National Bank of Greece S A : Pillar III Disclosures on a Consolidated Basis 31.12.2020

Pillar III Disclosures on a consolidated basis

December 2020

Pillar III Disclosures on a consolidated basis	December 31, 2020

Table of Contents

INDEX OF TABLES ...................................................................................................................................................................	4
1	INTRODUCTION & GENERAL INFORMATION .................................................................................................................	5
	PILLAR III DISCLOSURE POLICY .................................................................................................................................................	6
2	REGULATORY FRAMEWORK & RECENT DEVELOPMENTS ..............................................................................................	7
	REGULATORY FRAMEWORK.....................................................................................................................................................	7
	2.1.1	The Main Pillars ......................................................................................................................................................	7
	2.1.2 EU package of Risk Reduction Measures: CRR2 / CRD5 / BRRD2 / SRMR2 ............................................................	7
	RECENT REGULATORY DEVELOPMENTS 2020 .............................................................................................................................	8
	2.2.1	Response to COVID-19 ............................................................................................................................................	8
	2.2.2 Revision of Market Risk Capital Requirements .....................................................................................................	11
	2.2.3 Basel 4 (finalisation of Basel 3).............................................................................................................................	12
	2.2.4 Pillar 2 (SREP, ICAAP, ILAAP).................................................................................................................................	12
	2.2.5	Internal Models ....................................................................................................................................................	14
	2.2.6	Reporting and Disclosure......................................................................................................................................	14
	2.2.7 Recovery and Resolution Developments...............................................................................................................	16
	2.2.8	Governance and Remuneration............................................................................................................................	17
	2.2.9	EU-wide Stress Test ..............................................................................................................................................	17
	2.2.10	Other regulatory developments.......................................................................................................................	18
3	NBG'S TRANSFORMATION PROGRAM ........................................................................................................................	20
4	RISK MANAGEMENT FRAMEWORK .............................................................................................................................	21
	BASIC PRINCIPLES AND GOVERNANCE STRUCTURE OF THE GROUP RISK MANAGEMENT ......................................................................	21
	CREDIT RISK.......................................................................................................................................................................	32
	4.2.1 Credit granting processes and controls ................................................................................................................	32
	4.2.2 Credit Policy for Corporate Portfolios ...................................................................................................................	32
	4.2.3 Credit Policy for Retail Banking ............................................................................................................................	32
	4.2.4	Concentration Risk................................................................................................................................................	33
	COUNTERPARTY CREDIT RISK.................................................................................................................................................	33
	MARKET RISK.....................................................................................................................................................................	33
	OPERATIONAL RISK..............................................................................................................................................................	34
	4.5.1	Introduction ..........................................................................................................................................................	34
	4.5.2	Definition and objectives ......................................................................................................................................	34
	4.5.3 Operational risk management framework ...........................................................................................................	35
	4.5.4	Governance...........................................................................................................................................................	36
	ANALYSIS AND REPORTING....................................................................................................................................................	36
5	REGULATORY OWN FUNDS & PRUDENTIAL REQUIREMENTS ......................................................................................	37
	BALANCE SHEET RECONCILIATION BETWEEN FINANCIAL AND REGULATORY REPORTING.......................................................................	37
	REGULATORY VS ACCOUNTING CONSOLIDATION ........................................................................................................................	39
	STRUCTURE OF OWN FUNDS ..................................................................................................................................................	40
	IFRS 9 IMPACT ON OWN FUNDS.............................................................................................................................................	42
	DTC LAW..........................................................................................................................................................................	43
	TRANSITIONAL OWN FUNDS DISCLOSURE TEMPLATE ...................................................................................................................	43
	CAPITAL REQUIREMENTS UNDER PILLAR I .................................................................................................................................	46
	OVERALL CAPITAL REQUIREMENT (OCR).................................................................................................................................	47
	LEVERAGE RATIO ................................................................................................................................................................	48
6	CREDIT RISK ................................................................................................................................................................	50
	DEFINITIONS AND GENERAL INFORMATION ...............................................................................................................................	50
	IMPAIRMENT - EXPECTED CREDIT LOSSES..................................................................................................................................	50
	GENERAL INFORMATION ON CREDIT RISK.................................................................................................................................	51
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Pillar III Disclosures on a consolidated basis	December 31, 2020

	PROVISION ANALYSIS ...........................................................................................................................................................	58
	COVID-19 REPORTING .........................................................................................................................................................	59
	NON-PERFORMINGAND FORBORNE EXPOSURES ........................................................................................................................	63
	CREDIT RISK MITIGATION TECHNIQUES.....................................................................................................................................	74
	PORTFOLIOS UNDER THE STANDARDISED APPROACH ..................................................................................................................	75
7	COUNTERPARTY CREDIT RISK......................................................................................................................................	79
8	MARKET RISK..............................................................................................................................................................	83
	STRESS TESTING ..................................................................................................................................................................	85
	BACK-TESTING....................................................................................................................................................................	85
9	OPERATIONAL RISK.....................................................................................................................................................	87
10 EQUITY EXPOSURES NOT INCLUDED IN THE TRADING BOOK ......................................................................................	88
11	SECURITIZATION .........................................................................................................................................................	89
12 INTEREST RATE RISK IN THE BANKING BOOK ..............................................................................................................	92
13	LIQUIDITY RISK ...........................................................................................................................................................	94
14	ASSET ENCUMBRANCE................................................................................................................................................	97
	INFORMATION ON IMPORTANCE OF ENCUMBRANCE ..............................................................................................................	97
15 REMUNERATION POLICIES & PRACTICES.....................................................................................................................	99
	THE PROPORTIONALITY PRINCIPLE ......................................................................................................................................	99
	HUMAN RESOURCES AND REMUNERATION COMMITTEE ........................................................................................................	99
	REMUNERATION POLICY ................................................................................................................................................	100
	OTHER RELEVANT STAKEHOLDERS / UNITS.........................................................................................................................	101
	REMUNERATION POLICY GOVERNANCE.............................................................................................................................	101
	MAIN CHARACTERISTICS OF THE REMUNERATION SYSTEM OF THE BANK ACCORDING TO THE BANK'S REMUNERATION POLICY............	101
	15.6.1	Remuneration structure.................................................................................................................................	101
	15.6.2	Criteria used for determining variable remuneration ....................................................................................	101
	15.6.3	Risk alignment of remuneration ....................................................................................................................	102
	ADJUSTMENT / DEFERRAL / RETENTION/ CLAW BACK OF VARIABLE REMUNERATION...................................................................	102
	PAYMENT / VESTING .....................................................................................................................................................	102
	REMUNERATION OF SENIOR MANAGEMENT .......................................................................................................................	102
	DIRECTORS' REMUNERATION..........................................................................................................................................	103
	AGGREGATE QUANTITATIVE INFORMATION ON REMUNERATION ............................................................................................	103

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Pillar III Disclosures on a consolidated basis	December 31, 2020

Index of tables
Table 1: Material Risk Types & their treatment.................................................................................................................................................	25
Table 2: EU LI1 - Differences between accounting and regulatory scopes of consolidation and the mapping of financial statement categories
with regulatory risk categories ..........................................................................................................................................................................	37
Table 3: EU LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements ...............	38
Table 4: EU LI3 - Outline of the differences in the scope of consolidation ........................................................................................................	39
Table 5: Own Funds Structure ...........................................................................................................................................................................	40
Table 6: Capital Instruments main features.......................................................................................................................................................	41
Table 7: IFRS 9 impact........................................................................................................................................................................................	42
Table 8: Transitional Own Funds .......................................................................................................................................................................	44
Table 9: EU OV1 - Overview of RWAs ................................................................................................................................................................	46
Table 10: Countercyclical Capital Buffer ............................................................................................................................................................	47
Table 11: NBG Group Capital Requirements......................................................................................................................................................	47
Table 12: Leverage ratio ....................................................................................................................................................................................	48
Table 13: Reconciliation of accounting assets and leverage ratio exposures 31.12.2020 .................................................................................	48
Table 14: EU CRB-B - Total and average net amount of exposures 31.12.2020 ................................................................................................	51
Table 15: EU CRB-C - Geographical breakdown of exposures............................................................................................................................	52
Table 16: EU CRB-D - Concentration of corporate exposures by industry .........................................................................................................	53
Table 17: EU CRB-E - Maturity of exposures .....................................................................................................................................................	54
Table 18: EU CR1-A - Credit quality of exposures by exposure class and instrument.......................................................................................	55
Table 19: EU CR1-B - Credit quality of corporate exposures by industry...........................................................................................................	56
Table 20: EU CR1-C - Credit quality of exposures by geography........................................................................................................................	57
Table 21 : EU CR2-A - Changes in the stock of general and specific credit risk adjustments .............................................................................	58
Table 22 : EU CR2-B - Changes in the stock of defaulted and impaired loans and debt securities ....................................................................	58
Table 23 : Information on loans and advances subject to legislative and non-legislative moratoria 31.12.2020 .............................................	60
Table 24 : Breakdown of loans and advances subject to legislative and non-legislative moratoria by residual maturity of moratoria 31.12.20
...........................................................................................................................................................................................................................	61
Table 25 : Information on newly originated loans and advances provided under newly applicable public guarantee schemes introduced in
response to COVID-19 crisis 30.12.2020............................................................................................................................................................	62
Table 26: Credit quality of forborne exposures 31.12.2020 ..............................................................................................................................	64
Table 27: Quality of forbearance 31.12.2020 and 31.12.2019 ..........................................................................................................................	64
Table 28: Credit quality of performing and non-performing exposures by past due days 31.12.2020 .............................................................	65
Table 29: Performing and non-performing exposures and related provisions 31.12.2020 ..............................................................................	67
Table 30: Quality of non-performing exposures by geography 31.12.2020 ......................................................................................................	69
Table 31: Credit quality of loans and advances by industry 31.12.2020............................................................................................................	70
Table 32: Collateral valuation - loans and advances ..........................................................................................................................................	71
Table 33: Changes in the stock of non-performing loans and advances 31.12.2020.........................................................................................	72
Table 34: Collateral obtained by taking possession and execution processes 31.12.2020................................................................................	72
Table 35: Collateral obtained by taking possession and execution process - vintage breakdown 31.12.2020 .................................................	73
Table 36 : EU CR3 - CRM techniques - Overview 31.12.2020............................................................................................................................	74
Table 37: Mapping of Credit quality steps .........................................................................................................................................................	75
Table 38: EU CR4 - Standardised approach - Credit Risk Exposure and CRM effects 31.12.2020 ......................................................................	75
Table 39 : EU CR5 - Standardised approach 31.12.2020....................................................................................................................................	76
Table 40: EU CCR1 - Analysis of CCR exposure by approach (€ mio) 31.12.2020..............................................................................................	79
Table 41: EU CCR2 - CVA capital charge (€ mio) 31.12.2020.............................................................................................................................	80
Table 42: EU CCR8 - Exposures to CCPs (€ mio) 31.12.2020 .............................................................................................................................	80
Table 43: EU CCR3 - Standardized approach - CCR exposures by regulatory portfolio and risk (€ mio) 31.12.2020 .........................................	81
Table 44: EU CCR6 - Credit derivatives exposures (€ mio) 31.12.2020 ..............................................................................................................	82
Table 45: EU MR1 - Market risk under the Standardized approach (€ mio) 31.12.2020...................................................................................	83
Table 46: EU MR2-A - Market risk under the IMA (€ mio) 31.12.2020 .............................................................................................................	84
Table 47: EU MR2-B - RWA flow statements of market risk expsoures under the IMA (€ mio)........................................................................	84
Table 48: EU MR3 - IMA values for trading portfolios (€ mio) 31.12.2020 .......................................................................................................	85
Table 49: Stress test Scenarios ..........................................................................................................................................................................	85
Table 50: Volatility stress test Scenarios............................................................................................................................................................	85
Table 51: FVTOCI Equity instruments 31.12.2020 .............................................................................................................................................	88
Table 52: Sensitivity of EVE and NII measures as of Dec 31st, 2020...................................................................................................................	92
Table 53: Comparison of EVE and NII sensitivity measures between Dec 31st, 2020 and Dec 31st, 2019..........................................................	93
Table 54: Liquidity Coverage Ratio 2020 ...........................................................................................................................................................	95
Table 55: Encumbered and Unencumbered Assets 31.12.2020 ........................................................................................................................	97
Table 56: Sources of encumbrance 31.12.2020.................................................................................................................................................	97
Table 57: Collateral received 31.12.2020 ..........................................................................................................................................................	98
Table 58: Board HRRC Members......................................................................................................................................................................	100

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Pillar III Disclosures on a consolidated basis	December 31, 2020

INTRODUCTION & GENERAL INFORMATION

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 organization 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.

Highlights

• CET1 ratio and Total Capital ratio at 15.7% and 16.7% respectively, mainly due to the impairment charges netted with GGBs gains incurred in December 2020 and the increase of RWAs.

	Capital Ratios
16,9%				16,7%
	15,5%	15,8%	15,4%
16,0%				15,7%
	14,6%	14,8%	14,5%
Dec-19	Mar-20	Jun-20	Sep-20	Dec-20
	CET1 ratio		Total capital ratio
		RWAs
37,4	36,8			36,6
	36,0	36,0

Dec-19	Mar-20	Jun-20	Sep-20	Dec-20
			RWAs

Capital Volumes

6,0	6,3			6,1
5,7	5,7	5,6	5,8
	5,4	5,3	5,2

Dec-19	Mar-20	Jun-20		Sep-20	Dec-20
			CET1 capital			Total Capital

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