2022-24 Strategic Plan Update
APPENDIX
ALCO book
ALCO PORTFOLIO (1)
VOLUMES €Bn, eop
(2)
FV-OCIAC
YIELD %, eop
1.0%
1.0%
0.9%
1.0%
0.8%
69.8
73.0
70.4
69.1
66.5
58.6
61.8
60.9
60.5
58.8
11.2
11.2
9.5
8.6
7.7
Dec-22
Dec-22
Mar-23
Jun-23
Sep-23
Dec-23
ALCO PORTFOLIO IN % OF TOTAL ASSETS
MATURITY PROFILE
€Bn, 31 December 2023
Mar-23
Jun-23
Sep-23
Dec-23
CaixaBank
WHOLESALE FUNDING COSTS
Group ex BPI wholesale funding back-book
volumes (5) in ЄBn and spread over 6M Euribor in bps
96
100
100
91
83
AVERAGE LIFE I DURATION, # years
49
49
~11%
5.0 14.6 4.7 14.4 4.714.3 4.5 14.2
4.4 14.1
12.0
9.9
10.0
7.0
7.2
7.3
5.5
4.4
2.4
0.2 0.5
2024
2025
2026 2027 2028 2029
2030 2031
2032 2033 > 2033
ALCO PORTFOLIO BREAKDOWN BY MAIN EXPOSURES
% of total, 31 December 2023
3%
-1 pp ytd
52
51
48
47
Dec-22
Mar-23
Jun-23
Sep-23
Dec-23
61%
6%
-6 pp ytd
≈ytd
EU(3)
19%
+6 pp ytd
OTHER (4)
10%
+1 pp ytd
Volume
Spread
(1) Banking book fixed-income securities portfolio, excluding trading book assets. It includes €3.5 Bn of callable bonds for which yield, average life and duration are calculated based on current market levels. Note that SAREB bonds are not included in
the Group's ALCO portfolio (c.€16.8 Bn by end of December 2023, -3.1% yield). ALCO portfolio + SAREB bonds: €83.3 Bn; 1.4% yield; 3.3 years duration. (2) Securities at amortised cost. Refer to page 48 for additional details. (3) Including EU, Austria,
France, Germany, and core SSAs. (4) Mainly includes US Treasuries, Investment Grade corporates and other. (5) It includes securitisations placed with investors. It does not include AT1 issues. Wholesale funding figures in the Quarterly Financial Report 58
reflect the Group's funding needs and as such do not include ABS securities and self-retained multi-issuer bonds but include AT1 issuances.View entire presentation