BAWAG GROUP STRESS TEST RESULT

July 28th, 2023

RESILIENT PORTFOLIO

ECB stress test results validate strength of underwriting and conservative balance sheet

CET1 RATIO … 3-Year CET1 impact of -90bps

(0.9pts)

13.51%

12.26%

12.31%

12.61%

CET1 ratio

Year 1

Year 2

Year 3

Dec'22 starting

Adverse scenario

point

LEVERAGE RATIO

0.18pts

5.55% 5.36% 5.53% 5.73%

CET1 ratio

Year 1

Year 2

Year 3

Dec'22 starting

Adverse scenario

point

Key drivers for solid stress test results in adverse scenario

  • Further improvement vs. the 2021 exercise … CET1 impact improved from previously -198bps to -90bps over the 3-year period (max. CET1 drawdown 126bps vs. 213bps in 2021)
  • Profit making in all years … reflecting our resilient and highly profitable business model with a strong topline profitability in the current market environment
  • CET1 ratio above management target of >12.25% at all times
  • >€300 million dividends distributed over 3-year period … based on our dividend policy
  • Solid asset quality with 3-year cumulative loss rate <2% of total exposure
  • Cumulative Commercial Real estate losses <€100 million (1.6%) over 3-year period which could be fully covered by ECL management overlay
  • Improved market risk position ... pro-activede-risking since 2021
    • reduced OCI credit spread sensitivity by ~50%, compensating for harsher stress … cumulative impact of (0.6%) over 3-year period under adverse scenario
    • Bond books broadly hedged against interest rate risk

July 28, 2023

BAWAG GROUP

2

DETAILED ANALYSIS

No year of loss making in adverse scenario

CET1 DEVELOPMENT BY COMPONENT OVER 3-YEAR PERIOD

DEVELOPMENT OF LOAN LOSSES ACROSS PORTFOLIO

based on exposure

Main portfolios

Exposure

Assets

Average annual

Average annual

historic loss rate*

loss rate stress test

(in €b)

~85% Retail & SME

adverse scenario

~15% Corporates, Real Estate

1

Housing loans

16.4

16.0

0.05%

0.27%

& Public Sector

2

(5.3)

Consumer & SME

10.0

6.4

0.71%

2.56%

9.6

Retail & SME

26.4

22.4

0.28%

1.12%

(1.3)

(0.9)

3

Real-Estate

6.8

6.1

0.12%

0.53%

(1.6)

14.1

13.5

Corporates

4.2

3.9

0.18%

0.53%

(1.5)

12.6

9.63% capital

Public Sector

5.4

4.6

0.00%

0.07%

requirement

Corporates, Real Estate and

15.6

14.5

0.10%

0.38%

Public Sector

* For 2019-HY 2023; excluding management overlay

1• Housing loans … biggest exposure in Austria and Netherlands

Harsh assumptions with decrease of prices for residential real estate of (31%) in Austria and (32%) in

Netherlands … mitigated by portfolio collateralization

CET1

Pre-tax

Loan

Taxes

OCI &

RWA

CET1

Dividend

CET1

•

Consumer & SME … ~3.5x annual historic loss rate despite severe scenario assumptions with

2

… GDP (5%) in Austria and (6%) in Germany cumulative over 3 years

ratio

profit

losses

other

ratio pre

ratio post

Dec '22

before

dividend

dividend

… Inflation +18% in Austria and +19% in German over 3 years

risk costs

… Unemployment doubling versus year-end 2022 … going up to 10% in Austria and to 7% in Germany

3• Real-Estate:

Modeled -30% stress in CRE values with additional benchmarking effect results in equivalent of >50% valuation reduction impact … collateralization levels, structural protections providing resilience

July 28, 2023

BAWAG GROUP

3

ANNEX: ASSUMPTIONS

Stress test 2021

Stress test 2023

Adverse 2021 - Real GDP growth (%)

Adverse 2023 - Real GDP growth (%)

Delta

2021

2022

2023

cumulative

2023

2024

2025

cumulative

2021-2023

Austria

(1.3)

(1.7)

0.1

(2.9)

(3.4)

(4.0)

2.1

(5.3)

(2.5)

Germany

(2.7)

(0.5)

(0.7)

(3.9)

(5.2)

(4.3)

3.1

(6.4)

(2.6)

Netherlands

(1.3)

(2.3)

(0.6)

(4.3)

(2.2)

(3.6)

0.3

(5.4)

(1.1)

Austria

(1.3)

(1.7)

0.1

(2.9)

(3.4)

(4.0)

2.1

(5.3)

(2.5)

Euro Area

(1.5)

(1.9)

(0.2)

(3.6)

(3.4)

(4.1)

1.6

(5.9)

(2.2)

European Union

(1.5)

(1.9)

(0.2)

(3.6)

(3.5)

(4.2)

1.6

(6.0)

(2.4)

United Kingdom

(3.6)

(0.4)

(0.1)

(4.1)

(4.8)

(4.7)

1.0

(8.3)

(4.2)

United States

(3.4)

(0.5)

0.2

(3.7)

(5.7)

0.1

1.1

(4.6)

(0.9)

Rest of the World

0.1

1.1

3.1

4.4

(4.1)

(1.0)

1.3

(3.9)

(8.3)

Adverse 2021 - Residential real estate prices (%)

Adverse 2023 - Residential real estate prices (%)

Delta

2021

2022

2023

cumulative

2023

2024

2025

cumulative

2021-2023

Austria

(2.2)

(13.2)

(10.0)

(23.6)

(11.4)

(20.3)

(2.6)

(31.2)

(7.6)

Germany

(2.9)

(10.1)

(6.6)

(18.5)

(9.4)

(15.9)

(2.5)

(25.8)

(7.3)

Netherlands

(4.4)

(9.8)

(5.5)

(18.5)

(13.5)

(19.8)

(2.6)

(32.4)

(13.9)

Austria

(2.2)

(13.2)

(10.0)

(23.6)

(11.4)

(20.3)

(2.6)

(31.2)

(7.6)

Euro Area

(3.9)

(8.2)

(4.5)

(15.7)

(7.1)

(12.8)

(1.7)

(20.4)

(4.7)

European Union

(3.9)

(8.4)

(4.7)

(16.1)

(7.6)

(12.9)

(1.9)

(21.1)

(5.0)

United Kingdom

(12.9)

(8.9)

(3.3)

(23.3)

(12.3)

(7.6)

(3.4)

(21.7)

1.6

United States

(12.9)

(8.9)

(3.3)

(23.3)

(12.3)

(7.6)

(3.4)

(21.7)

1.6

Adverse 2021 - Commercial real estate prices (%)

Adverse 2023 - Commercial real estate prices (%)

Delta

2021

2022

2023

cumulative

2023

2024

2025

cumulative

2021-2023

Austria

(13.1)

(9.0)

(3.3)

(23.5)

(16.8)

(12.1)

(4.6)

(30.2)

(6.7)

Germany

(17.3)

(12.6)

(4.8)

(31.2)

(18.6)

(13.7)

(5.3)

(33.4)

(2.2)

Netherlands

(20.2)

(15.2)

(6.0)

(36.4)

(19.1)

(14.2)

(5.5)

(34.4)

2.0

Austria

(13.1)

(9.0)

(3.3)

(23.5)

(16.8)

(12.1)

(4.6)

(30.2)

(6.7)

Euro Area

(17.2)

(12.5)

(4.7)

(30.9)

(16.1)

(11.5)

(4.3)

(28.9)

2.0

European Union

(17.4)

(12.6)

(4.8)

(31.2)

(16.3)

(11.7)

(4.4)

(29.3)

1.9

United Kingdom

(17.0)

(14.0)

(5.0)

(32.2)

(16.0)

(11.0)

(4.0)

(28.2)

4.0

United States

(17.0)

(14.0)

(5.0)

(32.2)

(16.0)

(11.0)

(4.0)

(28.2)

4.0

Adverse 2021 - Unemployment rate (%)

Delta

2020

2021

2022

2023

cumulative

2022

2023

2024

2025

Delta

2021-2023

Austria

5.3

7.4

8.3

9.0

3.6

4.8

7.0

9.4

9.8

4.9

1.1

Germany

4.2

6.0

7.0

8.4

4.2

3.0

4.6

6.3

7.1

4.1

(0.7)

Netherlands

4.0

7.0

9.5

10.0

6.0

3.6

4.9

8.1

9.3

5.7

(1.4)

Austria

5.3

7.4

8.3

9.0

3.6

4.8

7.0

9.4

9.8

4.9

1.1

Euro Area

8.0

10.4

11.5

12.4

4.5

6.7

8.1

10.6

12.4

5.7

(0.9)

European Union

7.4

10.0

11.2

12.1

4.7

6.1

7.6

10.4

12.2

6.1

(0.8)

United Kingdom

5.4

8.0

8.6

8.9

3.5

3.8

6.3

11.0

10.6

6.8

2.4

United States

8.9

9.5

9.7

9.8

0.9

3.7

5.7

7.5

6.7

3.0

(2.2)

More severe stress test assumptions in 2023 than in 2021:

  • GDP contraction in our core markets more pronounced than in 2021 … Austria with cumulative impact of (5.3%)
  • Residential real estate prices assumed to fall by cumulative
    31% in Austria … 7pts more than in 2021
  • Commercial real estate prices assumed to decline by ~(30%) cumulative
  • Unemployment assumed to double in Austria from 4.8% to
    9.8% … +1.1 pts more than in 2021

July 28, 2023

BAWAG GROUP

4

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BAWAG Group AG published this content on 28 July 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 28 July 2023 18:08:07 UTC.