OTP Bank : Disclousure by institutions

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, 30 November 2021

	DISCLOSURE OF OTP BANK PLC - 30 September 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.	Leverage ratio ........................................................................................................................................	5
I.3.	Liquidity risk ...........................................................................................................................................	6

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DISCLOSURE OF OTP BANK PLC - 30 September 2021

I. OTP Group

I.1. Regulatory capital and capital requirements

Chart 1: OTP Key metrics template

million HUF	2021.09.30	2021.06.30	2021.03.31	2020.12.31	2020.09.30
Available own funds (amounts)
Common Equity Tier 1 (CET1) capital	2 588 258	2 490 376	2 413 576	2 341 874	2 226 107
Tier 1 capital	2 588 258	2 490 376	2 413 576	2 341 874	2 226 107
Total capital	2 845 704	2 835 188	2 765 828	2 695 668	2 578 450
Risk-weighted exposure amounts
Total risk exposure amount	16 467 767	15 528 188	15 327 556	15 166 966	15 141 076
Capital ratios (as a percentage of risk-weighted exposure amount)
Common Equity Tier 1 ratio (%)	15,72%	16,04%	15,75%	15,44%	14,70%
Tier 1 ratio (%)	15,72%	16,04%	15,75%	15,44%	14,70%
Total capital ratio (%)	17,28%	18,26%	18,04%	17,77%	17,03%

Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure amount)

Additional own funds requirements to address risks other than the risk of excessive leverage
(%)	1,38%	1,38%	1,38%	1,38%	1,38%
of which: to be made up of CET1 capital (percentage points)	0,78%	0,78%	0,78%	0,78%	0,78%
of which: to be made up of Tier 1 capital (percentage points)	1,04%	1,04%	1,04%	1,04%	1,04%
Total SREP own funds requirements (%)	9,38%	9,38%	9,38%	9,38%	9,38%
Combined buffer and overall capital requirement (as a percentage of risk-weighted 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%	0,09%	0,11%
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%	0,00%
Combined buffer requirement (%)	2,59%	2,59%	2,59%	2,59%	2,61%
Overall capital requirements (%)	11,97%	11,97%	11,97%	11,97%	11,99%
CET1 available after meeting the total SREP own funds requirements (%)	7,87%	7,87%	7,87%	7,86%	7,88%
Leverage ratio
Total exposure measure	28 567 759	26 908 854	26 809 131	25 558 195	25 176 713
Leverage ratio (%)	9,06%	9,25%	9,00%	9,16%	8,84%

Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure)

Additional own funds requirements to address the risk of excessive leverage (%)

of which: 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%	3,00%	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%	3,00%	0,00%	0,00%	0,00%
Liquidity Coverage Ratio
Total high-quality liquid assets (HQLA) (Weighted value -average)	5 309 050	5 062 273	5 448 867	5 560 090	5 036 994
Cash outflows - Total weighted value	4 743 457	4 077 416	3 917 002	3 721 569	3 770 585
Cash inflows - Total weighted value	2 122 352	1 689 952	1 483 773	1 123 297	882 022
Total net cash outflows (adjusted value)	2 621 105	2 387 464	2 433 229	2 598 273	2 888 564
Liquidity coverage ratio (%)	202,55%	212,04%	223,94%	213,99%	174,38%
Net Stable Funding Ratio	0	0
Total available stable funding	18 975 583	18 238 115
Total required stable funding	14 568 805	13 504 346
NSFR ratio (%)	130,25%	135,05%

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DISCLOSURE OF OTP BANK PLC - 30 September 2021

I.1.1. Capital adequacy of the OTP Group

The capital requirement calculation of the Group for 30.09.2021 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 30.09.2021 the capital adequacy ratio of OTP Group - with the profit of the first two quarter - was 17.28%. The Group regulatory capital requirement as of 30th September 2021 was HUF 1,317,421 million and the amount of regulatory capital was HUF 2,845,704 million.

Chart 2: Overview of total risk exposure amounts

	Total risk exposure amounts (TREA)	Minimum capital
(in HUF million)	requirements
	30.09.2021	30.06.2021	31.03.2021	30.09.2021
Credit risk (excluding CCR)	14 405 332	13 561 026	13 582 206	1 152 427
Of which the standardised	14 405 332	13 561 026	13 582 206	1 152 427
approach
CCR	306 982	209 389	145 707	24 559
Of which mark to market	291 779	194 226	131 461	23 342
Of which CVA	15 203	15 163	14 246	1 216
Market risk	397 945	402 289	167 371	31 836
Of which the standardised	397 945	402 289	167 371	31 836
approach
Operational risk	1 357 507	1 355 484	1 432 272	108 601
Of which basic indicator	528 686	528 686	607 474	42 295
approach
Of which standardised	0	0	0	0
approach
Of which advances	828 821	826 798	824 797	66 306
measurement approach
Total	16 467 767	15 528 188	15 327 556	1 317 421

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DISCLOSURE OF OTP BANK PLC - 30 September 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: Calculation of regulatory capital

				(C)
				AMOUNTS SUBJECT TO PRE-
Common Equity Tier 1 capital: instruments and reserves	(A)	(B)	REGULATION (EU) No
REGULATION (EU) No 575/2013	575/2013 TREATMENT OR
(in HUF million)	30 September 2021
ARTICLE REFERENCE	PRESCRIBED RESIDUAL
				AMOUNT OF REGULATION
				(EU) 575/2013
6	Common Equity Tier 1 (CET1) capital before regulatory adjustments	2 636 616
28	Total regulatory adjustments to Common Equity Tier 1 (CET1)	-48 358
29	Common Equity Tier 1 (CET1) capital	2 588 258
36	Additional Tier 1 (AT1) capital before regulatory adjustments	0
43	Total regulatory adjustments to Additional Tier 1 (AT1) capital	0
44	Additional Tier 1 (AT1) capital	0
45	Tier 1 capital (T1 = CET1 + AT1)	2 588 258
51	Tier 2 (T2) capital before regulatory adjustment	257 446
57	Total regulatory adjustments to Tier 2 (T2) capital	0
58	Tier 2 (T2) capital	257 446
59	Total capital (TC = T1 + T2)	2 845 704
61	Common Equity Tier 1 (as a percentage of total risk exposure amount	15,72%	92 (2) (a), 465
62	Tier 1 (as a percentage of total risk exposure amount	15,72%	92 (2) (b), 465
63	Total capital (as a percentage of total risk exposure amount	17,28%	92 (2) (c)

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