Financial and ESG Performance Review
Conservative €10.9bn securities portfolio with HQLA1
3
representing ~73%
Securities Portfolio: Breakdown
Securities Portfolio: Ratings4
(€bn)
(€bn)
Banking Book
(excludes trading book; €bn; %)
3%
1%
0%
Other 4
2%
1%
3%
[B+; B-]
10.4
10.2
10.8
10.9
10.5
Other²
10.3
0.4
12%
13%
13%
[BB+; BB-]
23%
0.8
0.7
Amortised
Cost
21%
[BBB+; BBB-]
4.1
8%
Bonds³
3.4
36%
4.1
44%
68%
76%
Other
27%
[A+; A-]
Sovereign
3.2
21%
debt
3.4
70%
5.4
23%
23%
6%
FVTP&L
PT
[AA+; AA-]
3%
18%
Sovereign 3.1
debt
8%
26%
2.2
22%
15%
1.0
7%
9%
AAA
Dec-21
Jun-22
Dec-22
Dec-21
Jun-22
Dec-22
Dec-21
Jun-22
Dec-22
•
FVTOCI
1.5yrs duration
(vs Dec-21: 4.1yrs)
€0.3mn sensitivity
for 1bps increase in
interest rates
(before hedges;
Dec-21: €2.8mn);
Securities portfolio increasing by €0.4bn YoY in advance of further TLTRO III facility repayments.
Portfolio with an average yield of 2.0%, of which -35% floating (after hedges), and -4.7 duration.
novobanco (1) HQLA: High Quality Liquid Assets; (2) Includes Funds and Equity Holdings; (3) Includes Corporate Debt and Supra; (4) Breakdown excludes Funds and Equity Holding and Commercial Paper;
Considers S&P Rating and novobanco internal rating if S&P not available; Graph includes Other of 0.4% classified by novobanco as Defaulted
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