Bank of Cyprus Credit Ratings and Financial Position
Fixed income portfolio up 10% qoq; careful expansion to continue¹
Fixed income securities per category - NBV
Fixed income securities per issuer type - NBV
% assets
(€ mn)
7%
10%
11%
2,747
2,500
415
454
1,855
FVOCI²
604
+10%
(€ mn)
qoq
2,747
2,500
135
A1
110
Aa3
970
1,855
838
Other financial & other corporations
35
Average yield of
2,332
1Q2023 new
investments: 3.61%
Financial Institutions
559
310
Aaa
294
2,046
Supranationals
209
426
492
A1
Other Governments
278
Amortised cost 1,251
Mar 22
Dec 22
Mar 23
Amortised cost
FVOCI
Average contractual duration
2.24
3.62
(years)
Average duration taking into
•
consideration interest rate
2.12
0.42
hedging (years)
Average rating
A1
Baa3
1)
Subject to market conditions
2)
Investments classified as fair value through other comprehensive income
Cyprus Government
774
832
840
Ba1
Mar 22
Dec 22
Mar 23
Average rating per issuer type
Mark to market impact of Amortised cost portfolio at €87 mn in 1Q2023;
(c.85 bps) of CET1 ratio
Majority of positions in the FVOCI book are hedged for interest rate risk,
therefore minimal effect on reserves expected from interest rate changes
Ample excess liquidity conducive for further expansion of fixed income
portfolio¹
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