BANK OF CYPRUS EUR 3BN COVERED BOND PROGRAMME Report Date: 31/01/2016 Completion Date: 03/02/2016 CYPRIOT COVER POOL MONTHLY INVESTOR REPORT Series 1 Series 2 Series 3 Series 4 Series 5 Issue 650.000.000 Coupon EURIBOR 003M + 3.25% Coupon Payment Frequency Quarterly Coupon Payment Dates 12/3-12/6-12/9-12/12 Maturity Date 12/12/2018 Extension Period 12/12/2072 Rating Agencies Moody's/ Fitch Issue Rating Baa3/B+ ISIN XS0718673311 Primary Cover Pool Assets Cypriot 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 923.529.805 Complementary Assets (in the basic cover) 0 Hedging Contracts (mark-to-market value) 0 Covered Bonds (outstanding amount) 650.000.000 Result 142,08% 100,00% PASS Net Present Value Test Eligible Loans (present value of inflows) 1.209.069.825 Covered Bond Holders (present value of payments) 713.472.435 Other Cover Pool Creditors (present value of payments) 256.500 Result 169,4% 105,0% PASS Stress scenarios: 1. Interest rate shift by -200bps Eligible Loans (present value of inflows) 1.230.868.324 Covered Bond Holders (present value of payments) 713.375.000 Other Cover Pool Creditors (present value of payments) 256.500 Result 172,5% 105,0% PASS 2. Interest rate shift by +200bps Eligible Loans (present value of inflows) 1.141.358.476 Covered Bond Holders (present value of payments) 707.805.803 Other Cover Pool Creditors (present value of payments) 248.387 Result 161,2% 105,0% PASS
3. VaR Negative shift in interest rates Eligible Loans (present value of inflows) 1.265.899.346 Covered Bond Holders (present value of payments) 743.946.365 Other Cover Pool Creditors (present value of payments) 253.462 Result 170,1% 105,0% PASS 4. VaR Positive shift in interest rates Eligible Loans (present value of inflows) 1.215.617.494 Covered Bond Holders (present value of payments) 714.600.445 Other Cover Pool Creditors (present value of payments) 256.500 Result 170,1% 105,0% PASS Weighted Maturity Test Weighted Average Life of Cover Pool assets in the basic and supervisory cover 9,00 Weighted average life of covered bonds 2,9 Result D(pool) > D(bond) PASS Liquidity Test Complementary Assets > highest net 1. if Maturity Date > 180 days outflow in the next 180 days Complementary Assets 34.244.961 Outflow in the next 180 days 5.134.549 2. if Maturity Date >30 days, <180 days Complementary Assets > highest net outflow until bond maturity (excl. 2a) First Test principal) Complementary/Liquid Assets >= 50% 2b) Second Test of Bond principal amount 3. if Maturity Date < 30 days Complementary Assets > highest net outflow until bond maturity (excl. 2a) First Test principal) Complementary/Liquid Assets >= 50% 2b) Second Test of Bond principal amount PASS SUPERVISORY OVER-COLLATERALISATION COVER POOL REQUIREMENT PASS / FAIL Complementary Assets 5,3% 5,0% PASS
COMMITTED OVERCOLLATERALISATION TEST COVER POOL REQUIREMENT PASS / FAIL Committed Overcollateralisation Requirement as per OC Notice 47,3% 47,0% PASS
COVER POOL INFORMATION Cover Pool Summary Total LOAN BALANCE: 1.004.335.708 Average LOAN BALANCE: 81.257 NO. OF LOANS: 12.360 WA SEASONING (in months): 77,8 WA REMAINING TERM (in months): 193,8 NO. OF BORROWERS: 14.163 NO. OF PROPERTIES: 10.563 WA LTV: 55,2% Loans to employees of group: 5,0% WA Interest Rate on Floating rate Loans: 3,3% WA MARGIN ON FLOATING RATE LOANS: 2,7% WA Interest Rate on Floating rate Loans originated over last quarter: 4,0% Percentage of VARIABLE MORTGAGES: 18,2% WA Interest Rate on Fixed rate Loans: 4,6% Borrower concentration: %age of largest 10 borrowers : 1,16% Loans in arrears > 90 days: Supervisory Over Collateralisation Supplementary Assets 34.244.961 Transaction Account Balance 24.965.593 Deducting for liquidity reserve (5.134.549) Net supplementary assets available for OC 54.076.005 Contractual Over Collateralisation Loan balances in excess of basic cover 354.335.708 Adjustment to Loan balances due to set-off 60.203.818 Adjustment to Loan balances due to LTV 20.602.085 Total Cover Pool OC (allowing for set-off and LTV) 273.529.805 As a % of Outstanding Cover Bond Issuance 42,1% Asset Percentage (Covered Bond Issuance as a % of Cover Assets) 70,4% TOTAL COMMITED OVER COLLATERALISATION In Basic Cover 42,1% In Supplementary Assets 5,3% Total 47,3% Cover Pool Indexed LTV Distribution Indexed LTV ranges Total Loan Balance No. of Borrowers 0-40% 294.275.272 6.400 >40%- 50% 133.845.306 1.756 >50%- 60% 137.257.826 1.586 >60%- 70% 131.344.436 1.408 >70%- 80% 126.601.934 1.285 >80%- 85% 60.901.087 608 >85%- 90% 50.277.861 475 >90%- 95% 43.774.627 411 >95%- 100% 26.057.360 234 >100%- 105% - -
>105% - - TOTAL 1.004.335.708 14.163
Cover Pool Regional Distribution Region Total Loan Balance % of total loan balance Nicosia 442.596.360 44,1% Limassol 310.746.151 30,9% Larnaca 115.854.941 11,5% Paphos 97.187.009 9,7% Ammochostos 37.951.246 3,8% No data Cover Pool Rate Type Distribution Rate Type Total Loan Balance % of total loan balance Floating rate 908.754.441 90,5% Fixed rate with reset <2 years 76.592.595 7,6% Fixed rate with reset 2 but < 5 years 9.888.352 1,0% Fixed rate with reset 5 years 9.100.320 0,9% Cover Pool Occupancy Type Distribution Occupancy Type Total Loan Balance % of total loan balance Owner-occupied 873.941.884 87,0% Non-owner-occupied (buy-to-let) where BORROWER has < 3 properties 41.979.251 4,2% Non-owner-occupied (buy-to-let) where BORROWER has > 2 properties - Vacation/ second home 88.204.009 8,8% Partially owner-occupied - Other/No data 210.565
Cover Pool Property Type Distribution Property Type Total Loan Balance % of total loan balance House 752.888.248 75,0% Flat in block with less than 4 units - Flat in block with 4 or more units 251.447.460 25,0% PARTIAL COMMERCIAL USE - Other/No data Cover Pool Loan Type Distribution Loan Type Total Loan Balance % of total loan balance Purchase 648.920.246 64,6% RE-MORTGAGE - EQUITY RELEASE 49.084.065 4,9% RENOVATION 285.313.707 28,4% Construction (new) - Other/No data 21.017.690 2,1% Cover Pool Seasoning Distribution Seasoning (months) Total Loan Balance % of total loan balance < 12 22.692.360 2,3% 12-<24 25.101.230 2,5% 24-<36 20.861.427 2,1% 36-<60 151.861.143 15,1% 60 783.819.547 78,0% Cover Pool Loans - Arrears Analysis Months Total Loan Balance % of total loan balance Not in Arrears 917.891.126 91,4% <2 (and not BPI or Fce) 83.844.570 8,3% 2-<6 (and not BPI or Fce) 2.600.013 0,3% 6-<12 (and not BPI or Fce) - >12 (and not BPI or Fce) - Bankruptcy proceedings initialted ("BPI") (and not Fce) - Foreclosure ("Fce") -