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Investor Presentaiton

• Pro forma for Held For Sale, CET1 at 15.8% ¹ and Total Capital ratio at 20.8%¹ min OCR (SREP) requirement for 2021³ 20.8% 2.9% 14.8% 15.8% 15.1% 2.1% 14.7% 0.5% (0.3%) -0.3%- (0.1%) 0.7% 9.7% 14.5% Capital position 1 January 2022 15.1% 10.1% CET1 31 Dec 2020 CET1 30 Sep Operating Provisions and profit impairments RWAs Other 2 2021 1 CET1 31 Dec 2021 1 Held for Sale CET1 31 Dec 2021 AT1 T2 Total Capital ratio CET1 ratio pro forma 31 Dec 2021 for HFS 1,4 pro forma for HFS 1,4 pro forma for HFS 1,4 CET1 ratio¹ positively impacted by: • c.50 bps organic capital generation from operating profitability c.30 bps from release of RWAS CET1 ratio¹ negatively impacted by: • c.30 bps from provisions and impairments² HFS expected to add c.65 bps by completion • CET1 ratio fully loaded at 13.7% and 14.3% pro forma for HFS • • CET1 and Total capital minimum capital requirements for 2022 at 10.1% and 15.0% respectively, following 26 bps increase in P2R mainly due to ECB's prudential provisioning (effective from Mar 2022) and 25 bps phasing in of O-SII buffer as of 1 Jan 2022 (refer to slide 73) P2R add-on is dynamic and can be reduced during 2022 on the basis of in- scope NPEs and level of provisioning • Decrease in P2G more than offsets P2R increase in CET1 ratio • The Group continues to monitor opportunities for the optimisation of its capital position including Additional Tier1 capital 1) Allowing for IFRS 9 and temporary treatment for certain FVOCI instruments transitional arrangements 2) Loan credit losses and other impairments (include the net change of the prudential charges relating to specific credits and other items) 4) 37 3) OCR (SREP) - Overall Capital Requirement (refer to slide 73) Includes unaudited/unreviewed profits for the year ended 31 December 2021 21
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