OTP Bank Plc.
OTP Bank Plc. consolidated
In line with Act CCXXXVII of 2013 on Credit Institutions and Financial Enterprises, and Regulation (EU) No 575/2013 of the European Parliament and of the Council on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012, Regulation (EU) 2021/637 and EBA/GL/2020/07 of exposures subject to measures applied in response to the COVID‐19 crisis
(English translation of the original report)
Budapest, 1 September 2021
DISCLOSURE OF OTP BANK PLC - 30 June 2021 | ||
I. OTP Group....................................................................................................................................................... | 2 | |
I.1. | Regulatory capital and capital requirements ......................................................................................... | 2 |
I.1.1. Capital adequacy of the OTP Group.................................................................................................. | 3 | |
I.1.2. Information about disclosure requirements related to the regulatory capital in line with commission | ||
implementing regulation (EU) no. 1423/2013 .................................................................................... | 4 | |
I.2. | Trading book market and counterparty risks (capital requirements) ................................................... | 10 |
I.3. | Countercyclical buffer .......................................................................................................................... | 13 |
I.4. | Leverage ratio ...................................................................................................................................... | 14 |
I.5. | Credit risk adjustments ........................................................................................................................ | 17 |
I.5.1. Valuation and provisions.................................................................................................................. | 17 | |
I.5.2. Exposures to credit risks.................................................................................................................. | 18 | |
I.6. | Use of external credit assessment institutions .................................................................................... | 22 |
I.7. | Liquidity risk ......................................................................................................................................... | 23 |
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DISCLOSURE OF OTP BANK PLC - 30 June 2021
I. OTP Group
I.1. Regulatory capital and capital requirements
Chart 1: OTP Key metrics template
million HUF | 30.06.2021 | 31.03.2021 | 31.12.2020 | 30.09.2020 | 30.06.2020 |
Available ow n funds (amounts) | |||||
Common Equity Tier 1 (CET1) capital | 2 490 376 | 2 413 576 | 2 341 874 | 2 226 107 | 2 092 926 |
Tier 1 capital | 2 490 376 | 2 413 576 | 2 341 874 | 2 226 107 | 2 092 926 |
Total capital | 2 835 188 | 2 765 828 | 2 695 668 | 2 578 450 | 2 443 344 |
Risk-w eighted exposure amounts | |||||
Total risk exposure amount | 15 528 188 | 15 327 556 | 15 166 966 | 15 141 076 | 15 023 300 |
Capital ratios (as a percentage of risk-w eighted exposure amount) | |||||
Common Equity Tier 1 ratio (%) | 16,04% | 15,75% | 15,44% | 14,70% | 13,93% |
Tier 1 ratio (%) | 16,04% | 15,75% | 15,44% | 14,70% | 13,93% |
Total capital ratio (%) | 18,26% | 18,04% | 17,77% | 17,03% | 16,26% |
Additional ow n funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-w eighted | |||||
exposure amount) | |||||
Additional ow n funds requirements to address risks other than the risk of excessive | |||||
leverage (%) | 1,38% | 1,38% | 1,38% | 1,38% | 1,38% |
of w hich: to be made up of CET1 capital (percentage points) | 0,78% | 0,78% | 0,78% | 0,78% | 0,78% |
of w hich: to be made up of Tier 1 capital (percentage points) | 1,04% | 1,04% | 1,04% | 1,04% | 1,04% |
Total SREP ow n funds requirements (%) | 9,38% | 9,38% | 9,38% | 9,38% | 9,38% |
Combined buffer and overall capital requirement (as a percentage of risk-w eighted exposure amount)
Capital conservation buffer (%) | 2,50% | 2,50% | 2,50% | 2,50% | 2,50% |
Conservation buffer due to macro-prudential or systemic risk identified at the level of a | |||||
Member State (%) | 0,00% | 0,00% | 0,00% | 0,00% | 0,00% |
Institution specific countercyclical capital buffer (%) | 0,09% | 0,09% | 0,09% | 0,11% | 0,12% |
Systemic risk buffer (%) | 0,00% | 0,00% | 0,00% | 0,00% | 0,00% |
Global Systemically Important Institution buffer (%) | 0,00% | 0,00% | 0,00% | 0,00% | 0,00% |
Other Systemically Important Institution buffer (%) | 0,00% | 0,00% | 0,00% | 0,00% | 2,00% |
Combined buffer requirement (%) | 2,59% | 2,59% | 2,59% | 2,61% | 4,62% |
Overall capital requirements (%) | 11,97% | 11,97% | 11,97% | 11,99% | 14,00% |
CET1 available after meeting the total SREP ow n funds requirements (%) | 7,87% | 7,87% | 7,86% | 7,88% | 9,90% |
Leverage ratio | |||||
Total exposure measure | 26 908 854 | 26 809 131 | 25 558 195 | 25 176 713 | 23 911 920 |
Leverage ratio (%) | 9,25% | 9,00% | 9,16% | 8,84% | 8,75% |
Additional ow n funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure)
Additional ow n funds requirements to address the risk of excessive leverage (%) of w hich: to be made up of CET1 capital (percentage points)
Total SREP leverage ratio requirements (%)
0,00% | 0,00% | 0,00% | 0,00% | 0,00% |
0,00% | 0,00% | 0,00% | 0,00% | 0,00% |
3,00% | 0,00% | 0,00% | 0,00% | 0,00% |
Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure)
Leverage ratio buffer requirement (%) | 0,00% | 0,00% | 0,00% | 0,00% | 0,00% |
Overall leverage ratio requirement (%) | 3,00% | 0,00% | 0,00% | 0,00% | 0,00% |
Liquidity Coverage Ratio | |||||
Total high-quality liquid assets (HQLA) (Weighted value -average) | 5 062 273 | 5 448 867 | 5 560 090 | 5 036 994 | 4 995 058 |
Cash outflow s - Total w eighted value | 4 077 416 | 3 917 002 | 3 721 569 | 3 770 585 | 3 477 477 |
Cash inflow s - Total w eighted value | 1 689 952 | 1 483 773 | 1 123 297 | 882 022 | 900 615 |
Total net cash outflow s (adjusted value) | 2 387 464 | 2 433 229 | 2 598 273 | 2 888 564 | 2 576 862 |
Liquidity coverage ratio (%) | 212,04% | 223,94% | 213,99% | 174,38% | 193,84% |
Net Stable Funding Ratio | |||||
Total available stable funding | 18 238 115 | ||||
Total required stable funding | 13 504 346 | ||||
NSFR ratio (%) | 135,05% |
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DISCLOSURE OF OTP BANK PLC - 30 June 2021
I.1.1. Capital adequacy of the OTP Group
The capital requirement calculation of the Group for 30.06.2021 is based on CRR data. The prudential filters and deductions have been applied in line with the CRR during the calculation of regulatory capital.
The Group applied standardized capital calculation method regarding credit and market risk, advanced measurement approach (AMA) and basic indicator approach (BIA) regarding the operational risk. On 30.06.2021 the capital adequacy ratio of OTP Group - with the profit of the first two quarter - was 18.29%. The Group regulatory capital requirement as of 30th June 2021 was HUF 1,240,070 million and the amount of regulatory capital was HUF 2,835,188 million.
Chart 2: Overview of total risk exposure amounts
Total risk exposure amounts (TREA) | Minimum capital | ||
(in HUF million) | requirements | ||
30.06.2021 | 31.03.2021 | 30.06.2021 | |
Credit risk (excluding | 13 561 026 | 13 582 206 | 1 084 882 |
CCR) | |||
Of w hich the | 13 561 026 | 13 582 206 | 1 084 882 |
standardised approach | |||
CCR | 209 389 | 145 707 | 16 751 |
Of w hich mark to market | 194 226 | 131 461 | 15 538 |
Of w hich CVA | 15 163 | 14 246 | 1 213 |
Market risk | 402 289 | 167 371 | 32 183 |
Of w hich the | 402 289 | 167 371 | 32 183 |
standardised approach | |||
Operational risk | 1 355 484 | 1 432 272 | 108 439 |
Of w hich basic indicator | 528 686 | 607 474 | 42 295 |
approach | |||
Of w hich standardised | 0 | 0 | 0 |
approach | |||
Of w hich advances | 826 798 | 824 797 | 66 144 |
measurement approach | |||
Total | 15 528 188 | 15 327 556 | 1 242 255 |
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DISCLOSURE OF OTP BANK PLC - 30 June 2021
I.1.2. Information about disclosure requirements related to the regulatory capital in line with commission implementing regulation (EU) no. 1423/2013
Chart 3: Breakdown of regulatory capital including transitional arrangements for mitigating the impact of the application of IFRS9 on own funds in accordance with Article 473a of regulation (EU) No 575/2013
Common Equity Tier 1 capital: instruments and reserves (in HUF million)
1 | Capital instruments and the related share premium accounts |
of w hich: share
- Retained earnings
-
Accumulated other comprehensive income (and other reserves)
3a Funds for general banking risk
4 | Amount of qualifying items referred to in Article 484 (3) and the related share |
premium accounts subject to phase out from CET1 | |
5 | Minority interests (amount allow ed in consolidated CET1) |
5a | Independently review ed interim profits net of any foreseeable charge or |
dividend | |
6 | Common Equity Tier 1 (CET1) capital before regulatory adjustments |
Common Equity Tier 1 (CET1) capital: regulatory adjustments (in HUF million)
- Additional value adjustments (negative amount)
- Intangible assets (net of related tax liability) (negative amount)
Deferred tax assets that rely on future profitability excluding those arising from
-
temporary difference (net of related tax liability w here the conditions in Article 38 (3) are met) (negative amount)
Fair value reserves related to gains or losses on cash flow hedges of financial - instruments that are not valued at fair value
- Negative amounts resulting from the calculation of expected loss amounts
- Any increase in equity that results from securitised assets (negative amount) Gains or losses on liabilities valued at fair value resulting from changes in ow n
- credit standing
- Defined-benefitpension fund assets (negative amount)
- Direct, indirect and synthetic holdings by an institution of ow n CET1 instruments (negative amount)
Direct, indirect and synthetic holdings of the CET 1 instruments of financial sector entities w here those entities have reciprocal cross holdings w ith the - institution designed to inflate artificially the ow n funds of the institution (negative amount)
Direct, indirect and synthetic holdings by the institution of the CET1 instruments - of financial sector entities w here the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)
Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities w here the institution has a significant investment in - those entities (amount above 10% threshold and net of eligible short positions) (negative amount)
(A)
30.06.2021
28 000
28 000
2 286 042
82 415
0
0
1 554
169 110
2 567 121
(A)
30.06.2021
-3 457 -167 951
-7 860
-68 943
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OTP Bank Nyrt. published this content on 01 September 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 01 September 2021 14:01:07 UTC.