Competing as a Strong and Independent Portuguese Bank
3
Conservative €11.4bn securities portfolio with HQLA1
representing ~70%
Securities Portfolio: Breakdown
Securities Portfolio: Ratings4
(€bn)
(€bn)
Banking Book
(excludes trading book; €bn; %)
1%
3%
0%
Other 4
11.4
2%
3%
1%
[B+; B-]
10.4
10.2
11.4
10.7
10.5
10%
13%
0.6
[BB+; BB-]
Other²
12%
0.9
23%
0.8
4.2
32%
[BBB+; BBB-]
8%
Bonds³
3.4
Amortised
Cost
3.4
48%
44%
68%
72%
Other
Sovereign
23%
[A+; A-]
3.2
3.2
debt
4.4
70%
24%
23%
6%
5%
PT
20%
[AA+; AA-]
FVTP&L
FVTOCI
Sovereign 3.2
3.1
8%
8%
26%
2.2
23%
debt
7%
7%
10%
AAA
Sep-21
Dec-21
Sep-22
Sep-21 Dec-22
Sep-22
Dec-21
Jun-22
Sep-22
Securities portfolio increasing by €0.9bn in advance of repayments of TLTRO III facility.
Portfolio with an average yield of 1.36%, of which -35% floating (after hedging).
•
1.4yrs duration
(vs Dec-21: 4.1yrs)
€0.3mn sensitivity
for 1bps increase in
interest rates
(before hedges;
Dec-21: €2.8mn);
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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