Market Leader with Potential for Further Penetration
Glossary & Definitions
Key simplifying assumptions
NII sensitivity
Non-interest income
Non-recurring items
NPE ratio
NPES
An instantaneous and sustained parallel movement in EUR and USD interest rates.
Static balance sheet in size and composition.
Assets and liabilities whose pricing is mechanically linked to market / central bank rates assumed to reprice accordingly.
50% pass through assumption for term deposits (Fixed and Notice).
This sensitivity is not a forecast of interest rate expectations, and the Bank's pricing decisions in the event of an interest rate change may differ from the assumptions underlying this sensitivity.
Accordingly, in the event of an interest rate change the actual impact on Group NII may differ from that presented in this analysis.
Non-interest income comprises Net fee and commission income, Net foreign exchange gains/(losses) and net gains/(losses) on financial instruments and (excluding net gains on loans and
advances to customers at FVPL), Net insurance result, Net gains/(losses) from revaluation and disposal of investment properties and on disposal of stock of properties, and Other income.
Non-recurring items as presented in the 'Unaudited Condensed Consolidated Income Statement - Underlying basis' relate to the following items, as applicable: (i) Advisory and other restructuring
costs organic, (ii) Provisions/net profit/(loss) relating to NPE sales, (iii) Restructuring and other costs relating to NPE sales, and (iv) Restructuring costs relating to the Voluntary Staff Exit Plan.
NPEs ratio is calculated as the NPEs as per EBA (as defined) divided by gross loans (as defined).
As per the European Banking Authorities (EBA) standards and European Central Bank's (ECB) Guidance to Banks on Non-Performing Loans (which was published in March 2017), non-performing
exposures (NPEs) are defined as those exposures that satisfy one of the following conditions:
(i)
number of days past due.
(ii)
The borrower is assessed as unlikely to pay its credit obligations in full without the realisation of the collateral, regardless of the existence of any past due amount or of the
Defaulted or impaired exposures as per the approach provided in the Capital Requirement Regulation (CRR), which would also trigger a default under specific credit adjustment,
diminished financial obligation and obligor bankruptcy.
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Material exposures as set by the CBC, which are more than 90 days past due.
Performing forborne exposures under probation for which additional forbearance measures are extended.
Performing forborne exposures previously classified as NPEs that present more than 30 days past due within the probation period.
From 1 January 2021 two regulatory guidelines came into force that affect NPE classification and Days-Past-Due calculation. More specifically, these are the RTS on the Materiality Threshold of
Credit Obligations Past-Due (EBA/RTS/2016/06), and the Guideline on the Application of the Definition of Default under article 178 (EBA/RTS/2016/07).
The Days-Past-Due (DPD) counter begins counting DPD as soon as the arrears or excesses of an exposure reach the materiality threshold (rather than as of the first day of presenting any amount
of arrears or excesses). Similarly, the counter will be set to zero when the arrears or excesses drop below the materiality threshold. Payments towards the exposure that do not reduce the
arrears/excesses below the materiality threshold, will not impact the counter.
For retail debtors, when a specific part of the exposures of a customer that fulfils the NPE criteria set out above is greater than 20% of the gross carrying amount of all on balance sheet exposures of
that customer, then the total customer exposure is classified as non performing; otherwise only the specific part of the exposure is classified as non performing. For non retail debtors, when an
exposure fulfils the NPE criteria set out above, then the total customer exposure is classified as non performing.
Material arrears/excesses are defined as follows: (a) Retail exposures: Total arrears/excess amount greater than €100, (b) Exposures other than retail: Total arrears/excess amount greater than
€500 and the amount in arrears/excess in relation to the customer's total exposure is at least 1%.
For further information please refer to the Annual Financial Report 2022.
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