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Investor Presentaiton

SREP and MREL requirements SREP requirements for 2020: CET1 ratio at 9.7% Group Financial Results for the year ended 31 December 2020 SREP requirements for 2020 Total Capital ratio at 14.5% 11.0% O-SII1 14.0% 0.5% 14.5% 1.0% O-SII CCB 2 1 10.5% 0.5% 1.0% 9.7% CCB2 2.5% 2.5% 2.5% 2.5% 1.0% Pillar 2R 3.0% 3.0% 2.5% Pillar 2R 3.0% 3.0% Tier 2 2.0% 2.0% 1.7% AT1/ 1.5% 1.5% Total Pillar 1 4.5% 4.5% 4.5% Pillar 1 4.5% Pillar 1 of 8% 4.5% 2019 2020 2019 2020 MREL requirements 2020 post ECB announcement 1) • • . • In Feb 2021, the Bank received notification from the Single Resolution Board (SRB) of the draft decision for the binding minimum requirement for own funds and eligible liabilities (MREL) for the Bank, determined as the preferred resolution point of entry. As per the draft decision, the minimum MREL requirement is set at 23.32% of RWAs and 5.91% of leverage ratio exposure (LRE) and must be met by 31 Dec 2025. Furthermore, the Bank must comply by 1 Jan 2022 with an interim requirement of 14.94% of RWAs and 5.91% of LRE. The own funds used by the Bank to meet the combined buffer requirement (CBR) will not be eligible to meet its MREL requirements expressed in terms of RWAs. Once the above-mentioned decision becomes final (expected within Mar 2021), these requirements will replace those that were previously applicable The MREL ratio of the Bank as at 31 Dec 2020, calculated according to SRB's eligibility criteria currently in effect and based on the Bank's internal estimate, stood at 15.36% of RWAS (and at 14.92% of RWAs as at 1 Jan 2021) and at c.10% of LRE (and at c.10% of LRE as at 1 Jan 2021). Pro forma for NPE sales, the MREL ratio of the Bank as at 31 Dec 2020, calculated on the same basis, stood at 15.81%³ of RWAs (and at 15.36%³ of RWAs as at 1 Jan 2021). The MREL ratio expressed as % of RWAs does not include the capital used to meet the CBR amount, currently at 3.5% and expected to increase to 4% on 1 Jan 2022 The MREL requirement is in line with the Bank's expectations and funding plans The Group is currently evaluating opportunities for a potential Tier 2 capital transaction given the terms and maturity profile of the Bank's existing €250 mn 10NC5 Tier 2 notes, subject to market conditions and applicable regulatory authorisations. Separately the Group continues to evaluate opportunities to initiate its MREL issuance as part of its overall capital and funding strategy The Central Bank of Cyprus (CBC) set the O-SII buffer for the Group at 2%. This buffer will be phased-in gradually, having started from 1 January 2019 at 0.5% and increasing by 0.5% every year thereafter, until being fully implemented (2.0%) on 1 January 2022. In April 2020 the CBC, as part of the COVID measures, decided to delay the phasing-in by 12 months (1 January 2023). As a result, the phasing-in of 0.5% on 1 January 2021 has been delayed for 12 months Bank of Cyprus Holdings 2) 3) In accordance with the legislation in Cyprus which has been set for all credit institutions the applicable rate of the CCB was fully phased in at 2.5% in 2019 Calculations on a pro forma basis assume legal completion of both Helix 2 Portfolio A and Helix 2 Portfolio B 69
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