Slide 1: Asset Quality Review and Stress Test: Comprehensive Assessment Results
Asset Quality Review and Stress Test Comprehensive Assessment Results 26 October 2014
Slide 2: Disclaimer
Disclaimer This presentation has been prepared solely for informational purposes. Any projections or other estimates in this presentation, including estimates on the returns or performance, or the results of our operations and business, are forward-looking statements based upon certain assumptions a
Slide 3: Highlights
01 Highlights 1.1 Key Takeaways 1.2 Summary Results: CET1 Ratios 1.3 Comprehensive Assessment Underlines Credit Loss Estimates in Line with BlackRock II Diagnostic Lifetime CLP 3 Highlights
Slide 4: 1.1 Key Takeaways
01 1.1 Key Takeaways Piraeus is above the Comprehensive Assessment (‘CA’) thresholds post AQR, in the dynamic scenario, as well as in Projected Loan Loss Reserves (‘LLRs’) in 2016YE reach 24% of gross loans in baseline static and 26% in adverse static, in the static scenario combined with the re
Slide 5: 1.2 Summary Results: CET1 ratios
01 1.2 Summary Results: CET1 ratios Baseline scenario Adverse scenario CET1 ratio 12.0% 12.4% 11.4% 10.7% € bn buffer CET1 ratio above threshold 8.0% 8.0% € bn buffer 2.8 2.5 2.1 € bn buffer above threshold 1.6 6.7% above threshold € bn buffer 6.1% 1.5 1.7 Threshold above threshold 0.8 8.0% 0.3 Th
Slide 6: 1.3 Credit Loss Estimates in Line with BlackRock II Diagnostic Lifetime CLP
1.3 Comprehensive Assessment Underlines Credit Loss Estimates in Line with 01 BlackRock II Diagnostic Lifetime CLP Baseline scenario - static Adverse scenario - static (€ mn) (€ mn) LLRs % gross loans 26.4% 29.7% LLRs % gross loans 24.2% 23.8% 22,476 3,647 20,120 1,926 18,399 18,033 2,709 2,709 13,7
Slide 7: AQR Results
02 AQR Results 2.1 AQR Methodology 2.2 AQR Non Performing Exposures 2.3 AQR Provisions 7 AQR Results
Slide 8: 2.1 AQR Methodology
02 2.1 AQR Methodology A very thorough process… …coupled with a prudent approach Selected portfolio for credit file review covered Prudent definition of NPE exposure, with 50% of total approx. 29% of AQR loan perimeter loan exposure classified as NPE AQR perimeter covers 84% of total loan ex
Slide 9: 2.2 AQR Non Performing Exposures
02 2.2 AQR Non Performing Exposures NPL and NPE as % of total loans and total exposure, 31 December 2013 Group NPL to NPE reconciliation, 2013YE Coverage Implied NPE Pre AQR AQR Perimeter Group Perimeter Total 42% NPE Coverage Loan Other (Group Post AQR Implied 56% 51% 50% (a) € bn balances NPLs NPE
Slide 10: 2.3 AQR Provisions
02 2.3 AQR Provisions Group AQR adjustment to provisions Total Impact on Credit Risk NPE provision adjustments to CET1 ratio RWA coverage ratio Sampled Projection of Collective provisions (gross of tax (€ mn) 2013YE pre-AQR Files findings review (gross of tax) 31 Dec’13) Sovereigns and Supranational
Slide 11: The Stress Test
03 The Stress Test 3.1 EU-wide Stress Test Methodology 3.2 Overview of the Stress Test Exercise 3.3 PPI Conservatively Estimated 3.4 Prudent Loan and Other Assets Impairment 3.5 CET1 Above Minimum Requirement post SCI (Static) 3.6 CET1 Markedly Above Minimum Requirement (Dynamic) 11 The Stress Test
Slide 12: 3.1 EU-wide Stress Test Methodology
03 3.1 EU-wide Stress Test Methodology EBA, ECB 130 Banks EC, ESRB 20 Eurozone EU-wide Stress Test NCAs members The EU-wide stress test was carried out to assess the resilience of financial institutions to stress market developments and the Baseline & 3 year time potential for systemic risk to incre
Slide 13: 3.2 Overview of the Stress Test Exercise
03 3.2 Overview of the Stress Test Exercise Static Dynamic 4,104 Baseline scenario - Capital Impact (€ mn) Baseline scenario - Capital Impact (€ mn) 2,468 367 1,842 (1,862) (135) (632) (1,926) (253) (87) (767) (564) Adverse scenario - Capital Impact (€ mn) 1,927 Adverse scenario - Capital Impact (€
Slide 14: 3.3 PPI Conservatively Estimated
03 3.3 PPI Conservatively Estimated CA’s PPI vs. Run rates Reference Run- (€ mn) Conservative assumptions adopted on capital generation capacity CA Estimated 3Y PPI rate of PPI 4,104 Comprehensive Assessment estimates imply substantial haircut to recently reported normalised PPI: 3,540 − Metho
Slide 15: 3.4 Prudent Loan and Other Assets Impairment
3.4 Prudent Loan and Other Assets 03 Impairment Prudent loan impairment (static approach) Real estate & other impairments (static approach) Based on flow of new defaults akin to renewed stress over the forecast period (post AQR) Real Estate impairment post AQR at €0.2 bn in baseline and €0.6 b
Slide 16: 3.5 Static: CET1 Above Minimum Requirement post SCI
3.5 Static: CET1 Above Minimum 03 Requirement post SCI Static capital position CET1: Baseline Adverse PPIBaseline: estimated to be significantly lower than the run-rate: 30% lower than annualized 2Q 2014 Static balance sheet % € mn % € mn Adverse: 70% lower than annualized 2Q 2014 3Y adverse stati
Slide 17: 3.6 Dynamic: CET1 Markedly Above Minimum Requirement
3.6 Dynamic: CET1 Markedly Above 03 Minimum Requirement Dynamic capital position CET1: Baseline Adverse PPI estimated to be significantly lower than the run-rate in the adverse scenario: Dynamic balance sheet % € mn % € mn Baseline: 16% higher than annualized 2Q 2014 Adverse: 46% lower than annual
Slide 18: Communication
Communication Anthimos Thomopoulos, CEO George Poulopoulos, CFO Costas Adamopoulos, Head, Business Planning, IR & Economic Analysis George Marinopoulos, Director, Business Planning & IR Chryssanthi Berbati, Head, Investor Relations Vicky Diamantopoulou, Head, Business Planning 4 Amerikis St, 105 64