
Feeandcommission incomerelatingtotheHelixportfolio, disclosedundernon-recurringitemswithin'Provisions/netloss relatingtoNPEsales,includingrestructuringexpenses' perthe underlyingbasis	-	5 , 86 7
Totalnetfeeandcommissionincomeasrestated**perthe statutorybasis	71 ,245	80 , 767
2 .2.2.  ReconciliationofNetforeignexchangegains andNet gains onfinancial instrument transactionsanddisposal/dissolution of subsidiariesandassociates
TotalNetforeign exchange gainsandnetgainsonfinancial instruments transactionsanddisposal/dissolutionofsubsidiaries andassociatesaspertheunderlyingbasis	12 ,384	26 , 25 5
Reclassificationsfor:
Netgainsonloansandadvances tocustomersmeasuredatfair valuethrough profitor loss(FVPL),disclosedwithin 'Loan credit losses' pertheunderlyingbasis(Note 8)	3 ,007	17
TotalNetforeign exchange gainsandnetgainsonfinancial instrumenttransactionsanddisposal/dissolution ofsubsidiaries andassociatesasperthestatutorybasis(seebelow)	15 ,391	26 , 27 2
Netforeignexchangegainsasperthestatutorybasis	10 ,543	14 , 11 7
Netgainsonfinancialinstrumenttransactionsand disposal/dissolutionofsubsidiariesandassociatesasperthe statutorybasis	4 ,848	12 , 15 5
Total NetforeignexchangegainsandNetgainsonfinancial instrumenttransactionsanddisposal/dissolutionof subsidiaries andassociatesasperthestatutorybasis	15 ,391	26 , 27 2
ReconciliationofNetinterestincomebetweentheunderlyingandthestatutorybasishasbeen providedinthetablesabove.

** For information on the restatement of the comparative amounts under the statutory basis please refer to Note 3.1 of the Consolidated Condensed Interim Financial Statements.

3 .  Operating profit return on average assets

The various components used in the determination of the operating profit return on average assets are provided below:

	3 0June 2020	3 1March 2020	31 Decem be r 201 9
	€000	€000	€000
Totalassetsused inthecomputationof the operatingprofitreturnonaverageassets/per the InterimConsolidatedBalanceSheet	21 ,370,808	20 , 430 , 7 9 2	21 , 122 , 8 2 2

	3 0June 2020	3 0June 2019
	€000	€000
Operatingprofit	218 ,334	252 , 1 5 2
Quarterlyaveragetotalassets	20 ,974,807	21 , 902 , 6 3 2

The reconciliation of the various components of operating profit between the underlying and the statutory basis has been provided in the tables above.

 

END

 

 

IR PPUGCRUPUUBR