Credit Update. National Bank of Greece September 2018

Transcription

1 Credit Update National Bank of Greece September 2018

2 Important Notice Forward Looking Information No representation or warranty, express or implied, is or will be made in relation to, and no responsibility is or will be accepted by National Bank of Greece (the Group) as to the accuracy or completeness of the information contained in this presentation and nothing in this presentation shall be deemed to constitute such a representation or warranty. Although the statements of fact and certain industry, market and competitive data in this presentation have been obtained from and are based upon sources that are believed to be reliable, their accuracy is not guaranteed and any such information may be incomplete or condensed. All opinions and estimates included in this presentation are subject to change without notice. The Group is under no obligation to update or keep current the information contained herein. In addition, certain of these data come from the Group s own internal research and estimates based on knowledge and experience of management in the market in which it operates. Such research and estimates and their underlying methodology have not been verified by any independent source for accuracy or completeness. Accordingly, you should not place undue reliance on them. Certain statements in this presentation constitute forward-looking statements. Such forward looking statements are subject to risks and uncertainties that may cause actual results to differ materially. These risks and uncertainties include, among other factors, changing economic, financial, business or other market conditions. As a result, you are cautioned not to place any reliance on such forward-looking statements. Nothing in this presentation should be construed as a profit forecast and no representation is made that any of these statement or forecasts will come to pass. Persons receiving this presentation should not place undue reliance on forward-looking statements and are advised to make their own independent analysis and determination with respect to the forecast periods, which reflect the Group s view only as of the date hereof. 1 Legal

3 1H 2018: Financial Highlights 1

4 Financial highlights 1 NPE reduction continues, driven by negative formation of 0.3b and write offs of 0.2b, reducing the stock by 0.5b in 2Q Domestic NPE stock reduction continues Net NPE reduction achieved since end-2015 at 5.5b, exceeding 2Q18 SSM target by 1.3b; reduction is attributable to negative NPE formation of - 2.1b, with the remainder arising from fully provided write offs, c. 2b of which subsequently sold Disposal of 2.0b of unsecured retail NPLs at a consideration of c.6% of the principal amount, represents the most capital accretive transaction for an unsecured portfolio in the Greek market (+18bps) and is testament to NBG s asset quality NPE and NPL coverage at sector leading levels of 60% and 84%, combines with the lowest NP levels in Greece 2 Domestic deposits pick up in 2Q despite further relaxation of capital controls LCR ratio exceeds 100% Following ELA elimination, LCR currently stands at 117% Removal of the ECB s waiver was absorbed without any impact on liquidity or funding cost as Greek sovereigns were replaced with investment grade covered bonds Superior liquidity position and lowest funding cost competitive advantages, will become increasingly important as demand for credit picks up 3 Pro-forma CET1 at 16,4% and FL at 13% CET1 at 16.2%, factoring in BROM and Albania impairment charges. Pro forma for the 1H18 PAT and the reduction in RWAs following the completion of NBG Albania sale in July, CET1 stands at 16.4% and 13.0% taking into account the IFRS9 full impact 4 1H18 group PAT at 41m, NII drops 1H18 group PAT from continued operations at 41m vs losses of 59m in 1Η17 Reduction in group core income (-19% yoy) driven by lower NII (-22.5% yoy) reflects one off impacts from IFRS9 FTA (1Q) and the repricing of part of the mortgage book contractually linked with 1yr Greek T-bills (2Q), accountable for c.40% of the drop 5 1H18 COR sharply declines to 103bps A sharp reduction in credit risk charges dropping by 64% yoy, translating into a CoR of 103bps in 1H.18 vs 261bps in 1H17 2Q18 credit risk charge stood at 38m implying a CoR of just 50bps, benefitting from recoveries arising out of the sale of the 2.0b unsecured NPL book; adjusting 2Q18 CoR for one offs still yields a low underlying CoR in 2Q18 qoq of the order of 110bps 6 Group OpEx in 1H18, up by 2% Group OpEx in 1H.18, up by 2%, will return to negative growth rates upon completion of the ongoing VES program, benefitting 2H personnel costs 3 Highlights

5 Peer Group Analysis: Liquidity Position Peer Group: Domestic funding cost 1 Peer Group: Liquidity position 2 ELA/ Assets 0% 0,5% 4% 7% 0,47% 0,54% 0,69% 0,64% 2,5 3,8 ELA 0,0 0,3 NBG Peer 1 Peer 2 Peer 3 NBG Peer 1 Peer 2 Peer 3 Peer Group: LCR Ratio 1 Peer Group: Loans to Deposit Ratio 1 117% 96% 111% 99% 74% Not Disclosed Not Applicable Not Applicable NBG Peer 1 Peer 2 Peer 3 NBG Peer 1 Peer 2 Peer 3 1 Latest available data. 2 As of June Liquidity

6 Peer Group Analysis: Asset Quality Peer Group 1 : NPE & Coverage (Group) Peer Group 1 : 90dpd & Coverage (Group) 55% 52% 36% 33% 33% NPE ratio 42% 41% 90dpd ratio 31% Coverage ratio 83% 81% 73% 70% Coverage ratio 60% 49% 50% 56% NBG Peer 1 Peer 2 Peer 3 NBG Peer 1 Peer 2 Peer 3 1 Latest available data, including IFRS9 impact. 5 Asset quality

7 Peer Group Analysis: Capital Position Peer Group 1 : CET1 Phased in (Group) Peer Group 1 : CET1 Fully-Loaded (Group) Peer Group 1 : net NPLs/TBV (Group) 7,8 5,0 5,4 4,9 TBV ( b) 16,4% 13,6% 18,5% 14,8% 13,0% 15,5% 11,9% -2,2-4,1-5,4-4,6 Unprovided NPLs ( b) 10,2% 0.43x 0.77x 0.69x 0.96x Texas ratio 2 NBG Peer 1 Peer 2 Peer 3 NBG Peer 1 Peer 2 Peer 3 NBG Peer 1 Peer 2 Peer 3 1 Latest available data. 2 Texas ratio=net NPLs/TBV 6 Asset quality

8 Group P&L and Key Ratios Group P&L m 1H18 1H17 YoY 2Q18 1Q18 QoQ NII % % Net Fees & Commissions % % Core Income % % Trading & other income % (16) 25 n/m Income % % Operating Expenses (468) (457) +2% (238) (231) +3% Core PPI % % PPI % % Provisions (158) (432) -64% (38) (120) -69% Operating Profit 69 (33) n/m % Other impairments (10) (9) +14% (11) 1 n/m PBT 59 (42) n/m % Taxes (18) (17) +4% (12) (6) >100% PAT (cont. ops) 41 (59) n/m % PAT (discont. ops) 38 (68) n/m % One-offs (40) - - (40) - Minorities (20) (16) +21% (10) (10) -6% PAT 19 (143) n/m (15) 34 n/m Key Ratios - Group m 2Q18 1Q18 FY17 2Q17 Liquidity Loans-to-Deposits ratio 1 74% 76% 77% 86% ELA exposure ( b) LCR 2 86% 66% 41% n/a Profitability NIM (bps) Cost of Risk (bps) Risk Adjusted NIM Asset quality NPE ratio 42.1% 42.7% 43.7% 45.0% NPE coverage ratio 60.2% 60.2% 61.2% 55.7% Capital CET1 ratio CRD IV FL 16.2% 16.5% 16.7% 16.3% RWAs ( bn) FY17 restated for IFRS9 FTA. 2 LCR at 117% as of end July Risk Adjusted NIM= NIM-Cost of Risk 7 P&L

9 1H 2018: Profitability 2

10 1H18 group operating profit reaches 69m relative to a loss of 33m in 1H17 Group operating result bridge ( m) Group core operating margin decomposition 1 (bps) Group core operating profit ( m) Group core PPI margin (bps) Adjusted excluding one-offs from sales Group CoR (bps) H17 ΔNII Δnon core income Group PPI by region ( m) ΔOpEx Δfees Δprovisions 1H18 Group core operating margin (bps) Group PPI bridge ( m) Q18 2Q18 2Q18, Adjusted SEE & Other QoQ 145 NII drop reflects a 8m negative one off impact from Greek Tbill linked mortgages repricing Trading income swing of - 44m due to CVA adjustments Greece % -46.7% % 1Q18 2Q18 1Q18 ΔNII Δfees Δnon core income ΔOpEx 2Q18 1 Core PPI margin & CoR are calculated over net loans. 9 Profitability

11 2Q NII is affected by a one off mortgage repricing and deleveraging on the retail book Greece Domestic NII breakdown NIM 2Q17 3Q17 4Q17 1Q18 2Q18 Loans Deposits Securities Eurosystem & wholesale NII drop reflects a 8m negative one off impact from Greek Tbill linked mortgages repricing 48 CoR Subs & other Q17 3Q17 4Q17 1Q18 2Q18 Total Evolution of domestic net loans ( b) Domestic NII evolution ( m) 28,9-0,2-0,1-0,1-0,0 28, Q18 Mortgages Consumer SBLs Corporate 2Q18 1Q18 Loans Deposits Securities Eur/stem & wholesale Subs & other 2Q18 10 Profitability

12 Domestic deposits up in 2Q, drive an 8% growth yoy despite the relaxation of capital controls Greek deposit yields (bps) Greek deposits evolution ( b) % 70% 71% 68% 68% Core deposits/total +8.4% yoy Time 36,2 36,7 38,4 38,4 39, b yoy 11,1 11,1 11,0 12,2 12,5 Time Total 7,2 7,5 8,8 7,7 8,2 Sight & other Core 17,9 18,1 18,5 18,4 18,6 Savings Market share at 36% 2Q17 3Q17 4Q17 1Q18 2Q18 2Q17 3Q17 4Q17 1Q18 2Q18 11 Profitability

13 Corporate balances stabilize on disbursements of 0.6b in 2Q18 and start to exhibit upward trends Greek lending yields 1 (bps) Greek loan evolution ( b) Consumer Lending yield (bps) Net loans Performing loans SBLs 27,4 26,9 27,2 26,9 26,6-0.9% qoq 12,8 12,5 12,8 12,8 12,8 Corporate Corporate 1,4 1,3 1,4 1,3 1,3 2,2 2,2 2,2 2,1 2,0 SBL Consumer Mortgages 11,0 10,9 10,8 10,6 10,5 Mortgages 2Q17 3Q17 4Q17 1Q18 2Q18 2Q17 3Q17 4Q17 1Q18 2Q18 1 Calculated on performing loans including FNPEs<90dpd. 12 Profitability

14 1H18 domestic fees up by +2.8% (including ELA fees) despite weakness in non core banking fees Group fee income by region excl. ELA fees ( m) Domestic fees excl. ELA fees ( m) 0.38% 0.43% 0.41% 0.38% 0.42% Fees/Assets 1 ELA cost YoY % +2.8% Fund mgm, Brokerage & other Total SEE & Other % Wholesale Banking Fees Retail Banking Fees Greece Q17 1Q18 2Q18 Column1 1H17 1H18 2Q17 1Q18 2Q18 Column1 1H17 1H18 1 Excluding assets held for sale. 13 Profitability

15 Greek headcount at 9.6K vs 15.0K pre crisis; on going VES for c500 FTEs to benefit the P&L in 2H18 onwards Group OpEx by category ( m) Group OpEx evolution ( m) Greece Group 1H18 1H17 yoy 1H18 1H17 yoy Personnel % % Total G&A & other G&As % % Depreciation % % Total % % Q17 3Q17 4Q17 1Q18 2Q18 Staff Domestic OpEx evolution ( m) Headcount evolution ( 000) 25, Total G&A & other SEE & Other 10,1 20,1 19,8 7,9 7, ,5 11,5 11,5 11,5 11,5 11,5 11, Staff Greece 15,0 12,2 12,0 1,6 1,6 1,7 1,7 1,7 1,6 1,6 9,9 9,9 9,8 9,8 9,8 9,8 9,6 2Q17 3Q17 4Q17 1Q18 2Q18 FY09 1 FY14 FY15 FY16 1Q17 2Q17 3Q17 4Q17 1Q18 2Q18 1 Excludes Ethniki Insurance, UBB, BROM, Vojvo & NBG Albania employees. 14 Profitability

16 1H 2018: Asset quality 3

17 FY15 1 1Q16 2 2Q16 3 3Q16 4 4Q16 5 1Q17 6 2Q17 7 3Q17 8 4Q17 9 1Q Q18 12 FY18 13 FY19 NPEs decline for 9 straight quarters adding up to a reduction of 5.5b; 2Q18 NPE stock achieves FY.18 SSM target Bank NPE reduction targets (SSM perimeter) ( b) 2017 NPE operational performance ahead of targets NPEs 21,5 21,5 20,6 6,4 0,0 6-0,9 5,6 19,6-1, ,7 18,5 18,2 18,0-0,9 4,7-0,2 4-0,3-0,2-0,7 17,3 2Q.18 target exceeded by 1.3b 16,5 16,0 16, ,6-0,5 Operational targets submitted to the SSM commit to a reduction of NPLs and NPEs by 7.5b and 8.4b over the period , equal to a reduction of c.50% and c.40% respectively Upon achieving these targets in 2019, NPL and NPE ratios will have been reduced by c.15ppts, with NPE coverage around 55% Reduction of 5.5b to date, is in part due to negative NPE formation (- 2.1b) and due to write offs (- 3.4b of which c. 2b subsequently sold) NPLs 15,2 15,3 15,0 15,0 14,0 13,9 13,6 13,6 12,7 11,9 11,5 10,6-2,9 13,1 Remaining NPE reduction at 2.9b ( b) 21,5 Total targeted: - 8.4b 7,7-5,5-2,9 13,1 FY15 Done Remaining FY19 NPE reduction target 16 Asset quality

18 NBG has the lowest NPE ratios in Greece, combined with the highest cash coverage Domestic 90dpd ratios Domestic 90dpd NPE bridge ( bn) Collateral coverage 1 70% 12% 58% 55% 58% 34% 37% 116% 57% 92% 20% 30,4% 30,5% SEE & other: 90dpd ratio: 32% Coverage: 63% 11,7 3,5 0,8 0,3 16,3 Cash coverage 54% 120% 84.0% 82.8% Mortgages Consumer SBL Corporate Total GRE Group 90dpd FNPE <30 FNPE Other impaired NPEs Domestic NPE ratios and coverage Domestic forborne stock ( bn) Collateral coverage 1 72% 13% 60% 56% 59% 44% 46% 94% 66% 80% 36% 42,6% 42,1% SEE & other: NPE ratio: 32% Coverage: 62% FPE 2,7 9.8 FNPE<30 dpd 3,5 Cash coverage 67% 60.1% 60.2% 42% Mortgages Consumer SBL Corporate Total GRE Group FNPE >90dpd 2,8 FNPE 31-90dpd 0,8 LLAs/ Gross loans 19% 43% 53% 24% 25% 1 Cash provisions incorporate additional haircuts on the market value of collateral to account for the prospect of distressed sale; all numbers bank level. 17 Asset quality

19 Negative NPE formation (pre write offs) continues, driving the NPE stock meaningfully lower Domestic NPE stock per category 2Q18 ( b) Domestic NPE stock movement ( b) FNPE & other impaired 7,1 1,6 5,6 2, ,0 19,2 0,0 19,0 0,0 18,7-1,6-1,2-0,2-0,3-0,1-0,1 18,5-0,2-0,7 17,7-0,2-0,7 16,8-0,3-0,2 16,3 90dpd 5,5 1,5 0,3 1,2 2,0 0,3 1,8 3, Mortgages Consumer SBL Corporate Domestic NPE stock evolution ( b) NPE flows ( m, SSM perimeter) NPE ratio % 45.3% 44.1% 43.1% 42.6% FNPEs & other impaired 90dpd 18,7 18,5 4,8 4,6 17,6 4,8 16,8 16,3 4,7 4,7 NPE inflows NPE outflows ,9 13,9 12,8 12,0 11,7 2Q17 3Q17 4Q17 1Q18 2Q18 Recoveries, liquidations sales & other Q17 3Q17 4Q17 1Q18 2Q18 1 FY17 restated for IFRS9. 18 Asset quality

20 All portfolios exhibit negative NPE formation for the first time Mortgages ( m) Consumer ( m) NPE formation* ( m) Q17 3Q17 4Q17 1Q18 2Q Q17 3Q17 4Q17 1Q18 2Q18-51 SBLs ( m) Corporate ( m) Of which: - 207m from sales - 30m from liquidations 2Q17 3Q17 4Q17 1Q18 2Q18 2Q17 3Q17 4Q17 1Q18 2Q18 2Q17 3Q17 4Q17 1Q18 2Q18 * SSM perimeter. 19 Asset quality

21 1H 2018: Liquidity 4

22 ELA June 2015 Recapitalization Waiver Reinstatement Divestment Plan Net Cash Net Loans Net Deposits Net Intragroup Funding Net Interbank Repos Net Bond Redemptions ELA October 2017 A considerable liquidity buffer has been built up after ELA elimination Eurosystem funding evolution ( b) Interbank funding evolution ( b) 23,6 27,6 25,6 24,0 22,8 ECB ELA # of Counterparties ,2 14,2 17,6 15,6 11,5 13,9 11,0 14,9 12,6 12,3 6,1 5,2 5,6 9,8 10,0 10,1 12,5 11,8 8,9 7,5 6,7 10,2 8,4 5,6 3,8 6,0 2,3 2,8 2,8 2,8 2,8 4,6 4,6 3,8 2,8 2,8 2,8 2,8 Liquidity buffer over 4bn Total Interbank 4 4,7 4,4 2,2 2,8 3,8 4,4 0,8 4Q14 2Q15 4Q15 2Q16 4Q16 2Q17 4Q17 1Q18 2Q18Aug'18 0,5 1,4 ELA reduction Key items ( b) 17,6 0,8 1,1 3,2 0,74 3,3 2,9 3,5 3,9 3 2,1 2,8 3,8 4,4 2,5 2,46 1,15 0 0,1 Jun 16 Dec 16 Jun 17 Dec 17 Mar 18 Jun 18 Aug 18 Non correlated with Greek risk Correlated Assets 1 Latest available data. 21 Liquidity

23 Domestic deposits up in 2Q Deposit evolution by geography ( b) NBG domestic deposit flows per quarter ( b) Group YoY +8.2% 0,3 0,8 0,0 0,3 0,9 0,2 0,5 1,7 0,0 0,9 SEE & Other 1,9 1,9 1,9 1,9 1,9 +4.6% -2,2-4,8-3,6-0,9-0,8 Greece 36,2 36,7 38,4 38,4 39,3 +8.4% +2.3% qoq 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q161Q17 2Q17 3Q17 4Q17 1Q18 2Q b b Domestic L:D ratio evolution Peer domestic L:D ratio 2 128% 124% 119% 110% 107% 2Q17 3Q17 4Q17 1Q18 2Q18 NBG Greece 85% 83% 76% 75% 73% 2Q17 3Q17 4Q17 1Q18 2Q18 22 Liquidity

24 LCR stands at 117% in July 2018 Current funding structure (% of total funding) LCR evolution (%) Current LCR : 117% Time Deposits Current & Sight Deposits ECB Interbank Capital markets 11% 2% 6% 26% 55% Deposit base accounts for 81% of total funding 140% 120% 100% 80% 60% 40% 20% 0% EU LCR Regulatory Threshold ELA disengagement LCR not applicable during ELA reliance Unencumbered liquid assets evolution ( m) Current ratio expected to be maintained Funding structure will continue to be optimized ELA disengagement capital markets activity reduction of interbank repos completion of divestments 1000 LCR not applicable during ELA reliance 0 23 Liquidity

25 1H 2018: Capital 5

26 CET1 ratio at 16.2%, comfortably above regulatory requirements CET 1 ratio 16,5% 16,2% Pro forma for the 1H18 PAT and the Pro forma for the 1H18 PAT and the completed Albania sale (July), CET1 stands at 16.4% Albania sale (July), CET1 stands at 16.4% Pro forma for the 1H18 PAT and the Pro forma for the 1H18 PAT and the completed Albania sale (July), CET1 FL stands at 13.0% Albania sale (July), CET1 stands at 16.4% 12,8% OCR: % DTC: 4.7b 9,375% CET1: 9.375% CET1: 6.0b CET1: 5.8b CET1: 4.6b 1Q18 2Q Regulatory Requirement CET1 FL 2Q18 RWAs ( bn) Capital

27 Macro 6

28 :6M Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun :Q2 2007:Q1 2007:Q4 2008:Q3 2009:Q2 2010:Q1 2010:Q4 2011:Q3 2012:Q2 2013:Q1 2013:Q4 2014:Q3 2015:Q2 2016:Q1 2016:Q4 2017:Q3 2018:Q2 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Improving confidence, following the successful completion of the 3rd Programme, along with healthy growth in goods exports and tourism will increasingly support activity in H2:2018 Economic sentiment & real GDP growth PMI & Capacity utilization y-o-y index Index % GDP growth (left axis) EC Economic sentiment indicator (right axis) PMI, deviat. from 50 (left axis) Capacity utilization (right axis) Tourism: Arrivals & Revenue (excluding cruises) Trade of goods & services y-o-y y-o-y, m m.a y-o-y, -20 y-o-y m m.a Tourist arrivals (excl. cruises, y-o-y) Tourism receipts (excl. cruises, y-o-y) Exports of goods (excl. oil & ships, 12m m.a., left axis) Imports of goods (excl. oil & ships, 12m m.a., left axis) Total services receipts (12m m.a., right axis) Sources: EL.STAT., Bank of Greece, EU Commission & PMI Markit. 27 Macro

29 7-Mar Mar-18 4-Apr Apr-18 2-May May May Jun Jun Jul Jul-18 8-Aug Aug-18 Apr-10 Sep-10 Feb-11 Jul-11 Dec-11 May-12 Oct-12 Mar-13 Aug-13 Jan-14 Jun-14 Nov-14 Apr-15 Sep-15 Feb-16 Jul-16 Dec-16 May-17 Oct-17 Mar-18 Aug The activation of a new set of medium-term debt relief measures and the agreement on a credible postprogramme surveillance framework will eventually support market sentiment General Government Debt as percent of GDP Government Gross Financing needs as percent of GDP % GDP % GDP % GDP % GDP deferral of amortization and interest payments on 96.4 bn of EFSF loans Excluding new debt relief measures Including new debt relief measures Excluding new debt relief measures Including new debt relief measures Greek & Italian Government bond yields Greece s Sovereign ratings % Italy Investment grade Index value: 21 corresponds to AAA rating and 0 to selective default status m T-bill 10yr Italian GB 5yr GGB 7yr GGB 10yr GGB Fitch Moody's S&P Latest BB- B3 B+ Outlook stable positive positive Sources: EL.STAT., Bloomberg, PDMA, EU Commission & NBG estimates. 28 Macro

30 late- 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 Oct-17 Dec-17 Feb-18 Apr-18 Jun-18 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17 Feb-18 May-18 Aug-18 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 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 H1:2017 H2:2017 Q1:2018 Q2:2018 Macroeconomic improvements are becoming more broad-based in Greece against a backdrop of higher volatility in international markets LFS Employment & ERGANI net flows Real estate prices (y-o-y) thsnd persons % 4,5 3,5 2,5 1,5 0,5-0,5-1, y-o-y 2018 Q2: +0.8% y-o-y Net hiring (ERGANI data, s.a., thsnd persons, 2m m.a., left axis) Employment (LFS, %, s.a. data, y-o-y, 2m m.a., right axis) Inflows of foreign direct investment in Greece Office prices (Athens, y-o-y) Retail prices (Athens, y-o-y) House prices (total, y-o-y) Increased sources of volatility internationally mn 3.6 bn in FY: bn in 6M:2018 4,0 3,5 3,0 2,5 2,0 1,5 1,0 0,5 0,0 % lira/euro Non-residents direct investment in Greece EUR-TRY exchange rate (right axis) Italian Government bond yield (%, left axis) Sources: EL.STAT., Greek Ministry of Labour, Bank of Greece, Bloomberg & NBG estimates. 29 Macro

31 Fixed Income Overview 7

32 Recent sovereign rating upgrades point towards a positive medium term trend Current Sovereign Rating (Outlook) B3 (Positive) BB- (Stable) B+ (Positive) Latest Review 21 th February th August th July 2018 Comments on the Rating On 21 February 2018, we upgraded Greece's ratings to B3 from Caa2 previously to reflect the material fiscal and institutional improvements achieved in the recent past. [..] Greece's euro-area creditors have committed to providing further debt relief over the medium term, and the risk of another default or debt restructuring has now materially declined. The outlook on Greece's ratings is positive and reflects the potential for even more positive outcomes should the good track record of implementing reforms be maintained beyond the end of the adjustment programme. This in turn could result in stronger-than expected and sustained economic growth and a more rapid reduction in the public debt ratio than currently foreseen. We note that Greece s recovery over the course of 2017 is broadly in line with the recovery in the early stages of Spain s, Portugal s and Cyprus s emergence from their crisis period. Fitch believes that debt sustainability is also underpinned by a track record of general government primary surpluses, our expectation of sustained GDP growth; additional fiscal measures legislated to take effect through 2020 and somewhat reduced political risks. [..] Our estimates indicate that Greece could be fully funded until 2022, providing a significant backstop against any financing risks for a prolonged period. This should in turn support market confidence and post-programme market access Confidence in the banking sector is improving. None of the four Greek systemically important banks were required to submit a capital plan as a result of the ECB stress tests in May On 26 July, the ECB lowered the Emergency Liquidity Assistance (ELA) ceiling for Greek banks to EUR8.4 billion from its peak of EUR90 billion in July 2015, reflecting positive developments in liquidity conditions. Dependence on the Eurosystem for liquidity continues to decline. We are revising our outlook on Greece to positive, and affirming our 'B+/B' ratings. Greater policy stability should support Greece's economy and its banks, while enabling the government to service its moderate stock of commercial government debt. We think large public infrastructure projects will catalyze private investment in tourism and logistics, improving Greece's growth projections. The positive outlook reflects a possible upgrade if the authorities unlock Greece's growth potential by boosting competition in product markets, bolstering property rights, simplifying bankruptcy procedures, and improving the enforcement of contracts. The positive outlook reflects our opinion that Greece's policy predictability is improving, as are its economic prospects. During 2016 and 2017, the government ran primary fiscal surpluses while the multiyear recession ended last year. However, in our view growth policies rather than additional fiscal measures will be the key determinants of long-term debt sustainability for Greece. Considerations for an upgrade The rating could be upgraded further if the reform efforts were sustained beyond the end of the programme and if they were to yield, or looked likely to yield, more positive results than currently expected in the form of stronger economic growth and a more rapid decline in the public debt ratio. Faster-thanexpected improvements in the banking sector s health could also be a trigger for a positive rating action. Track record of achieving further primary surpluses and greater confidence that the economic recovery will be sustained over time. Policy continuity after Greece's exit from the ESM programme, underpinned by an orderly working relationship between with official sector creditors and a stable political environment. Lower risks of crystallisation of banking sector risks on the sovereign balance sheet. The positive outlook on Greece reflects the likelihood of an upgrade should the government implement reforms to broaden the tax base and improve the business environment, leading to a stronger economic recovery. Another potential trigger for an upgrade would be a marked reduction in nonperforming assets in Greece's impaired banking system, alongside the elimination of all remaining capital controls. Healthier banks could provide credit to the more productive parts of Greece's critically important small and midsize enterprise (SME) sector. Considerations for a downgrade A downgrade is currently unlikely given the positive outlook on the rating. But downside pressure on the rating could develop if the Greek government decided to deviate from its commitments and reversed reforms that had been previously agreed and legislated, or if tensions with official creditors reemerged for any other reason. This would jeopardize the euro area s continued support for and commitment to further debt relief. A loosening of fiscal policy and/or a reversal of the policies legislated under the ESM programme. Adverse developments in the banking sector increasing risks to the real economy and the public finances. Re-emergence of sustained current account deficits, further weakening the net external position. We could revise the outlook back to stable if, contrary to our expectations, there are reversals of previously implemented reforms, or if growth outcomes are weaker than we expect, restricting Greece's ability to continue fiscal consolidation, debt reduction, and financial sector restructuring. Sources: Moody s, Fitch, S&P. 31 Overview

33 NBG stands out amongst its peers due to better funding and asset quality profile Current NBG Senior Rating (Outlook) Caa2 (Positive), Deposit Rating at B3 (Positive) RD, Viability rating at CCC+ CCC+ (Stable) Latest Review 26 th February th June th January 2018 Comments on the Rating National Bank of Greece S.A.'s (NBG) deposit and CRA upgrades to Caa2 and B3 (cr) respectively are also driven by the sale of non-core assets in recent months, and the resulting increased pool of domestic unsecured liabilities relative to the bank's tangible banking assets. This was also achieved through the drastic reduction of its emergency liquidity assistance (ELA) that decreased to 2.3 billion in September 2017 from 5.2 billion in September 2016, and was subsequently fully repaid in December [..] The bank's Caa2 BCA also reflects the lowest NPL and NPE ratios among its local peers at 34% and 45%, respectively, as of September 2017, while the NPL and NPE provisioning coverage was 74% and 56%, the highest within its local peer group. [..] NBG's ratings have a positive outlook, reflecting its marginally stronger standalone credit profile than those of its local peers through a better funding profile, and our expectation that the bank's liability structure will induce a higher deposit rating through more deposits. National Bank of Greece S.A. s (NBG) Issuer Default Ratings (IDRs) of Restricted Default RD are driven by the presence of capital controls in Greece, including restrictions on deposit withdrawals. NBG s stock of non-performing exposures [..] is reducing but is likely to remain large in the medium term. Greek banks have committed to ambitious targets to reduce NPEs by end At end-september 2017, NBG was materially outperforming its targets. NBG s liquidity is stronger than that of its Greek peers and in our view would allow it to withstand a moderate liquidity stress. It is nevertheless sensitive to depositor and investor confidence. In our view, NBG's and Alpha's profiles are relatively less vulnerable to operating environment shocks, driving the difference in the VRs. This is reflected in lower exposure to unreserved problem loans (in case of NBG) [..] We think that Greece returning to economic growth after eight years of decline (amounting to an aggregate GDP contraction of about 25%) might help to create more favorable conditions for banks to pursue their ambitious NPE reduction plan. The outlook on all four banks is stable, reflecting our view that Greek banks will remain dependent on favorable economic and market conditions to meet their financial obligations. Considerations for an upgrade Over time, upward deposit and senior debt rating pressure could arise following an improvement in the country's macroeconomic environment, combined with an improvement in the bank's asset quality, profitability and funding through more customer deposits. An extended record of economic recovery and political stability, significant reductions of the NPE stock and of capital encumbrance, and continued improvement in funding and liquidity profile would be positive for the VR. We could raise the ratings if the macroeconomic environment, liquidity profile, and asset quality improve. This could happen if market confidence in the Greek banking system increases, resulting in customer deposits steadily returning to the Greek banks and the banks becoming less reliant on European Central Bank (ECB) and other short-term funding sources. Considerations for a downgrade The bank's deposit and senior debt ratings could be downgraded in case there is any political turmoil in the country for an extended period of time that substantially affects domestic consumption and economic activity. In addition, the deposit ratings could be downgraded if the sovereign rating is downgraded. The VR could be downgraded if depositor and investor confidence weakens, compromising the bank s liquidity profile, or if capitalisation materially deteriorates. We could lower the ratings if macroeconomic conditions and the relationship with European authorities materially worsened, resulting in a deterioration of banks' liquidity positions. Sources: Moody s, Fitch, S&P. 32 Overview

34 Covered Bonds Overview 8

35 The Greek Covered Bonds Framework: Overview Key areas Description Cover Assets Residential Mortgages 80% LTV 1 Minimum OC 5% 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. 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) (c) 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). 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 Reporting duties of the issuer Segregation of cover assets Bankruptcy remoteness Set-off risk 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. 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 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). 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. 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. 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. Source: National Bank of Greece. 34 Covered Bond Framework

36 Bid I-Spread (bps) Bid I-Spread (bps) Bid Yield (%) Bid Yield (%) Greek covered bonds have remained extremely resilient to the recent market backdrop Greek Sovereign performance Yield Greek covered bonds secondary performance Yield 6 5,5 5 4,5 4 3,5 3,1 2,8 2,5 2,2 1,9 Δ (bps) NBG: -164 Eurob: -126 Alpha: Interpolated GGB 20 Vs ETEGA 2.75% 20 (Mid I-Spread) 3 2,5 2 1,6 1,3 1 S&P s BBB- Rating Greece 5y Greece 10y Alpha Bank 2.5% 23 NBG 2.75% 20 Eurobank 2.75% I-Spread I-Spread Δ (bps) NBG: -144 Eurob: -115 Alpha: Interpolated GGB 2020 ETEGA 2.75% S&P s BBB- Rating Greece 5y Greece 10y Alpha Bank 2.5% 23 NBG 2.75% 20 Eurobank 2.75% 20 Source: Bloomberg, as of September 9 th Covered Bond Framework

37 Ratings Overcollateralization Eurosystem eligibility Programme Size Format Structure Collateral Regulatory EC Directive Roles NBG Covered Bond Programme II: Factsheet Issuer / Originator / Servicer Trustee / Paying Agent / Account Bank Back-up Servicer Asset Monitor National Supervising Authority Up to 15bn Greek Legal Framework Conditional Pass-through Prime Greek residential mortgage loans Level 2B eligible UCITS compliant CRD compliant Compliant with EC Directive 1 Legal Minimum OC Contractually committed OC Refinancing operations Eligible BB- (RWP) Ba2 (BB) BBB- 5% 25% CBPP3 Not eligible 2 1 Based on the Issuer s preliminary analysis. 2 Decision of the European Central Bank of 20 th November 2017 on the implementation of the third covered bond purchase programme (ECB/2017/37). Source: National Bank of Greece. 36 Covered Bond Programme II

38 NBG Covered Bond Programme II is currently rated by S&P at BBB-, BB- (Positive) by Fitch and at BB by Moody s Covered Bond Rating BB- (Positive) Country Ceiling BΒB- Covered Bond Rating Country Ceiling Ba2 (BB) Ba2 (BB) Covered Bond Rating Country Ceiling BBB- BBB- Key rating drivers of NBG Programme II: Key rating drivers of NBG Programme II: Key rating drivers of NBG Programme II: The rating action follows the upgrade of the issuer s Viability Ratings (VR) to CCC+ Country Ceiling Limits Potential Rating Low Risk of Undercollateralisation Positive Outlook on the issuer s IDR drives the positive outlook on Covered Bonds Highest Recovery Prospects Cover Pool Better than Peers Sovereign ceiling limits rating Support provided by the Greek covered bond legal framework Level of OC available to bondholders Fully funded reserve fund covering 12months of interest payments and expenses Back-up servicer arrangement with Alphabank Independent asset monitor The cover pool is composed of highly seasoned residential loans Low cover pool loan-to-value (LTV) ratios The contractual credit enhancement exceeds the credit enhancement required at a 'BBB-' rating level The extendible feature of the notes allows to delink the covered bond rating form the long-term issuer credit rating Latest upgrade to BB- in 13 th June 2018, comment from Fitch: Fitch Ratings has upgraded NBG Covered Bond Programme II to 'BB-' from 'B+' and has placed it on Positive Outlook. The ratings actions follow the resolution of the Rating Watch on the issuers' Viability Ratings (VR), the update of our RMBS asset model assumptions for Greece and the periodic review of Greek covered bonds' ratings. [ ] The Outlooks also take into account the buffer between the relied upon overcollateralisation (OC) and the respective 'BB-' breakeven OC. [ ] NBG I and NBG II covered bonds are rated 'BB-', four notches above the bank's 'ccc+' VR, based on an unchanged IDR uplift of two notches and a recovery uplift of two notches. The 25% contractual OC on both programmes that Fitch relies upon in its analysis provides more protection than the 'BB-' breakeven OC of 20.5% and 6.5% for NBG I and NBG II, respectively. Rating Evolution CCC+ Aug-15 B- Dec-16 BB- B B+ Jun-18 Feb-18 Aug-17 Latest upgrade to Ba2 (BB) in 27 th February 2018, comment from Moody s: Moody s has upgraded to Ba2 from B3, the mortgage covered bonds issued by National Bank of Greece S.A. under its Mortgage Covered Bonds 2 Programme. The upgrades on the covered bond ratings referenced above follow (1) the rating actions on the NBG deposit ratings and CR assessments, which were upgraded to Caa2 and B3 respectively; and (2) the Greek sovereign rating upgrade to B3 from Caa2 and (3) the increase of Greece's long-term country ceilings for foreign currency and local currency bonds to Ba2. The ratings of National Bank of Greece S. A. - Mortgage Covered Bonds 2 are now constrained by the long-term country ceilings for foreign currency and local currency bonds of Ba2. Rating Evolution CCC Jul-15 B- Jun -17 BB Feb-18 Latest upgrade to BBB- in 6 th July 2018, comment from S&P: S&P Global Ratings has assigned its 'BBB-' credit rating to National Bank of Greece S.A.'s conditional passthrough covered bond program. From our analysis of the legal and regulatory framework for Greek covered bonds, we concluded that the assets in the cover pool are isolated from the issuer's insolvency risk. The asset isolation allows us to rate the covered bond program at a higher rating level than the long-term ICR on NBG. [..] According to our structured finance ratings above the sovereign criteria, we consider covered bonds backed by mortgage assets to have moderate sensitivity to sovereign risk. In conjunction with the program's structural features, which fully address refinancing risk over a 12-month period, we can rate the covered bonds four notches higher than our long-term rating on Greece Rating Evolution ΒΒΒ- 6 th July 2018 Sources: Fitch & Moody s, S&P. 37 Covered Bond Programme II

39 NBG Covered Bond Programme II: Conditional Pass-Through Mechanism Conditional Pass Through Mechanism Frequently Asked Questions Issuer Event Yes Enhanced Amortization Test (25% Overcollateralization) Fail No Pass Bullet Maturity Bullet Maturity Insufficient funds at maturity Is the bullet maturity a hard obligation of the Issuer? Yes; non-payment of the bonds at their bullet maturity is a payment default and will trigger a cross default for the Issuer. What are the triggers for an Issuer Event? An Issuer Event can be triggered from (a) Issuer resolution or liquidation; (b) non-payment of any amounts in respect to the covered bonds; (c) breach of statutory tests and (d) default by the Issuer in respect of any other debt. All outstanding bonds become Pass- Through Amortization Test (5% Overcollateralization) Fail Maturing bond becomes Pass- Through Cover pool Event of Default What happens after an Issuer Event? All collections are sent by the Issuer to the offshore transaction account and the back-up servicer steps in to service the loans. The back-up servicer transfers all subsequent collections to the transaction account. When can bonds be extended? An extension can only be triggered (a) upon the occurrence of an Issuer Event and (b) if there are insufficient funds at the maturity of the bond; or if (c) there is a breach of the Enhanced Amortization Test. Source: National Bank of Greece. 38 Covered Bond Programme II

40 Hard bullet outstanding outstanding outstanding outstanding outstanding outstanding outstanding outstanding outstanding outstanding outstanding outstanding outstanding Scenarios Timeline: Conditional Pass-Through vs Soft Bullet and Hard Bullet Covered Bonds Issuer default Insufficient funds to repay Breach of enhanced amortization test Breach of amortization test Soft bullet Conditional Pass-Through Bank redeems the bond at scheduled maturity Bond I Bond II time Bank redeems the bond at scheduled maturity Bond I Bond II The bonds are redeemed at maturity with the available funds from portfolio sales and collections Bond I Bond II time The bonds are redeemed at maturity with the available funds from portfolio sales and collections Bond I Bond II If the available funds are insufficient, the CPT mechanism is triggered for the maturing bond Bond I Bond II time If the available funds are insufficient, the soft bullet mechanism is triggered for the maturing bond Bond I Bond II If the Enhanced Amortization test is breached, all bonds become pass-through bonds Bond I Bond II time Not applicable time Bond I Bond II If the Amortization test is breached, all bonds accelerate and the total pool has to be liquidated Bond I Bond II time time time time Bank redeems the bond at scheduled maturity The bonds are redeemed at maturity with the available funds from portfolio sales and collections If the available funds are insufficient, all bonds accelerate and the pool has to be liquidated If the Amortization test is breached, all bonds accelerate and the total pool has to be liquidated Not applicable Bond I Bond II Bond I Bond II Bond I Bond II Bond I Bond II time time time time Source: National Bank of Greece. 39 Covered Bond Programme II

41 NBG Covered Bond II: Cover Pool Overview 9

42 Cover pool selection was based on a set of objective eligibility criteria As at issuance (Sep-2017) 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 Not a Subsidized Loan or a Loan made to employees of the Issuer Only Amortising Loans (not an interest only Loan) Only Residential Mortgages Original Balance (m) Current Balance (m) Remaining tenor (w.a. / years); 11,6 Original tenor (w.a. / years); 22,2 Loans have been originated by NBG 3 4 Origina l LTV Current LTV (w.a.); (w.a.); 43,5% 54,6% Cover pool additional characteristics 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 Number of Borrowers Number of Loanparts Number of Properties models have been taken into account Source: National Bank of Greece. 41 Covered Bond Programme II: Cover Pool

43 ,17% 0,19% 0,40% 1,48% 0,56% 0,78% 2,71% 2,90% 1,61% 2,24% 1,99% 0,46% 0,04% 1,54% 2,11% 4,97% 6,73% 3,61% 9,55% 8,87% 4,52% 4,53% 10,56% 5,56% 5,08% 5,03% 4,61% 3,93% 3,64% 3,02% 2,61% 4,66% 4,69% 4,32% 13,90% 13,44% 6,07% 5,80% 6,03% 5,61% 5,90% 6,96% 16,63% <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 0,03% 0,01% 0,34% 1,17% 0,86% 0,76% 2,42% 1,17% 0,54% 0,95% 4,66% 9,38% 8,64% 69,05% Cover Pool characteristics as at 31 st of July 2018 (1/3) Summary of Cover Pool Seasoning (in Years) All amounts in EURO At Issue Current Reporting Date Portfolio Cut-off Date Original Principal Balance (m) Current Principal Balance (m) Number of Borrowers Number of Loanparts Number of Properties Average Principal Balance (borrower) Average Principal Balance (parts) Coupon: Weighted Average (%) 2,3 2,3 Weighted Average Original Loan to Value (%) 54,73 54,48 Weighted Average Loan to Indexed Value (%) 44,53 44,90 Seasoning (years): Weighted Average 10,32 11,05 Original Maturity (years): Weighted Average 22,01 22,48 Remaining Tenor (years): Weighted Average 11,73 11,46 % of Outstanding Notional Amount W. A. Seasoning: 11,05yrs Origination Year Maturity Year % of Outstanding Notional Amount % of Outstanding Notional Amount W. A. Remaining tenor: 11,73yrs Source: Covered Bond Programme II July 2018 Monthly Investor Report. 42 Covered Bond Programme II: Cover Pool

44 <40,00% 40,01%- 50,00% 50,01%- 60,00% 60,01%- 70,00% 70,01%- 80,00% >80,01% <25,000 25,000-50,000 50,000-75,000 75, , , , , , , , , , , , , ,000 >250,000 7,74% 9,64% 5,31% 3,49% 1,83% 1,41% 0,89% 0,61% 2,93% 17,57% 17,13% 15,37% 17,08% 25,10% 23,45% 19,51% 30,93% 40,00% 40,01%-50,00% 50,01%-60,00% 60,01%-70,00% 70,01%-80,00% >80,00% Attica Thessaloniki Dodekanisa Achaia Larisa Kyklades Ioannina Magnesia Heraklion Chania Others 1,57% 15,42% 15,30% 13,38% 10,25% 3,05% 2,52% 2,29% 1,82% 1,82% 1,66% 1,65% 1,52% 7,35% 44,08% 47,11% 29,21% Cover Pool characteristics as at 31 st of July 2018 (2/3) Loan to Indexed Value (in %) % of Outstanding Notional Amount Geography % of Outstanding Notional Amount W. A. Loan to Index Value: 44,90% Original Loan to Value (in %) % of Outstanding Notional Amount W. A. Original Loan to Value: 54,48% Outstanding Notional Amount ( ) % of Outstanding Notional Amount Average Principal Balance (Borrower): 29,152 Source: Covered Bond Programme II July 2018 Monthly Investor Report. 43 Covered Bond Programme II: Cover Pool

45 0,0%-2,5% 2,5%-2,99% 3%-3,49% 3,5%-3,99% 4%-4,49% 4,5%-4,99% 5%-5,49% 5,5%-5,99% 6%-6,49% 6,5%-6,99% 7%-7,49% 7,5% 9,04% 6,95% 4,82% 1,93% 3,74% 0,88% 2,33% 0,25% 0,63% 0,04% 0,00% 69,39% Cover Pool characteristics as at 31 st of July 2018 (3/3) Delinquencies Property Description and Loan Purpose % of Outstanding Notional Amount Days Past Due 0,4% September 2017 July 2018 Performing (0-30 Days Past Due) 99,6% Days Past Due 0,1% 91+ Days Past Due 0,0% Days Past Due 0,5% Performing (0-30 Days Past Due) 99,3% Days Past Due 0,1% 91+ Days Past Due 0,0% % of Outstanding Notional Amount Residential (House, Detached, or Semidetached) 10,2% Property Description Other 0,8% Residential (Flat / Appartment) 89,1% Buy Secondary 21,2% Loan Purpose Rennovating 29,2% Other 2,3% Buy Primary 47,4% Loan Coupon (in %) Interest Payment Type and Mortgage Payment Frequency % of Outstanding Notional Amount W. A. Coupon: 2,33% Other 2,3% Product Type Standard Amortising 97,7% % of Outstanding Notional Amount Interest Payment Type EURIBOR 1M Linked 6,3% Fixed 4,2% Originator Rate 2,8% Mortgage Payment Frequency EURIBOR 3M Linked 30,9% ECB Linked 55,8% Monthly 100,0% Source: Covered Bond Programme II July 2018 Monthly Investor Report. 44 Covered Bond Programme II: Cover Pool

46 The positive selection of the cover pool is reflected in the Fitch comparative analysis, with loss rates at par with IG covered bonds from other jurisdictions Fitch Portfolio Credit Model Comparative Analysis Portfolios assessed through the Fitch Portfolio Credit Model, a Monte Carlo simulation model, which simulates the default behavior of individual assets in the credit portfolio. Monte Carlo simulation allows the modeling of the distribution of portfolio defaults and losses, taking into account default probability and recovery rates as well as the correlation between assets in a portfolio. The main outputs of this model are the rating default rate (RDR), rating loss rate (RLR) and the rating recovery rate (RRR) corresponding to each rating stress ,9 Average B loss rate per jurisdiction (%) NBG Covered Bond Programme II 12,4 9,4 5,0 1,8 0,3 0,3 0,7 1,4 9,2 The model outputs also include various portfolio statistics as well as a portfolio's default and loss distribution and the aggregate distribution of defaults over time. Greece, Periphery and NBG comparative analysis Average credit loss per jurisdiction (%) RDR (%) RRR (%) 'B' Loss Rate (%) NBG Covered Bond Programme II 73,0 79,9 30,00 25,00 28,0 60,5 20,00 43,7 28,6 30,4 15,00 10,00 5,00 4,9 14,4 5,5 8,5 12,3 5,3 6,4 4,7 6,6 12,4 4,1 5,0 - Greece Periphery NBG Sources: Fitch Covered Bonds comparative analysis (Apr-2018). 45 Covered Bond Programme II: Cover Pool