REG - Alpha Bank A.E. - Annual Financial Report <Origin Href="QuoteRef">ACBr.AT</Origin> - Part 13
31/03/2017 07:07
- Part 13: For the preceding part double click ID:nRSe0956Bl
461,064 461,064
Share premium 10,790,870 10,790,870
Reserves 308,920 308,920
Retained earnings (2,546,885) (2,546,885)
Non-controlling interests 23,998 23,998
Hybrid securities 15,232 15,232
Total Equity 9,053,199 9,053,199
Total Liabilities and Equity 31,248,704 5,396,163 5,866,767 2,284,717 9,476,137 4,224,596 10,800,458 69,297,542
Open exposure (4,490,288) 3,330,978 2,204,709 (798,862) (317,943) 1,629,951 (1,558,545) -
Cumulative exposure (4,490,288) (1,159,310) 1,045,399 246,537 (71,406) 1,558,545 - -
* Certain figures of the comparative year have been restated as noted in note 49.
From the Interest Rate Gap Analysis and from the application of alternative scenarios regarding the changes in the market
interest rates or changes in the base interest rates of the Bank and the companies of the Group, the Group is able to
calculate the immediate changes in the net interest income and equity relating to available for sale securities. In the
interest rate decrease scenarios the change is assessed up to a feasible point (interest rate set to zero) in accordance
with the effective yield curves per currency.
Interest rate variation scenario (parallel fall or rise in yield curves) Sensitivity for net interest income (annual) Sensitivity of Equity
(100) (61,174) 174,227
100 69,999 (158,890)
41.3 Liquidity risk
Liquidity risk relates to the Bank's ability to maintain sufficient funds to cover its planned or extraordinary
obligations. In fact, the total funding can be divided into two main categories:
Á. Customer deposits
1. Customer deposits on demand for cash flow needs
Deposits that are intended to meet short term needs of customers are the savings accounts and the sight deposits. Although
these deposits may be withdrawn on demand, the number of accounts and type of depositors ensure that unexpected significant
fluctuations are limited. Therefore, these deposits constitute a significant factor of stability of the deposit base.
2. Customer term deposits and bonds for investment purposes
The customer term deposits and bonds for investment purposes issued by the Group companies usually consist of customer
deposits for a certain period and customer repurchase agreements (repos), whereas the bonds issued by the Group companies
are disposed through outright sale. Customers have the ability of early withdrawal of deposits or early liquidation of
bonds which may result in potential need of finding alternative liquidity in case of extensive outflows.
For this purpose and for the general safety of customer deposits, the Bank takes care for the existence of adequate
liquidity surpluses which are calculated based on stress testing exercises due to loss of liquidity or the existence of
sufficient credit lines of financial instruments as shown below.
Â. Wholesale funding
1. Medium-term borrowing from international capital markets
The Bank's constant aspiration is to cooperate with international investors who may offer medium term financing through
purchase of securities issued by the Group companies. For this purpose, the Bank retains special financing programs
appealing to international investors and provides adequate coverage of credit needs through international capital markets
by planning asset level needs on an annual basis. However, the Bank acknowledges that the demand of these bonds may not be
enough to fully meet the needs in specific time intervals as a result of factors which concern the credit assessment in the
domestic and international economic environment.
2. Funding by Central Banks
An alternative way of Bank funding is the liquidity from financial instruments of the Central Banks- Euro system and
especially from the European Central Bank (ECB). This funding regards loan granted with pledge of assets according to
instructions and the eligible assets determined by the ECB. During the last years this additional source funding has become
a major financial instrument by hedging the inadequate or loss of basic forms of Bank funding. Furthermore, under the
period on which Greece is under the restructuring program of economy and fiscal improvement of financial figures and
simultaneously servicing financing needs of the network of institutions that have the supervision of the program, the Bank
can use available assets in order to increase liquidity from the Eurosystem to cover any financing gap. The Bank recognizes
the short-term nature of this liquidity source and pursues gradually to release, if circumstances allow. However, for as
long as the country is experiencing financial and economic crisis, the Bank ensures the smooth financing from these
financial instruments which may be either conventional marginal lending from the ECB (MRO), or Emergent Liquidity
Assistance from Bank of Greece (ELA). The Bank ensures the adequacy of collateral required in order to serve the financing
from the above financial instruments, while recognizing both the type and the amount of financing that is under the
discretion of the Eurosystem.
Based on the Liquidity Gap Analysis, the cash flows arising from balance sheet items are calculated and
classified into time periods in accordance with the contractual maturity date or the estimated date based on a statistical
analysis (convention). An exception to the above, are the securities portfolios, which can contribute directly to raise
liquidity, and they are allocated in the first period under the condition that they have not been used to raise liquidity
either by the Central Bank or through interbank repos.
31.12.2016
< 1 month 1 to 3 months 3 to 6 to > 1 year Total
6 months 12 months
ASSETS
Cash and balances with Central Banks 1,514,607 1,514,607
Due from banks 1,339,217 405,623 26,536 44 197,861 1,969,281
Trading securities 4,701 4,701
Derivative financial assets 634,323 634,323
Loans and advances to customers 3,501,282 2,178,064 1,554,192 3,857,891 33,317,331 44,408,760
Investment securities
- Available for sale 4,964,609 252,444 5,217,053
- Held to maturity 11,496 3,403 30,100 44,999
- Loans and receivables 2,682,655 2,682,655
Investments in associates and joint ventures 21,792 21,792
Investment property 614,092 614,092
Property, plant and equipment 793,968 793,968
Goodwill and other intangible assets 371,314 371,314
Deferred tax assets 4,519,046 4,519,046
Other assets 59,924 121,660 179,773 362,893 726,209 1,450,459
Non current assets held for sale 517,847 107,369 625,216
Total Assets 12,018,663 2,705,347 2,289,844 4,331,600 43,526,812 64,872,266
LIABILITY
Due to banks 17,227,822 89,838 1,075 2,673 1,784,169 19,105,577
Derivative financial liabilities 1,336,227 1,336,227
Due to customers 6,368,861 4,571,701 3,798,701 3,115,974 15,090,879 32,946,116
Debt securities in issue held by institutional investors and other borrowed funds 18,831 7,238 590,796 616,865
Liabilities for current income tax and other taxes 33,778 33,778
Deferred tax liabilities 21,219 21,219
Employee defined benefit obligations 91,828 91,828
Other liabilities 144,107 735,078 879,185
Provisions 321,704 321,704
Liabilities related to assets held for sale 406,058 296 406,354
Total Liabilities 25,077,017 4,680,370 4,246,850 3,118,943 18,635,673 55,758,853
EQUITY
Share capital 461,064 461,064
Share premium 10,790,870 10,790,870
Reserves 332,061 332,061
Retained earnings (2,506,711) (2,506,711)
Non-controlling interests 20,997 20,997
Hybrid securities 15,132 15,132
Total Equity 9,113,413 9,113,413
Total Liabilities and Equity 25,077,017 4,680,370 4,246,850 3,118,943 27,749,086 64,872,266
Open liquidity gap (13,058,354) (1,975,023) (1,957,006) 1,212,657 15,777,726 -
Cumulative liquidity gap (13,058,354) (15,033,377) (16,990,383) (15,777,726) - -
31.12.2015*
< 1 month 1 to 3 months 3 to 6 to > 1 year Total
6 months 12 months
ASSETS
Cash and balances with Central Banks 1,730,327 1,730,327
Due from banks 1,420,989 331,911 4,636 24 218,713 1,976,273
Trading securities 1,888 891 2,779
Derivative financial assets 793,015 793,015
Loans and advances to customers 2,886,348 2,039,558 1,799,782 2,854,971 36,605,457 46,186,116
Investment securities
- Available for sale 4,816,465 978,019 5,794,484
- Held to maturity 6,112 73,597 79,709
- Loans and receivables 4,289,482 4,289,482
Investments in associates and joint ventures 45,771 45,771
Investment property 623,662 623,662
Property, plant and equipment 860,901 860,901
Goodwill and other intangible assets 345,151 345,151
Deferred tax assets 4,398,176 4,398,176
Other assets 61,986 125,854 185,959 375,394 759,440 1,508,633
Non current assets held for sale 390,862 272,201 663,063
Total Assets 11,711,018 2,888,185 2,268,690 3,230,389 49,199,260 69,297,542
LIABILITY
Due to banks 23,057,911 3,807 928 2,747 2,049,970 25,115,363
Derivative financial liabilities 1,550,529 1,550,529
Due to customers 6,328,964 4,591,349 3,219,322 2,550,700 14,743,931 31,434,266
Debt securities in issue held by institutional investors and other borrowed funds 400,729 400,729
Liabilities for current income tax and other taxes 38,192 38,192
Deferred tax liabilities 20,852 20,852
Employee defined benefit obligations 108,550 108,550
Other liabilities 209,271 701,352 910,623
Provisions 298,458 298,458
Liabilities related to assets held for sale 277,675 89,106 366,781
Total Liabilities 31,146,675 4,911,023 3,309,356 2,553,447 18,323,842 60,244,343
EQUITY
Share capital 461,064 461,064
Share premium 10,790,870 10,790,870
Reserves 308,920 308,920
Retained earnings (2,546,885) (2,546,885)
Non-controlling interests 23,998 23,998
Hybrid securities 15,232 15,232
Total Equity - - - - 9,053,199 9,053,199
Total Liabilities and Equity 31,146,675 4,911,023 3,309,356 2,553,447 27,377,041 69,297,542
Open liquidity gap (19,435,657) (2,022,838) (1,040,666) 676,942 21,822,219 -
Cumulative liquidity gap (19,435,657) (21,458,495) (22,499,161) (21,822,219) - -
Held for trading and available for sale portfolios are listed based on their liquidation potential and not according to
their maturity.
Cash flows arising from financial liabilities including derivative financial liabilities, are allocated into time bands
according to their maturity date. Estimated interest payments are also included. Liabilities in foreign currency have been
converted into Euro. Outflows and inflows relating to derivatives are estimated according to their contractual terms.
* Certain figures of the comparative year have been restated as noted in note 49.
31.12.2016
Total Balance Sheet Nominal inflows / (outflows) TOTAL
to 1 to 3 to 6 to More than1 year
1 month 3 months 6 months 12 months
Liabilities
- non-derivative
Due to banks 19,105,577 (17,256,804) (121,577) (53,408) (107,383) (2,227,240) (19,766,412)
Due to customers 32,946,116 (6,392,878) (4,953,031) (3,799,259) (3,137,464) (15,015,201) (33,297,833)
Debt securities in issue held by institutional investors and other borrowed funds 616,865 (1,869) (22,655) (13,793) (13,854) (651,692) (703,863)
Other liabilities 879,185 (144,107) (735,078) (879,185)
Derivative held for assets fair value hedge 1,480
- Outflows (13) (720) (660) (1,393)
- Inflows 576 638 1,214
Derivatives held for liabilities fair value hedge 629,067
- Outflows (272) (471) (40,102) (802,151) (842,996)
- Inflows 10,158 20,213 768,282 798,653
Derivatives held for trading 705,680
- Outflows (404,407) (98,618) (64,086) (250,934) (1,967,831) (2,785,876)
- Inflows 397,355 71,048 48,048 204,624 1,619,511 2,340,586
Total 54,883,970 (23,802,995) (5,125,304) (3,913,162) (3,284,222) (19,011,422) (55,137,105)
Off balance sheet items
Undrawn loan agreements and credit limits that can not be recalled (committed) (494,734) (494,734)
Financial guarantees (48,421) (14,094) (23,546) (7,328) (152,774) (246,163)
Total off Balance sheet items (543,155) (14,094) (23,546) (7,328) (152,774) (740,897)
31.12.2015*
Total Balance Sheet Nominal inflows / (outflows) TOTAL
to 1 to 3 to 6 to More than1 year
1 month 3 months 6 months 12 months
Liabilities
- non-derivative
Due to banks 25,115,363 (23,084,150) (45,240) (77,398) (155,083) (2,795,305) (26,157,176)
Due to customers 31,434,266 (6,582,440) (4,965,139) (3,277,774) (2,674,216) (15,613,556) (33,113,125)
Debt securities in issue held by institutional investors and other borrowed funds 400,729 (2) (83) (789) (35) (406,065) (406,974)
Other liabilities 910,623 (209,271) (701,352) (910,623)
Derivative held for assets fair value hedge 52,376
- Outflows (128) (407) (40,004) (173) (1,216,128) (1,256,840)
- Inflows 948 10,636 20,722 1,144,647 1,176,953
Derivatives held for liabilities fair value hedge 568,037
- Outflows (72) (8,601) (9,425) (21,299) (1,335) (40,732)
- Inflows 7,297 7,443 16,363 1,746 32,849
Derivatives held for trading 930,116
- Outflows (359,401) (430,618) (356,444) (472,700) (4,395,043) (6,014,206)
- Inflows 317,049 431,491 302,030 431,820 4,313,738 5,796,128
Total 59,411,510 (29,918,415) (5,010,352) (3,441,725) (2,854,601) (19,668,652) (60,893,745)
Off balance sheet items
Undrawn loan agreements and credit limits that can not be recalled (committed) (278,913) (278,913)
Financial guarantees (34,454) (35,370) (27,320) (118,099) (264,379) (479,622)
Total off Balance sheet items (313,367) (35,370) (27,320) (118,099) (264,379) (758,535)
* Certain figures of the comparative year have been restated as noted in note 49
41.4 Fair value of financial assets and liabilities
Hierarchy of financial instruments not measured at fair value
31.12.2016
Level 1 Level 2 Level 3 Total Fair value Total Carrying amount
Financial Assets
Loans and advances to customers 44,102,220 44,102,220 44,408,760
Investment securities
- Held to maturity 25,165 6,649 10,045 41,859 44,999
- Loans and receivables 2,743,600 2,743,600 2,682,655
Financial liabilities
Due to customers 32,913,723 32,913,723 32,946,116
Debt securities in issue* 19,912 579,831 599,743 602,870
31.12.2015
Level 1 Level 2 Level 3 Total Fair value Total Carrying amount
Financial Assets
Loans and advances to customers 46,107,498 46,107,498 46,186,116
Investment securities
- Held to maturity 36,823 28,990 13,121 78,934 79,709
- Loans and receivables 4,364,715 4,364,715 4,289,482
Financial liabilities
Due to customers 31,422,161 31,422,161 31,434,266
Debt securities in issue* 26,338 338,680 365,018 376,129
The above table presents the fair value as well as the carrying amount of financial instruments measured at amortized cost,
classified by fair value hierarchy.
The fair value of loans is estimated based on the interbank market yield curves by adding a liquidity premium and spread
per loan category and business unit for the expected loss. The fair value of deposits is estimated based on the interbank
market yield curves by deducting customer's spread depending on the type of deposit. In both above mentioned cases, the
future cash flows (floating rate) are calculated based on the implied forward rates until their maturity.
The held to maturity securities and debt securities in issue whose fair value is calculated based on market prices, are
classified into Level 1.
The held to maturity securities and securities in issue whose fair value is calculated based on non-binding market prices
provided by dealers-brokers or on the application of income approach methodology using interest rates and credit spreads
which are observable in the market, are classified into Level 2. The fair value of the loans and receivables securities
relating to securities issued by the European Financial Stability Facility (E.F.S.F.), was determined by discounted cash
flows using relevant E.F.S.F. issues inputs.
Level 3 classification includes securities whose fair value is estimated using significant unobservable inputs. In this
case the fair value is quoted by the issuers of the securities and confirmed by the Group or calculated by the Group.
Furthermore at Level 3 is included the Bank's liability to special purpose entities relating to securitized loans. The fair
value of the liabilities above were calculated by discounting the future cash flows taking into account the unobservable
market inputs.
The fair value of other financial assets and liabilities which are valued at amortized cost does not differ materially from
the respective carrying amount.
* Debt securities in issue do not include the convertible bond loan issued by the Bank in the context of the agreement
with Credit Agricole S.A. regarding the acquisition of Emporiki Bank since this security is measured at fair value.
Hierarchy of financial instruments measured at fair value
31.12.2016
Level 1 Level 2 Level 3 TotalFair value
Derivative Financial Assets 4,224 624,740 5,359 634,323
Trading securities
- Bonds and Treasury bills 2,256 2,256
- Shares 2,445 2,445
Available for sale securities
- Bonds and Treasury bills 4,686,091 345,803 16,987 5,048,881
- Shares 68,945 18,048 46,326 133,319
- Other variable yield securities 34,853 34,853
Derivative Financial Liabilities 1,336,227 1,336,227
Convertible bond 13,995 13,995
31.12.2015
Level 1 Level 2 Level 3 TotalFair value
Derivative Financial Assets 6,665 782,820 3,530 793,015
Trading securities
- Bonds and Treasury bills 1,888 1,888
- Shares 891 891
Available for sale securities
- Bonds and Treasury bills 4,927,352 625,704 19,460 5,572,516
- Shares 143,815 43,337 187,152
- Other variable yield securities 34,816 34,816
Derivative Financial Liabilities 21 1,550,508 1,550,529
Convertible bond 24,600 24,600
The tables above present the fair value hierarchy of financial instruments which are measured at fair value based on the
inputs used for the fair value measurement.
Securities which are traded in an active market and exchange-traded derivatives are classified into Level 1.
The available for sale securities whose fair value is calculated based on non-binding market prices provided by
dealers-brokers or on the application of the income approach methodology using interest rates and credit spreads which are
observable in the market, are classified as Level 2. Level 3 classifications include securities whose fair value is
estimated using significant unobservable inputs.
Securities whose fair value is calculated are classified to Level 2 or Level 3, depending on the extent of the contribution
of unobservable data to calculate final fair value. The fair value of non listed shares, as well as shares not traded in an
active market is determined based on the estimations made by the Group which relate to the future profitability of the
issuer taking into account the expected growth rate of its operations, as well as the weighted average rate of capital
return which is used as discount rate. Given that the above parameters are mainly non observable, the valuation of these
shares is classified in Level 3.
For the valuation of over the counter derivatives income approach methodologies are used: discounted cash flow models,
option-pricing models or other widely accepted valuation models. Valuations are checked on a daily basis with the
respective prices of the counterparty banks in the context of the daily process of provision of collaterals and settlement
of derivatives. If the non observable inputs are significant, the fair value that arises is classified as Level 3 or
otherwise as Level 2.
The valuation of the convertible bond was based on the estimated share price at the mauturity date of the bond, as
reflected in the Group's business plan, which is unobservable market parameter. Finally, the Group used the discount cash
flow method, to assess contingent sale price of Ionian Hotel Enterprises S.A., which reached the amount of E 4.5 million
and was classified to other assets. The above method used was based to a business plan submitted by Ionian Hotel
Enterprises S.A. Net present value of disounted cash flows amounted to E 9.7 million on 31.12.2016. Taking into account
that the cost for premium shares' acquisition of Ionian Hotel Enterprises S.A. amounts to E 5.2 million, the estimated fair
value of sales price as of 31.12.2016 amounted to E 4.5 million. The above valuation is classified to Level 3 as for the
the estimation of fair value unobservable inputs were used.
The Group recognizes the transfer between fair value hierarchy Levels at the end of the reporting period.
Within the period, E 100.1 million of Greek corporate bonds were transferred from Level 2 to Level 1 due to the
satisfaction of the active market criteria. Also E 46.3 million of Greek corporate bonds were transferred from Level 1 to
Level 2, as the liquidity margin (bid-ask spread) moved above the limit set for the characterization of market as active.
The table below presents the valuation methods used for the measurement of Level 3 fair value:
31.12.2016
Total Fair Value Fair Value Valuation Method Significant Non-observable Inputs
Derivative Financial Assets 5,359 5,226 Discounted cash flows with interest being the underlying instruments, taking into account the credit risk The probability of default and loss given default of the counterparty (BCVA adjustment) calculated using an internal model
133 Discounted cash flows with interest rates being the underlying instrument Valuation of reserve adequacy for payment of hybrid securities' dividends
Available for sale bonds 16,987 16,987 Based on issuer price /Discounted cash flows with estimation of credit risk Issuer price / Credit spread
Available for sale shares 46,326 46,326 Discounted cash flows - Multiples valuation method - Equity Future profitability of the issuer
Convertible bond loan 13,995 13,995 Discounted cash flows - Multiples valuation method Assessment of issuers market price
31.12.2015
Total Fair Value Fair Value Valuation Method Significant Non-observable Inputs
Derivative Financial Assets 3,530 3,185 Discounted cash flows with interest being the underlying instruments, taking into account the counterparty's credit risk The probability of default and loss given default of the counterparty (BCVA adjustment) calculated using an internal model
345 Discounted cash flows with interest rates being the underlying instrument Valuation of reserve adequacy for payment of hybrid securities' dividends
Available for sale bonds 19,460 19,460 Based on issuer price Price
Available for sale shares 43,337 43,337 Discounted cash flows - Multiples valuation method Future profitability of the issuer
Convertible bond loan 24,600 24,600 Discounted cash flows - Multiples valuation method Assessment of issuers market price
Material unobservable inputs that were used for the valuation of Ionian Hotel Enterprises S.A. sale price, which amounted
to E 4.5 million, is the cost of equity for both Ionian Hotel Enterprises S.A. and the Bank.
A reconciliation for the movement of financial instruments measured at fair value in Level 3 is depicted below.
31.12.2016
Assets Liabilities
Available for sale securities Derivative financial liabilities Available for sale securities Derivative financial liabilities
Opening balance 1.1.2016 62,797 3,530 (24,600)
Total gain or loss recognized in Income Statement (386) (803) 119 10,605
Total gain or loss recognized in Equity 2,904
Purchases/ Issues 456
Sales/ Repayments/ Settlements (6,364) (532) 638
Transfers in Level 3 from Level 1 4,838
Transfers in Level 3 from Level 2 4,524 (1,570)
Transfers out Level 3 from Level 1 (932)
Transfers out Level 3 from Level 2 (1,360) 813
Balance 31.12.2016 63,313 5,359 (13,995)
Amounts included in the Income Statement for financial instruments held at the year end. (39) (522)
During the period E 4.8 million of shares were transferred from Level 1 to Level 3 as non-observable data were used for
their valuation and E 0.9 million of shares were transferred from Level 3 to Level 1 as for their valuation observable
stock market price was used.
A transfer of derivatives from Level 2 to Level 3 occurred as the probability of default and loss given default of the
counterparty calculated using an internal model due to the credit risk (BCVA adjustment). On 31.12.2016 the above parameter
did not contribute significantly in the final valuation of those derivatives resulting in getting transferred back at Level
2.
31.12.2015
Assets Liabilities
Available for sale securities Derivative financial liabilities Available for sale securities Derivative financial liabilities
Opening balance 1.1.2015 76,453 (5,393)
Total gain or loss recognized in Income Statement (9,766) 2,566 5,373
Total gain or loss recognized in Equity (2,683)
Purchases/ Issues 14,355
Sales/ Repayments/ Settlements (15,573) 20
Transfers in Level 3 from Level 2 11 964 (24,600)
Balance 31.12.2015 62,797 3,530 0 (24,600)
Amounts included in the Income Statement for financial instruments held at the year end (8,322) 7,939
During the period 2015, purchases of corporate bonds amounting to E 11.3 million as well as other variable yield securities
amounting to E 3 million took place that were classified in Level 3, since non observable parameters were used for
valuation purposes. In addition, sales-repayments of foreign corporate bonds amounting to E 6.4 million and other variable
yield securities sales amounting E 9.2 million took place. A transfer of derivatives from Level 2 to Level 3 occurred since
the use of non-observable inputs was significant.
Finally during 2015 a transfer of convertible bond from Level 2 to Level 3 occurred as a different valuation method was
applied.
Sensitivity analysis for Level 3 financial instruments that their valuation was based on significant non-observable data is
presenting in the following table.
Significant Significant Total effect Total effect in Equity
non-observable inputs non-observable inputs change in income statement
Favourable Variation Unfavourable Variation Favourable Variation Unfavourable Variation
Derivative Financial Assets The probability of default and the loss given default of the counterparty (BCVA adjustment) are calculated with the use of an internal model Increase the probability of default through reduction of internal ratings by 2 scales/ Increase the loss given default by 10% (894)
Assessment of the adequacy of reserves for the payment of hybrid securities dividends Increase the probability of dividend payments to 100% (102)
Available for sale bonds Issuer Price/ Credit spread Variation +/- 10% 663 (652)
Available for sale shares Future profitability of the Issuer Variation +/- 10% in P/B and EV/Sales ratios (multiples valuation method) 1,429 (167) 1,429 (1,262)
Convertible bond loan Assessment of issuers market price Alpha Bank share price in the range of E 1.5-2.5 3,768 (3,050) 3,768 (3,050)
Total 5,197 (4,213) 5,860 (4,964)
As far as Ionian Hotel Enterprises S.A. sale price is concerned, according to the sensitivity analysis performed and
fluctuation to 0.50% in cost of equity, the range in sale price is at a minimum value E 4.06 million and at a higher value
of E 4.54 million.
41.5. Transfers of financial assets
The Group in its ordinary course of business, transfers financial assets. In cases that, despite the fact that the
contractual right to receive cash flows has been transferred the risks and rewards remain with the Group, these assets
continue to be recognized on the balance sheet.
On 31.12.2016, the financial assets that have not been derecognized despite the contractual transfer of their cash flows,
are derived from the following two categories of transactions:
a) Securitizations of financial assets
The Bank has securitized corporate, consumer loans and credit cards while its subsidiary Alpha Leasing A.E. finance lease
receivables, in order to absorb liquidity from the Eurosystem. In the context of these transactions, these items have been
transferred to special purpose entities fully consolidated by the Group, which have proceeded to the issuance of bonds.
Securitized financial assets continue to be recognized as loans and advances to customers, since the Group continues in all
cases to retain the rewards and risks associated with them. This is justified by several factors which include the full
consolidation of special purpose entities, the fact that the Bank owns these bonds and the entitlement bonds to the
deferred consideration from the transfer. Given that bonds are owned by the Group, no liabilities actually arise from the
transfer. The carrying amount of the securitized loans and credit cards on 31.12.2016 amounts to E 3,048,146 (31.12.2015:
E 3,386,485).
In addition, during the current year, the Bank proceeded to shipping loans securitization transaction through the fully
consolidated special purpose company Alpha Shipping Finance Ltd. These loans are recognized in the category of loans and
trade receivables as the Group retains the risks and benefits of the portfolio through entitlement to deferred
consideration paid. The carrying amount of the securitized shipping loans and the bonds which are issued of the SPE, which
are not held, as at 31.12.2016 amounted to E 569,476 and E 252,320 respectively (31.12.2015: E 639,654 and E 340,272
respectively). The fair value of loans as at 31.12.2016 amounted to E 550,181 (31.12.2015: E 587,737) and the debt security
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