BANK OF CYPRUS EUR 5BN COVERED BOND PROGRAMME Report as at: 31 January 2012 Report Date: 7 February 2012 GREEK COVER POOL MONTHLY INVESTOR REPORT Series 1 Series 2 Series 3 Series 4 Series 5 Issue 700,000,000 Coupon 3M EURIBOR + 1,25% Coupon Payment Frequency Quarterly Coupon Payment Dates 18/10-18/1-18/4-18/7 Maturity Date 18/7/2014 Extension Period 1 year Rating Agencies Moody's / Fitch Issue Rating Baa3 / BBB ISIN XS0651149840 Primary Cover Pool Assets Greek Residential Mortgage Loans Bank of New York Mellon Corporate Trustee Trustee Services Ltd Account Bank Bank of New York Mellon Swap Counterparties
STATUTORY TESTS BASIC COVER Value Requirement PASS / FAIL Nominal Value Test Eligible Loans (adjusted for set off and LTV) plus interest accrued on the loans 774,007,504 Complementary Assets (in the basic cover) 0 Hedging Contracts (mark-to-market value) 0 Covered Bonds (outstanding amount) 700,000,000 Result 110.6% 100.0% PASS Net Present Value Test Eligible Loans (net present value of inflows) 919,226,333 Covered Bond Holders (net present value of payments) 723,148,729 Other Cover Pool Creditors (net present value of payments) 210,937 Result 127.1% 105.0% PASS Stress scenarios: 1. Interest rate shift by -200bps Eligible Loans (net present value of inflows) 977,663,909 Covered Bond Holders (net present value of payments) 723,873,500 Other Cover Pool Creditors (net present value of payments) 213,750 Result 135.0% 105.0% PASS 2. Interest rate shift by +200bps Eligible Loans (net present value of inflows) 880,691,581 Covered Bond Holders (net present value of payments) 716,852,709 Other Cover Pool Creditors (net present value of payments) 204,609 Result 122.8% 105.0% PASS
3. VaR Negative shift in interest rates Eligible Loans (net present value of inflows) 946,313,405 Covered Bond Holders (net present value of payments) 728,178,346 Other Cover Pool Creditors (net present value of payments) 213,278 Result 129.9% 105.0% PASS 4. VaR Positive shift in interest rates Eligible Loans (net present value of inflows) 898,500,126 Covered Bond Holders (net present value of payments) 720,692,150 Other Cover Pool Creditors (net present value of payments) 208,917 Result 124.6% 105.0% PASS Weighted Maturity Test Weighted Average Life of Cover Pool assets in the basic and supervisory cover 10.19 Weighted average life of covered bonds 2.1835 Result D(pool) > D(bond) PASS Liquidity Test 1. if Maturity Date > 180 days 2. if Maturity Date >30 days, <180 days Supplementary Assets 46.000.000 Outflow in the next 180 days 4.186.000 2a) First Test 2b) Second Test 3. if Maturity Date < 30 days 2a) First Test 2b) Second Test Contractual OC Supplementary Assets > highest net outflow in the next 180 days Supplementary Assets > highest net outflow until bond maturity (excl. principal) Supplementatry/Liquid Assets >= 50% of Bond principal amount Supplementary Assets > highest net outflow until bond maturity (excl. principal) Supplementary/Liquid Assets >= 50% of Bond principal amount PASS SUPERVISORY OVER-COLLATERALISATION COVER POOL REQUIREMENT PASS / FAIL Complementary Assets 5.0% 5.0% PASS OC Percentage COVER POOL REQUIREMENT PASS / FAIL Asset Percentage Test 83.9% 85.0% PASS Breakdown of Total Cover Pool Assets: Residential Loans (unadjusted balance) 788,547,409 Complementary Assets 46,000,000 Total Cover Pool Assets 834,547,409
COVER POOL INFORMATION Cover Pool Summary Total LOAN BALANCE: 788,547,409 Average LOAN BALANCE: 58,489 NO. OF LOANS: 13,482 WA SEASONING (in months): 53.4 WA REMAINING TERM (in months): 220.8 NO. OF BORROWERS: 10,247 NO. OF PROPERTIES: 9,908 WA LTV: 55.3% Loans to employees of group: 6.6% WA Interest Rate on Floating rate Loans: 3.1% WA MARGIN ON FLOATING RATE LOANS: 1.5% WA Interest Rate on Floating rate Loans originated over last quarter: 5.25% Percentage of VARIABLE MORTGAGES: 12.8% WA Interest Rate on Fixed rate Loans: 4.8% Borrower concentration: %age of largest 10 borrowers : 1.16% Loans in arrears > 90 days: 0.0% Supervisory Over Collateralisation Supplementary Assets 35,000,000 As a % of Outstanding Cover Bond Issuance 5.0% Cover Pool Unindexed LTV Distribution Unindexed LTV ranges Total Loan Balance No. of Borrowers 0-40% 206,397,633 4,403 >40%- 50% 103,656,431 1,343 >50%- 60% 117,459,207 1,337 >60%- 70% 140,216,377 1,437 >70%- 80% 123,479,449 1,114 >80%- 85% 43,392,376 357 >85%- 90% 30,907,624 235 >90%- 95% 14,903,271 114 >95%- 100% 8,135,041 54 >100%- 105% - - >105% - - TOTAL 788,547,409 10,394
Cover Pool Regional Distribution Region Total Loan Balance % of total loan balance Attiki (including Athens) 344,505,552 43.7% Central Greece (exl Attiki) 53,792,329 6.8% Peloponissos 33,242,179 4.2% Ionian Islands 41,777,325 5.3% Ipiros 29,182,599 3.7% Thessalia 27,532,512 3.5% Makedonia 130,345,387 16.5% Thraki 10,556,060 1.3% Aegean Islands 31,406,508 4.0% Crete 84,284,070 10.7% No data 1,922,889 0.2% Cover Pool Rate Type Distribution Rate Type Total Loan Balance % of total loan balance Floating rate 705,698,167 89.5% Fixed rate with reset <2 years 48,235,201 6.1% Fixed rate with reset 2 but < 5 years 21,544,027 2.7% Fixed rate with reset 5 years 13,070,013 1.7% Cover Pool Occupancy Type Distribution Occupancy Type Total Loan Balance % of total loan balance Owner-occupied 648,010,523 82.2% Non-owner-occupied (buy-to-let) where BORROWER has < 3 properties 30,891,037 3.9% Non-owner-occupied (buy-to-let) where BORROWER has > 2 properties - 0.0% Vacation/ second home 97,260,510 12.3% Partially owner-occupied 4,592,444 0.6% Other/No data 7,792,895 1.0%
Cover Pool Property Type Distribution Property Type Total Loan Balance % of total loan balance House 257,507,838 32.7% Flat in block with less than 4 units - 0.0% Flat in block with 4 or more units 531,039,570 67.3% PARTIAL COMMERCIAL USE - 0.0% Other/No data - 0.0% Cover Pool Loan Type Distribution Loan Type Total Loan Balance % of total loan balance Purchase 452,151,016 57.3% RE-MORTGAGE - 0.0% EQUITY RELEASE 11,520,327 1.5% RENOVATION 90,916,696 11.5% Construction (new) 170,235,885 21.6% Other/No data 63,723,484 8.1% Cover Pool Seasoning Distribution Seasoning (months) Total Loan Balance % of total loan balance < 12 19,639,713 2.5% 12-<24 85,106,713 10.8% 24-<36 67,253,385 8.5% 36-<60 334,800,530 42.5% 60 281,747,068 35.7% Cover Pool Loans - Analysis in Arrears Months Total Loan Balance % of total loan balance Not in Arrears 635,412,892 80.6% <2 (and not BPI or Fce) 138,916,068 17.6% 2-<6 (and not BPI or Fce) 14,218,449 1.8% 6-<12 (and not BPI or Fce) - 0.0% >12 (and not BPI or Fce) - 0.0% Bankruptcy proceedings initialted ("BPI") (and not Fce) - 0.0% Foreclosure ("Fce") - 0.0%