national bank of greece: covered bond issuance - nbg · 1 this document is being provided to you...

National Bank of Greece: Covered Bond

Issuance

October 2017

1

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Important Notice – Forward Looking Information

Table of Contents

1 NBG Overview and Financial Highlights

2 Funding and Capital

3 Asset Quality

4 NBG Mortgage Business

5 NBG Covered Bond Programme II and New Issuance

6 Greece Macro Update

7 Appendix

NBG Overview and Financial Highlights

1

4

NBG at a glance

Premium brand of choice in Greece

Lowest gross NPEs and highest coverage levels among

peers

More than 90% of the restructuring plan already

completed

Over 170 years of history

Leader in low-cost savings deposits and mortgages

1st Greek Bank to repay state aid

Uniquely positioned to tap the Greek recovery potential Best in class liquidity position with clear path to

ELA elimination

Overview and Financial Highlights

5

Strong digital channels

1Based on C.A.P.I. tracking study during the period April-June 20152Banks’ financials statements, Banks’ investor presentations

NBG holds a leading position in Greece


Deeply rooted customer relationships2Reputational excellence in Greece: “premium brand of choice”

Bank of reference in Greece for over 170 years

33%28%

22%17%

NBG Peer 1 Peer 2 Peer 3

33%

26%22%

19%


Best Reputation (Survey) (1) Most Trustworthy (Survey)(1)

31,5%30,3%

21,2%

17,0%


Core deposit market share (2Q17)(2)

Total deposits/

branch€74,6m €59,8m €56,6m €54,2m

14,7m 17,6m

Electronic transactions

28,9m

870K

1,123K

1,340K1,474K

2014 2015 2016 1H17

€25,0bn €25,8bn

€40,3bn

€48,4bn

2014 2015 2016 1H17*

33,2m

E-banking users

The first Greek Bank to have repaid State aid2

: outstanding

: repaid

Outstanding Outstanding Outstanding Outstanding

Pillar I (State Preference

Shares)

Pillar II

(State Guaranteed

Bonds)

Pillar III

(Greek Government

Bonds)

CoCos not issued not issued

*1H annualized

Peer 1 Peer 2 Peer 3

6

Source: NBG H1 Financials

Hellenic Financial Stability Fund 40,4%

Domestic retail

6,5%

Domestic

institutionals

2,4%

Domestic

legal entities

1,0%

Internationall Institutionals 49,4%

Other 0,4%

Domestic investors: 10,9%

NBG Shareholder structure as at September 2017


7

Efficiency Improvement

Funding Cost Improvement

1. 2Q15 figures include the NBG Insurance

2. Down due to restructuring impact

3. Excludes the NBG Insurance, agreed to be sold in 2H17

4. Expected inflows in the 2 years following the imposition of capital controls at c.€3-4b, actual experienced at €0,9b

NBG has delivered most of medium term targets envisaged in the 2015 capital raise


Cost of risk evolution

Business Mix Optimization & Income growth

Greece

2Q15 2Q17 Δ

Time deposits repricing (bps) 185 89 -96

Reduction of ELA (€ b) 17,6 3,8 -13,8

Elimination of Pillar bonds (€ b) 8,7 0,0 -8,7

Deposit inflows (€ b)4 3-4 0,9

Greece

2Q151 2Q173 Δ

Gross Corporate loans / Total

loans (%)39,7 40,1 +40bps ●

Lending yield2 (bps) 411 393 -18 ●

Net Interest Income (€ m) 379 379 +0 ●

Net Interest Margin (bps) 249 309 +60

Fee Income / Assets (bps) 30 33 +3

Greece

2Q151 2Q173 Δ

# of employees (in 000s) 12,4 9,8 -2,6

Employee wage bill (€ m, ann.) 664 528 -136

Cost-to-Core income (%) 62 49 -14ppts

Greece

FY14A FY16A 2Q17A

CoR (bps) 270 212 257

P&L charge (€ m, annualized) 1,000 683 796

8

All major strategic objectives since the 2015 recapitalization have been completed – medium

term targets are attainable

Completed divestments in line with

the restructuring plan

Increased NPE and NPL coverage to

the highest levels among peers

Set the basis for OPEX reduction

Optimized collateral and liquidity

management

Significantly improved financial

performance across key metrics

Exceeded NPE and NPL reduction

targets

Repaid all outstanding State-aid

2016

1H.17 Group PPI increases by +19%

yoy

1H.17 Group OpEx declines by 9%

yoy

1H.17 Group PAT breaks even*

Continued to exceed NPE reduction

targets

Consistently maintaining NPE

coverage levels to the area of 55%

Completed 95% of the divestment

plan, ongoing divestments expected

to enhance further capital and

liquidity position

Clear path towards ELA exposure

elimination in the short to medium

term

€0,7b new loan disbursements to

corporates during 1H.17

H1 2017

Consistently delivering on all strategic objectives

Q4 2015

Recapitalization following the

AQR results

Restructuring plan approval by

European Commission

Revised strategy and changed

leadership


*pro forma for the NBG Insurance sale

Medium term targets are

attainable

Improve asset quality

Normalize liquidity position

H2 2017 - 2019

Enhance core income growth

Increase exposures in commercial

lending, benefiting NII and NIM

through mix improvement

Capitalize on leading position to

increase transaction fees

Utilize high coverage and capital

levels to work through NPEs

Achieve all asset quality KPIs agreed

with SSM

Disengage from ELA funding

Return to primary wholesale funding

markets activity

Capitalize on leading franchise

position to attract any deposit inflows

a

b

c

9

€ m 1H17 1H16 YoY 2Q17 1Q17 QoQ

NII 815 835 -2% 405 410 -1%

Net Fees & Commissions 119 72 +66% 59 60 -2%

Core Income 934 907 +3% 464 470 -1%

Trading & other income (74) (69) +7% (73) (1) >100%

Income 860 838 +3% 391 469 -17%

Operating Expenses (463) (505) -8% (232) (231) +0%

Core PPI 471 402 +17% 232 239 -3%

PPI 397 333 +19% 159 238 -33%

Provisions (433) (326) +33% (200) (233) -14%

Operating Profit (37) 6 n/m (41) 5 n/m

Other impairments (7) (44) -85% (1) (6) -92%

PBT (43) (37) +16% (42) (1) >100%

Taxes (17) (5) >100% (10) (7) +49%

PAT (cont. ops) (60) (42) +43% (52) (8) >100%

PAT (discont. ops) (67) (2 912) -98% (97) 30 n/m

Minorities (16) (21) -22% (7) (9) -22%

NIC1 144 - n/m 144 - n/m

PAT 0 (2 975) n/m (13) 13 n/m

P&L Highlights

1. NIC: pro forma capital gain from the sale of NBG Insurance

1H17 Group PPI increases by +19% yoy in 1H 2017

Group P&L

Driven by domestic operations, 1H17 group core PPI reaches

€471m, up by 17% yoy reflecting:

– Increasing group core income (+3% yoy)

– Lower group OpEx (-8% yoy)

More specifically:

– NII down by 2% yoy, reflects 1H17 continuing deleverage of the

loan portfolio in light of 1H uncertainty in the domestic market

– Net fee growth reflects significant improvements in the Bank’s

liquidity profile, allowing for the elimination of state aid related

funding costs, resulting in net fee increase of 66% relative to

1H16

– OpEx reduction (-8,3% yoy at the group level), is driven by

domestic personnel costs (-12,6% yoy), reflecting the success of

the 2016 VES involving c10% of domestic FTEs

– Credit risk charges reduce by 14% qoq to 243bps, keeping

coverage ratio constant despite write offs

– 1H17 Group PAT breaks even

UBB sale CET1 impact, partially offset by impairments on Romania

and Serbia reflecting agreements to sell below book (-38bps)

Apart from the NBG Insurance capital impact, the RWA

deconsolidation impact of BROM, Vojvo and SABA (-€1,8b),

expected in 2H17, will boost capital


10

56%

54% 54%

48%49%

2Q16 3Q16 4Q16 1Q17 2Q17

Domestic OpEx evolution (€ m)

Group OpEx by category (€ m)

1H17 personnel costs decline 13% yoy, leading cost to core income below 50%

Headcount evolution (‘000)

Domestic cost-to-core income evolution

Greece Group

1H17 1H16 yoy 1H17 1H16 yoy

Personnel 263 301 -12,6% 286 323 -11,6%

G&As 115 118 -2,3% 130 134 -3,0%

Depreciation 45 45 -0,7% 47 48 -1,0%

Total 423 464 -8,8% 463 505 -8,3%

151 154 147 131 132

86 82 8879 81

237 237 235210 213

2Q16 3Q16 4Q16 1Q17 2Q17

15,012,2 12,0

9,9 9,9 9,8

10,1

7,9 7,8

1,9 1,9 1,9

25,1

20,1 19,8

11,8 11,8 11,7

FY09 1 FY14 FY15 FY16 1Q17 2Q17

G&A &

other

Staff

SEE &

Other

Greece

1. Excludes NBG Insurance, UBB, BROM & Vojvo employees

111


11

Remaining NPE reduction at €5,1b (€ b)

NPE operational targets for 2017 are attainable Parent NPE reduction targets (SSM perimeter) (€ b)

21,5

-3,3

-5,1 13,1

FY15 Done Remaining FY19

• Operational targets submitted to the SSM contain a reduction of

NPLs and NPEs by €7,4b and €8,5b over the period 2016-2019,

equal to a reduction of c.50% and 40% respectively

• Upon achieving these targets in 2019, NBG will have reduced its

NPL and NPE ratios by c.15ppts, with NPE coverage around the

50% mark

• Already achieved reduction by €3,3b, overshoots the 2017 target

by €0,7b, providing operating flexibility

15,2 15,3 15,0 15,0

14,0 13,9

13,6 12,6

7,7

6,4 0,0 6-0,9 5,6

-1,04,7

-0,9 4,7-0,2 4,6

-0,3 -0,1

5,0

21,5 21,5

20,6

19,618,7 18,5 18,2 18,1

13,1

-8,5

NPLs

NPEs

NPE reduction target

Total targeted:

-€8,5b

near FY.17 target due

to €0,7b buffer

NPEs decline for a 5th quarter in a row adding up to a total reduction of €3,3b since end 2015


12

NPE performance significantly ahead of target, liquidity continues to improve substantially,

divestments on track

Liquidity, Asset Quality & Capital Highlights Key Ratios - Group

1H17 1Q17 FY16

Liquidity

Loans-to-Deposits ratio 86% 87% 87%

ELA exposure (€ b) 3,8 5,6 5,6

Profitability

NIM (bps) 306 302 288

Cost-to-Core income 49% 48% 55%

Asset quality

NPE ratio 45,0%3 44,9% 44,9%

NPE coverage ratio 55,7% 56,0% 55,9%

Cost of Risk (bps) 260 278 248

Capital

CET1 phased-in 16,5%1 16,0%2 16,3%2

CET1 ratio CRD IV FL 16,3%1 15,8%2 15,8%2

RWAs (€ b) 39,01 41,32 41,12

1. Excludes the impact from the agreed sales of SABA, NBG Insurance, BROM and Vodjvodjanska

2. Excludes the impact from the agreed sales of UBB, Interlease & SABA

3. Excluding the deleveraging impact, NPE ratio in 2Q is 67bps lower qoq

Domestic NPE stock reduction continues for a 5th consecutive quarter

– NPE reduction continues in 2Q17, with the stock reduced by €0,3b, reflecting zero

gross formation and fully provided write offs

– Net NPE reduction achieved since end-2015 stands at €3,3b

– Excluding write offs, NPE reduction results place NBG €0,7b ahead of the 2Q 2017

SSM target

– Domestic NPE and NPL coverage remains at sector leading levels (56% and 75%),

combining with the lowest NPL and NPE levels among domestic banks

ELA elimination in sight

– ELA exposure continues on a downward trend, reaching €2,6b in August

– The agreed transactions of NBG Insurance, Banca Romanesca and Vodvodjanska will

provide an additional €1,7b of liquidity

– Execution of remaining capital actions and other initiatives, expected during the

next few months, will permit NBG to fully disengage from ELA

– Superior liquidity position and lowest funding cost among local peers, imply NBG is

best positioned to satisfy demand for corporate credit, expected to pick up in 2H17

CET1 ratio at 16,5%1 or 16,3%1 on a CRD IV FL basis

– Group RWAs at €39,0b1 of which €34,8b in Greece (phased in)

– Agreed capital actions will complete in 2H.17 boosting capital

– Equity of remaining SEE assets to be divested at €0,5b, RWAs at €2,4b


Funding and Capital

2

14

Peer group analysis: liquidity position (Group)

1. Excl. EFSF & ESM bonds

2. Estimated based on latest available funding balances & yields

3. Peer average data excluding NBG, based on latest available data

Best in class liquidity and lowest cost of funding place NBG at an advantageous position to

satisfy demand for credit from healthy corporates

Funding and Capital

NBG domestic deposit flows per quarter (€ b)

-2,2

-4,8-3,6

0,3 0,8

-0,9

0,0 0,3 0,9

-0,8

0,2 0,5

4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16 1Q17 2Q17 3Qtd

-€10,6 b +€1,3 b

Peer Group: Domestic funding cost2

0,46%

0,59%0,67% 0,66%


91% 91% 89%86% 87% 85%

141% 138%134%

130% 130% 128%

1Q16 2Q16 3Q16 4Q16 1Q17 2Q17

Peer domestic

L/D ratio3

NBG Greece

L/D ratio

provides

upside for

selective

credit

growth

Domestic L/D ratio evolution

2,6

8,5 9,19,9


4% 17%15%13%ELA/

Assets1

15

10,0 10,012,5 11,8

8,9 8,2 6,74,6 4,6 4,4 4,2

17,615,6 11,5

11,0

6,1 5,1

5,6 5,6 3,8 3,1 2,6

0,9

4,03,8 4,7

5,24,4

4,23,5

27,625,6

24 23,7

1917,1 17

15,4

12,811,7

10,3

Total Eurosystem exposure reduced by c. €20,8b and ELA reduced by c. €15b on the back of

the divestment plan, interbank funding and deleveraging

Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17

ECB

ELA

Interbank

Eurosystem and Interbank funding evolution (all amounts in €b and cash equivalents)

Waiver

Reinstatement

Pillars

cancellation

Collateral

optimization Interbank funding

-4,0b Eurosystem

exposure Sinepia

+0,3b cash

Correlated assets

repos

-1,2b Eurosystem

exposure

Jun-17Sep-15Jun-15

Increase of

correlated assets

repos

Jul -17

2,6

3,2

17,6

3,0

2,1

2,0

1,61,1

1,10,5 0,8 0,4 0,1 -0,9

ELA June 2015

Divestment

plan Net Loans

Net Intragroup

Funding

Net Interbank

Repos

(Correlated) Net Deposits

Net Bond

Redemptions

Waiver

Reinstatement Net Cash Recapitalisation Cash Collateral Other

Covered Bond

Maturity

ELA August

2017

ELA reduction – Key items (all amounts in €b and cash equivalents)

Aug -17

Funding and Capital

16

2,6

0,4

0,75

0,5

0,65

0,28

ELA Exposure: Aug-17 Divestment plan proceeds Covered Bond issuance ELA pro-forma exposure,

FY 2017

Ongoing initiatives can provide for ELA disengagement in early 2018; further capital markets

access will be based on a medium term strategy

Ongoing initiatives that can be completed in 2017

All amounts in €b and cash equivalents

- Announced and agreed divestments are expected

to enhance bank liquidity position by c. €1.7b.

- A covered bond issuance can pave the way for

ELA disengagement in early 2018

- Further actions can provide for a convincing ELA

exit

NBG Insurance

Vojvodanska

BROM

1,7

Funding and Capital

- Signal NBG’s return to the capital

markets with a bail-in exempt

instrument

- Disengage from ELA

- Expand investor base

- Establish pricing benchmark

- Build-up capital structure with

cheapest alternative

- Fill MREL bucket

- Provide buffer to senior debt

- Rebuild senior curves

- Increase reliance on capital

markets funding

- Widen investor base and increase

liquidity on the secondary market

Covered bond issuance Subordinated and Senior Issuances

2018Q32017 2019

Medium term strategy for capital markets access

17

17,8 17,7 18,0 17,8 17,9

6,8 7,2 7,6 7,0 7,2

11,1 11,1 11,3 11,3 11,1

35,7 36,036,8 36,1 36,2

2Q16 3Q16 4Q16 1Q17 2Q17

Time

Sight &

other

Savings

+0,4% qoq

Greek deposit yields (bps)

20 2018 17 17

113

103

95

89 89

5147

4441 40

2Q16 3Q16 4Q16 1Q17 2Q17

Time deposit yields stabilize, reflecting a bottoming out of the front-book spread; front-back

book gap narrowing, along with ELA reduction, to support NII in 2H17

Funding and Capital

Greek deposits evolution (€ b)

Time

Total

New production

yield

at 70 bps

69% 69% 69% 69% 69% Core deposits/total

2Q17 Mkt share

36%, +1,2 ppts yoy

Core

18

CET 1 ratio

Acceleration of divestiture plan enhances capital and liquidity substantially and underlines

NBG’s commitment to the successful implementation of the restructuring plan

Funding and Capital

Divestments: latest developments

NBG Insurance closing expected in H2.17; impact of: c110bps in

capital and c€770m in liquidity

– Following the transaction NBG retains a 25% stake along with

an exclusive bancassurance agreement

UBB and Interlease highly capital accretive and liquidity enhancing

transactions completed

Banca Romaneasca, Vojvodjanska, NBG Leasing (Serbia) and SABA

to close in H2.17, RWA deconsolidation impact of c80bps in capital,

offsetting the 2Q 38bps negative impact arising from agreeing to

sell at a discount to book; liquidity impact of c€1b

Excluding completed and agreed transactions, equity of remaining

SEE assets to be divested stands at €0,5b; RWAs at €2,4b

16,0% 16,5%

8,75%

16,3%

1Q17 2Q17 2017 SREP CRD IV fully

loaded

RWAs (€ b) 41,3 39,0 39,0

CET1:

€6,4bCET1:

€6,5b

DTC: €4,8b

CET1:

8,75%

OCR:

12,25%

CET1:

€6,6b

-€1,8b ΔRWAs qoq

from the sale of

UBB/Interlease

Asset Quality

3

20

Peer Group1: NPE & Coverage (Group)

6,67,3

9,0

5,8

-3,8

-7,3-6,9

-6,0


1. Latest available data, Banks’ financials and investor presentations

Asset quality

NBG stands out in asset quality compared to peer group

Peer Group1: 90dpd & Coverage (Group) Peer Group1: net NPLs vs TBV (Group)

Coverage

ratio

90dpd

ratio

TBV less

net NPLs

(€b)

TBV (€b)

Unprovided

NPLs (€b)

74% 68% 69%

65%

34%

37% 38%

35%


56%45%

48%

51%

45%

52%54%

44%


Coverage

ratio

NPE ratio

€2,8b -€0,0b €2,1b -€0,2b

21

Domestic NPE stock evolution (€ b)

Domestic NPE stock movement (€ b)Domestic NPE stock per category – 2Q17 (€ b)

5,6

2,3 2,2

3,8

1,4

0,3 0,3

2,7

7,0

2,6 2,5

6,5

Mortgages Consumer SBL Corporate

FNPE & other

impaired

90dpd

22,0

-0,6-0,3

21,1

-0,7-0,2

20,1

-0,2-0,7

19,2+0,05

-0,2

19,0

-0,01 -0,3

18,7

15,1 15,3 14,4 14,3 13,9

5,9 4,84,8 4,7 4,8

21,120,1

19,2 19,0 18,7

2Q16 3Q16 4Q16 1Q17 2Q17

FNPEs & other

impaired

90dpd

Asset quality

47,9% 46,4% 45,1% 45,1% 45,2%NPE ratio

13,9

18,7

+16bps

reported basis

-67bps qoq

excluding

deleveraging

impact

Zero net NPE formation in 2Q and fully provided write offs, keep the NPE stock on a declining

trend

22

Domestic NPE ratios and coverage per segment

Domestic 90dpd ratios per segment

43%

93% 78%

111% 75,4% 74,2%

34%

51%

62%

23%

33,7% 33,8%

Mortgages Consumer SBL Corporate Total GRE Group

34%

82% 68%

65% 56,2% 55,7%

42%

58%

71%

39%45,2% 45,0%

Mortgages Consumer SBL Corporate Total GRE Group

1. Bank level

Asset quality

Domestic forborne stock breakdown (€ b)

Domestic 90dpd – NPE bridge (€ b)

13,9

3,3 0,8 0,618,7

90dpd FNPE <30 FNPE 31-90 Other impaired NPEs

FNPE<30 dpd

3,3

FNPE 31-90dpd

0,8

FNPE >90dpd

3,2

FPE 2,9

Cash

coverage

Cash

coverage

14% 47% 48% 25% 25%Provisions/

Gross loans

10,2

Collateral

coverage176% 9% 52% 53% 55%

SEE & other:

90dpd ratio: 35%

Coverage: 55%

SEE & other:

NPE ratio: 42%

Coverage: 46%

Lowest 90dpd and NPE ratios in Greece combined with the highest cash coverage

23

Corporate NPL Management

Special Assets Unit (“SAU”) is a centralised unit with end-to-end responsibility for the

management of corporate NPLs with:

− Vertically integrated management to ensure single point accountability and efficient

decision making

− Dedicated SAU RMs and separate Credit Committees

− Clear prioritisation strategy based on ageing, size, collateralisation levels and legal

status

− Internally developed tools to prioritise alternative strategies and assess debtors’

viability

− Short-term and longer-term target setting and RM productivity monitored monthly

− Certain corporate exposures are managed by the business unit

Overview of Portfolio

Retail Collections Unit

Retail Collections Unit (“RCU”) is an independent unit focused on management of

retail NPLs and collections

− Centralised unit with end-to-end responsibility

− Strategy differentiated by customer segmentation: collecting in early buckets,

restructuring subsequently, legal actions according to selection criteria, and

settlements for >360dpd

− New restructuring products designed to ensure solution sustainability based on

PTI and on client’s disposable income after subtracting reasonable living

expenses

− Tight performance monitoring of internal collection center and external

agents and lawyers through comprehensive KPIs

− Champion/challenger tactics frequently employed to test new segment strategies

based on cohort attributes (profession, income, dpd, collateral)

Retail Balance (€b) Treatment Clients (‘000) FTE

Mortgages 9,1 Collections 85 256

Consumer 2,8 Restructuring 41 129

Micro-SBL 1,2 Legal/ 216 365

Settlements

Total 13,1 342 750

Branches (execution) 807

Various support functions 133

c. 2,000 FTEs deployed in

collections and NPL

management

(1) SME: small & medium enterprises

(2) SBL: small business loans

Asset quality

Corporate Balance (€b)of which

(denounced)#Clients FTEs

Large Corporates & Shipping 2,4 0,6 499 27

SMEs 2,5 1,3 4,067 71

SBL 1,1 0,5 6,759 72

of which

Denounced (Admin.) n.a n.a. (5,596) 66

Legal, Control & Operational 64

Total 6,0 11,325 300

(1)

(3) Denounced: legal procedures have been initiated.

(4) Clients with all contracts denounced

(3) & (4)

(2)

Large scale Special Asset (Corporate) and Retail Collection Units

NBG Mortgage Business

4


Business Banking & Retail Loans Division is managing the mortgage portfolio

Underwriting

Center C

Business Banking & Retail

Loans

Mortgage Portfolio

Analysis

Reporting/ MIS

Portfolio

analysis

Target setting

& monitoring

Budget

preparation &

monitoring

Analytics

Operational Support

Credit Policy review

Quality control

(post approval

review)

Systems support

Compliance issues

management

Compliance,

Operational Risk

and Environmental

policy management

Product Development

Proposal for new

product development

Product pricing

Preparation of circulars

Participation in the

preparation of legal

contracts

Product

parameterization (IRIS)

Internet and intranet

material support

After-sales support

Unit/ Helpdesk

Handling

customers’

requests and

complaints

Branches after

sales support

Network’s

compliance with

internal audit

findings

Litigation support

includes approvals

Quality Control team

Reception, validation, processing and underwriting of new loan

applications including mortgages, consumer loans & credit cards

Processing of restructuring / rescheduling applications

Fraud checks

Credit cards’ physical file review

Underwriting

Center AUnderwriting

Center B

Underwriting

Center D

Head of Approval

Center

Head of Mortgage

Loans

Source: National Bank of Greece

26

…in co-operation with other bank units – duties clearly segregated through the cycle

credit

• defines overall credit policy

• sets credit limit authorities

• sanctions larger exposures

• reviews and authorizes new

products in accordance with the

credit policy

risk

designs, develops and monitors all

credit decision engines incl.:

• origination rating

• behavioral rating

• LGD rating model

• risk based pricing

risk appetite definition

business unit

product design

product factory

underwriting

portfolio management

branch network

retail collections

customer facing units

legal / technical support

centralized services

campaign management

sales & customer service

application origination

disbursement

collections

restructuring

legal actions



27

All products are discrete, well defined and monitored independently

• Commitment through borrower’s higher equity

participation (max LTV: 75%)

• Stricter assessment of borrower’s repayment

capacity

• New originations always require principal

repayment

• Risk-based pricing

• Maturities offered take into account the financing

purpose and the size of the loan

All products are discrete, well defined and monitored independently

New originations

The Bank offers a wide range of mortgage products:

• Lending purposes:

1. purchase, construction, completion, extension or repair of residential premises

2. purchase of land for building

• Interest rates: floating or fixed to floating (introductory for 3 or 5 years)

Floating rate mortgages are indexed based on three month Euribor, plus a spread depending

predominately on the customer’s credit profile and loan characteristics (i.e. LTV and PTI ratios, loan

purpose, score)

• Collaterals: loans are secured by a 1st lien mortgage over the subject property or other acceptable

collateral

• Duration: up to 30 years and 15 years in case of repairs or improvements, subject to an individual’s

age

Financing products’ overview

Discontinued products

The Bank has discontinued the following products: (a) guaranteed / subsidized; (b) transfers

from other banks



28

Corrective measures have been taken as a response to the crisis

90+ dpd %

disbursements to

new customers

measures

2011

Stricter

underwriting

criteria

Discontinued

products with

high default

rages

1st generation

restructuring

products

2010 2012

Further

tightening of

underwriting

criteria

3rd generation

restructuring

products

2013 2014

2nd

generation

restructuring

products

Further

tightening of

underwriting

criteria

Approval

authority

levels

decreased

4th generation

restructuring

products

which take

into

consideration

the financial

situation of

the customer

New

originations

considering

the total

relationship

of the

customer

with the

Bank

outstanding

balances

2015 2016

Adjustment to

legislative

framework of

Code of

Conduct

5th generation

restructuring

products

Review of new

origination

products

offered, for

better

monitoring1,42

0,300,05 0,03 0,04 0,06 0,05 0,01

New

approval

authority

levels

all amounts in € b

2017

Reorganization of

Retail Lending to

increase efficiency

and synergies

New application

system embedding

risk-based pricing

20,519,7

18,9 18,718 17,4

16,7 16,5

2010 2011 2012 2013 2014 2015 2016 2017Q1


10%15%

24%27% 30% 34% 34% 34%

New Origination

2012-1Q2017

WA Payment to

Income of 25%

WA LTV 56%

NPL ratio 0,6%


29

Mortgage loans are approved under a strict set of criteria and controls

Additional checks / Comments

credit scoring includes the assessment of

customers' demographics and relationship with

the bank

Key metric Approval Criteria

verification of income through electronic

tax system

assessment of collateral's quality and compulsory

borrower’s self participation in advance

Rating based on the weighted behavior of score of

customers' different loan products

specific high risk customer categories are always

rejected

customers with restructured products

score card

PTI

LTV

Tiresias score

customer behaviour

<35%1

credit bureau scoring based on financial

behaviour of borrowers

up to 75%

based on bespoke scorecard

Internal risk based customer segmentation

1 – officially 40%, however effectively 35%- taking into consideration customer’s depository or investment relationship within the Bank

risk based pricing considering LTV, PTI, application score &

financing purpose

embedded in the application system



30

Clear system of credit authority levels for all mortgage approvalsap

pro

valau

tho

rity

approval level

2,000Retail Credit Risk Head &

Mortgages Division Head

2,000+Group CCO & Retail GM

50Level 1

750Credit Centre Head & Retail

Credit Risk representative

100Level 2

total exposure (€k)

• new approval authority levels effective from March

2017

• greater involvement of the Credit Division in the

approval process

• credit threshold lowered from 750k to 300k (Retail

Credit Risk involvement necessary above this limit)

200Level 3

Level 4 300



31

Underwriting is done centrally, driven by product type and a number of controls are in place

both pre and post disbursement

customer

applicationdata collection

& input

Processing Center

disbursement

2-stage evaluation of loan applications respecting 4-eye principle and approval limits; checks embedded in supporting IT systems

Branch branch

fin

al

deci

sio

nUnderwriting Team

new originations

evaluation

Credit Decision

approval authority levels based on:

1. applicants’ total exposure in NBG retail products

2. requested amount

in accordance with the credit authorities

matrix

underwriting system built-in controls

mortgage division controls

pre

-dis

bu

rsem

en

t

credit division controls

internal audit controls

po

st-d

isb

urs

em

en

t

control description control description

• automated controls built in the application

workflow system on application score, PTI,

LTV, credit authorization limits

• daily post approval pre-disbursement on

a 2% random sample; audit & evaluation

of processing & underwriting procedure

• monitoring of the credit evaluation process to

ensure Group Credit Policy alignment,

reviewing of loan files sample

• independent and objective audit activity,

providing advisory work, ensuring the

implementation of policies and regulation

centralized loan administration

• mortgage, legal, property value

validation, confirmation of credit pre-

approvalSarbanes-Oxley 404

• yearly self assessment and certification of

procedures and controls which are

publicly disclosed



32

Robust models are used for underwriting and monitoring of the mortgage portfolio

Mortgages PD

models (2)

Behavioral

scorecards (3)

Description Factors

• statistical model, automatically run on a monthly basis

• 2 sub-models, one for Young and one for Mature accounts

• used in capital adequacy and provisioning

• assesses all accounts since date activation

• maturity

• delinquent amount

• initial Loan amount

• delinquency patterns

• product type

• application score

• statistical models, automatically run on a monthly basis

• 3 different models, for Current, Cycle 1 and Cycle 2 accounts

• models examine account behavioral patterns in the 12-months

most recent history

• models predict probability of 60+ “Identify them early” approach

• used in customer rating

• MoB

• delinquency patterns

• maturity

Application

scorecard

• statistical model, automatically run when a new loan application

is assessed

• model predicts probability of 90+ in the next 18 months

• applicant demographics (age,

marital status, education)

• occupation

• income

• loan characteristics(term, purpose)

• Credit Bureau information



33

Centralized delinquency management under Retail Collections (“RC”) from 1+dpd

Retail

Collections Head

External law offices

Branch network:

personnel dedicated to RC

Retail Collections

Operations

Retail Collections

Strategy and Support

Deputy CEO

Business

Requirement

Analysis

State Guarantee

& Subsidized

Loan

Management

Restructuring &

Debt Settlement

Management

Legal

ManagementAdministration

Internal Retail

Collections

Management

Strategic

Planning

Operations

Support

Retail

Collections

Agencies

Management

Auction

Administration

External collection

agencies

Delinquent Retail

Underwritting

366

175

115

830

248 15 72 19 815 18 58 29 25

15249

568Number of

FTEs 1100Number of

other personnel

Collections strategy and portfolio segmentation

Budgeting/ forecasting, target setting and legal processes support

Performance monitoring and reporting

Process reengineering and IT system requirements

Individual insolvency borrowers management (L.3869)

BoG Code of Conduct management

Loan restructuring and debt settlement special issues management and approvals

External agencies invoicing

Claim payments stemming from State guarantees

Management and training of internal collection center teams

Monitoring and management of external collection agencies

Customer complaints management

Legal case assignment

External law offices management

Administration of auction procedures

General administration

Strategy and Support main responsibilities Operations main responsibilities

290

Number of

external

resources



34

Three main remedial actions are utilized to manage delinquent assets

Legal EnforcementRestructuringForborne1

Not Forborne

180Days past due 120

Collections Restructuring

270

Legal Enforcement

Collections is the first step for all delinquent accounts and the preferred remedial action in order to minimize the inflow of accounts in the NPEs.

Restructuring is the next step for

delinquent accounts. By the use of an

algorithm, a viable restructuring

solution is calculated based on the

client’s capacity to repay.

Legal enforcement is the last

remedial action. By utilizing legal

actions, NBG aims to maximize

recoveries through collateral

enforcement, increase collateral

coverage through forced prenotation,

incentivize uncooperative customers

and address risks related to moral

hazard.

1 2 3

11

Collections



1. Forborne: Exposures for which forbearance measures have been extended according to EBA ITS technical standards on Forbearance and Non-Performing Exposures

35

Clear target setting and restructuring schemes implemented to pursue collections

Debt Collections Agencies (“DCAs”)

Internal Collection Center (“ICC”)

StageHeadcount

3 DCAs with

a total

headcount

of 175 FTEs

104 FTEs

Early

Collections:

11-60dpd

Late Collections:

60-120dpd for

Forborne or 60-

180dpd for not

Forborne

Target

Roll rate1

Roll rate1 Exits from

90+dpd through

cash collections for

buckets 4-6

Collections Restructuring

Headcount

830 FTEs dedicated to

restructuring efforts

92 FTEs

Target

collection rate2 and

restructuring rate3

Exits from 90+dpd

through cash

collections or

restructuring

1. For example, the roll rate from bucket 1 (i.e. 1-30dpd) to bucket 2 (i.e. 30-60dpd) is defined as the portion of balances that were in bucket 1 at the beginning of the assignment which migrated to bucket 2

at the end of the assignment, i.e. in the next billing; more simply, it is the percentage of clients paying less than one instalment within a month

2. Collection rate is defined as cash collections within a month over balance assigned at the beginning of the month

3. Restructuring rate is defined as restructurings disbursed within a month over balance assigned at the beginning of the month

Branches

Internal Collection Center (“ICC”)




Legal enforcement process leading to collateral liquidation

Extrajudicial letter Payment order Forced prenotation Seizure Auction

Desc

rip

tio

n

Legally force pre-

notation on

property as claim

on consumer

loans

Court payment

order is a

prerequisite

Selection criteria

consider overall

balance owed,

real estate

property value,

LTV and

privileged claims

Seize real estate

property

A payment order

is a prerequisite

May accept

down payment

from client to

suspend auction

Set minimum

bid (may repeat

auction if not

met)

Specific timeline

of the repetition

of the auctions

Receipt of Auction

Proceeds

The ranking of

claims is served

to the Bank

within 2-3

months and the

hearing in court

of any

objections is

determined in 2

months

Issue

extrajudicial

letter and

serve it to

customer by

bailiff

Apply for Court

payment order

Issue payment

order through

Court and serve it

to customer by

bailiff

<1 month 6 months <1 month 7-8 months* 2-8 months*

* Timeline estimation based on recent legislation changes, without taking into account potential operational effects (e.g. e-auctions introduction)

Speed up for 2017:

140 properties seized up to Jun.17 out of ~1000

that expected to be done for this year


NBG Covered Bond Programme II and

New Issuance

5

38

Rationale and investment highlights for a new Covered Bond issuance by National Bank of

Greece

Covered Bond Programme II and New Issuance

Rationale

Investment Highlights

Reintroduction to the capital markets with a bail-in exempt instrument

Signal of a mid-term commitment to the capital markets as part of a wider funding strategy

Disengagement from the Emergency Liquidity Assistance (ELA), providing for a clear credit differential compared to

peers

Reestablishment of pricing benchmarks that can be used for further debt instruments in the future

Expansion of investor base

Higher rating compared to sovereign bonds albeit currently capped at the country ceiling

Rating upside due to the conditional pass through structure

Resistant to market volatility

Bonds structured in accordance with the criteria of the exception set for the participation under CBBP3 of Greek

non-investment grade covered bonds

Potential participation of Official Institutions

25% contractual OC commitment


39

1 Loans with a higher LTV ratio may be included in the cover pool, but they are taken into account for the calculation of the statutory tests only up to the amount indicated by the LTV cap.

The Greek Covered Bonds Framework: Overview

Key areas Description

Cover Assets Residential Mortgages ≤ 80% LTV 1

Commercial Mortgages ≤ 60% LTV 1

Shipping Loans ≤ 60% LTV 1

Residential and commercial mortgage loans may only be included in the cover pool if the property subject to the mortgage is situated in Greece

Derivatives may also be included in the cover pool to the extent that they are used exclusively to hedge interest rate, FX or liquidity risk.

The valuation of properties must be performed at or below the market value and must be repeated every year in relation to commercial properties and every three years in relation to

residential properties.

Mandatory overcollateralization 5% OC

Banks Requirements • Aggregate regulatory capital of at least 500 million Euros and a capital adequacy ratio of at least 9%.

• Banks need to meet minimum risk management and internal control requirements including suitable policies and procedures for the issuance of covered bonds, organizational

requirements, IT infrastructure and a policy for the reduction and management of risks deriving from covered bond issuance

Statutory Tests (a) The nominal value of the covered bonds including accrued interest may not exceed at any point in time 95% of the nominal value of the cover assets including accrued interest;

(b) The net present value of obligations to holders of covered bonds and other creditors secured by the cover pool may not exceed the net present value of the cover assets

including the derivatives used for hedging (assuming a parallel movement of the yield curves by 200 basis points).

(c) The amount of interest payable to holders of covered bonds for the next 12 months must not exceed the amount of interest expected to be received from the cover assets over

the same period.

Cover pool monitor The compliance with statutory tests, mentioned above, is audited by independent auditors. Such audit reports, as well as the quarterly compliance reports by the issuer are submitted to the

Bank of Greece.

Reporting duties of the issuer Disclosure requirements to the BoG: (a) results of annual AUP by the independent auditor; (b) Detailed data of the cover pool assets along with the revaluation of the real estate

Segregation of cover assets The cover assets are segregated from the remaining estate of the credit institution through a pledge constituted by operation of law (statutory pledge). The relevant legislation creates an

absolute priority of holders of covered bonds and other secured parties over the cover pool. The statutory pledge supersedes the general privileges in favour of certain preferred claims

(such as claims of employees, the Greek state and social security organizations).

Bankruptcy remoteness The covered bonds are not affected by the commencement of any insolvency proceedings against the issuer and covered bonds do not automatically accelerate upon insolvency of the

credit institution. In case of insolvency of the issuer, the Bank of Greece may appoint an administrator if the trustee does not do so.

Set-off risk the claims constituting cover assets are not subject to set-off.

Residual Recourse The relevant legislation provides for dual recourse both to the cover pool as secured creditors and to the remaining assets of the credit institution ranking as unsecured and

unsubordinated creditors.



40

Sources: National Bank of Greece, EBA-Op-2016-23

Greek framework fully complies with 12/15 EBA recommendations

EBA recommendations Description Greek Framework

Dual RecourseFull alignment reflects that the dual recourse is considered a sine qua non of the concept of a

covered bond as defined in Article 52(4) of the UCITS Directive.

Fully aligned

Segregation of the cover assets Segregation of the cover assets by way of their registration in the Pledge Registry Fully aligned

Bankruptcy remoteness of the covered bondRemoteness of the covered bond from the bankruptcy of the issuer and a preferential claim of the

covered bond investors on cover assets.

Fully aligned

Administration of the covered bond programme post the

issuer’s insolvency or resolution

Upon the issuer’s insolvency or resolution, the covered bond programme is managed in an

independent manner and in the preferential interests of the covered bond investor.

Fully aligned

Composition of cover pools Cover pools should consist exclusively of one primary asset class; limited to EEA jurisdictions Partially aligned

LTV limits Maximum LTV parameters to determine the percentage portion of the loan that contributes to the

requirement for coverage of liabilities of the covered bond programme (soft LTV limits).

Fully aligned

LTV measurement and frequency of revaluationThe value of the property securing a particular loan must be updated on at least a yearly basis Fully aligned

Coverage principles and overcollateralisationThe liabilities of the covered bond programme are sufficiently covered by cover assets Fully aligned

Use of derivativesDerivative instruments are allowed in covered bond programmes exclusively for risk hedging

purposes

Fully aligned

Liquidity buffer Means of liquid assets are available at all times to cover the cumulative net outflows of the covered

bond programme over a certain time frame

Partially aligned

Stress testing Stress test exercises on the calculation of the coverage requirement Partially aligned

Appointment of the cover pool monitorAt the establishment of a given covered bond programme, a cover pool monitor is appointed Fully aligned

Supervision of the covered bond issuer Clear and sufficiently detailed illustration of the duties and powers of the competent authority

regarding the ongoing supervision of covered bond issuers

Fully aligned

Duties and powers of the national authority in a scenario of the

issuer’s insolvency

Existence of a sufficiently detailed description of what the duties and powers of the competent

authority in a scenario of the issuer’s insolvency.

Fully aligned

Scope of disclosure Issuers should disclose aggregate data on the credit risk, market risk and liquidity risk characteristics

of cover assets and covered bonds

Fully aligned

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15


41

1 Decision of the European Central Bank of 15 October 2014 on the implementation of the third covered bond purchase programme (ECB/2014/40) (2014/828/EU)

Key features NBG Covered Bond Programme II

Issuer National Bank of Greece S.A.

Originator National Bank of Greece S.A.

Servicer National Bank of Greece S.A.

Programme size €15 billion

Currency EUR

Format Conditional pass-through

Issuer rating RD/Caa2/CCC+ (Fitch/Moody’s/S&P)

Ratings B/B3 (Fitch/Moody’s)

Country Ceilings B/B3 (Fitch/Moody’s)

Collateral Prime Greek residential mortgage loans

Contractual minimum OC level 25%

Legal minimum OC level 5%

Asset Monitor Ernst & Young

Back-Up Servicer Alpha Bank A.E.

CBPP3 eligibility – Issuer’s assessment NBG Covered Bond Programme II

General Criteria 1

1) Covered bonds eligible for monetary policy operations in line with section 6.2.1 of Annex I to Guideline ECB/2011/14;

2) and in addition, fulfil the conditions for their acceptance as own-used collateral as laid out in section 6.2.3.2. (fifth paragraph) of Annex I to

Guideline ECB/2011/14;

3) and are issued by credit institutions incorporated in the euro area

For covered bonds which currently do not achieve the CQS3 rating in Greece and Cyprus 1

1) Programmes rated at country ceiling

2) Monthly reporting of pool and asset characteristics

3) Minimum committed OC of 25%

4) Currency hedges or at least 95% of assets are in euro

5) Claims must be against debtors domiciled in the euro area

√

√

√

√

√

√

√

√

Key features of NBG’s Covered Bond Programme II

Covered Bond Programme II and New IssuanceSource: National Bank of Greece

42

Fitch: Assessment of NBG Covered Bond Programme II

Rating Inputs

Issuer Default Rating (IDR)

Potential notching above Long-Term

Issuer Default Rating for Greek CB

Issuers

Fitch

Restricted Default (RD)

Summary of Rating Agency Considerations

Potential Uplift

Effective Uplift

IDR + [8-10]1

IDR + 2

Source: Fitch reports

Sovereign Rating

CeilingB

NBG’s Viability Rating (VR) is “ccc” – upgraded by Fitch from “f” with other Greek

issuers on 19th June 2017 reflecting banks’ improved liquidity and expectations

for reduction in political risk and strengthening of depositor and investor

confidence following the completion of the second review of Greece’s third

economic adjustment programme

The starting point in the ratings process is the “ccc” VR. Fitch then considers the

available protection to investors, mainly in the form of OC, and assesses whether

it is sufficient to compensate for credit and interest-rate risk at the respective

instrument rating

There is up to 2 notches uplift over the IDR assigned to programmes in

jurisdictions with advanced resolution frameworks where CBs and secured debt

are exempt from bail-in (applicable in Greece)

Payment Continuity Uplift (PCU) of up to 8 notches if there are satisfactory

liquidity protection mechanisms in place for payments on CBs to be met timely in

case of enforcement of recourse against the cover pool

Fitch has assigned the Programme an IDR uplift of 2 notches and a PCU of 8

notches but this is not a driver of the rating as the “B” assigned to NBG

Programme II is capped by the Greek Country Ceiling

The “B-” assigned to Greek CB programmes is at the Greek Country Ceiling

Recovery prospects driven by the maximum asset percentage (which is a

minimum 25% contractual overcollateralization for NBG Programme II)

There have been no missed payments on interest or principal that have become

due on Greek covered bonds, which continue to be performing obligations of the

Issuers

Provisions to take into account BRRD Yes, IDR + 2 possible

1 Payment continuity uplift ranges from 6 to 8 notches depending on the programme

Viability Rating (VR) ccc

Hellenic Republic Rating B-


OC consistent with current rating 0%

43

Moody’s: Assessment of NBG Covered Bond Programme II

Moody’s utilizes its standard two-step process to determine the ratings of NBG Covered Bond Programme II: expected loss analysis and a timely payment indicator (TPI)

On 27th June 2017 Moody’s upgraded the ratings of the NBG Covered Bond Programme II to B3

This follows (a) the upgrade by Moody’s of Greece’s long-term issuer rating to Caa2 from Caa3 on 23rd June 2017 and a change in outlook to “Positive” from “Stable”; this

action reflected the successful conclusion of the second review under Greece’s adjustment programme, improved fiscal prospects and early signs of economic stabilization;

and (b) the upgrade of NBG’s baseline credit assessment to Caa2 with a positive outlook.

Following the upgrade of the sovereign rating of the Hellenic Republic, the country ceiling for structured finance transactions was increased to B3

The CB anchor for the NBG Programme II is the CR Assessment plus one notch (i.e. Caa1), with a current TPI assessment of ‘Probable’ and leeway of ‘limited or none – this

means the minimum CRA required to support the current B3 rating is the current level of Caa2(cr)

Given the linkage to the sovereign rating, additional upgrades in Greece’s sovereign rating may result in an upgrade in the ratings of covered bond programmes, provided

there is enough overcollateralization available to cover credit risk, in line with the current TPI assessment of “Probable”.

Illustrative Greek Covered Bond Programme Rating

Rating Rationale

Source: Moody’s


CRA RatingCB Anchor TPI Country Ceiling

(Greece)Max. CB Rating

Min. CRA Needed

for B3Uplift for BRRD Region Outcome TPI Assessment Outcome

Caa2(cr) BRRD Region YES +1 notch Probable +0 notches B3 B3 Caa2(cr)

44

NBG Covered Bond Programme II: Why a Conditional pass-through structure

The Conditional Pass-Through structure ensures an orderly wind-down of the Cover Pool and avoids the risk of a fire sale

and crystallization of losses for the investors

The Covered Bonds are bullet obligations of NBG. Non-payment of the bullet obligation will result in a payment default for

NBG, triggering cross-default provisions for other liabilities and an Issuer-Event under the Programme.

Following an Issuer Event, the Pass-Through repayment mechanism is activated:

– All cash flows received by the Replacement Servicer in respect of the Cover Pool can be used to pay down the relevant

outstanding Pass Through Covered Bonds

– Every six months an attempt will be made to sell (a randomly selected part of) the Cover Pool

– The sale can only proceed if the price achieved is at least equal to the Adjusted Required Redemption Amount

– During the Pass-Through phase, the OC is expected to increase as a result of the pay down of the outstanding

Covered Bonds, and a sale of the Cover Pool becomes more likely

NBG Covered Bond

Programme II Conditional Pass

Through Features

Hard bullet

Soft-bullet

Conditional pass-through

Extension of typically up to 1 year

Extension as per the Extended Final Maturity Date

Firesale

Firesale

Through sales of cover pool assets and natural amortization

Orderly wind-down


Comparison of Covered Bond structures


45

Enhanced rating stability and rating upside

– by reducing refinancing risk—major source of agency concern—structure significantly reduces downgrade probability of bonds and increases rating

upside compared to soft bullet and hard bullet structures

Regulator friendly

– avoids “must sell at all costs” at time of system wide stress

– avoids risk of crystallising losses

– complies with EBA recommendations on conditional pass throughs

Extension optionality has been eliminated

– Any non-payment on the final maturity date is a payment default for NBG, triggering cross-default provisions

Time subordination is mitigated…

– a Pass-Through bond can only liquidate “fair share” of cover pool, according to its notional as a proportion of the total notional outstanding (pro-rata)

– 25% contractually committed over-collateralisation protects against losses in the pool

– Breach of the Enhanced Amortization Test1 makes all bonds Pass Through

– the method of sale of assets ensures credit-enhancement for the remaining series is not eroded

… but respects original maturity dates…

– no cross-acceleration between bonds of different maturities

… maximizes probability of rapid payment in full

– by combination of natural pay-down of assets and sale of assets

… protects against any payment interruption

– Though a 12-month interest payments reserve, deposited in the offshore Transaction Account

1. Enhanced Amortization Test: whether the Euro Equivalent of the aggregate Principal Amount Outstanding of the Covered Bonds together with senior expenses that rank senior or pari passu with amounts due on the

Covered Bonds are not greater than or equal to 80% of the Nominal Value of the Cover Pool

NBG Covered Bond Programme II – Structural Features



NBG Covered Bond

Programme II Conditional Pass

Through Structural

Considerations

46

NBG Covered Bond Programme II – Key Events



– An Issuer Event is Triggered Means: (a) NBG stops payment of part or all of its debts; (b) NBG having resolved to enter into voluntary liquidation,

other than in respect of reconstruction, merger or amalgamation as approved in writing by the Trustee; (c) NBG

admits in writing its inability to pay or meet its debts; (d) NBG is forced to enter into liquidation pursuant to Greek

law, other than in respect of reconstruction, merger or amalgamation as approved in writing by the Trustee; (e) a

creditors' collective enforcement procedure is commenced against NBG (including such procedure under the Greek

Banking Legislation of the Hellenic Republic) and is not discharged or temporarily revoked (for so long as such

temporary revocation remains in effect or otherwise becomes permanent) within 30 days; (f) the appointment of any

administrator, liquidator or administrative or other receiver of NBG or all or a substantial part of its property or

assets; and (g) any action or step is taken which has a similar effect to the foregoing

Issuer Insolvency

Event

Means: (a) an Issuer Insolvency Event; (b) the Issuer fails to pay any principal or interest in respect of any Series

of Covered Bonds within a period of seven Athens Business Days from the due date; (c) the Issuer fails to pay the

Final Redemption Amount in respect of any Series of Covered Bonds on the Final Maturity Date (notwithstanding

that the relevant Series of Covered Bonds has an Extended Final Maturity Date); (d) default is made by the Issuer

in the performance or observance of any obligation, condition or provision binding on it and any other

Transaction Document to which the Issuer is a party; (e) any present or future Indebtedness in respect of moneys

borrowed or raised in an amount of €10,000,000 or more (other than Indebtedness under this Programme) of

the Issuer becomes due and payable prior to the stated maturity; (f) there is a breach of a Statutory Test on an

Applicable Calculation Date and such breach is not remedied within two Athens Business Days

– no further Covered Bonds will be issued

– the Servicer will procure that any and all payments under the Cover Pool

Assets are sent to the Transaction Account within 3 days of receipt

– all collections of principal and interest on the Cover Pool Assets will be

dedicated exclusively to the payment of interest and repayment of

principal on the Covered Bonds and to the fulfilment of the obligations of

the Issuer vis-à-vis the Secured Creditors in accordance with the Post-

Issuer Event Priority of Payments

– if NBG is the Servicer, its appointment as Servicer will be terminated and

a new servicer will be appointed pursuant to the terms of the Servicing

and Cash Management Deed and the Secondary Covered Bond

Legislation

Issuer Event

1

2

– then the Trustee shall serve a notice (a “Notice of Default”) on the Issuer.

Following the service of a Notice of Default, the Covered Bonds of all

Series shall become immediately due and payable.

If, following an Issuer Event, any of the following events occurs:

– on the Extended Final Maturity Date in respect of any Series of Pass-Through Covered Bonds there is a

failure to pay any amount of principal due on such Pass-Through Covered

– on any Interest Payment Date, a default in the payment of the amount of interest due on any Series of

Pass-Through Covered Bonds and any other Series of Covered Bonds occurs

– a breach of the Amortization Test

Cover Pool Event of Default

3

47

Statutory tests that are performed by the Servicer and validated by the Asset Monitor, prior

to the occurrence of an Issuer Event

Nominal Value Test

Applicable: Prior to the occurrence of an Issuer Event

Frequency: On each Calculation Date

Description: the Servicer shall determine on each

Calculation Date whether the Principal Amount

Outstanding of all Series of Covered Bonds, together with

all accrued interest thereon, is not greater than 80.0 per

cent. (the “Asset Percentage”) of the Nominal Value of the

Cover Pool (the “Nominal Value Test”).

The Nominal Value of the Cover pool is equal to:

A + B + C + D - Z

A = the “Adjusted Outstanding Principal Balance” of each Loan

in the Cover Pool as at the relevant Calculation Date, which shall

be the Euro Equivalent of the latest valuation relating to that

Loan multiplied by 0.80. For the purposes of this calculation, if

the relevant Loan is in arrears of more than 90 days, the

Adjusted Outstanding Principal Balance shall be deemed zero.

B = all interest accrued on Loans (other than Loans in arrears of

more than 90 days) comprised in the Cover Pool.

C = outstanding principal balance of, together with the accrued

interest thereon, the Marketable Assets

D = the aggregate amount standing to the credit of the

Transaction Account.

Z = the weighted average remaining maturity of all Covered

Bonds (expressed in years) then outstanding multiplied by the

Euro Equivalent of the aggregate Principal Amount Outstanding

of the Covered Bonds multiplied by the Negative Carry Factor.

Net Present Value Test



Description: the Servicer shall determine on each Calculation

Date whether the Net Present Value of liabilities under the

Covered Bonds then outstanding is less than or equal to the

Net Present Value of the Cover Pool.

The Servicer must ensure that the Net Present Value Test is

satisfied assuming a parallel shift of the yield curve by 200

basis points.

The Net Present Value is equal to:

A + B + C + D

A = Net present value of Loans comprised in the Cover Pool, in

accordance to their Adjusted Outstanding Principal Balance

B = net present value of Marketable Assets, which are to be included

for the purpose of valuation in accordance with paragraph 16 of the

Secondary Covered Bond Legislation.

C = net present value of any Interest Rate Swap, any FX Swap and

any Covered Bond Swap.

D = the aggregate amount standing to the credit of the Transaction

Account (and the net present value of the Authorised Investments

and Marketable Assets acquired from amounts standing to the credit

of the Transaction Account) (provided that amount is less than or

equal to 15 per cent. of the nominal value of the Covered Bonds plus

accrued interest).

Interest Cover Test



Description: the Servicer shall determine on each Calculation

Date whether the amount of interest due on all Series of

Covered Bonds does not exceed the amount of interest

expected to be received in respect of the assets comprised in

the Cover Pool and the Marketable Assets which are to be

included, in each case during the period of twelve months

from such Calculation Date and the Hedging Agreements (if

included, at the discretion of the Issuer) must be included for

assessing compliance with this test (the “Interest Cover Test”).

In calculating the interest expected to be received in respect

of assets comprised in the Cover Pool, the Servicer shall only

take into account any interest expected to be received on the

Loans, assuming for such purposes that the Loan has an

outstanding principal balance in an amount equal to Adjusted

Outstanding Principal Balance

1 2 3


Issuer Event

Breach


48

After the occurrence of an Issuer Event, the Replacement Servicer will perform the

Amortization and Enhanced Amortization Tests

Amortization Test

Applicable: After the occurrence of an Issuer Event


the Servicer shall determine whether the Nominal

Value (as described in the Nominal Value Test) will

be in an amount at least equal to the Euro

Equivalent of the aggregate Principal Amount

Outstanding of the Covered Bonds together with

senior expenses that rank in priority or pari passu

with amounts due on the Covered Bonds as

calculated on the relevant Calculation Date (the

“Amortization Test”).


Breach

Enhanced Amortization Test

Applicable: After the occurrence of an Issuer Event


the Servicer shall determine whether the Euro

Equivalent of the aggregate Principal Amount

Outstanding of the Covered Bonds together with

senior expenses that rank senior or pari passu with

amounts due on the Covered Bonds are not

greater than or equal to 80% of the Nominal Value

(as described in the Nominal Value Test) of the

Cover Pool (the “Enhanced Amortization Test”)

All outstanding series of Covered Bonds

become Pass Through Covered Bonds

Breach

1 2



49

Illustration of repayment mechanism following an Issuer Event

Back-up Servicer appoints a

Portfolio Manager to sell the

cover pool assets

The Portfolio Manager attempts

to sell assets every 6 months

No sale below the ARRA1 will be

permitted

All cash-flows received by the

cover pool are transferred to an

offshore Transaction Account

within three days

Servicer makes monthly

payments according to the Post-

Issuer Event Priority of Payments

using all the funds in the

Transaction Account

Timely payment of principal and interest by the Issuer Issue Date

Final Maturity Date

Extended Final Maturity Date

exte

nsi

on

peri

od

ori

gin

al

ten

or

Full Redemption of Principal Issuer Event

Yes

Payment on principal and interest due subject to availability

of funds

Sufficient proceeds=Yes Sufficient proceeds=No

Full Redemption of pass-

through bonds

Amortization Test Affected Series becomes a pass-through bond

Amortization of

Cover Pool

Sale of Selected Loans not

less than ARRA

First Refinance Date

Pass-Through Covered Bonds


6 M

on

ths

No

Enhanced Amortization Test

(25% OC)All Series Become Pass-

Through Covered Bonds

Any non payment by the

Issuer is a payment default

Trigger of cross default

provisions for the Issuer

Post Issuer Event tests


Fail

Fail

Back-up Servicer is

appointed


1 Adjusted Required Redemption Amount (ARRA): the Euro Equivalent of the Required Redemption Amount plus reasonable costs & expenses associated with sale of assets and of the Portfolio Manager in relation to the sale of

assets plus the Series Share of Expenses

50


Cover pool selection was based on a set of objective eligibility criteria

Cover pool eligibility

criteria


Borrowers are private individuals

Loans governed by Greek Law and denominated in Euro

Loans secured by a valid and enforceable first ranking Mortgage

and/or Pre-Notation over property located in Greece

The Property which secures the Loan has been reassessed, either

through a physical valuation or a Prop Index Valuation, at least once in

the last 12 months

Not an interest only Loan

Not a Subsidized Loan or a Loan made to employees of the Issuer

Cover pool additional

characteristics

Loans have been originated by NBG

Loans have not been subject to restructuring

Loans original tenor of up to 30 years

Loans current LTV<=80%

Borrowers’ internal credit scores based on the Issuer’s behavioral

models have been taken into account

1 2

3 4

47.091

55.135

47.346

Number of

Borrowers

Number of

Loanparts

Number of

Properties

Origina

l LTV

(w.a.);

54,76%

Current LTV (w.a.);

44,76%

Original tenor (w.a. / years); 21,97

Remaining tenor (w.a. / years); 11,763.488

1.476

Original

Balance (m)

Current

Balance (m)

51

0,1

9%

1,1

9%

0,8

8%

0,6

9%

1,0

1%

1,2

1%

1,1

8%

0,5

1%

0,8

6%

4,0

8% 8,6

8%

8,8

4%

10,5

8%

60.0

9%

<0.5

0.5

-1.0

1.0

-1.5

1.5

-2.0

2.0

-2.5

2.5

-3.0

3.0

-4.0

4.0

-5.0

5.0

-6.0

6.0

-7.0

7.0

-8.0

8.0

-9.0

9.0

-10.0

>10.0

% of Outstanding Notional Amount

0,2

3%

0,4

6%

1,5

8%

2,7

2% 5

,61%

10,0

2%

16,7

3%

13,8

8%

13,2

7%

8,8

0%

10,2

2%

6,4

5%

2,7

5%

0,5

3%

0,7

4%

1,5

1%

2,0

6%

1,9

0%

0,5

0%

19

88

-199

9

20

00

20

01

20

02

20

03

20

04

20

05

20

06

20

07

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

20

16

20

17

Source: Covered Bond Programme II August 2017 Monthly Investor Report

Cover Pool characteristics (1/3)

All amounts in EURO Current

Reporting Date 31-08-2017

Portfolio Cut-off Date 31-08-2017

Original Principal Balance (m) 3.488

Current Principal Balance (m) 1.476

Number of Borrowers 47.091

Number of Loanparts 55.135

Number of Properties 47.346

Average Principal Balance (borrower) 31.336

Average Principal Balance (parts) 26.764

Coupon: Weighted Average (%) 2,4

Weighted Average Original Loan to Value (%) 54,76

Weighted Average Loan to Indexed Value (%) 44,76

Seasoning (years): Weighted Average 10,25

Original Maturity (years): Weighted Average 21,97

Remaining Tenor (years): Weighted Average 11,76

Origination Year

Summary of Cover Pool

Maturity Year

Seasoning (in Years)

0,0

0% 1

,21%

2,6

2%

4,6

4%

5,2

5% 6,0

2%

4,7

1%

5,1

0% 6

,02%

4,8

9%

4,4

9%

4,4

2% 5

,49%

5,6

8%

4,3

7%

3,6

6%

3,3

8%

5,2

8% 6,4

6%

4,0

4%

2,7

8%

1,8

5%

2,3

8%

5,2

6%

2017

2018

2019

2020

2021

2022

2023

2024

2025

2026

2027

2028

2029

2030

2031

2032

2033

2034

2035

2036

2037

2038

2039

2040+

% of Outstanding Notional Amount % of Outstanding Notional Amount

W. A. Seasoning: 10,25yrs

W. A. Remaining tenor: 11,76yrs


52



Original Loan to Value (in %)

Loan to Indexed Value (in %)

Outstanding Notional Amount (€)

Geography

24,7

9%

17,3

9%

16,9

5%

15,4

0%

17,4

5%

8,0

2%

<40.0

0%

40.0

1%

- 50.0

0%

50.0

1%

- 60.0

0%

60.0

1%

- 70.0

0%

70.0

1%

- 80.0

0%

>80.0

1%

% of Outstanding Notional Amount% of Outstanding Notional Amount


41,6

0%

15,8

4%

15,7

1%

14,2

3%

12,4

6%

0,1

6%

≤40.0

0%

40.0

1%

-50.0

0%

50.0

1%

-60.0

0%

60.0

1%

-70.0

0%

70.0

1%

-80.0

0%

>80.0

0%

47.1

1%

7,3

4%

3,0

2%

2,5

5%

2,2

9%

1,8

2%

1,8

1%

1,6

4%

1,6

3%

1,5

0%

29.2

9%

Att

ica

Th

ess

alo

nik

i

Do

dekan

isa

Ach

aia

Lari

sa

Kykla

des

Ioan

nin

a

Mag

nesi

a

Hera

klio

n

Ch

an

ia

Oth

ers

W. A. Loan to Index Value: 44,76%

W. A. Original Loan to Value: 54,76%

21,4

8% 31,0

5%

19,9

8%

10,2

2%

5,6

1%

3,4

4%

2,0

3%

1,3

4%

1,0

2%

0,8

5%

2,9

8%

<25,0

00

25,0

00-

50,0

00

50,0

00-

75,0

00

75,0

00-

100,0

00

100,0

00-

125,0

00

125,0

00-

150,0

00

150,0

00-

175,0

00

175,0

00-

200,0

00

200,0

00-

225,0

00

225,0

00-2

50,0

00

>250,0

00

Average Principal Balance (Borrower): €31,336


53

Monthly

100,00%

69.1

1%

8,9

3%

6,8

7%

4,4

5%

1,8

3%

4,3

0%

1,0

5%

2,4

3%

0,2

7%

0,7

1%

0,0

5%

0,0

0%

0.0

%-2

.5%

2.5

%-2

.99%

3%

-3.4

9%

3.5

%-3

.99%

4%

-4.4

9%

4.5

%-4

.99%

5%

-5.4

9%

5.5

%-5

.99%

6%

-6.4

9%

6.5

%-6

.99%

7%

-7.4

9%

≥7.5

%

Performing (0-30

Days Past Due)

99,57%

31-60 Days Past

Due

0,35%

61-90 Days Past

Due

0,07%

91+ Days Past

Due

0,00%



Loan Coupon (in %)

Delinquencies

Interest Payment Type and Mortgage Payment Frequency

Property Description and Loan Purpose



Residential (Flat

/ Appartment)

89,40%

Residential

(House,

Detached, or

Semi-detached)

9,78%

Other

0,88%

Buy Primary

47,81%

Rennovating

29,08%

Buy Secondary

20,79%

Other

2,32%

Loan PurposeProperty Description


Standard

Amortising

98,2%

Other

1,8%

Product Type

W. A. Coupon: 2,35%

ECB Linked

56,46%

EURIBOR 3M

Linked

29,32%

EURIBOR 1M

Linked

6,11%

Fixed

4,67%

Originator Rate

3,44%

Mortgage Payment FrequencyInterest Payment Type


54

NBG recent track record in placing secured funding: 1st Greek SME Securitization in 9 years

Summary Terms & Conditions Capital Structure

Issuer: Sinepia D.A.C.

Originator: National Bank of Greece S.A.

Pricing Date: 1st August 2016

Interest Payments: Quarterly fixed rate

Repayment Type: Sequential pass through

Revolving Period: Static Portfolio

Listing: GEM (Irish Stock Exchange)

ClassIssue Amount

(€)

O/S

(€)C/E Rating (F/S) Coupon Final Maturity Status

A1 150m 35,6m 50,01% B-sf / BB(sf) 3mE + 185bps 18th Jul 2035 Pre-Placed



A4 88,8m 21m 50,01% B-sf / BB(sf) 3mE + 185bps 18th Jul 2035• 89% Placed

(12/2016)

• 11% Retained

M 259,1m 259,1m 10,01% NR 3mE + 300bps 18th Jul 2035 Retained

Z 64,9m 64,9m 0,00% NR 3mE + 500bps 18th Jul 2035 Retained

NOTEHOLDERS

(EBRD, EIB, EIF,

NBG)

SHARE TRUSTEE TMF

Management (Ireland)

Limited

CASH

MANAGER

HSBC Bank Plc

SERVICER

National Bank

of Greece S.A.

SUBORDINAT

ED LOAN

PROVIDER

National Bank

of Greece S.A.

TRUSTEE

HSBC Corporate Trustee

Company (UK) Limited

BORROWERS

OF

PORTFOLIO

ISSUER

SINEPIA

D.A.C

ReceivablesSale of Portfolio

Purchase Price

SELLER

National

Bank of

Greece S.A.

Principal & Interest

Proceeds

Transaction Structure

• Greece’s 1st EUR648m Greek SME CLO since 2007, originated by

the National Bank of Greece (NBG) and the 1st Greek

securitisation, subscribed by Supranationals

• Up to EUR300m of the CLO privately placed with the

supranational investors, EBRD, EIB and EIF, whilst the remaining

balance retained by NBG

• The transaction facilitated NBG’s funding strategy to re-tap

private liquidity towards reducing Eurosystem reliance, as well as

that of Supranationals to deploy European structural funds in

Greece

• The underlying portfolio was fully originated by NBG in Greece

and consisted of 2,840 loans allocated to 1,726 local SMEs. The

portfolio spanned primarily across 3 core industries:

Manufacturing (33,81%), Wholesale & Retail trade (30,42%) and

Hospitality (9,61%)

• The transaction signified the re-opening of Greece’s Structured

Finance, signalling a first easing step of market conditions, to

gradually accommodate Greek Banks’ funding needs

Transaction Highlights


Source: National Bank of GreeceBack-up

Servicer

Eurobank S.A.

Greece Macro Update

6

56

Sources: EL.STAT., Greek MinFin, Eurostat, EU Commission, Compliance Report 2nd Review

-16

-12

-8

-4

0

4

-16

-12

-8

-4

0

4

200

9

201

0

201

1

201

2

201

3

201

4

201

5

201

6

201

7f

201

8f

201

9f

202

0f

202

1f

Gen. Gov. total balance

Gen. Gov. primary balance

Primary balance (Programme target)

% of GDP

Restoration of fiscal credibility and the completion of the 2nd review of the economic support

programme, reduce country risk, improve liquidity and set the stage for recovery

Gen. Government: Total and primary balance (as % of GDP) State Budget Primary balance (as % of GDP)

-9

-7

-5

-3

-1

1

3

-9

-7

-5

-3

-1

1

3

Jan

Feb

Mar

Ap

r

May Jun

Jul

Au

g

Sep

Oct

No

v

De

c

2009 2010 2012 2013

2014 2015 2016 2017

% GDP

surplus

deficit

excluding SMP &

ANFA revenue

Greece Macro Update

GDP growth (y-o-y and q-o-q) Gen. Government: Revenue and primary expenditure

20

22

24

26

28

30

20

22

24

26

28

30

Aug

-11

Dec-11

Apr-

12

Aug

-12

Dec-12

Apr-

13

Aug

-13

Dec-13

Apr-

14

Aug

-14

Dec-14

Apr-

15

Aug

-15

Dec-15

Apr-

16

Aug

-16

Dec-16

Apr-

17

Aug

-17

Gen. Government net revenue Gen. Government primary expenditure

as % of GDP, 12 m m.a.

-4

-3

-2

-1

0

1

2

-10

-8

-6

-4

-2

0

2

4

Q2:2

012

Q4:2

012

Q2:2

013

Q4:2

013

Q2:2

014

Q4:2

014

Q2:2

015

Q4:2

015

Q2:2

016

Q4:2

016

Q2:2

017

GDP (q-o-q, s.a., right axis) GDP growth (y-o-y, s.a., left axis)

%

+0.8% y-o-yin Q2:2017

57

Sources: EL.STAT., Bank of Greece, EU Commission

60

65

70

75

-16

-12

-8

-4

0

4

8

12

Aug

-10

Dec-10

Apr-

11

Aug

-11

Dec-11

Apr-

12

Aug

-12

Dec-12

Apr-

13

Aug

-13

Dec-13

Apr-

14

Aug

-14

Dec-14

Apr-

15

Aug

-15

Dec-15

Apr-

16

Aug

-16

Dec-16

Apr-

17

Aug

-17

Capacity utilization (right axis)

Manufacturing production (y-o-y, 3m m.a., left axis)

% index

-12-8-4048121620

-60

-40

-20

0

20

40

60

80

Apr-

15

May-

15

Jun

-15

Jul-

15

Aug

-15

Sep

-15

Oct

-15

No

v-15

Dec-

15

Jan-1

6Feb

-16

Mar-

16

Apr-

16

May-

16

Jun

-16

Jul-

16

Aug

-16

Sep

-16

Oct

-16

No

v-16

Dec-

16

Jan-1

7Feb

-17

Mar-

17

Apr-

17

May-

17

Jun

-17

Jul-

17

Transportation (y-o-y, 3m m.a., left axis)

Other services (y-o-y, 3m m.a., left axis)

Tourism receipts (y-o-y, 3m m.a., right axis)

Exports of goods (excl. oil, y-o-y, 3m m.a., right axis)

Capital

controls

y-o-y

-85

-75

-65

-55

-45

-35

-25

-15

-5

5

-50

-40

-30

-20

-10

0

10

20

Oct

-12

Dec-

12

Feb

-13

Apr-

13

Jun

-13

Aug

-13

Oct

-13

Dec-

13

Feb

-14

Apr-

14

Jun

-14

Aug

-14

Oct

-14

Dec-

14

Feb

-15

Apr-

15

Jun

-15

Aug

-15

Oct

-15

Dec-

15

Feb

-16

Apr-

16

Jun

-16

Aug

-16

Oct

-16

Dec-

16

Feb

-17

Apr-

17

Jun

-17

Aug

-17

Industrial (left axis) Services (left axis)

Retail (left axis) Construction (right axis)

Index

Greece: Business confidence indicators

Healthy, export-oriented business activity gains momentum supporting employment creation

Manufacturing production and capacity utilization

Goods and services exports (y-o-y)

Unemployment rate and employment growth

0

5

10

15

20

25

-10

-6

-2

2

6

Jun

-09

Feb

-10

Oct

-10

Jun

-11

Feb

-12

Oct

-12

Jun

-13

Feb

-14

Oct

-14

Jun

-15

Feb

-16

Oct

-16

Jun

-17

Employment growth (left axis) Unemployment rate (right axis)

%y-o-y

Greece Macro Update

58

Unincorporated business & household income

Household disposable income picks up, house prices show signs of stabilization and Greece’s

sovereign credit rating has been upgraded in Q3:2017, along with a successful 5y GGB

issuance in July 2017

-20

-15

-10

-5

0

5

10

-20

-15

-10

-5

0

5

10

Q1:2

009

Q3:2

009

Q1:2

010

Q3:2

010

Q1:2

011

Q3:2

011

Q1:2

012

Q3:2

012

Q1:2

013

Q3:2

013

Q1:2

014

Q3:2

014

Q1:2

015

Q3:2

015

Q1:2

016

Q3:2

016

Q1:2

017

Household disposable income (gross, current prices, y-o-y, 2q m.a.)

Income from small business/unincorporated activity (mixed income, gross,

current prices, y-o-y, 2q m.a.)

y-o-y

-16

-12

-8

-4

0

4

-16

-12

-8

-4

0

4

H1

:2009

H2

:2009

H1

:2010

H2

:2010

H1

:2011

H2

:2011

H1

:2012

H2

:2012

H1

:2013

H2

:2013

H1

:2014

H2

:2014

H1

:2015

H2

:2015

H1

:2016

H2

:2016

Q1:2

017

Q2:2

017

Office prices (Athens, y-o-y) Retail prices (Athens, y-o-y)

House prices (total, y-o-y)

y-o-y

-1.2%

Sources: Bank of Greece, Eurostat, Bloomberg

Greek Sovereign, corporate bond yields & stock market Greece’s sovereign ratings

Real estate prices (y-o-y)

Greece Macro Update

0

3

6

9

12

15

18

0

3

6

9

12

15

18

Ma

r-10

Au

g-1

0

Jan

-11

Jun

-11

No

v-1

1

Ap

r-1

2

Sep

-12

Feb

-13

Jul-

13

De

c-13

Ma

y-1

4

Oct

-14

Ma

r-15

Au

g-1

5

Jan

-16

Jun

-16

No

v-1

6

Ap

r-1

7

Sep

-17

Fitch Moody's S&P

index value: 21 corresponds to AAA and 0 to selective default status

Latest

Outlook

B- Caa2 B-

positive positivepositive

2

5

8

11

14

1000

1500

2000

2500

3000

3500

May-15

Jun

-15

Jul-

15

Aug

-15

Sep

-15

Oct-

15

No

v-15

Dec-15

Jan-1

6Feb

-16

Mar-

16

Apr-

16

May-16

Jun

-16

Jul-

16

Aug

-16

Sep

-16

Oct-

16

No

v-16

Dec-16

Jan-1

7Feb

-17

Mar-

17

Apr-

17

May-17

Jun

-17

Jul-

17

Aug

-17

Sep

-17

FTSE/ATHEX Large Cap (left axis)

10yr Greek Government bond yield (right axis)

Greek non-financial corp. bond yield (BoG Composite Index, right axis)

index %

Capital

controls &

3rd MoU

Appendix

7

60

A gradual relaxation of the capital controls framework has been effected

• 100% of cash deposited after 22.07.16 can be withdrawn

• €840 equivalent per fortnight per customer (applicable up to

31.08.2017)

• €1.800 equivalent per month per customer (applicable from

1.09.2017)

• Allowed for existing (as of 11.03.16) customers

• Subject to specific criteria, e.g. primary payroll account, for new

customers

• Private individuals can transfer up to €1,000 per month

• Allowed

• Allowed

• Allowed

• Proceeds can be re-invested

• Prohibited when changing to foreign custodian

• Allowed

• < €350k approval at bank level

• Weekly limit for bank-level committee at €112mn

• > €350k approval by the Banking Transactions Approval

Committee

Cash

withdrawal

limit

New account

opening

• Allowed for existing (as of 11.03.16) customers

• Prohibited for new customers

Additional

account

beneficiary

• 100% of incoming funds can be re-transferred abroad

• 10% of incoming funds received before 22.07.16 can be withdrawn

• 30% of incoming funds received between 22.07.16 and 31.08.17

can be withdrawn

• 50% of incoming funds received after 01.09.2017 can be withdrawn

Transfers from

abroad

Outgoing wire

transfers

abroad

Time deposit

break

Purchase of

Greek mutual

funds

Greek capital

market

instruments

Foreign

investments

liquidation

Change of

Custodian Bank

Trade related

payments

Early loan

repayment

Appendix

61

Balance Sheet | Group

€ m 2Q17 1Q17 4Q16 3Q16 2Q16

Cash & Reserves 1 231 1 218 1 182 1 187 1 268

Interbank placements 2 032 1 975 2 087 2 554 2 554

Securities 15 369 16 679 18 530 19 921 21 100

Loans (Gross) 43 749 44 482 45 046 45 837 46 499

Provisions (10 968) (11 176) (11 301) (11 867) (12 034)

Goodwill & intangibles 123 115 117 113 115

Tangible assets 1 085 1 114 1 111 1 107 1 109

DTA 4 917 4 918 4 918 4 917 4 918

Other assets 6 654 6 772 7 458 8 305 8 285

Assets held for sale 5 681 9 459 9 382 9 669 10 101

Total assets 69 873 75 557 78 531 81 742 83 917

Interbank liabilities 13 945 16 522 18 167 17 753 20 191

Due to customers 38 324 38 132 38 924 38 071 37 776

Debt securities 523 550 663 1 508 1 264

Other liabilities 5 564 5 862 6 322 7 419 7 510

Hybrids - - - - -

Liabilities held for sale 4 095 6 889 6 870 6 857 7 410

Minorities 660 689 680 708 701

Equity 6 762 6 913 6 909 9 426 9 064

Total liabilities and

equity69 873 75 557 78 531 81 742 83 917

Appendix

Balance Sheet and Group P&L

€ m 2Q17 1Q17 4Q16 3Q16 2Q16

NII 405 410 406 417 414

Net fees 59 60 56 51 45

Core Income 464 470 462 468 459

Trading & other income1 (73) (1) 104 (27) (55)

Income 391 469 566 441 404

Operating Expenses (232) (231) (255) (257) (257)

Core Pre-Provision Income 232 239 208 211 201

Pre-Provision Income 159 238 311 184 146

Provisions (200) (233) (210) (161) (190)

Operating Profit (41) 5 101 23 (43)

Other impairments (1) (6) (28) (15) (12)

PBT (42) (1) 74 8 (55)

Taxes (10) (7) (9) (6) (3)

PAT (cont. ops) (52) (8) 65 2 (57)

PAT (discount. ops) (97) 30 7 21 (2 994)

Minorities (7) (9) 1 (7) (10)

NIC2 144 - - - -

PAT3 (13) 13 73 16 (3 062)

1. 4Q16 includes €150m gain from the sale of Astir Pallas, 2. NIC: pro forma capital gain from the sale of NBG Insurance, 3. Group attributable income includes a loss of €3,095m in 2Q16 which reflects the recycling of losses recognized

in other comprehensive income in previous periods and relates mainly to foreign currency translation differences from the translation of Finansbank’s assets and liabilities in Euro, in accordance with IFRS. This loss has already been

recognized in the Group’s equity and CET1 capital in prior periods, therefore has no impact on the Group’s equity and CET1 capital

P&L | Group

62

Evolution of RWAs (€ b)

1as at 1H2017

RWA Evolution | Asset-liability mix1

Asset mix (€ b) Liability mix (€ b)

Other,

13,5

DTA, 4,9

SEE & Other net

loans, 2,0

Domestic net loans;

30,8

EFSF/ESM

bonds; 5,1

Securities;

10,3

Interbank

placements; 2,0Cash; 1,2

69,9

Assets

Total equity and

minorities; 6,8

Other Liabilities;

10,3

Debt securities;

0,5

SEE & Other

deposits; 2,1

Time & Other;

11,1

Current & Sight;

7,2

Savings; 17,9

ELA, 3,8

ECB, 4,6

Interbank liabilities,

5,6

69,9

Liabilities

Domestic

deposits 36.0

61,8

-20,7

41,1

-2,1

39,0

-5,6

RWAs

2015

RWAs

2016

RWAs

1H17

Planned

Divestments

-€1,8b ΔRWAs qoq

from the sale of

UBB/Interlease

Appendix

63

Name Abbreviation Definition

Common Equity / Book Value BVEquity attributable to NBG shareholders less minorities (non-controlling interests) and contingent convertible

securities (CoCos)

Core Equity Tier 1 Ratio CET1 ratio CET1 capital, as defined by Regulation No 575/2013 and based on the transitional rules over RWAs

Core Equity Tier 1 Ratio Fully Loaded CET1 ratio, CRD IV FL CET1 capital as defined by Regulation No 575/2013, without the application of the transitional rules over RWAs

Core Income CI Net Interest Income (“NII”) + Net fee and commission income + Earned premia net of claims and commissions

Core Operating Result (Profit / (Loss)) - Core income less operating expenses and provisions (credit provisions and other impairment charges)

Core Operating Margin - Core operating profit / (loss) annualized over average net loans

Core Pre-Provision Income Core PPI Core Income less operating expenses, before provisions (credit provisions and other impairment charges)

Core Pre-Provision Margin Core PPI margin Core PPI annualized over average net loans

Cost of Risk / Provisioning Rate CoR Credit provisions of the period annualized over average net loans

Cost-to-Core Income Ratio C:CI Operating expenses over core Income

Cost-to-Income Ratio C:I Operating expenses over total income

Deposit Yields - Annualized interest expense on deposits over deposit balances

Forborne -Exposures for which forbearance measures have been extended according to EBA ITS technical standards on

Forbearance and Non-Performing Exposures

Forborne Non-Performing Exposures FNPEsExposures with forbearance measures that meet the criteria to be considered as non performing according to EBA

ITS technical standards on Forbearance and Non-Performing Exposures

Forborne Performing Exposures FPEs

Exposures with forbearance measures that do not meet the criteria to be considered as non performing according

to EBA ITS technical standards on Forbearance and Non-Performing Exposures and forborne exposures under

probation period

Funding cost - The blended cost of deposits, ECB refinancing, repo transactions and ELA funding

Gross Loans -Loans and advances to customers before allowance for impairment, excluding the loan to the Greek State of

€6.2bn

Loan Yield - Annualized loan interest income over gross performing loan balances

Loans-to-Deposits Ratio L:D Net loans over total deposits, period end

Definition of financial data & ratios used

Appendix

64

Name Abbreviation Definition

Net Interest Margin NIM NII annualized over average interest earning assets

Net Loans - Loans and advances to customers, excluding the loan to the Greek State of €6.0bn

Net Profit / (Loss) - Profit / (loss) for the period attributable to NBG equity shareholders

Non-Performing Exposures NPEs

Non-performing exposures are defined according to EBA ITS technical standards on Forbearance and Non-

Performing Exposures as exposures that satisfy either or both of the following criteria:

a) Material exposures which are more than 90 days past due

b) The debtor is assessed as unlikely to pay its credit obligations in full without realization of collateral, regardless

of the existence of any past due amount or of the number of days past due.

Non-Performing Exposures Coverage Ratio NPE coverage Stock of provisions (allowance for impairment for loans and advances to customers) over non-performing

exposures, period end

Non-Performing Exposures Ratio NPE ratio Non-performing exposures over gross loans, period end

Non-Performing Loans NPLs Loans and advances to customers in arrears for 90 days or more

90 Days Past Due Coverage Ratio 90dpd coverage Stock of provisions over loans and advances to customers in arrears for 90 days or more, period end

90 Days Past Due Formation 90dpd formationNet increase / (decrease) of loans and advances to customers in arrears for 90 days or more, before write-offs

and after restructurings

90 Days Past Due Ratio 90dpd ratio Loans and advances to customers in arrears for 90 days or more over gross loans, period end

Operating Expenses OpEx, costsPersonnel expenses + General, administrative and other operating expenses (“G&As”) + Depreciation and

amortization on investment property, property & equipment and software & other intangible assets

Operating Profit / (Loss) - Total income less operating expenses and provisions (credit provisions and other impairment charges)

Pre-Provision Income PPI Total income less operating expenses, before provisions (credit provisions and other impairment charges)

Profit / (loss) after tax PAT (cont. ops) Profit / (loss) for the period from continuing operations

Risk Weighted Assets RWAsAssets and off-balance-sheet exposures, weighted according to risk factors based on Regulation (EU) No

575/2013

Tangible Equity / Book Value TBV Common equity less goodwill & intangibles (goodwill, software and other intangible assets)

Total deposits - Due to customers

Definition of financial data & ratios used (continued)

Appendix

Contact details

Vassilis Kotsiras

Head of Structured Finance and Funding Solutions

+30 210 3328 583

[email protected]

Apostolos Mantzaris

Deputy Head of Structured Finance and Funding Solutions

+30 210 332 8517

[email protected]

This presentation is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No part of

this presentation may be construed as constituting investment advice or recommendation to enter into any transaction. No representation or warranty is given with

respect to the accuracy or completeness of the information contained in this presentation, and no claim is made that any future to transact any securities will

conform to any terms that may be contained herein. Before entering into any transaction, investors should determine any economic risks and benefits, as well as

any legal, tax, accounting consequences of doing so, as well as their ability to assume such risks, without reliance on the information contained in this presentation.

Greg Papagrigoris

Head of Investor Relations

+30 210 334 2310

[email protected]

Maria Kanellopoulou

Investor Relations

+30 210 334 1537

[email protected]

[email protected]

Ilias Katsikalis

Investor Relations

+30 210 334 1401

[email protected]

[email protected]

For full information on the debt issuance please consult the prospectus

Lizhen Xu

Structured Finance and Funding Solutions

+30 210 332 8573

[email protected]

[email protected]

mailto:[email protected]









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