OTP Bank : Disclosure by institutions 30 June 2021

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%

2

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

3

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

1. Retained earnings
2. 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)

1. Additional value adjustments (negative amount)
2. Intangible assets (net of related tax liability) (negative amount)

Deferred tax assets that rely on future profitability excluding those arising from

1. 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
2. instruments that are not valued at fair value
3. Negative amounts resulting from the calculation of expected loss amounts
4. 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
5. credit standing
6. Defined-benefitpension fund assets (negative amount)
7. 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
8. 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
9. 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
10. 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

4