NATIONAL BANK OF GREECE S · National ank of Greece (the “ank” or “NG”) is a financial institution subject to Greek and EU banking legislatio n. It was founded in 1841 operated

Pillar III Disclosures

on a Consolidated Basis

31 March 2020

NATIONAL BANK OF GREECE S.A.

National Bank of Greece

Consolidated Pillar III Report

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Contents

1. INTRODUCTION – GENERAL INFORMATION ................................................................................................................................... 4 Regulatory Framework and Recent Developments ....................................................................................................................... 4 1.1.1. Regulatory Framework .................................................................................................................................................................................... 4 1.1.2. Recent Regulatory Developments .................................................................................................................................................................... 5 Pillar III Disclosure policy ............................................................................................................................................................... 6

2. REGULATORY OWN FUNDS AND PRUDENTIAL REQUIREMENTS ..................................................................................................... 7 Structure of own funds ................................................................................................................................................................. 7 IFRS 9 impact on own funds .......................................................................................................................................................... 9 Capital requirements under Pillar I ............................................................................................................................................. 10 Leverage Ratio ............................................................................................................................................................................. 11

3. MARKET RISK .............................................................................................................................................................................. 12 LIST OF ABBREVIATIONS ....................................................................................................................................................................... 13



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Index of tables Table 1: Own Funds Structure .......................................................................................................................................................................... 7 Table 2: Capital Instruments main features ..................................................................................................................................................... 7 Table 3: IFRS 9 impact....................................................................................................................................................................................... 9 Table 4: EU OV1 - Overview of RWAs ............................................................................................................................................................. 10 Table 5: Leverage ratio ................................................................................................................................................................................... 11 Table 6: EU MR2-B – RWA flow statements of market risk expsoures under the IMA (€ mio) ...................................................................... 12



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1. INTRODUCTION – GENERAL INFORMATION

National Bank of Greece (the “Bank” or “NBG”) is a financial institution subject to Greek and EU banking legislation. It was founded in 1841 and operated both as a commercial bank and as the official state currency issuer until 1928, when Bank of Greece was established. NBG has been listed on the Athens Stock Exchange since 1880.

The Bank focuses on complying fully with the regulatory requirements and ensures that these requirements are strictly and consistently met in all countries where NBG Group (the “Group”) operates.

NBG Group offers a wide range of financial services, including retail and corporate banking, asset management, real estate management, financial, investment and insurance services. The Group operates in Greece, the United Kingdom, South-eastern Europe (including Cyprus and Malta) and Egypt.

The Bank, as an international organisation operating in a rapidly growing and changing environment, acknowledges its Group’s exposure to banking risks and the need for these risks to be managed effectively. Risk management forms an integral part of the Group’s commitment to pursue sound returns for its shareholders, maintaining the right balance between risks and reward in the Group’s day-to-day operations, in its balance sheet and in the Group’s capital structure management.

Regulatory Framework and Recent Developments

1.1.1. Regulatory Framework

The Main Pillars

Several steps have been made towards the European Banking Union (mandatory for all euro area States). The following are the Banking Union’s constituent elements:

A. The Single Supervisory Mechanism that places the ECB as the central prudential supervisor of financial institutions in the euro area. Since November 2014 NBG Group’s supervision is assigned directly to the ECB, as NBG is classified as one of the significant banking groups of the Eurozone;

B. The Single Resolution Mechanism (“SRM”) that implements the EU-wide Bank Recovery and Resolution Directive (BRRD – see next paragraph) in the euro area. The centralised decision-making is built around the Single Resolution Board (“SRB”) and the relevant National Resolution Authorities;

C. The Single Rulebook, a single set of harmonised prudential rules for institutions throughout the EU. Its three basic legal documents are:

o CRD IV: Directive 2013/36/EU of the European Parliament and Council “on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms”, transposed into Greek legislation by virtue of Law 4261/2014,

o CRR (Capital Requirements Regulation): Regulation (EU) No. 575/2013 of the European Parliament and Council “on prudential requirements for credit institutions and investment firms”, which is legally binding and directly applicable in all Member States, and

o BRRD: Directive 2014/59/EU of the European Parliament and Council “establishing a framework for the recovery and resolution of credit institutions and investment firms”, transposed into Greek legislation by virtue of article 2 of Law 4335/2015.

These documents are complemented by numerous Implementing Technical Standards (ITS), Regulatory Technical Standards (“RTS”), Guidelines (“GL”) and Recommendations issued by the European Banking Authority, which specify particular aspects of the CRD IV, the CRR and the BRRD and aim at ensuring harmonisation in specific areas. EBA’s Technical Standards have to be endorsed by the European Commission (“EC”) and become EU Regulations in order to be legally binding and directly applicable in all Member States.

The CRD IV and the CRR constitute the “Basel III” regulatory framework in the EU.

D. Deposit Guarantee Schemes: Directive 2014/49/EU of the European Parliament and Council “on deposit guarantee schemes” (“DGSD”), transposed into Greek legislation by virtue of Law 4370/2016. A common European Deposit Insurance Scheme (“EDIS”) is intended to be a pillar of the Banking Union. The EC put forward a relevant proposal in November 2015. However, a common system for deposit protection has not yet been established. Work has started on a roadmap for beginning political negotiations. In December 2018, the European Council stated that it will establish a High-level working group with a mandate to work on next steps. The High-level group should report back by June 2019. On 8 August 2019, EBA published its opinion on the implementation of the Deposit Guarantee Schemes Directive (DGSD) in the EU. The opinion proposes changes in relation to the current provisions on transfers of DGS contributions between DGSs, DGSs' cooperation with various stakeholders, the current list of exclusions from eligibility, current provisions on eligibility, depositor information, the approach to third country branches' DGS membership, the implications of the recent review of the three European Supervisory Authorities (ESAs), and cross-references to other EU regulations and EU directives. The opinion proposes no changes, for example, to the current coverage level of EUR 100,000, provisions on home-host cooperation, cooperation agreements, or the cooperation between the EBA and the European Systemic Risk Board (ESRB).



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1.1.2. Recent Regulatory Developments

Developments on CRR2

Regulation of the European Parliament and of the Council amending Regulations (EU) No 575/2013 and (EU) 2019/876: The proposed regulation of April 28th 2020, includes amendments related to (i) the early implementation of the finalized Basel III framework, (ii) the new IFRS9 transitional arrangements and (iii) the minimum loss coverage for NPEs, to mitigate the economic impact due to COVID-19 pandemic and support recovery. The main thematic areas are:

• IFRS 9 transitional adjustments: Extension of the transitional period for mitigating the impact on own funds from the potential sudden increase in ECL provisions.

• Risk Weighted Assets: Lower risk weight to certain loans granted by credit institutions to pensioners or employees with a permanent contract (35% instead of 75%) and to infrastructure finance (85% instead of 100%).

• Revised supporting factor for small and medium-sized enterprises (SME): Relinquish of the preferential treatment threshold and assignment of a risk weight ranging from 76.19% to 85% to all SME exposures

• CRR (Pillar I) prudential NPE treatment: Temporary extension of the preferential treatment, of NPEs guaranteed by ECAs regarding minimum loss coverage, to NPEs covered by guarantee schemes that were put in place by Member States as a consequence of the COVID-19 pandemic.

• Capital: Inclusion of "prudently valued software assets", not materially affected in a gone concern situation (i.e. the resolution, insolvency or liquidation of an institution), in Common Equity Tier 1 capital, to further support the transition towards a more digitalised banking sector.

• Leverage ratio: Exclusion ability of certain central bank exposures from the calculation of leverage ratio and deferral of application of leverage ratio buffer requirement for G-SIIs by one year in line with the revised implementation timeline agreed by the BCBS.

Recovery and Resolution Developments

On February 17th 2020, the Single Resolution Board (SRB) launched a public consultation on a number of substantial changes to its policy on the Minimum Requirement for Own Funds and Eligible Liabilities (MREL). This document describes the proposals, provides the rationale and highlights several specific questions to which the SRB seeks responses. The proposals cover the implementation of provisions related to, among others:

• MREL requirements for Global Systemically Important institutions (G‑SIIs);

• Changes to the calibration of MREL, including introducing MREL based on the leverage ratio;

• Changes to the quality of MREL;

• Dedicated rules for certain business models, such as cooperatives, and for resolution strategies, such as multiple point of entry (MPE);

• How these changes will be phased in.

In addition, the package tackles the issue of contractual recognition of bail-in for liabilities issued under third-country laws, as well as the powers of resolution authorities to suspend payments (moratorium powers).

Response to COVID19

The COVID-19 pandemic outbreak has created an unexpected multi-layered crisis that severely affected the economy and threatened to disrupt global economic strength and the business continuity of countries and their credit institutions; the magnitude of this crisis is still yet to come. The European Union as a whole, governments, central banks and regulatory authorities responded with mechanisms aiming to manage this instability. The main actions undertaken are listed below:

The European Central Bank (ECB) announced a number of measures followed by details on each matter, guidance on criteria to be fulfilled and technical specifications to ensure that its directly supervised banks can continue to fulfil their role in funding the real economy as the economic effects of the coronavirus (COVID-19) become apparent. In specific:

introduced operational flexibility in the implementation of bank-specific supervisory measures especially in Pillar 2 requirements with capital instruments other than common equity tier 1 (CET1), Liquidity Coverage Ratio (LCR), the capital conservation buffer (CCB), as well as classification and management of non-performing and forborne exposures.

announced a temporary reduction in capital requirements for market risk, by allowing banks to adjust the supervisory component of these requirements, responding to the extraordinary levels of volatility recorded in financial markets, to smooth procyclicality, and to maintain banks’ ability to provide market liquidity and to continue market-making activities.

adopted temporary measures to mitigate the effect on collateral availability of possible rating downgrades resulting from the economic fallout.

published guidelines on reporting and disclosure of exposures subject to measures applied in response to the COVID-19 crisis, such as legislative moratoria on loan repayments and public guarantees in Member States, with the aim to support the operational and liquidity challenges faced by borrowers.

launched a consultation on draft Regulatory Technical Standards (RTS) specifying the prudential treatment of software assets, aiming to achieve an appropriate balance between the need to maintain a certain margin of conservatism in the prudential treatment of software assets and their relevance from a business and an economic perspective.



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Banks are expected to use the positive effects coming from these measures to support the economy and not to increase dividend distributions or variable remuneration.

In addition, the ECB as well as other authorities adjusted timetables, processes and deadlines and EBA decided to postpone the EU-wide stress test exercise to 2021 so as to allow banks to focus on and ensure continuity of their core operations, including support for their customers. Furthermore, the SRB committed to consider, under a pragmatic and flexible approach, postponing less urgent information or data requests related to this upcoming 2020 resolution planning cycle.

BCBS provided out technical guidance related to: (i) the exceptional measures introduced by governments and banks to alleviate the impact of the coronavirus disease (Covid-19); and (ii) expected credit loss (ECL) accounting, to ensure that banks reflect the risk-reducing effect of the exceptional measures when calculating their capital requirements. It also set out the amended transitional arrangements for the regulatory capital treatment of ECL accounting, which will provide jurisdictions with greater flexibility in how to phase in the impact of ECL on regulatory capital.

The Governing Council of the European Central Bank (ECB) adopted a package of temporary collateral easing measures to facilitate the availability of eligible collateral for Eurosystem counterparties to participate in liquidity providing operations, such as the targeted longer-term refinancing operations (TLTRO-III).

The European Supervisory Authorities (EBA, EIOPA and ESMA – ESAs), in response to the COVID-19 outbreak published joint draft Regulatory Technical Standards (RTS) to amend the Delegated Regulation on the risk mitigation techniques for non-centrally cleared OTC derivatives (bilateral margining), under the European Markets Infrastructure Regulation (EMIR), to incorporate a one-year deferral of the two implementation phases of the bilateral margining requirements.

Apart from the vast number of measures undertaken in terms of regulatory requirements and timetables in response to the Covid-19 crisis, the financial sector authorities reacted immediately to establish operational resilience by identifying critical functions and employees, ensuring personal safety and safe resume of duties, IT infrastructure resilience, safeguard information security and protect vulnerable systems, and detect, respond and recover from cyber attacks.

More information on regulatory and COVID19 related developments is to be found in the respective section “Recent Regulatory Developments” of the Pillar III Disclosures 31.12.2019 document in the Bank’s website.

Pillar III Disclosure policy

Pillar III complements the minimum regulatory capital requirements (Pillar I) and the Internal Capital and Liquidity Adequacy Assessment Processes (ICAAP/ILAAP, i.e. Pillar II). NBG is committed to publicly disclose information in compliance with EU Regulation 575/2013 of the European Parliament and of the Council, as well as all applicable additional EU Regulations and EBA Guidelines, and to have adequate internal processes and systems in place to meet these disclosure requirements.

The Bank has established a Pillar III Disclosures Policy that describes the scope, the principles and the content of public disclosures under Pillar III. Moreover, the Policy defines the relevant disclosures’ governance, including the assessment of the appropriateness of the disclosures, their verification and frequency. Disclosures on a consolidated basis provide (inter alia) information on capital structure, capital adequacy, risk profile, and the processes in place for assessing and managing risks.

The Bank is firmly committed to best practices regarding public disclosures and recognises that Pillar III provides an additional layer of market information and transparency, hence contributing to financial stability. Additional information for investors and other stakeholders (regarding e.g. the members of the management body, the Corporate Governance Code etc) is to be found in the Bank’s website www.nbg.gr.

The objectives of the Pillar III Disclosures are:

To provide investors and other stakeholders with the appropriate, complete, accurate and timely information that they reasonably need to make investment decisions and informed judgements of NBG Group,

To foster and facilitate compliance with all applicable legal and regulatory requirements.

The Pillar III Disclosures Policy:

Formulates the disclosure framework, including frequency, location, monitoring and verification process for disclosures,

Defines the authorities and responsibilities for the management of the Pillar III process,

Articulates the principles for identifying information that is material, confidential and proprietary,

Raises awareness of the Bank’s approach to disclosure among the Board of Directors, Senior Management and Employees.

https://www.nbg.gr/en/the-group/investor-relations/annual-report-offerring-circular/pillar-iii-disclosures-on-a-c



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2. REGULATORY OWN FUNDS AND PRUDENTIAL REQUIREMENTS

Structure of own funds

Regulatory capital, according to CRR rules falls into two categories: Tier 1 and Tier 2 capital. Tier 1 capital is further divided into Common Equity Tier 1 (CET1) capital and Additional Tier 1 capital.

CET1 capital includes the Bank’s ordinary shareholders’ equity, share premium, reserves and retained earnings and minority interest allowed in consolidated CET1.

The following items are deducted from the above:

positive or negative adjustments in the fair value of financial derivatives used for cash flow hedging

fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities

prudent valuation adjustment calculated according to article 105 of Regulation (EU) No 575/2013

goodwill and intangibles

deferred tax assets not arising from temporary differences

deferred tax assets arising from temporary differences and significant investments that exceed 10%/17.65% of CET1 filter

Tier 2 capital includes the issuance of a Tier 2 note, totalling €394 million.

NBG Group’s regulatory capital structure as of 31.03.2020 is presented below.

Table 1: Own Funds Structure

Group's Own Funds Structure € mio € mio*

Shareholders' Equity per balance sheet 5,140 5,140

Non-controlling interests 10 10

Non-controlling interests per balance sheet 18 18

Non-controlling interests not recognised in CET1 (8) (8)

Regulatory Adjustments 784 1,088

Profit for the period (304)

IFRS9 transitional arrangements 1,104 1,104

Own credit risk (27) (27)

Prudent valuation adjustment (12) (12)

Cash flow hedging reserve 37 37

Other (14) (14)

Deductions (583) (530)

Goodwill and intangibles (213) (213)

Significant Investments (46) (16)

Deferred tax assets that rely on future profitability (excluding those arising from temporary differences) (1) (1)

Deferred tax assets that rely on future profitability and arise from temporary differences (323) (300)

Common Equity Tier 1 Capital (CET1) 5,351 5,708

Additional Tier 1 Capital (AT1) - -

Total Tier 1 Capital 5,351 5,708

Capital instruments and subordinated loans eligible as Tier 2 Capital 394 394

Deductions (50) (50)

Subordinated loans of financial sector entities where the institution has a sign. Inv. in those entities (50) (50)

Tier 2 Capital 344 344

Total Regulatory Capital 5,695 6,052 * Iincluding profits for the period

The main features of capital instruments issued by the Group are presented in the table below.

Table 2: Capital Instruments main features

Capital instruments’ main features template

€ mio

1 Issuer National Bank of Greece, S. A. (Greece) National Bank of Greece S.A.

2 Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement

GRS003003035 XS2028846363

3 Governing law(s) of the instrument Greek

English law, save that subordination provisions applicable to the Notes and provisions on statutory loss absorption powers

will be governed by, and construed in accordance with, the laws of the Hellenic Republic



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Regulatory treatment

4 Transitional CRR rules Common Equity Tier 1 Tier2

5 Post-transitional CRR rules Common Equity Tier 1 Tier2

6 Eligible at solo/(sub-)consolidated/solo & (sub-)consolidated

Solo & Consolidated Solo & Consolidated

7 Instrument type (types to be specified by each jurisdiction)

Ordinary Shares Tier 2

8 Amount recognised in regulatory capital (currency in million, as of most recent reporting date)

2,744 400

9 Nominal amount of instrument 2,744 (914,715,153 shares @ €3.00 each) 400

9a Issue price - 100%

9b Redemption price - 100%

10 Accounting classification Share Capital Liability

11 Original date of issuance Various 18/07/2019

12 Perpeptual or dated Perpetual Dated

13 Original maturity date - 18/07/2029

14 Issuer call subject to prior supervisory approval N/A Yes

15 Optional call date, contingent call dates, and redemption amount

N/A 18/07/2024

16 Subsequent call dates, if applicable N/A No. Call date is one-off

Coupons / dividends

17 Fixed or floating dividend/coupon N/A Fixed Coupon

18 Coupon rate and any related index N/A 8.25%. MS (-0.214%) + Reset Margin (+8.464%)

19 Existence of a dividend stopper N/A No

20a Fully discretionary, partially discretionary or mandatory (in terms of timing)

partially discretionary Mandatory

20b Fully discretionary, partially discretionary or mandatory (in terms of amount)

partially discretionary Mandatory

21 Existence of step up or other incentive to redeem No No

22 Noncumulative or cumulative Non cumulative Non-Cumulative

23 Convertible or non-convertible Non convertible Non-Convertible

24 If convertible, conversion trigger (s) N/A N/A

25 If convertible, fully or partially N/A N/A

26 If convertible, conversion rate N/A N/A

27 If convertible, mandatory or optional conversion

N/A N/A

28 If convertible, specifiy instrument type convertible into

N/A N/A

29 If convertible, specifiy issuer of instrument it converts into

N/A N/A

30 Write-down features No No

31 If write-down, write-down trigger (s) N/A N/A

32 If write-down, full or partial N/A N/A

33 If write-down, permanent or temporary N/A N/A

34 If temporary write-down, description of write-up mechanism

N/A N/A

35 Position in subordination hierachy in liquidation (specify instrument type immediately senior to instrument)

Additional Tier 1

The Notes constitute direct, unsecured and subordinated obligations of the Issuer and rank at all times (i) pari passu

without any preference among themselves and pari passu with all other present and future subordinated and unsecured

obligations of the relevant Issuer which rank or are expressed to rank pari passu with the Subordinated Notes,(ii) junior to

present and future obligations of the relevant Issuer in respect of Unsubordinated Notes and Unsubordinated MREL Notes (and all other present and future obligations of the relevant Issuer which rank or are expressed to rank pari passu with

Unsubordinated Notes and Unsubordinated MREL Notes) and Senior Non-Preferred Notes (and all other present and future obligations of the relevant Issuer which rank or are expressed to rank pari passu with Senior Non-Preferred Notes) and any

other obligations of the relevant Issuer which rank or are expressed to rank senior to the Subordinated Notes, including

(where the relevant Issuer is the Bank) deposits of the Bank and (iii) in priority to present and future subordinated and

unsecured obligations of the relevant Issuer (A) which rank or are expressed to rank junior to the Subordinated Notes and (B)

in respect of the share capital of such Issuer.

36 Non-compliant transitioned features No No

37 If yes, specifiy non-compliant features N/A N/A



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IFRS 9 impact on own funds

On 12 December 2017 the European Parliament and the Council of the European Union adopted Regulation (EU) 2017/2395 (the "Regulation"), which amended Regulation 575/2013 with Article 473a, allowing credit institutions to gradually apply the impact of the application of IFRS 9 to own funds.

In particular, upon adoption of IFRS 9, credit institutions are allowed to include in the Common Equity Tier 1 capital (CET1), a portion of the increased ECL provisions over a 5-year transitional period starting in 2018. The portion of ECL provisions that can be included in CET1 should decrease over time down to zero to ensure the full implementation of IFRS 9, after the end of the transitional period.

In addition, in accordance with paragraph (4) of the Regulation, if the ECL provisions for Stages 1 and 2 incurred after the first adoption of IFRS 9 are increased, credit institutions are allowed to include the increase in the transitional arrangements.

The percentages of recognition in CET1 of the increased ECL provisions during the 5-year transition period are as follows:

0.95 during the period from 01/01/2018-31/12/2018





The Group has decided to apply the transitional arrangements set out in Article 1 of the aforementioned Regulation, including the provisions of paragraph (4), during the transitional period.

The table below presents a comparison of own funds, capital ratios and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs.

Table 3: IFRS 9 impact

Comparison of own funds, capital ratios and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs

€ mio

31.03.2020 31.12.2019 30.09.2019 30.06.2019 31.03.2019

Available capital (amounts)

Common Equity Tier 1 (CET1) capital 5,351 5,966 5,757 5,658 5,495

Common Equity Tier 1 (CET1) capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied

4,247 4,707 4,434 4,305 4,413

Tier 1 capital 5,351 5,966 5,757 5,658 5,495 Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied

4,247 4,707 4,434 4,305 4,413

Total capital 5,695 6,313 6,104 5,658 5,537 Total capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied

4,591 5,054 4,781 4,305 4,455

Risk-weighted assets (amounts)

Total risk-weighted assets 36,758 37,354 37,773 38,235 35,110 Total risk-weighted assets as if IFRS 9 or analogous ECLs transitional arrangements had not been applied

36,309 36,815 37,164 37,640 34,720

Capital ratios

Common Equity Tier 1 (as percentage of risk exposure amount)

14.56%* 15.97% 15.24% 14.80% 15.65%

Common Equity Tier 1 (as percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied

11.70%* 12.79% 11.93% 11.44% 12.71%

Tier 1 (as percentage of risk exposure amount) 14.56% 15.97% 15.24% 14.80% 15.65% Tier 1 (as percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied

11.70% 12.79% 11.93% 11.44% 12.71%

Total capital (as percentage of risk exposure amount) 15.49%* 16.90% 16.16% 14.80% 15.77% Total capital (as percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied

12.64%* 13.73% 12.86% 11.44% 12.83%

Leverage ratio

Leverage ratio total exposure measure 62,500 57,853 59,007 59,882 61,089** Leverage ratio 8.56% 10.31% 9.76% 9.45% 9.00%** Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied

6.85% 8.21% 7.59% 7.26% 7.36%**

*Iincluding profits for the period, CET1 and Total Capital ratios are 15.47% and 16.41% vs 12.63% and 13.58% measured without the application of IFRS 9

or analogous ECLs transitional arrangements, respectively. **Leverage ratio metrics reviewed due to release of EBA Q&A 2018_3995 on 15.02.2019 concerning the recalculation of leverage ratio for exposures under both Standardised and IRB Approach using the same scaling factor as defined in article 473(a) of EU 575/2013.



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Capital requirements under Pillar I

The table below presents the risk exposure amounts (or Risk Weithted Assets - RWAs) and the capital requirements at Group level under Pillar I as of 31.03.2020, according to the CRR/CRD IV regulatory framework. The capital requirements under Pillar I are equal to 8% of the risk exposure amounts.

Table 4: EU OV1 - Overview of RWAs

RWAs Minimum

Capital Requirements

31.03.2020 31.12.2019 31.03.2020

1 Credit risk (excluding CCR) 32.214 33.096 2.577

Article 438(c)(d) 2 Of which the standardised approach 32.214 33.096 2.577

Article 438(c)(d) 3 Of which the foundation IRB (FIRB) approach

Article 438(c)(d) 4 Of which the advanced IRB (AIRB) approach

Article 438(d) 5 Of which equity IRB under the simple risk-weighted approach or the IMA

Article 107 Article 438(c)(d)

6 CCR 398 236 32

Article 438(c)(d) 7 Of which mark to market 189 122 15

Article 438(c)(d) 8 Of which original exposure 9 Of which the standardised approach 98 12 8 10 Of which internal model method (IMM)

Article 438(c)(d) 11 Of which risk exposure amount for contributions to the default fund of a CCP

Article 438(c)(d) 12 Of which CVA 111 101 9

Article 438(e) 13 Settlement risk

Article 449(o)(i) 14 Securitisation exposures in the banking book (after the cap)

15 Of which IRB approach 16 Of which IRB supervisory formula approach (SFA) 17 Of which internal assessment approach (IAA) 18 Of which standardised approach

Article 438 (e) 19 Market risk 1.537 1.413 123 20 Of which the standardised approach 503 532 40 21 Of which IMA 1.034 882 83

Article 438(e) 22 Large exposures 0

Article 438(f) 23 Operational risk 2.609 2.609 209 24 Of which basic indicator approach 25 Of which standardised approach 2.609 2.609 209

26 Of which advanced measurement approach

Article 437(2), Article 48 and Article 60

27 Amounts below the thresholds for deduction (subject to 250% risk weight)

1.600 1.772 128

Article 500 28 Floor adjustment

29 Total 36.758 37.354 2.941



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Leverage Ratio

Leverage ratio is calculated in accordance with the methodology set out in article 429 of the regulation (EU) No 575/2013 of the European Parliament and of the Council, as amended by European Commission delegated Regulation 62/2015 of 10 October 2014. It is defined as an institution's capital measure divided by that institution's total leverage exposure measure and is expressed as a percentage. The Group submits to the competent authority the leverage ratio on a quarterly basis.

As of 31 March 2020 Group leverage ratio, according to the transitional definition of Tier I and the EU Regulation 62/2015, decreased to 8.56% (vs 10.31% as of 31 December 2019), mainly due to the increased impairment charges for expected credit losses due to Covid-19, still exceeding the proposed minimum threshold of 3%.

The table below includes the summary of the Group’s leverage ratio with reference date 31.03.2020 (amounts in € mio):

Table 5: Leverage ratio

Tier I 5,351

Total Exposure Measure 62,500

Leverage Ratio 8.56%



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3. MARKET RISK

The main changes in the Market Risk RWAs under the internal model approach are presented in the table below:

Table 6: EU MR2-B – RWA flow statements of market risk expsoures under the IMA (€ mio)

VaR SVaR IRC Comprehensive

risk measure Other

Total RWAs

Total capital requirements

1 RWAs as of December 31, 2019 290 592 - - - 882 71

1a Regulatory adjustment 211 403 - - - 613 49

1b RWAs at the previous quarter-end (end of the day) 79 189 - - - 268 21

2 Movement in risk levels 43 99 - - -

3 Model updates/changes - - -

4 Methodology and policy - - -

5 Acquisitions and disposals - - -

6 Foreign exchange movements - - -

7 Interest Rate Volatilities -9 -31 - - -

8a RWAs at the end of the reporting period (end of the day) 113 258 - - - 370 30

8b Regulatory adjustment 177 487 - - - 664 53

8 RWAs as of March 31, 2020 289 744 - - - 1,034 83

The change in the Bank’s capital requirements for Market Risk in the first quarter of the year is mainly attributed to the movements of the EUR IRS rates and their volatility.



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LIST OF ABBREVIATIONS

Abbreviation Definition Abbreviation Definition

ABS Asset-Backed Securities IFRS International Financial Reporting Standards

AFS Available for Sale IMA Internal Model Approach

A-IRB Advanced Internal Ratings Based (Approach) IRB Internal Ratings Based (approach)

ALCO Asset Liability Committee IRRBB Interest Rate Risk in the Banking Book

AMC Asset Management Companies ISDA International Swaps and Derivatives Association

ATHEX Athens Exchange IT Information Technology

BC Bankruptcy Code ITS Implementing Technical Standards

BCBS Basel Committee on Banking Supervision IVS International Valuation Standards

BoG Bank of Greece JST Joint Supervisory Team

bps Basis Point KPI Key Performance Indicator

BRC Board Risk Committee LCR Liquidity Coverage Ratio

BRRD Bank Recovery and Resolution Directive LGD Loss Given Default

BU Business Unit LR Leverage Ratio

CCF Credit Conversion Factor M&A Mergers and Acquisitions

CCP Code of Civil Procedure MDA Maximum Distributable Amount

CCR Counterparty Credit Risk MoB Months on Book

CCyB Countercyclical Capital Buffer MRA Moody's Risk Advisor

CEBS Committee of European Banking Supervisors MRO Main Refinancing Operations

CEF Credit Equivalent Factor MVS Model Validation Sector

CEO Chief Executive Officer MVU Model Validation Unit

CET1 Common Equity Tier 1 NBG National Bank Of Greece, S.A

CFO Chief Financial Officer NCA National Competent Authority

CMS Collateral Management System NII Net Interest Income

COO Chief Operations Officer NPE Non Performing Exposure

CRD Capital Requirements Directive NPL Non Performing Loan

CRM Corporate Rating Model NPV Net Present Value

CRO Chief Risk Officer NRA National Resolution Authorities

CRR Capital Requirements Regulation NSFR Net Stable Funding Ratio

CSA Credit Support Annex O/N Overnight

CVA Credit Valuation Adjustment OCP Open Currency Position

DGSD Deposit Guarantee Schemes Directive OCR Overall Capital Requirement

dpd days past due OCW Out-of-Court Workout

DTA Deferred Tax Asset OR Operational Risk

DTC Deferred Tax Credit ORMF Operational Risk Management Framework

EAD Exposure at Default ORR Obligors’ Risk Rating

EBA European Banking Authority O-SII Other Systemically Important Institution

EBITDA Earnings Before Interest, Tax, Depreciation and Amortization

OTC Over-the-counter

EC European Commission P&L Profit and Loss

ECAI External Credit Assessment Institutions P2G Pillar 2 Guidance

ECB European Central Bank P2R Pillar 2 Requirement

ECL Expected Credit Losses PD Probability of Default

EDIS European Deposit Insurance Scheme PE Performing Exposures

EFSF European Financial Stability Facility PMO Project Management Office

EL Expected Loss ppts Percentage points

ELA Emergency Liquidity Assistance PSE Public Sector Entity

ESM European Stability Mechanism PSI Private Sector Involvement



14

Abbreviation Definition Abbreviation Definition

ETEAN Hellenic Fund for Entrepreneurship and Development

RAF Risk Appetite Framework

EU European Union RCSA Risk and Control Self-Assessment

EVE Economic Value of Equity RTS Regulatory Technical Standards

EVS European Valuation Standards RWA Risk Weighted Assets

EW Early Warning SA Standardized Approach

FBE Forborne Exposures SAU Special Assets Unit

FI Financial Institution SB(L) Small Business (Lending)

F-IRB Foundation internal ratings-based (approach) SEC Securities and Exchange Commission

FRTB Fundamental Review of the Trading Book SL Specialised Lending

FVTOCI Fair Value Through Other Comprehensive Income

SME Small & Medium Enterprises

FVTPL Fair Value Through Profit or Loss SPPI Solely Payments of Principal and Interest

FX Foreign Exchange SPV Special Purpose Vehicle

GAAP Generally Accepted Accounting Principles SRB Single Resolution Board

GGB Greek Government Bond SREP Supervisory Review and Evaluation Process

GHOS Governors and Heads of Supervision SRM Single Resolution Mechanism

GL Guidelines SSM Single Supervisory Mechanism

GMORM(D) Group Market & Operational Risk Management (Division)

ST Stress Test

GMRA Global Master Repurchase Agreement sVaR Stressed Value at Risk

GRCA(D) Group Risk Control & Architecture (Division) TLAC Total Loss Absorbing Capacity

G-SII Global Systemically Important Institution TLTRO Targeted Long-Term Refinancing Operations

HFSF Hellenic Financial Stability Fund TRIM Targeted Review of Internal Models

HRRC Human Resources and Remuneration Committee

TSCR Total SREP Capital Requirement

IAS International Accounting Standards UBB United Bulgarian Bank

ICAAP / ILAAP Internal Capital / Liquidity Adequacy Assessment Process

VaR Value at Risk

ICT Information and Communication Technology VCV Variance-Covariance

Documents

NATIONAL BANK OF GREECE S · National ank of Greece (the “ank” or “NG”) is a financial institution subject to Greek and EU banking legislatio n. It was founded in 1841 operated