Financial and ESG Performance Review
3
Conservative risk management with limited unrealized losses in the
amortised cost securities portfolio...
Amortized Cost Portfolio
(13 March 2023; €bn; %)
Client
business
2.5
related
29%
Sovereign debt &
Supernationals
Conservative risk
Liquidation of securities portfolio at Amortised Cost
management translates in a
very limited net unrealised
MtM loss in the AC book with
40% of ALCO portfolio
hedged
P&L impact
Net Book Value
Market Value
Unrealised Mark to Market
Fair Value Hedging Derivatives MtM
P&L impact (profit after tax)
(13 March 2023)
€mn
8,468
7,975
(493)
199
(201)
€8.5bn
0.9
11%
5.1
60%
Capital impact 1
Corporate
HQLA
Full liquidation of the book
would result in c.24bps CET1
ratio phased-in impact.
CET 1 ratio phased-in as of Dec-22
CET 1 ratio phased-in pro-forma liquidation
13.7%
13.5%
Impact on CET 1 ratio (bps)
(24)
...and very granular and stable deposits base (c.73% retail clients of which c.72% customers prior to 2014 resolution).
novobanco
Note: novobanco analysis with reference to 13-March-2023; (1) using preliminary figures on Dec-22 pro-forma basis, assumes 31.5% statutory tax rate;
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