UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 6-K
REPORT OF FOREIGN ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16
UNDER THE SECURITIES EXCHANGE ACT OF 1934
For the month of March, 2021
Commission file number: 1-10110
BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
(Exact name of Registrant as specified in its charter)
BANK BILBAO VIZCAYA ARGENTARIA, S.A.
(Translation of Registrants name into English)
Calle Azul 4,
28050 Madrid
Spain
(Address of principal executive offices)
Indicate by check mark whether the registrant files or will file annual reports under cover of Form 20-F or Form 40-F:
Form 20-F ☒ Form 40-F ☐
Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(1):
Yes ☐ No ☒
Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(7):
Yes ☐ No ☒
BBVA. PILLAR III 2020 | P. 1 |
The English language version of this report is a free translation from the original, which was prepared in Spanish. All possible care has been taken, to ensure that the translation is an accurate presentation of the original. However, in all matters of interpretation, views or opinion expressed in the original language version of the document in Spanish take precedence over the translation.
BBVA. PILLAR III 2020 | INDEX | P. 2 |
Index
4 | ||||||
7 | ||||||
11 | ||||||
12 | ||||||
13 | ||||||
14 | ||||||
16 | ||||||
18 | ||||||
1. |
22 | |||||
1.1. | Corporate name and differences between the consolidated group for the purposes of solvency regulations and accounting criteria | 23 | ||||
1.2. |
27 | |||||
1.3. |
Exemptions from capital requirements at the individual or sub-consolidated level |
27 | ||||
2. |
28 | |||||
2.1. |
29 | |||||
2.2. |
30 | |||||
2.3. |
33 | |||||
2.4. |
34 | |||||
2.5. |
36 | |||||
2.6. |
38 | |||||
3. |
40 | |||||
3.1. |
41 | |||||
3.2. |
41 | |||||
3.3. |
103 | |||||
3.4. |
114 | |||||
3.5. |
117 | |||||
3.6. |
124 |
BBVA. PILLAR III 2020 | INDEX | P. 3 |
BBVA. PILLAR III 2020 | GLOSSARY OF TERMS | P. 4 |
ACRONYM |
DESCRIPTION | |
ALM (Asset - Liability Management) | Mechanism for managing structural balance-sheet risk due to potential imbalances between assets and liabilities due to different types of factors (interest rate, exchange rate, liquidity, etc.) | |
AMA | Advanced method for calculating the own funds requirements for operational risk | |
AT1 (Additional Tier 1) | Additional Tier 1 capital consisting of hybrid instruments, mainly CoCos and preferred shares | |
Basel III | Package of proposals for reform of banking regulation, published as of December 16, 2010 and with a period of gradual implementation | |
BCBS (Basel Committee on Banking Supervision) | Basel Committee on Banking Supervision. International cooperation forum on banking supervision to increase the quality of banking supervision worldwide | |
CCyB (Countercyclical Buffer) | Countercyclical buffer, the part of a set of macroprudential instruments designed to help counteract the procyclicality of the financial system | |
CCF (Credit Conversion Factor) | Credit conversion factor. The ratio between the current available amount of a commitment that could be used and would therefore be outstanding at the time of default, and the current available amount of the commitment | |
CCP (Central Counterparty Clearing House) | An entity that liaises between counterparties, acting as a buyer when dealing with sellers and as a seller when dealing with buyers | |
CDS (Credit Default Swap) | Financial derivative between a beneficiary and a guarantor through which the beneficiary pays the guarantor a premium in exchange for receiving protection from possible credit events over a period of time | |
CET1 (Common Equity Tier 1) | Common Equity Tier 1: the entitys capital of the highest quality (see paragraph 2.1) | |
Counterparty Credit Risk | The credit risk corresponding to derivative instruments, repurchase and reverse repurchase transactions, securities or commodities lending or borrowing transactions and deferred settlement transactions | |
CoCo (Contingent Convertible) | Convertible contingent bond. Hybrid issues with debt and equity elements convertible | |
Credit Risk | into shares Credit risk is based on the possibility that one party to the financial instruments contract will fail to meet its contractual obligations on the grounds of insolvency or inability to pay and will cause a financial loss for the other party | |
CRM (Credit Risk Mitigation) | Credit Risk Mitigation: a technique used by the institution to reduce the credit risk associated with one or more exposures that the institution still maintains | |
CRR / CrD IV | Solvency regulation on prudential requirements of credit institutions and investment firms (EU Regulation 575/2013) | |
CVA (Credit Valuation Adjustment) | Valuation adjustments for counterparty credit risk | |
DlGD (Downturn loss Given Default) | Severity in a period of stress in the economic cycle | |
D-SIB (Domestic Systemically Important Bank) | Domestic Systemically Important Bank | |
EAD (Exposure at default) | Maximum loss at the time of the counterparty entering into default | |
EBA (European Banking authority) | European Banking Authority. Independent institution responsible for promoting the stability of the financial system, the transparency of financial markets and products and the protection of depositors and investors | |
EC (Economic Capital) | The amount of capital considered necessary to cover unexpected losses if actual losses are greater than expected losses | |
ECB (European Central Bank) | Central bank of the countries of the European Union that have the euro as their currency | |
ECAI (External Credit assessment Institutions) | External Credit Assessment Agency designated by the entity | |
El (Expected Loss) | The ratio between the amount expected to be lost in an exposure, due to potential non-payment by a counterparty or dilution over a period of one year, and the amount due at the time of non-payment | |
ERBA (External Rating Base Aproach) | Methodology for estimating RWAs of securitisations from external ratings | |
Environmental, social and governance (ESG) | Environmental, social and good corporate governance criteria, the main objective of which is to contribute to sustainable development | |
FRTB (Fundamental Review of the Trading Book) | A set of reforms proposed by the BCBS on the market risk framework, with the aim of improving the design and consistency of market risk capital standards | |
FsB (financial Stability Board) | Financial Stability Board. An international body that pursues the effectiveness and stability of the international financial system, monitoring it and publishing recommendations | |
FTD (First to default) | Derivative by which both parties negotiate protection against the first default by any of the entities that form part of the basket | |
GRM (Global Risk Management) | Global Risk Management | |
GRMC (Global Risk Management Committee) | Global Risk Management Committee | |
G-SIBS (Global Systemically Important Banks) | Financial institutions that, because of their large size, market importance and interconnectedness, could cause a serious crisis in the international financial system in the event of economic problems | |
IAA (Internal Assessment Approach) | Internal evaluation method for the calculation of securitisation exposures in the banking book |
BBVA. PILLAR III 2020 | GLOSSARY OF TERMS | P. 5 |
ICAAP (Internal Capital Adequacy Assessment Process) | Internal Capital Adequacy Assessment Process | |
IFRS 9 (International Financial Reporting Standards Financial Instruments) | International Financial Reporting Standards for Financial Instruments which entered into force on January 1, 2018, replacing IAS 39 in relation to the classification and valuation of financial assets and liabilities, the impairment of financial assets and the accounting of hedges | |
ILAAP (Internal Liquidity Adequacy Assessment Process) | Internal Liquidity Adequacy Assessment Process | |
IMA (Internal Model Approach) | Internal model approach for calculating exposure due to market risk | |
IMM (Internal Model Method) | Internal model method for calculating exposure due to counterparty risk | |
IRB (Internal Rating-based approach) | Internal model method for calculating exposure due to credit risk, based on internal ratings. This method can be broken down into two types, depending on the estimations set by the Supervisor or the own ones: FIRB (Foundation IRB) and AIRB (Advanced IRB) | |
IRBA (Internal Risk Base Approach) | Methodology for estimating RWAs of securitisations from internal ratings | |
IRC (Incremental Risk Capital) | Charge applied to the market risk exposure calculated by the internal method that quantifies the risk not captured by the VaR model, specifically in migration and default events | |
LCR (Liquidity Coverage Ratio) | Liquidity coverage ratio | |
LDP (Low Default Portfolios) | Low default portfolios | |
LGD (Loss Given Default) | Severity or amount to be lost in the event of non-payment | |
LGD BE (Loss Given Default Best Estimate) | Actual loss from default portfolio | |
Liquidity Risk | Risk of an entity having difficulties in duly meeting its payment commitments, or where, to meet them, it has to resort to funding under burdensome terms which may harm the entitys image or reputation | |
LMUS (Liquidity Management Units) | Group entities with financial self-sufficiency created with the aim of preventing and limiting liquidity risk, preventing it from spreading in a crisis that could affect only one or more of these Entities | |
LR (Leverage Ratio) | Leverage ratio: a measure that relates a companys indebtedness and assets, calculated as level 1 capital divided by the entitys total exposure | |
LRLGD (Long Run Loss Given Default) | Long-term severity (loss given default) | |
LtSCD (Loan to Stable Customer Deposits) | Ratio that measures the relationship between net credit investment and stable customer resources | |
Market Risk | Risk due to the possibility that there may be losses in the value of positions held due to movements in the market variables that affect the valuation of financial products and assets in trading activity | |
MDA (Maximum Distributable Amount) | Trigger by which the ECB restricts the capacity to pay out dividends | |
MREL (Minimum Required Eligible Liabilities) | Minimum requirement of own funds and eligible liabilities. New requirement faced by European banks, which aims to create a buffer of solvency that absorbs the losses of a financial entity in the event of resolution without jeopardizing taxpayers money. The level of this buffer is determined individually for each banking group based on their level of risk and other particular characteristics | |
MTN (Medium Term Note) | Notes accounted as Issuances designated at fair value through P&L considered equivalent to senior issuances for liquidity | |
NCAHS | Non-Current Assets Held for Sale | |
NClHS | Non-Current Liabilities Held for Sale | |
NSFR | Net Stable Funding Ratio | |
OE (Original Exposure) | Gross amount that the entity may lose in the event that the counterparty cannot meet its contractual payment obligations, regardless of the effect of guarantees or credit improvements or credit risk mitigation operations | |
Operational Risk (OR) | BBVA defines operational risk (OR) as risk that may cause losses as a result of human error; inadequate or defective internal processes; inadequate conduct towards customers, in the markets or against the company; failures, interruptions or deficiencies in systems or communications; theft, loss or misuse of information, as well as deterioration of its quality; internal or external fraud including, in all cases, fraud resulting from cyber-attacks; theft or physical damage to assets or persons; legal risks; risks resulting from workforce and occupational health management; and inadequate service provided by suppliers | |
PD (Probability of Default) | Probability of non-payment by a counterparty over a period of one year | |
PD-TTC (PD Through the Cycle) | Probability of Default throughout the business cycle | |
PIT (Point-In-Time) | Approach for calculating provisions under which PD and LGD parameters must be adapted at each moment in time | |
P2G | Pillar 2 Capital Guidance | |
P2R | Pillar 2 Capital Requirement | |
RW (Risk Weight) | Degree of risk applied to exposures (%) | |
RWAs (Risk-Weighted assets) | Risk exposure of the entity weighted by a percentage derived from the applicable standard (standardised approach) or internal models | |
SFTs | Securities financing transactions | |
SREP (Supervisory Review and Evaluation Process) | Supervisory Review and Evaluation Process | |
Structural Risk | This risk is divided into Structural Interest-Rate Risk (movements in market interest rates that cause changes in an entitys net interest income and book value) and Structural Exchange-Rate Risk (exposure to variations in exchange rates originating in the Groups foreign companies and in the provision of funds to foreign branches financed in a different currency from that of the investment) |
BBVA. PILLAR III 2020 | GLOSSARY OF TERMS | P. 6 |
Synthetic Securitisation | A type of operation where the loan portfolio is not typically transferred to a fund; on the contrary, the credit remains in the balance sheet of the corresponding entity, but this transfers the default risk to a third party. The objective of this type of instrument is the transmission of balance risk and capital release. Normally, the assignment of risk is usually made through a derivative (CDS) or through a financial guarantee | |
TIER I (Tier One Capital) | Capital built by instruments that are able to absorb losses when the entity is in operation. It consists of CET1 and AT1 | |
TIER II (Tier Two Capital) | Supplementary capital consisting of instruments, mainly subordinated debt, revaluation reserves and hybrid instruments, which will absorb losses when the entity is not viable | |
TLAC (Total Loss Absorbing Capacity) | Total loss absorption capacity: Regulatory framework approved by the FSB with the aim of ensuring that global systemically important entities (G-SIB) maintain a minimum level of eligible instruments and liabilities to ensure that in resolution procedures, and immediately thereafter, the essential functions of the entity can be maintained without jeopardizing taxpayers money or financial stability | |
Traditional Securitisation | Operation through which an entity is capable of transforming a series of heterogeneous and illiquid financial assets into liquid homogeneous instruments (usually guarantees or bonds) and marketable securities, managing to transfer the risk of the assets in most cases while liquidity is preserved | |
TRIM (Targeted Review of Internal Models) | Control model implemented by the ECB aimed at reducing inconsistencies and the variability in banks internal models used to calculate their risk-weighted assets | |
Var (Value at Risk) | A risk measurement model that provides a prediction of the maximum loss that the entitys trading portfolios might experience as a result of market price variations over a given time horizon and for a specific confidence interval |
BBVA. PILLAR III 2020 | INDEX OF TABLES | P. 7 |
BBVA. PILLAR III 2020 | INDEX OF TABLES | P. 8 |
BBVA. PILLAR III 2020 | INDEX OF TABLES | P. 9 |
BBVA. PILLAR III 2020 | INDEX OF TABLES | P. 10 |
BBVA. PILLAR III 2020 | INDEX OF CHARTS | P. 11 |
BBVA. PILLAR III 2020 | INTRODUCTION | P. 13 |
14 | ||||
16 | ||||
18 |
BBVA. PILLAR III 2020 | INTRODUCTION | P. 15 |
BBVA. PILLAR III 2020 | INTRODUCTION | P. 17 |
Table 2019 |
Description |
ITS applicable on 2019 report |
Modificación |
Table 2020 |
ITS applicable | |||||
NPL1 | Credit quality of forborne exposures | EBA/GL/2018/10 | Renamed | EU CQ1 | EBA/ITS/2020/04 | |||||
NPL3 | Credit quality of performing and non-performing exposures by past due days | EBA/GL/2018/10 | Renamed | EU CQ3 | EBA/ITS/2020/04 | |||||
NPL4 | Performing and non-performing exposures and related provisions | EBA/GL/2018/10 | Renamed | EU CR1 | EBA/ITS/2020/04 | |||||
NPL9 | Collateral obtainedd obtained by taking possesion and execution processes | EBA/GL/2018/10 | Renamed | EU CQ7 | EBA/ITS/2020/04 | |||||
Credit quality of exposures by geographic region | New template | EU CQ4 | ||||||||
Credit quality of loans and advances to non-financial corporations by sector of activity | New template | EU CQ5 | ||||||||
EU CR1-A | Credit quality of exposures by exposure class and instrument | EBA/GL/2016/11 | Dropped. Requirement covered by EU CR1 | EU CR1 | Art. 442 g), h) CRR | |||||
EU CR1-B | Credit quality of exposures by industry or counterparty type | EBA/GL/2016/11 | Dropped. Requirement covered by EU CQ5 | EU CQ5 | EBA/GL/2018/10 | |||||
EU CR1-C | Credit quality of exposures by geographic | EBA/GL/2016/11 | Dropped. Requirement covered by EU CQ4 | EU CQ4 | EBA/GL/2018/10 |
BBVA. PILLAR III 2020 | INTRODUCTION | P. 19 |
Chart 1. Capital Requirements and capital ratios (phased-in)
Table 1. Capital distribution contrains (12-31-2020)
CET1 capital ratio that would trigger capital distribution constraints (%) |
Current CET 1 capital ratio (%) |
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CET1 Pillar 1 |
4.50 | % | ||||||
CET1 Pillar 2 (P2R) |
0.84 | % | ||||||
Capital conservation buffer |
2.50 | % | ||||||
D-SIB buffer |
0.75 | % | ||||||
Countercyclical buffer |
0.00 | % | ||||||
CET1 phased-in minimum plus Basel III buffers (excluding capital used to meet other minimum regulatory capital) |
8.59 | % | 12.15 | % | ||||
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CET1 phased-in minimum plus Basel III buffers (including capital used to meet other minimum regulatory capital) |
N/A | N/A | ||||||
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BBVA. PILLAR III 2020 | INTRODUCTION | P. 20 |
Table 2. Geographical breakdown of relevant credit exposures for the calculation of the countercyclical capital buffer (Million Euros. 12-31-2020)
General credit exposures(1) |
Trading book exposure |
Securitisation exposure |
Own funds requirements | |||||||||||||||||||||||||||||||||||||||||||||||||
Exposure value for SA |
Exposure value for IRB |
Sum of long and short position of trading book |
Trading book exposure value for internal models |
Exposure value for SA |
Total exposure value |
Of which: General credit exposures |
Of which: Trading book exposures |
Of which: Securitisation exposures |
Total | Risk weighted exposures |
Own funds requirements weights |
Countercyclical capital buffer rate |
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Geographical breakdown |
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Bulgary |
34 | 3 | | | | 37 | 3 | | | 3 | 35 | 0.01 | % | 0.50 | % | |||||||||||||||||||||||||||||||||||||
Slovakia |
7 | 187 | | | | 194 | 18 | | | 18 | 219 | 0.09 | % | 1.00 | % | |||||||||||||||||||||||||||||||||||||
Hong Kong |
21 | 1,694 | 0 | 9 | | 1,724 | 24 | 0 | | 24 | 303 | 0.13 | % | 1.00 | % | |||||||||||||||||||||||||||||||||||||
Luxemburg |
148 | 1,810 | 21 | 3 | | 1,982 | 59 | 0 | | 59 | 743 | 0.31 | % | 0.25 | % | |||||||||||||||||||||||||||||||||||||
Norway |
3 | 48 | 0 | 0 | | 51 | 2 | 0 | | 2 | 19 | 0.01 | % | 1.00 | % | |||||||||||||||||||||||||||||||||||||
Czech Republic |
14 | 9 | | | | 23 | 1 | | | 1 | 15 | 0.01 | % | 0.50 | % | |||||||||||||||||||||||||||||||||||||
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Total countries with countercyclical capital buffer stablished |
227 | 3,750 | 21 | 12 | | 4,011 | 106 | 1 | | 107 | 1,334 | 0.55 | % | | ||||||||||||||||||||||||||||||||||||||
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Argentina |
5,617 | 396 | 490 | | | 6,502 | 289 | 0 | | 289 | 3,613 | 1.50 | % | | ||||||||||||||||||||||||||||||||||||||
Colombia |
13,934 | 680 | 737 | 5 | | 15,355 | 730 | 7 | | 738 | 9,220 | 3.82 | % | | ||||||||||||||||||||||||||||||||||||||
Spain |
29,723 | 175,782 | 145 | 105 | 1,585 | 207,339 | 5,197 | 5 | 24 | 5,226 | 65,325 | 27.10 | % | | ||||||||||||||||||||||||||||||||||||||
United States |
74,786 | 18,691 | 393 | 163 | 64 | 94,097 | 4,138 | 9 | 4 | 4,151 | 51,885 | 21.53 | % | | ||||||||||||||||||||||||||||||||||||||
France |
341 | 8,544 | 39 | 23 | | 8,947 | 206 | 1 | | 207 | 2,589 | 1.07 | % | | ||||||||||||||||||||||||||||||||||||||
Mexico |
34,802 | 37,954 | 368 | 299 | | 73,423 | 3,121 | 30 | | 3,152 | 39,394 | 16.34 | % | | ||||||||||||||||||||||||||||||||||||||
Peru |
21,648 | 699 | 1,103 | | | 23,450 | 902 | 17 | | 919 | 11,485 | 4.76 | % | | ||||||||||||||||||||||||||||||||||||||
Portugal |
4,475 | 574 | 18 | 18 | | 5,085 | 270 | 1 | | 271 | 3,382 | 1.40 | % | | ||||||||||||||||||||||||||||||||||||||
United Kingdom |
700 | 6,726 | 101 | 85 | | 7,612 | 219 | 1 | | 220 | 2,751 | 1.14 | % | | ||||||||||||||||||||||||||||||||||||||
Turkey |
51,104 | 556 | 1,887 | | | 53,547 | 2,725 | 3 | | 2,728 | 34,096 | 14.14 | % | | ||||||||||||||||||||||||||||||||||||||
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Total countries with a 0% countercyclical buffer or without countercyclical capital buffer (with own funds requirements greater than 1%) |
237,129 | 250,601 | 5,281 | 697 | 1,649 | 495,357 | 17,798 | 74 | 27 | 17,899 | 223,739 | 92.82 | % | | ||||||||||||||||||||||||||||||||||||||
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Other areas |
10,865 | 29,630 | 428 | 360 | 74 | 41,356 | 1,264 | 14 | 1 | 1,278 | 15,972 | 6.63 | % | | ||||||||||||||||||||||||||||||||||||||
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Total countries without countercyclical capital buffer (with own funds requirements less than 1%) |
10,865 | 29,630 | 428 | 360 | 74 | 41,356 | 1,264 | 14 | 1 | 1,278 | 15,972 | 6.63 | % | | ||||||||||||||||||||||||||||||||||||||
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Total |
248,221 | 283,982 | 5,730 | 1,069 | 1,723 | 540,724 | 19,167 | 88 | 28 | 19,284 | 241,044 | 100.00 | % | | ||||||||||||||||||||||||||||||||||||||
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(*) | Table format adapted to the EBA/ITS/2020/04 version of the standards. |
(1) | Credit exposure excludes exposures to Central Governments or Central Banks, Regional Governments or Local Authorities, Public sector entities, Multilateral Development Banks, International Organisations and Institutions in accordance with art. 140.4 of Directive 2013/36/EU. |
Amount | ||||
Total risk exposure amount |
353,273 | |||
Institution specific countercyclical buffer rate(2) |
0.31 | % | ||
Institution specific countercyclical buffer requirement |
11 |
(2) | Countercyclical capital buffer calculated as of December 2020 in accordance with Commission Delegated Regulation (EU) 2015/1555. |
BBVA. PILLAR III 2020 | INTRODUCTION | P. 21 |
BBVA. PILLAR III 2020 | 1. GENERAL INFORMATION REQUIREMENTS | P. 22 |
1. General information requirements
BBVA. PILLAR III 2020 | 1. GENERAL INFORMATION REQUIREMENTS | P. 24 |
BBVA. PILLAR III 2020 | 1. GENERAL INFORMATION REQUIREMENTS | P. 25 |
Table 3. CC2 - Reconciliation of regulatory capital to balance sheet (Million Euros. 12-31-2020)
Public Balance Sheet Headings(1) |
Public Balance Sheet |
Regulatory balance sheet |
Referece to template CC1 |
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Cash, cash balances at central banks and other demand deposits |
65,520 | 77,557 | ||||||||||
Financial assets held for trading |
108,257 | 109,759 | ||||||||||
Non-trading financial assets mandatorily at fair value through profit or loss |
5,198 | 1,619 | ||||||||||
Financial assets designated at fair value through profit or loss |
1,117 | | ||||||||||
Financial assets at fair value through accumulated other comprehensive income |
69,440 | 59,379 | ||||||||||
Financial assets at amortised cost |
367,668 | 424,956 | ||||||||||
Derivatives - Hedge accounting |
1,991 | 1,863 | ||||||||||
Fair value changes of the hedged items in portfolio hedges of interest rate risk |
51 | 51 | ||||||||||
Joint ventures and associates |
1,437 | 4,382 | ||||||||||
Insurance and reinsurance assets |
| | ||||||||||
Tangible assets |
7,823 | 8,326 | ||||||||||
Intangible assets |
2,345 | 4,246 | g) | |||||||||
Tax assets |
16,526 | 16,557 | ||||||||||
Of which: deferred tax assets |
15,327 | 15,353 | h) | |||||||||
Other assets |
2,819 | 5,932 | ||||||||||
Non-current assets and disposal groups classified as held for sale |
85,987 | 1,223 | ||||||||||
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Total Assets |
736,176 | 715,850 | | |||||||||
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Financial liabilities held for trading |
86,488 | 86,933 | ||||||||||
Financial liabilities designated at fair value through profit or loss |
10,050 | 4,531 | ||||||||||
Financial liabilities at amortised cost |
490,606 | 561,576 | o) p) r) | |||||||||
Derivatives - Hedge accounting |
2,318 | 2,157 | ||||||||||
Fair value changes of the hedged items in portfolio hedges of interest rate risk |
| | ||||||||||
Liabilities under insurance and reinsurance contracts |
| 67 | ||||||||||
Provisions |
6,141 | 5,816 | ||||||||||
Tax liabilities |
2,355 | 1,668 | ||||||||||
Of which: deferred tax liabilities |
1,809 | 1,142 | ||||||||||
Other liabilities |
12,753 | 3,267 | ||||||||||
Liabilities included in disposal groups classified as held for sale |
75,446 | | ||||||||||
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Total liabilities |
686,156 | 666,015 | | |||||||||
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Capital |
3,267 | 3,267 | a) | |||||||||
Share premium |
23,992 | 23,992 | a) | |||||||||
Equity instruments issued other than capital |
| | b) | |||||||||
Other equity |
42 | 42 | b) | |||||||||
Retained earnings |
30,508 | 29,974 | b) | |||||||||
Revaluation reserves |
| | b) | |||||||||
Other reserves |
(164 | ) | 275 | b) | ||||||||
Less: treasury shares |
(46 | ) | (46 | ) | l) | |||||||
Profit or loss atributable to owners of the parent |
1,305 | 1,253 | e) | |||||||||
Less: interim dividend |
| | e) | |||||||||
Accumulated other comprehensive income (loss) |
(14,356 | ) | (14,341 | ) | c) i) k) | |||||||
Minority interests |
5,471 | 5,417 | ||||||||||
|
|
|
|
|
|
|||||||
Total equity |
50,020 | 49,834 | | |||||||||
|
|
|
|
|
|
|||||||
Total equity and total liabilities |
736,176 | 715,850 | | |||||||||
|
|
|
|
|
|
(1) | In the public balance sheet the assets and liabilities of BBVA USA and BBVA Paraguay are classified as Non current assets held for sale and Non current liabilities held for sale, while in the regulatory balance sheet they are classified under their respective balance sheet headings in accordance with the prudential consolidation established by the CRR (see section 1.1.3). |
The main differences between the public balance sheet and the regulatory balance sheet, apart from the sales of BBVA USA and BBVA Paraguay, are due to withdrawals from the balance generated by insurance, real estate and financial entities that are consolidated through the application of the equity method for the amount of -21,312 million euros; and balance entries generated by entities that are consolidated using the proportional integration method for an amount of +986 million euros.
The following table also shows the risk to which each of the items on the regulatory balance sheet is exposed:
BBVA. PILLAR III 2020 | GENERAL INFORMATION REQUIREMENTS | P. 26 |
Table 4. EU LI1 - Differences between the accounting and regulatory scopes of consolidation and the mapping of the financial statements categories with regulatory risk categories (Million Euros. 12-31-2020)
Carrying values of items (1) | ||||||||||||||||||||||||||||||||||||
Carrying values as reported in published financial statements(2) |
Proforma consolidated accounting values including the United States and Paraguay(3) |
From which summarised consolidated balance sheet of US companies for sale(4) |
Carrying Values under scope of regulatory consolidation(5) |
Subject to credit risk framework |
Subject to counterparty credit risk framework |
Subject to the Securitisation framework |
Subject to the market risk framework |
Not subject to capital requirements or subject to deduction from capital |
||||||||||||||||||||||||||||
Assets |
||||||||||||||||||||||||||||||||||||
Cash, cash balances at central banks and other demand deposits |
65,520 | 77,303 | 11,368 | 77,557 | 77,557 | | | | | |||||||||||||||||||||||||||
Financial assets held for trading |
108,257 | 109,078 | 821 | 109,759 | 12,325 | 74,610 | | 109,759 | | |||||||||||||||||||||||||||
Non-trading financial assets mandatorily at fair value through profit or loss |
5,198 | 5,211 | 13 | 1,619 | 1,567 | | 52 | | | |||||||||||||||||||||||||||
Financial assets designated at fair value through profit or loss |
1,117 | 1,117 | | | | | | | | |||||||||||||||||||||||||||
Financial assets at fair value through accumulated other comprehensive income |
69,440 | 74,416 | 4,974 | 59,379 | 58,987 | | 364 | 29 | | |||||||||||||||||||||||||||
Financial assets at amortised cost |
367,668 | 430,260 | 61,558 | 424,956 | 418,357 | 2,120 | 3,917 | | 562 | |||||||||||||||||||||||||||
Derivatives - Hedge accounting |
1,991 | 2,000 | 9 | 1,863 | | 1,863 | | | | |||||||||||||||||||||||||||
Fair value changes of the hedged items in portfolio hedges of interest rate risk |
51 | 51 | | 51 | | | | | 51 | |||||||||||||||||||||||||||
Joint ventures and associates |
1,436 | 1,437 | | 4,382 | 4,350 | | | | 32 | |||||||||||||||||||||||||||
Insurance and reinsurance assets |
306 | 306 | | | | | | | | |||||||||||||||||||||||||||
Tangible assets |
7,823 | 8,629 | 799 | 8,326 | 8,326 | | | | | |||||||||||||||||||||||||||
Intangible assets |
2,345 | 4,297 | 1,949 | 4,246 | 753 | | | | 3,493 | |||||||||||||||||||||||||||
Tax assets(6) |
16,526 | 16,888 | 360 | 16,557 | 15,079 | | | | 1,478 | |||||||||||||||||||||||||||
Other assets(7) |
2,512 | 3,912 | 1,390 | 5,932 | 3,858 | | | | 2,074 | |||||||||||||||||||||||||||
Non-current assets and disposal groups classified as held for sale(4) |
85,986 | 1,271 | 16 | 1,223 | 1,223 | | | | | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total assets |
736,176 | 736,176 | 83,257 | 715,850 | 602,382 | 78,593 | 4,333 | 109,788 | 7,690 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Liabilities |
| | | | | | | | | |||||||||||||||||||||||||||
Financial liabilities held for trading |
86,487 | 86,587 | 98 | 86,933 | | 74,128 | | 86,933 | | |||||||||||||||||||||||||||
Financial liabilities designated at fair value through profit or loss |
10,050 | 10,050 | | 4,531 | | | | | 4,531 | |||||||||||||||||||||||||||
Financial liabilities at amortised cost |
490,606 | 565,085 | 73,132 | 561,576 | | 11,840 | | | 549,736 | |||||||||||||||||||||||||||
Derivatives - Hedge accounting |
2,318 | 2,320 | 2 | 2,157 | | 2,157 | | | | |||||||||||||||||||||||||||
Fair value changes of the hedged items in portfolio hedges of interest rate risk |
| | | | | | | | | |||||||||||||||||||||||||||
Liabilities under insurance and reinsurance contracts |
9,951 | 9,951 | | 67 | | | | | 67 | |||||||||||||||||||||||||||
Provisions |
6,141 | 6,304 | 157 | 5,816 | 830 | | | | 4,986 | |||||||||||||||||||||||||||
Tax liabilities(3) |
2,355 | 2,558 | 201 | 1,668 | 1,142 | | | | 526 | |||||||||||||||||||||||||||
Other liabilities |
2,802 | 3,300 | 493 | 3,267 | | | | | 3,267 | |||||||||||||||||||||||||||
Liabilities included in disposal groups classified as held for sale(4) |
75,446 | | | | | | | | | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total Liabilities |
686,156 | 686,156 | 74,083 | 666,015 | 1,973 | 88,125 | | 86,933 | 563,112 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | For the purpose of the template, when a single item is associated with the capital requirements according to more than one risk framework, it is shown in all the columns corresponding to the capital requirements to which it is associated. As a result, the sum of the values of the columns by type of risk may be greater than the carrying value according to the scope of regulatory consolidation. |
(2) | These headings include BBVA Paraguays and USAs assets and liabilities, reclassified in the epigraphs of Non Current Assets Held For Sale and Non Current Liabilities Held For Sale (see section 1.1.3.). |
(3) | For comparative purposes, this column presents in proforma the Consolidated Balance Sheet of the Group including the companies for sale of the United States and Paraguay (see section 1.1.3.). |
(4) | These headings present the summarised consolidated balance sheet of companies for sale in the United States (see section 1.1.3) and footnote 21 of the Groups Consolidated Annual Statements. |
(5) | These headings include BBVA USA and BBVA Paraguays assets and liabilities under their respective balance sheet headings according to the prudential consolidation established by the CRR (see section 1.1.3.). |
(6) | Deferred tax assets that depend on future profitability, which deducted from deferred tax liabilities (Article 38 of CCR) amount to 3,441 million euros and have a risk weight of 250%, accordance to Article 48 of CCR. |
(7) | The amount of other assets includes 2,074 million euros corresponding to insurance contracts linked to pensions, are not subject to capital requirements. |
BBVA. PILLAR III 2020 | 1. GENERAL INFORMATION REQUIREMENTS | P. 27 |
Table 5. EU LI2 - Main sources of the differences between regulatory original exposure amounts and carrying values in financial statements (Million Euros. 12-31-2020)
Items subject to: | ||||||||||||||||||||
Total | Credit risk framework |
Counterparty credit risk framework |
Securitisation framework |
Market risk framework |
||||||||||||||||
Asset carrying value amount under scope of regulatory consolidation |
795,096 | 602,382 | 78,593 | 4,333 | 109,788 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Liabilities carrying value amount under scope of regulatory consolidation |
177,031 | 1,973 | 88,125 | 0 | 86,933 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total net amount under regulatory scope of consolidation |
618,065 | 600,409 | (9,532 | ) | 4,333 | 22,855 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Amount of off-balance-sheet |
185,203 | 180,058 | 5,146 | | | |||||||||||||||
Differences in valuation |
| | | | | |||||||||||||||
Differences due to netting agreements (netting, long/short positions) (2) |
96,024 | (4,506 | ) | 100,530 | | | ||||||||||||||
Accounting Provisions(1) |
5,395 | 5,395 | | | | |||||||||||||||
Credit risk mitigation techniques (CRM) |
(27,603 | ) | (5,642 | ) | (21,891 | ) | (70 | ) | | |||||||||||
Credit conversion factors (CCF) |
(115,164 | ) | (115,164 | ) | | | | |||||||||||||
Differences due to risk transfer securitisations |
(2,644 | ) | | | (2,644 | ) | | |||||||||||||
Counterparty credit risk in derivatives (includes the add-on) |
13,873 | | 13,873 | | | |||||||||||||||
Other |
1,264 | (842 | ) | 2,106 | | | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Exposure amounts considered for regulatory purposes |
774,415 | 659,708 | 90,231 | 1,620 | 22,855 | |||||||||||||||
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|
|
|
|
|
|
|
|
(1) | Includes provisions for exposures to credit risk under advanced approach that do not reduce the EAD. |
(2) | The balance includes repurchase agreements and derivatives liabilities, the impact of the guarantee adjustment on repurchase agreements and liabilities and the effect of netting. |
1.2. Identification of dependent entities with bank capital below the minimum requirement. Possible impediments to transferring own funds
1.3. Exemptions from capital requirements at the individual or sub-consolidated level
BBVA. PILLAR III 2020 | 2. OWN FUNDS AND CAPITAL | P. 28 |
2.1. |
29 | |||||
2.2. |
30 | |||||
2.3. |
33 | |||||
2.4. |
34 | |||||
2.5. |
36 | |||||
2.6. |
38 |
BBVA. PILLAR III 2020 | 2. OWN FUNDS AND CAPITAL | P. 29 |
2.1. Characteristics of the eligible capital resources
2. | Since 2018 BBVA Group has applied the transitional treatment of the impacts of IFRS9. Therefore, phased-in capital ratios and leverage ratio are calculated taking into account the transitional provisions as defined by article 473 bis of the CRR and its subsequent amendments made by Regulation 2020/873 of the Parliament and Council of 24 June 2020 in response to the COVID-19 pandemia. The Group also applies paragraph 7a of the aforementioned article in calculating the impact of the transitional treatment on phased in risk-weighted assets. |
BBVA. PILLAR III 2020 | 2. OWN FUNDS AND CAPITAL | P. 30 |
BBVA. PILLAR III 2020 | 2. OWN FUNDS AND CAPITAL | P. 31 |
Table 6. Amount of capital (CC1) (Million Euros)
Reference to template CC2(1) |
12-31-2020 | 12-31-2019 | ||||||
a) Capital and share premium |
27,259 | 27,259 | ||||||
b) Retained earnings |
29,974 | 29,127 | ||||||
c) Other accumulated earnings and other reserves |
(14,023 | ) | (10,133 | ) | ||||
d) Minority interests eligible as CET1 |
3,656 | 4,404 | ||||||
e) Net profit of the year attributed to the Group |
860 | 1,316 | ||||||
|
|
|
|
|||||
Common Equity Tier 1 Capital before other regulatory adjustments |
47,726 | 51,974 | ||||||
|
|
|
|
|||||
f) Additional value adjustments |
(233 | ) | (302 | ) | ||||
g) Intangible assets |
(3,455 | ) | (6,803 | ) | ||||
h) Deferred tax assets |
(1,478 | ) | (1,420 | ) | ||||
i) Fair value reserves related to gains o losses on cash flow hedges |
(204 | ) | 69 | |||||
j) Expected losses in equity |
| | ||||||
k) Profit or losses on liabilities measured at fair value |
21 | (24 | ) | |||||
l) Direct, indirect and synthetic holdings of own instruments |
(366 | ) | (484 | ) | ||||
m) Securitisations tranches at 1250% |
(29 | ) | (25 | ) | ||||
n) Other CET1 regulatory adjustments |
949 | 667 | ||||||
|
|
|
|
|||||
Total Common Equity Tier 1 regulatory adjustments |
(4,795 | ) | (8,321 | ) | ||||
|
|
|
|
|||||
Common Equity Tier 1 (CET1) |
42,931 | 43,653 | ||||||
|
|
|
|
|||||
o) Equity instruments and AT1 share premium |
6,130 | 5,280 | ||||||
p) Elements referred in Article 484(4) of the CRR |
| 120 | ||||||
q) Qualifying Tier 1 capital included in consolidated AT1 capital issued by subsidiaries and held by third parties |
536 | 648 | ||||||
Additional Tier 1 before regulatory adjustments |
6,666 | 6,048 | ||||||
|
|
|
|
|||||
Total regulatory adjustments of Additional Tier 1 |
| | ||||||
|
|
|
|
|||||
Additional Tier 1 (AT1) |
6,666 | 6,048 | ||||||
|
|
|
|
|||||
Tier 1 (Common Equity Tier 1+Additional Tier 1) |
49,597 | 49,701 | ||||||
|
|
|
|
|||||
r) Equity instruments and Tier 2 share premiums |
4,540 | 3,242 | ||||||
s) Eligible own funds instruments included in consolidated Tier 2 issued by subsidiaries and held by third parties |
3,410 | 4,512 | ||||||
-Of which: instruments issued by subsidiaries subject to phase out |
23 | 516 | ||||||
t) Credit risk adjustments |
604 | 631 | ||||||
Tier 2 before regulatory adjustments |
8,554 | 8,385 | ||||||
u) Tier 2 regulatory adjustments |
(6 | ) | (82 | ) | ||||
|
|
|
|
|||||
Tier 2 |
8,547 | 8,304 | ||||||
|
|
|
|
|||||
Total Capital (Total capital = Tier 1 + Tier 2) |
58,145 | 58,005 | ||||||
|
|
|
|
|||||
TOTAL RWAs |
353,273 | 364,448 | ||||||
|
|
|
|
|||||
CET 1 (phased-in) |
12.15 | % | 11.98 | % | ||||
CET 1 (fully loaded) |
11.73 | % | 11.74 | % | ||||
TIER 1 (phased-in) |
14.04 | % | 13.64 | % | ||||
TIER 1 (fully loaded) |
13.62 | % | 13.37 | % | ||||
Total Capital (phased-in) |
16.46 | % | 15.92 | % | ||||
Total Capital (fully loaded) |
15.91 | % | 15.41 | % |
(*) | As of December 31, 2020, the diference between phased-in and fully loaded ratios arises from the transitional treatment of certain capital elements, mainly the impact of IFRS9, to which the BBVA Group has voluntarily adhered (in accordance with the article 473 bis of the CRR). See paragraph 2.3 for more information on the transitional impact of IFRS9. |
In addition, noted that the Group to date is not applying the transitional treatment of unrealised gains and losses valued at fair value through Other comprehensive Income (hereinafter, unrealised P&L measured at fair value through OCI) as defined in Article 1.6 of that Regulation amending Article 468 of the CRR. Therefore, the Groups own funds, capital and leverage ratios to date reflect the full impact of the above-mentioned unrealised P&L measured at fair value through OCI.
(**) | In line with the EBA Standards published in June 2020 (EBA/ITS/2020/04) the template has been adapted according to the format established by the EBA in those rows that are applicable to the date of the report, among which is the transitional impact of IFRS9 on CET1, which has been reclassified from the Common Equity Tier 1 Before Other Regulatory Adjustments row as an Common Equity Tier 1 regulatory adjustment, within the Other regulatory adjustments row. In addition to this change, December 2019 data has been restated to consider the change in accounting policy made by the Group which involves recording the differences generated when translating the restated financial statements of the subsidiaries in hyperinflationary economies into euros as indicated in footnote 1.3 of the Consolidated Financial Statements. |
(1) | References to regulatory balance sheet items (CC2) reflecting the diferent items described. |
BBVA. PILLAR III 2020 | 2. OWN FUNDS AND CAPITAL | P. 32 |
BBVA. PILLAR III 2020 | 2. OWN FUNDS AND CAPITAL | P. 33 |
Table 7. Reconciliation of the Public Balance Sheet from the accounting perimeter to the regulatory perimeter (Million Euros)
Eligible capital own funds |
12-31-2020 | 12-31-2019 | ||||||
Capital |
3,267 | 3,267 | ||||||
Share premium |
23,992 | 23,992 | ||||||
Retained earnings, revaluation reserves and other reserves |
30,344 | 29,269 | ||||||
Other equity |
42 | 56 | ||||||
Less: Treasury shares |
(46 | ) | (62 | ) | ||||
Attributable to the parent company |
1,305 | 3,512 | ||||||
Attributable dividend |
| (1,084 | ) | |||||
|
|
|
|
|||||
Total equity |
58,904 | 58,950 | ||||||
|
|
|
|
|||||
Accumulated other comprehensive income (Loss) |
(14,356 | ) | (10,226 | ) | ||||
Non-controlling interest |
5,472 | 6,201 | ||||||
|
|
|
|
|||||
Shareholders`equity |
50,020 | 54,925 | ||||||
Goodwill and other intangible assets |
(3,455 | ) | (6,803 | ) | ||||
Direct and synthetic treasury shares |
(320 | ) | (422 | ) | ||||
|
|
|
|
|||||
Deductions |
(3,775 | ) | (7,225 | ) | ||||
Differences from solvency and accounting level |
(186 | ) | (215 | ) | ||||
|
|
|
|
|||||
Equity not eligible at solvency level |
(186 | ) | (215 | ) | ||||
|
|
|
|
|||||
Other adjustments and deductions(2) |
(3,128 | ) | (3,832 | ) | ||||
|
|
|
|
|||||
Common Equity Tier 1 (CET 1) |
42,931 | 43,653 | ||||||
|
|
|
|
|||||
Additional Tier 1 before Regulatory Adjustments |
6,666 | 6,048 | ||||||
|
|
|
|
|||||
Total regulatory adjustments of additional Tier 1 |
| | ||||||
|
|
|
|
|||||
Tier 1 |
49,597 | 49,701 | ||||||
|
|
|
|
|||||
Tier 2 |
8,548 | 8,304 | ||||||
|
|
|
|
|||||
Total Capital (Tier 1 + Tier 2) |
58,145 | 58,005 | ||||||
|
|
|
|
|||||
TOTAL Minimum capital required(1) |
45,042 | 46,540 | ||||||
|
|
|
|
(1) | Calculated over minimum total capital applicable for each period. |
(2) | Other adjustments and deductions includes the amount of minority interest not eligible as capital, amount of dividends not distributed and other deductions and filters set by the CRR. Additionally, it includes a prudential accrual corresponding to 0.059 euros gross shareholder remuneration based on the current recommendation of the ECB. |
2.3. IFRS 9 and OCI Transitional Arrangements
BBVA. PILLAR III 2020 | 2. OWN FUNDS AND CAPITAL | P. 34 |
Table 8. IFRS 9-FL - Comparison of institutions own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs and with and without the application of the transitional treatment of unrealised gains and losses measured at FVTOCI
Own funds |
12-31-2020 | 09-30-2020 | 06-30-2020 | 03-30-2020 | 12-31-2019 | |||||||||||||||
CET1 Capital |
42,931 | 41,231 | 42,119 | 40,854 | 43,653 | |||||||||||||||
CET1 Capital without IFRS9 transitional arrangement or similar ECL |
41,333 | 39,640 | 40,734 | 39,902 | 42,844 | |||||||||||||||
CET1 Capital without FVOCI transitional arrangement |
||||||||||||||||||||
Tier 1 Capital (T1) |
49,597 | 48,248 | 48,186 | 46,974 | 49,701 | |||||||||||||||
Tier 1 Capital (T1) without IFRS9 transitional arrangement or similar ECL |
48,000 | 46,657 | 46,802 | 46,022 | 48,892 | |||||||||||||||
Tier 1 Capital (T1) without FVOCI transitional arrangement |
||||||||||||||||||||
Total Capital |
58,145 | 57,305 | 57,531 | 56,731 | 58,005 | |||||||||||||||
Total Capital without IFRS9 transitional arrangement or similar ECL |
56,544 | 55,712 | 56,146 | 55,779 | 57,196 | |||||||||||||||
Total Capital without FVOCI transitional arrangement |
||||||||||||||||||||
Risk-weighted assets |
| | | | | |||||||||||||||
Total Risk-weighted assets |
353,273 | 343,923 | 362,050 | 368,666 | 364,448 | |||||||||||||||
Total Risk-weighted assets without IFRS9 transitional arrangement or similar ECL |
352,679 | 344,215 | 362,388 | 368,839 | 364,943 | |||||||||||||||
Capital ratio |
| | | | | |||||||||||||||
CET1 Capital (as a percentage of total exposure to risk) |
12.15 | % | 11.99 | % | 11.63 | % | 11.08 | % | 11.98 | % | ||||||||||
CET1 Capital (as a percentage of total exposure to risk) without IFRS9 transitional arrangement or similar ECL |
11.72 | % | 11.52 | % | 11.24 | % | 10.82 | % | 11.74 | % | ||||||||||
CET1 Capital (as a percentage of total exposure to risk) without FVOCI transitional arrangement |
||||||||||||||||||||
Tier 1 Capital (T1) (as a percentage of total exposure to risk) |
14.04 | % | 14.03 | % | 13.31 | % | 12.74 | % | 13.64 | % | ||||||||||
Tier 1 Capital (T1) (as a percentage of total exposure to risk) without IFRS9 transitional arrangement or similar ECL |
13.61 | % | 13.55 | % | 12.91 | % | 12.48 | % | 13.40 | % | ||||||||||
Tier 1 Capital (T1) (as a percentage of total exposure to risk) without FVOCI transitional arrangement |
||||||||||||||||||||
Total Capital (as a percentage of total exposure to risk) |
16.46 | % | 16.66 | % | 15.89 | % | 15.39 | % | 15.92 | % | ||||||||||
Total Capital (as a percentage of total exposure to risk) without IFRS9 transitional arrangement or similar ECL |
16.04 | % | 16.19 | % | 15.49 | % | 15.12 | % | 15.67 | % | ||||||||||
Total Capital (as a percentage of total exposure to risk) without FVOCI transitional arrangement |
||||||||||||||||||||
Leverage Ratio |
| | | | | |||||||||||||||
Total exposure related to leverage ratio |
741,095 | 722,221 | 775,915 | 749,989 | 731,087 | |||||||||||||||
Leverage Ratio |
6.69 | % | 6.68 | % | 6.21 | % | 6.26 | % | 6.80 | % | ||||||||||
Leverage ratio without IFRS9 transitional arrangements or similar ECL |
6.46 | % | 6.47 | % | 6.03 | % | 6.15 | % | 6.70 | % | ||||||||||
Leverage ratio without FVOCI transitional arrangements |
BBVA. PILLAR III 2020 | 2. OWN FUNDS AND CAPITAL | P. 36 |
2.5. Breakdown of minimum capital requirements by risk type
Table 9. EU OV1 - Overview of RWAs (Million Euros)
RWA(1) | Minimum Capital Requirements(2)(3) |
|||||||||||||||
12-31-2020 | 09-30-2020 | 12-31-2019 | 12-31-2020 | |||||||||||||
Credit Risk (excluding CCR) |
277,644 | 269,409 | 286,159 | 22,212 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Of which the standardised approach(4) |
176,056 | 175,783 | 190,603 | 14,085 | ||||||||||||
Of which the foundation IRB (FIRB) approach(6) |
4,263 | 4,458 | 4,606 | 341 | ||||||||||||
Of which the advanced IRB (AIRB) approach(7) |
94,882 | 86,655 | 88,191 | 7,591 | ||||||||||||
Of which equity IRB under the simple risk-weighted approach(5) |
2,444 | 2,513 | 2,758 | 195 | ||||||||||||
Counterparty credit risk (CCR) |
9,284 | 9,557 | 8,289 | 743 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Of which mark to market |
7,710 | 8,107 | 6,716 | 617 | ||||||||||||
Of which original exposure |
| | | | ||||||||||||
Of which the standardised approach |
| | | | ||||||||||||
Of which the Internal model method (IMM) |
| | | | ||||||||||||
Of which risk exposure amount for contributions to the default fund of a CCP |
89 | 60 | 44 | 7 | ||||||||||||
Of which CVA |
1,485 | 1,389 | 1,529 | 119 | ||||||||||||
Settlement Risk |
1 | | | 0 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Securitisation exposures in the banking book(8) (after the cap) |
347 | 368 | 924 | 28 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Of which internal assessment approach (SEC-IRBA) |
143 | 157 | | 11 | ||||||||||||
Of which standardised approach (SEC-SA) |
| | | | ||||||||||||
Of which external assessment approach (SEC-ERBA) |
204 | 210 | | 16 | ||||||||||||
Market Risk |
14,773 | 16,377 | 16,066 | 1,182 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Of which the standardised approach (SA) |
6,397 | 6,232 | 6,991 | 512 | ||||||||||||
Of which IMA approach |
8,376 | 10,145 | 9,075 | 670 | ||||||||||||
Operational Risk |
35,656 | 34,379 | 37,877 | 2,853 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Of which basic indicator approach |
883 | 637 | 805 | 71 | ||||||||||||
Of which the standardised approach |
34,773 | 12,783 | 15,250 | 2,782 | ||||||||||||
Of which IRB approach |
| 20,959 | 21,822 | | ||||||||||||
|
|
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|
|
|
|
|||||||||
Amounts below the thresholds for deduction (subject to 250% risk weight) |
15,566 | 13,834 | 15,134 | 1,245 | ||||||||||||
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|
|||||||||
Floor Adjustment |
| | | | ||||||||||||
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|
|||||||||
Total |
353,273 | 343,923 | 364,448 | 28,262 | ||||||||||||
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|
|
|
|
(1) | Risk-weighted assets for the transitional period (phased-in). |
(2) | Calculated on the minimum total capital requirements of 8% (Article 92 of the CRR). |
(3) | Under CET 1 requirements (8.59%) after the supervisory evaluation process (SREP), the requirements amount to EUR 30,346 million euros. Under Total Capital requirements (12.75%), the requirements amount to EUR 45,042 million euros. |
(4) | Deferred tax assets arising from temporary differences, which are not deducted from eligible own funds (subject to a risk weighting of 250%) are excluded, in accordance with Article 48.4 oh the CRR. This amount is 7,423, 6,548 and 7,279 million euros as of December 31, 2020, Septembre 30, 2020 and December 31, 2019, respectively. |
(5) | Includes equity, calculated under the simple risk-weighted approach and internal model approach, but excluding significant investments in financial sector entities and insurers that are not deducted from eligible own funds (subject to a risk weighting of 250%), in accordance with Article 48.4 CRR. This amount is 8,143, 7,286 and 7,855 as December 31, 2020, September 30, 2020 and December 31, 2019, respectively. |
(6) | Exposures clasisified in the FIRB approach correspond to specialised lending exposures. The Group has chosen to use the slotting criteria, in line with article 153.5 of the CRR. |
(7) | It includes the frontloading to partially cover the regulatory impacts derived from Targeted Review of Internal Models (TRIM) and other regulatory/supervisory impacts. |
(8) | As of December 31, 2019, the approaches applied to calculate the RWA of securitisations corresponded to the standard and IRB, which were later replaced by the approaches of the new securitisation framework defined in EU Regulation 2017/2401. As of December 31, 2020, the applicable approaches for the Group correspond to SEC-ERBA and SEC-IRBA. |
BBVA. PILLAR III 2020 | 2. OWN FUNDS AND CAPITAL | P. 37 |
Table 10. Capital requirements by risk type and exposure class (Million Euros)
Capital requirements(2) | RWAs(1) | |||||||||||||||
Exposure Class and risk type |
12-31-2020 | 12-31-2019 | 12-31-2020 | 12-31-2019 | ||||||||||||
Credit Risk |
14,926 | 16,014 | 186,576 | 200,176 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Central governments or central banks |
2,347 | 2,375 | 29,343 | 29,685 | ||||||||||||
Regional governments or local authorities |
185 | 132 | 2,317 | 1,644 | ||||||||||||
Public sector entities |
61 | 63 | 768 | 790 | ||||||||||||
Multilateral development banks |
1 | 1 | 7 | 11 | ||||||||||||
International organisations |
| | | | ||||||||||||
Institutions |
626 | 429 | 7,827 | 5,366 | ||||||||||||
Corporates |
6,226 | 6,999 | 77,822 | 87,486 | ||||||||||||
Retail |
2,749 | 3,079 | 34,362 | 38,493 | ||||||||||||
Secured by mortgages on immovable property |
1,022 | 1,199 | 12,769 | 14,983 | ||||||||||||
Exposures in default |
358 | 305 | 4,480 | 3,808 | ||||||||||||
Exposures associated with particularly high risk |
381 | 411 | 4,758 | 5,136 | ||||||||||||
Covered bonds |
| | | | ||||||||||||
Claims on institutions and corporates with a short-term credit assesment |
0 | 0 | 1 | 1 | ||||||||||||
Collective investments undertakings |
0 | 1 | 3 | 8 | ||||||||||||
Other exposures |
970 | 1,021 | 12,120 | 12,767 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total credit risk by Standardised approach |
14,926 | 16,019 | 186,576 | 200,237 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Credit Risk |
6,938 | 7,125 | 86,729 | 89,061 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Central governments or central banks |
68 | 54 | 849 | 673 | ||||||||||||
Institutions |
567 | 532 | 7,084 | 6,646 | ||||||||||||
Corporates |
4,826 | 4,769 | 60,324 | 59,615 | ||||||||||||
Of which: SMEs |
916 | 998 | 11,452 | 12,478 | ||||||||||||
Of which: Specialised lending |
393 | 433 | 4,912 | 5,407 | ||||||||||||
Of which: Others |
3,517 | 3,338 | 43,960 | 41,730 | ||||||||||||
Retail |
1,478 | 1,770 | 18,471 | 22,128 | ||||||||||||
Of which: Secured by mortgages on immovable property |
586 | 712 | 7,319 | 8,904 | ||||||||||||
Of which: Qualifying revolving |
479 | 589 | 5,987 | 7,365 | ||||||||||||
Of which: Other SMEs |
103 | 131 | 1,289 | 1,636 | ||||||||||||
Of which: Other Non-SMEs |
310 | 338 | 3,876 | 4,223 | ||||||||||||
Equity |
1,163 | 1,293 | 14,532 | 16,167 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Simple risk weight approach |
146 | 185 | 1,831 | 2,309 | ||||||||||||
Exposures in sufficiently diversified portfolios (RW 190%) |
89 | 86 | 1,114 | 1,070 | ||||||||||||
Exchange traded exposures (RW 290%) |
34 | 67 | 425 | 841 | ||||||||||||
Others (RW 370%) |
23 | 32 | 291 | 399 | ||||||||||||
PD/LGD approach |
316 | 444 | 3,945 | 5,554 | ||||||||||||
Internal models approach |
49 | 36 | 613 | 449 | ||||||||||||
Exposures subject to a 250% risk weight |
651 | 628 | 8,144 | 7,854 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total credit risk by IRB approach |
8,101 | 8,487 | 101,261 | 106,091 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total contributions to the default fund of a CCP |
7 | 3 | 89 | 44 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Securitisation exposures |
28 | 74 | 347 | 924 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total credit risk |
23,062 | 24,510 | 288,273 | 306,372 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Settlement risk |
0 | | 1 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Standardised approach: |
275 | 272 | 3,431 | 3,395 | ||||||||||||
Of which: Price Risk by fixed income exposures |
155 | 197 | 1,943 | 2,461 | ||||||||||||
Of which: Price Risk by Securitisation exposures |
0 | 2 | 4 | 21 | ||||||||||||
Of which: Price Risk by correlation |
97 | 51 | 1,210 | 641 | ||||||||||||
Of which: Price Risk by stocks and shares |
21 | 20 | 264 | 248 | ||||||||||||
Of which: Commodities Risk |
1 | 2 | 10 | 24 | ||||||||||||
IRB: Market Risk |
670 | 726 | 8,376 | 9,075 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total trading book risk |
945 | 998 | 11,807 | 12,470 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Foreing exchange risk (standardised approach) |
237 | 288 | 2,966 | 3,596 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
CVA risk |
119 | 122 | 1,485 | 1,529 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Operational risk |
2,853 | 3,030 | 35,656 | 37,877 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Others(3) |
1,047 | 208 | 13,084 | 2,605 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Capital requirements |
28,262 | 29,156 | 353,273 | 364,448 | ||||||||||||
|
|
|
|
|
|
|
|
(1) | Risk-weighted assets for the transitional period (phased-in). |
(2) | Calculated on the minimum total capital requirements of 8% (Article 92 of the CRR). |
(3) | As of report date, it includes the frontloading to partially cover the regulatory impacts derived from Targeted Review of Internal Models (TRIM) and other regulatory/supervisory impacts. |
BBVA. PILLAR III 2020 | 2. OWN FUNDS AND CAPITAL | P. 38 |
Chart 4. Distribution of RWAs by exposure category and method
(*) | Excluding securitisation and equity subject to credit risk. |
(1) | Table 30 of the report details the models and portfolios authorised by the supervisor for use in the calculation of capital requirements. |
BBVA. PILLAR III 2020 | 3. RISK | P. 39 |
3.1. | 44 | |||||
3.2. | 44 | |||||
3.2.1. | Scope and nature of the Credit Risk measurement and reporting systems for capital framework purposes |
44 | ||||
3.2.2. | 45 | |||||
3.2.3. | 45 | |||||
3.2.4. | 62 | |||||
3.2.5. | 66 | |||||
3.2.6. | 86 | |||||
3.2.7. | 95 | |||||
3.2.8. | Hedging and risk reduction policies. Supervision strategies and processes |
102 | ||||
3.2.9. | 102 | |||||
3.2.10. | 104 | |||||
3.3. | 106 | |||||
3.3.1. | Scope and nature of the market risk measurement and reporting systems |
106 | ||||
3.3.2. | Differences in the trading book under accounting and prudential regulation |
106 | ||||
3.3.3. | 106 | |||||
3.3.4. | 107 | |||||
3.4. | 117 | |||||
3.4.1. | 117 | |||||
3.4.2. | 118 | |||||
3.4.3. | 118 | |||||
3.5. | 120 | |||||
3.5.1. | 120 | |||||
3.5.2. | 121 | |||||
3.5.3. | 123 | |||||
3.5.4. | 123 |
BBVA. PILLAR III 2020 | 3. RISK | P. 40 |
3.6. | 127 | |||||
3.6.1. | 127 | |||||
3.6.2. | 128 |
BBVA. PILLAR III 2020 | 3. RISK | P. 42 |
BBVA. PILLAR III 2020 | 3. RISK | P. 43 |
Table 11. Credit Risk and Counterparty Risk Exposure (Million Euros. 12-31-2020)
Exposure Class |
Original Exposure(1) |
Provisions(2) | Net exposure of provisions(3) |
On-balance exposure after credit risk mitigation techniques(4a) |
Off-balance exposure after credit risk mitigation techniques(4b) |
Exposure in the adjusted value(5) |
EAD(6) | RWAs(7) | RWA density (8=(7)/(6)) |
|||||||||||||||||||||||||||
Central governments or central banks |
177,273 | (120 | ) | 177,153 | 204,373 | 9,038 | 213,411 | 207,083 | 29,392 | 14 | % | |||||||||||||||||||||||||
Regional governments or local authorities |
19,740 | (28 | ) | 19,712 | 6,881 | 851 | 7,732 | 7,207 | 2,317 | 32 | % | |||||||||||||||||||||||||
Public sector entities |
1,926 | (1 | ) | 1,925 | 1,678 | 242 | 1,920 | 1,835 | 768 | 42 | % | |||||||||||||||||||||||||
Multilateral development banks |
271 | | 271 | 303 | 38 | 341 | 303 | 7 | 2 | % | ||||||||||||||||||||||||||
International organisations |
| | | | | | | | 0 | % | ||||||||||||||||||||||||||
Institutions |
35,589 | (41 | ) | 35,548 | 15,386 | 13,541 | 28,927 | 17,047 | 7,827 | 46 | % | |||||||||||||||||||||||||
Corporates |
106,523 | (1,507 | ) | 105,016 | 64,598 | 30,885 | 95,483 | 79,985 | 77,822 | 97 | % | |||||||||||||||||||||||||
Retail |
82,631 | (1,815 | ) | 80,816 | 46,040 | 25,794 | 71,833 | 49,019 | 34,362 | 70 | % | |||||||||||||||||||||||||
Secured by mortgages on immovable property |
35,013 | (324 | ) | 34,690 | 34,433 | 216 | 34,649 | 34,614 | 12,769 | 37 | % | |||||||||||||||||||||||||
Exposures in default |
8,392 | (4,309 | ) | 4,083 | 3,847 | 170 | 4,017 | 3,959 | 4,480 | 113 | % | |||||||||||||||||||||||||
Exposures associated with particularly high risk |
4,122 | (544 | ) | 3,578 | 3,035 | 419 | 3,454 | 3,172 | 4,758 | 150 | % | |||||||||||||||||||||||||
Covered bonds |
| | | | | | | | | |||||||||||||||||||||||||||
Claims on institutions and corporates with a short-term credit assesment |
1 | | 1 | 1 | | 1 | 1 | 1 | 88 | % | ||||||||||||||||||||||||||
Collective investments undertakings |
8 | | 8 | | 5 | 5 | 3 | 3 | 100 | % | ||||||||||||||||||||||||||
Other exposures |
20,030 | | 20,030 | 19,964 | 675 | 20,638 | 20,389 | 12,071 | 59 | % | ||||||||||||||||||||||||||
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|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total standardised approach |
491,521 | (8,691 | ) | 482,830 | 400,539 | 81,872 | 482,412 | 424,616 | 186,576 | 44 | % | |||||||||||||||||||||||||
|
|
|
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|
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|
|
|
|||||||||||||||||||
Central governments or central banks |
13,333 | (7 | ) | 14,233 | 193 | 14,427 | 14,328 | 849 | 6 | % | ||||||||||||||||||||||||||
Institutions |
112,423 | (33 | ) | 91,252 | 5,813 | 97,065 | 94,455 | 7,084 | 8 | % | ||||||||||||||||||||||||||
Corporates |
162,314 | (2,335 | ) | 82,250 | 69,516 | 151,767 | 115,181 | 60,324 | 52 | % | ||||||||||||||||||||||||||
Corporates (SMEs) |
23,254 | (1,028 | ) | 14,156 | 4,019 | 18,175 | 15,734 | 11,452 | 73 | % | ||||||||||||||||||||||||||
Corporates: Specialised lending |
6,407 | (23 | ) | 5,790 | 616 | 6,407 | 6,136 | 4,912 | 80 | % | ||||||||||||||||||||||||||
Corporates: Others |
132,653 | (1,285 | ) | 62,304 | 64,881 | 127,185 | 93,312 | 43,960 | 47 | % | ||||||||||||||||||||||||||
Retail |
115,544 | (3,020 | ) | 91,886 | 21,425 | 113,310 | 95,236 | 18,471 | 19 | % | ||||||||||||||||||||||||||
Of which: secured by immovable property |
76,070 | (1,129 | ) | 71,737 | 4,308 | 76,045 | 71,824 | 7,319 | 10 | % | ||||||||||||||||||||||||||
Of which: Qualifying revolving |
22,516 | (734 | ) | 6,222 | 16,293 | 22,516 | 9,035 | 5,987 | 66 | % | ||||||||||||||||||||||||||
Of which: Others |
16,959 | (1,157 | ) | 13,926 | 823 | 14,749 | 14,377 | 5,165 | 36 | % | ||||||||||||||||||||||||||
Retail: Other SMEs |
5,768 | (296 | ) | 2,765 | 813 | 3,578 | 3,211 | 1,289 | 40 | % | ||||||||||||||||||||||||||
Retail: Other Non-SMEs |
11,191 | (862 | ) | 11,161 | 10 | 11,171 | 11,166 | 3,876 | 35 | % | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total IRB approach |
403,615 | (5,395 | ) | | 279,622 | 96,946 | 376,568 | 319,200 | 86,729 | 27 | % | |||||||||||||||||||||||||
|
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|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total credit risk dilution and delivery |
895,135 | (14,086 | ) | 482,830 | 680,161 | 178,819 | 858,980 | 743,816 | 273,304 | 37 | % | |||||||||||||||||||||||||
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|
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|
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|
|
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|
|
|
|
|
|
|
|||||||||||||||||||
Total positions in securitisation(7) |
1,723 | | | 1,649 | | 1,649 | 1,649 | 347 | 21 | % | ||||||||||||||||||||||||||
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|
|||||||||||||||||||
Equity |
6,123 | | 6,123 | 6,123 | | 6,123 | 6,123 | 14,532 | 237 | % | ||||||||||||||||||||||||||
|
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|
|
|
|
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|
|
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|
|
|
|
|
|
|
|||||||||||||||||||
Simple risk weight approach |
812 | 812 | 812 | | 812 | 812 | 1,831 | 226 | % | |||||||||||||||||||||||||||
Exposures in sufficiently diversified portfolios (RW 190%) |
586 | 586 | 586 | | 586 | 586 | 1,114 | 190 | % | |||||||||||||||||||||||||||
Exchange traded exposures (RW 290%) |
147 | 147 | 147 | | 147 | 147 | 425 | 290 | % | |||||||||||||||||||||||||||
Others (RW 370%) |
79 | 79 | 79 | | 79 | 79 | 291 | 370 | % | |||||||||||||||||||||||||||
PD/LGD approach |
1,869 | 1,869 | 1,869 | | 1,869 | 1,869 | 3,945 | 211 | % | |||||||||||||||||||||||||||
Internal models approach |
185 | 185 | 185 | | 185 | 185 | 613 | 331 | % | |||||||||||||||||||||||||||
Exposures subject to a 250% risk weight |
3,257 | 3,257 | 3,257 | | 3,257 | 3,257 | 8,144 | 250 | % | |||||||||||||||||||||||||||
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|
|
|
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|
|
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|
|
|
|
|
|
|||||||||||||||||||
Total credit risk |
902,981 | (14,086 | ) | 488,953 | 687,934 | 178,819 | 866,753 | 751,588 | 288,184 | 38 | % | |||||||||||||||||||||||||
|
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|
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|
|
|
(1) | Gross exposure value before credit risk mitigation techniques and CCF, excluding contributions to the default fund for a CCP. |
(2) | Includes provisions and impairment of financial assets and contingent risk and commitments. |
(3) | Standardised Approach exposures are adjusted by credit risk adjustments. The original equity exposure is shown net of impairment. |
(4a)(4b) | Eligible credit risk mitigation techniques are included, either on-balance sheet or off-balance sheet, according to Chapter 4 of CRR. In the case of securitisation exposure, unfunded credit protection is included. |
(5) | It corresponds to the exposure value adjusted by eligible credit risk mitigation techniques. |
(6) | Exposure at default, calculated as (4a)+((4b)*CCF). |
(7) | This row includes the SEC-SA, SEC-ERBA and SEC-IRBA methods. The exposure of securitisations with a risk weight of 1,250% which are deducted from own funds is included (29 million). |
BBVA. PILLAR III 2020 | 3. RISK | P. 44 |
Credit Risk and Counterparty Risk Exposure (Million Euros. 12-31-2019)
On-balance | Off-balance | |||||||||||||||||||||||||||||||||||
exposure | exposure | |||||||||||||||||||||||||||||||||||
after | after | Exposure in | ||||||||||||||||||||||||||||||||||
Net | credit risk | credit risk | the | Densidad | ||||||||||||||||||||||||||||||||
Original | exposure of | mitigation | mitigation | adjusted | APR | |||||||||||||||||||||||||||||||
Exposure Class |
Exposure(1) | Provisions(2) | provisions(3) | techniques(4a) | techniques(4b) | value(5) | EAD(6) | RWAs(7) | (8=(7)/(6)) | |||||||||||||||||||||||||||
Central governments or central banks |
130,050 | (128 | ) | 129,922 | 148,210 | 5,624 | 153,834 | 148,863 | 29,685 | 20 | % | |||||||||||||||||||||||||
Regional governments or local authorities |
10,665 | (23 | ) | 10,642 | 6,830 | 1,049 | 7,879 | 7,101 | 1,644 | 23 | % | |||||||||||||||||||||||||
Public sector entities |
1,764 | (2 | ) | 1,763 | 1,643 | 227 | 1,870 | 1,779 | 790 | 44 | % | |||||||||||||||||||||||||
Multilateral development banks |
167 | (0 | ) | 167 | 210 | 38 | 247 | 210 | 11 | 5 | % | |||||||||||||||||||||||||
International organisations |
0 | | 0 | 0 | 0 | 0 | 0 | | | |||||||||||||||||||||||||||
Institutions |
36,102 | (32 | ) | 36,070 | 12,270 | 13,202 | 25,472 | 13,333 | 5,366 | 40 | % | |||||||||||||||||||||||||
Corporates |
112,830 | (1,106 | ) | 111,723 | 72,768 | 32,558 | 105,327 | 89,826 | 87,486 | 97 | % | |||||||||||||||||||||||||
Retail |
89,038 | (1,781 | ) | 87,257 | 52,116 | 30,403 | 82,519 | 54,871 | 38,493 | 70 | % | |||||||||||||||||||||||||
Secured by mortgages on immovable property |
39,867 | (229 | ) | 39,638 | 39,423 | 164 | 39,587 | 39,561 | 14,983 | 38 | % | |||||||||||||||||||||||||
Exposures in default |
8,276 | (4,673 | ) | 3,603 | 3,198 | 328 | 3,526 | 3,423 | 3,808 | 111 | % | |||||||||||||||||||||||||
Exposures associated with particularly high risk |
4,472 | (509 | ) | 3,962 | 3,317 | 419 | 3,736 | 3,424 | 5,136 | 150 | % | |||||||||||||||||||||||||
Covered bonds |
| | | | | | | | | |||||||||||||||||||||||||||
Claims on institutions and corporates with a short-term credit assesment |
1 | (0 | ) | 1 | 1 | | 1 | 1 | 1 | 96 | % | |||||||||||||||||||||||||
Collective investments undertakings |
22 | (0 | ) | 22 | 6 | 4 | 10 | 8 | 8 | 100 | % | |||||||||||||||||||||||||
Other exposures |
21,063 | (45 | ) | 21,018 | 25,346 | 825 | 26,172 | 25,843 | 12,767 | 49 | % | |||||||||||||||||||||||||
Securitisation exposures |
3,953 | | 3,953 | 134 | | 134 | 134 | 61 | 45 | % | ||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total standardised approach |
458,271 | (8,529 | ) | 449,742 | 365,472 | 84,841 | 450,313 | 388,379 | 200,237 | 52 | % | |||||||||||||||||||||||||
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|
|
|
|
|||||||||||||||||||
Central governments or central banks |
11,018 | (5 | ) | 13,172 | 656 | 13,829 | 13,498 | 673 | 5 | % | ||||||||||||||||||||||||||
Institutions |
115,854 | (39 | ) | 93,188 | 5,521 | 98,708 | 96,262 | 6,646 | 7 | % | ||||||||||||||||||||||||||
Corporates |
156,624 | (2,356 | ) | 86,917 | 66,987 | 153,903 | 119,106 | 59,615 | 50 | % | ||||||||||||||||||||||||||
Corporates (SMEs) |
23,121 | (1,029 | ) | 17,135 | 4,588 | 21,723 | 18,979 | 12,478 | 66 | % | ||||||||||||||||||||||||||
Corporates: Specialised lending |
7,310 | (62 | ) | 6,639 | 671 | 7,310 | 6,986 | 5,407 | 77 | % | ||||||||||||||||||||||||||
Corporates: Others |
126,192 | (1,266 | ) | 63,142 | 61,728 | 124,870 | 93,140 | 41,730 | 45 | % | ||||||||||||||||||||||||||
Retail |
118,897 | (2,467 | ) | 96,129 | 22,696 | 118,825 | 100,020 | 22,128 | 22 | % | ||||||||||||||||||||||||||
Of which: secured by immovable property |
78,379 | (941 | ) | 73,978 | 4,376 | 78,353 | 74,139 | 8,904 | 12 | % | ||||||||||||||||||||||||||
Of which: Qualifying revolving |
24,618 | (646 | ) | 7,190 | 17,428 | 24,618 | 10,430 | 7,365 | 71 | % | ||||||||||||||||||||||||||
Of which: Others |
15,901 | (880 | ) | 14,961 | 893 | 15,854 | 15,452 | 5,859 | 38 | % | ||||||||||||||||||||||||||
Retail: Other SMEs |
4,444 | (268 | ) | 3,524 | 878 | 4,401 | 4,006 | 1,636 | 41 | % | ||||||||||||||||||||||||||
Retail: Other Non-SMEs |
11,456 | (611 | ) | 11,438 | 15 | 11,453 | 11,445 | 4,223 | 37 | % | ||||||||||||||||||||||||||
Securitisation exposures |
2,794 | | 2,714 | | 2,714 | 2,714 | 856 | 32 | % | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total IRB approach |
405,188 | (4,867 | ) | | 292,120 | 95,860 | 387,979 | 331,600 | 89,917 | 27 | % | |||||||||||||||||||||||||
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|
|||||||||||||||||||
Total credit risk dilution and delivery |
863,459 | (13,396 | ) | 449,742 | 657,592 | 180,701 | 838,293 | 719,979 | 290,153 | 40 | % | |||||||||||||||||||||||||
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|
|||||||||||||||||||
Equity |
7,124 | | 7,124 | 7,124 | | 7,124 | 7,124 | 16,167 | 227 | % | ||||||||||||||||||||||||||
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|
|||||||||||||||||||
Simple risk weight approach |
961 | 961 | 961 | | 961 | 961 | 2,309 | 240 | % | |||||||||||||||||||||||||||
Exposures in sufficiently diversified portfolios |
563 | 563 | 563 | | 563 | 563 | 1,070 | 190 | % | |||||||||||||||||||||||||||
Exchange traded exposures |
290 | 290 | 290 | | 290 | 290 | 841 | 290 | % | |||||||||||||||||||||||||||
Others |
108 | 108 | 108 | | 108 | 108 | 399 | 370 | % | |||||||||||||||||||||||||||
PD/LGD approach |
2,883 | 2,883 | 2,883 | | 2,883 | 2,883 | 5,554 | 193 | % | |||||||||||||||||||||||||||
Internal models approach |
138 | 138 | 138 | | 138 | 138 | 449 | 324 | % | |||||||||||||||||||||||||||
Exposures subject to a 250% risk weight |
3,142 | 3,142 | 3,142 | | 3,142 | 3,142 | 7,854 | 250 | % | |||||||||||||||||||||||||||
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|
|
|
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|
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|
|
|
|||||||||||||||||||
Total credit risk |
870,583 | (13,396 | ) | 456,867 | 664,716 | 180,701 | 845,417 | 727,103 | 306,321 | 42 | % | |||||||||||||||||||||||||
|
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|
|
(1) | Gross exposure value before credit risk mitigation techniques and CCF, excluding contributions to the default fund for a CCP. |
(2) | Includes provisions and impairment of financial assets and contingent risk and commitments. |
(3) | Standardised Approach exposures are adjusted by credit risk adjustments. The original equity exposure is shown net of impairment. |
(4a)(4b) | Eligible credit risk mitigation techniques are included, either on-balance sheet or off-balance sheet, according to Chapter 4 of CRR. In the case of securitisation exposure, unfunded credit protection is included. |
(5) | It corresponds to the exposure value adjusted by eligible credit risk mitigation techniques. |
(6) | Exposure at default, calculated as (4a)+((4b)*CCF). |
(7) | The exposure of securitisations with a risk weight of 1,250%, which are deducted from own funds is included (25 million). |
BBVA. PILLAR III 2020 | 3. RISK | P. 45 |
Table 12. EU CRB-B - Total and average net amount of exposures (including counterparty credit risk) (Million Euros)
12-31-2020 | 12-31-2019 | |||||||||||||||
Net value of exposures at | Average net exposures | Net value of exposures at | Average net exposures | |||||||||||||
the end of the period (4Q)(1) | over the period | the end of the period (4Q)(1) | over the period | |||||||||||||
Central governments or central banks |
13,326 | 11,683 | 11,014 | 9,178 | ||||||||||||
Institutions |
112,390 | 124,029 | 115,815 | 114,552 | ||||||||||||
Corporates |
159,979 | 161,320 | 154,267 | 146,359 | ||||||||||||
Of which: Specialised lending |
6,384 | 6,718 | 7,249 | 7,343 | ||||||||||||
Of which: SMEs |
22,227 | 22,104 | 22,092 | 20,810 | ||||||||||||
Retail |
112,524 | 111,749 | 116,431 | 115,975 | ||||||||||||
Secured by immovable property |
74,941 | 75,528 | 77,437 | 78,385 | ||||||||||||
Qualifying revolving |
21,782 | 21,001 | 23,973 | 23,199 | ||||||||||||
Other retail |
15,801 | 15,220 | 15,021 | 14,391 | ||||||||||||
SMEs |
5,472 | 4,934 | 4,176 | 3,984 | ||||||||||||
Non-SMEs |
10,329 | 10,286 | 10,845 | 10,408 | ||||||||||||
Equity |
6,123 | 6,008 | 7,124 | 7,145 | ||||||||||||
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|
|
|
|
|
|
|
|||||||||
Total IRB approach |
404,343 | 414,790 | 404,651 | 393,210 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Central governments or central banks |
177,153 | 161,564 | 129,922 | 125,611 | ||||||||||||
Regional governments or local authorities |
19,712 | 19,456 | 10,642 | 10,948 | ||||||||||||
Public sector entities |
1,925 | 1,697 | 1,763 | 1,285 | ||||||||||||
Multilateral development banks |
271 | 273 | 167 | 288 | ||||||||||||
International organisations |
| | 0 | 0 | ||||||||||||
Institutions |
35,548 | 37,132 | 36,070 | 38,088 | ||||||||||||
Corporates |
105,016 | 110,359 | 111,723 | 119,071 | ||||||||||||
Of which: SMEs |
14,366 | 14,509 | 13,154 | 22,949 | ||||||||||||
Retail |
80,816 | 81,897 | 87,257 | 86,432 | ||||||||||||
Of which: SMEs |
27,629 | 26,024 | 25,382 | 25,919 | ||||||||||||
Secured by mortgages on immovable property |
34,690 | 36,333 | 39,638 | 40,128 | ||||||||||||
Of which: SMEs |
12,458 | 11,526 | 13,689 | 13,111 | ||||||||||||
Exposures in default |
4,083 | 3,883 | 3,603 | 3,874 | ||||||||||||
Exposures associated with particularly high risk |
3,578 | 3,820 | 3,962 | 3,602 | ||||||||||||
Covered bonds |
| | | | ||||||||||||
Claims on institutions and corporates with a short-term credit assesment |
1 | 2 | 1 | 3 | ||||||||||||
Collective investments undertakings |
8 | 90 | 22 | 165 | ||||||||||||
Equity exposures |
| | | | ||||||||||||
Other exposures |
20,030 | 19,258 | 21,018 | 20,177 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total standardised approach |
482,830 | 475,763 | 445,789 | 449,673 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
887,172 | 890,553 | 850,440 | 842,883 | ||||||||||||
|
|
|
|
|
|
|
|
(1) | For the purpose of this table, the original exposure is shown net of credit risk adjustments and provisions reported in the COREP statements for credit risk under both the standardised and IRB approaches. Additionally, it includes equity credit risk and excludes securitisation exposures. |
BBVA. PILLAR III 2020 | 3. RISK | P. 46 |
Table 13. EU CRB-C - Geographical breakdown of exposures (including counterparty credit risk) (Million Euros. 12-31-2020)
Original Exposure net of provisions(1)(2) | ||||||||||||||||||||||||||||
Exposure Class |
Spain | Turkey | Mexico | USA | South America |
Other areas(3) |
Total | |||||||||||||||||||||
Central governments or central banks |
16 | | 22 | 7,078 | 257 | 5,555 | 12,928 | |||||||||||||||||||||
Institutions |
20,015 | 48 | 236 | 1,931 | 431 | 10,708 | 33,369 | |||||||||||||||||||||
Corporates |
68,471 | 384 | 20,573 | 18,046 | 2,604 | 44,917 | 154,996 | |||||||||||||||||||||
Retail |
96,805 | 1 | 15,132 | 39 | 62 | 481 | 112,521 | |||||||||||||||||||||
Equity |
4,016 | 176 | 592 | 733 | 275 | 332 | 6,123 | |||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total IRB approach |
189,323 | 609 | 36,556 | 27,827 | 3,628 | 61,993 | 319,937 | |||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Central governments or central banks |
86,033 | 12,737 | 27,838 | 18,819 | 9,576 | 8,644 | 163,647 | |||||||||||||||||||||
Regional governments or local authorities |
547 | 155 | 3,581 | 14,743 | 581 | 41 | 19,648 | |||||||||||||||||||||
Public sector entities |
14 | 43 | 14 | 582 | 842 | 0 | 1,494 | |||||||||||||||||||||
Multilateral development banks |
| | | | 121 | 149 | 270 | |||||||||||||||||||||
International organisations |
0 | | | | | | 0 | |||||||||||||||||||||
Institutions |
11,717 | 1,899 | 4,047 | 3,331 | 400 | 5,061 | 26,455 | |||||||||||||||||||||
Corporates |
3,944 | 23,121 | 3,945 | 46,360 | 16,875 | 6,629 | 100,873 | |||||||||||||||||||||
Retail |
14,592 | 20,121 | 11,725 | 14,398 | 17,787 | 1,765 | 80,388 | |||||||||||||||||||||
Secured by mortgages on immovable property |
2,917 | 2,367 | 10,724 | 9,497 | 7,119 | 2,066 | 34,690 | |||||||||||||||||||||
Exposures in default |
696 | 1,073 | 519 | 965 | 704 | 127 | 4,083 | |||||||||||||||||||||
Exposures associated with particularly high risk |
174 | 1,964 | 517 | 221 | 654 | 0 | 3,531 | |||||||||||||||||||||
Covered bonds |
| | | | | | | |||||||||||||||||||||
Claims on institutions and corporates with a short-term credit assesment |
1 | | | 0 | | 3 | 5 | |||||||||||||||||||||
Collective investments undertakings |
| | | | 1 | | 1 | |||||||||||||||||||||
Equity exposures |
| | | | | | | |||||||||||||||||||||
Other exposures |
7,420 | 2,115 | 5,001 | 2,348 | 2,953 | 192 | 20,030 | |||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total standardised approach |
128,054 | 65,594 | 67,910 | 111,264 | 57,612 | 24,679 | 455,113 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total |
317,377 | 66,204 | 104,466 | 139,091 | 61,240 | 86,672 | 775,050 | |||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Geographical areas determined based on the counterparty. |
(2) | For the purpose of this table, the original exposure is shown net of credit risk adjustments and provisions reported in the COREP statements for credit risk under both the standardised and IRB approaches. Additionally, it includes equity credit risk and excludes securitisation exposures. |
(3) | Includes all other countries not included in the previous columns. The countries with the greatest exposure in this area are: United Kingdom, France, Italy, Germany and Portugal. |
EU CRB-C - Geographical breakdown of exposures (including counterparty credit risk) (Million Euros. 12-31-2019)
Original Exposure net of provisions(1)(2) | ||||||||||||||||||||||||||||
Exposure Class |
Spain | Turkey | Mexico | USA | South America |
Other areas(3) |
Total | |||||||||||||||||||||
Central governments or central banks |
17 | | 130 | 5,365 | 189 | 3,713 | 9,414 | |||||||||||||||||||||
Institutions |
22,059 | 32 | 426 | 1,276 | 488 | 10,014 | 34,295 | |||||||||||||||||||||
Corporates |
62,344 | 495 | 23,625 | 18,781 | 2,685 | 42,416 | 150,345 | |||||||||||||||||||||
Retail |
98,367 | 1 | 17,418 | 39 | 69 | 532 | 116,427 | |||||||||||||||||||||
Equity |
4,742 | 198 | 977 | 333 | 458 | 416 | 7,124 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total IRB approach |
187,461 | 732 | 42,288 | 26,313 | 3,750 | 57,062 | 317,606 | |||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Central governments or central banks |
56,903 | 13,632 | 27,222 | 9,582 | 8,401 | 6,587 | 122,327 | |||||||||||||||||||||
Regional governments or local authorities |
282 | 99 | 3,315 | 6,726 | 82 | 63 | 10,568 | |||||||||||||||||||||
Public sector entities |
| 44 | 63 | 625 | 864 | 0 | 1,595 | |||||||||||||||||||||
Multilateral development banks |
| | | | 144 | 23 | 167 | |||||||||||||||||||||
International organisations |
0 | | | | | | 0 | |||||||||||||||||||||
Institutions |
11,620 | 1,566 | 3,406 | 2,694 | 154 | 4,299 | 23,738 | |||||||||||||||||||||
Corporates |
5,217 | 25,314 | 3,378 | 49,189 | 20,003 | 5,665 | 108,766 | |||||||||||||||||||||
Retail |
14,310 | 20,914 | 15,798 | 16,375 | 17,271 | 2,065 | 86,733 | |||||||||||||||||||||
Secured by mortgages on immovable property |
3,213 | 3,671 | 11,395 | 10,361 | 8,785 | 2,213 | 39,638 | |||||||||||||||||||||
Exposures in default |
703 | 1,136 | 408 | 477 | 755 | 123 | 3,602 | |||||||||||||||||||||
Exposures associated with particularly high risk |
200 | 2,259 | 527 | 254 | 689 | 1 | 3,931 | |||||||||||||||||||||
Covered bonds |
| | | | | | | |||||||||||||||||||||
Claims on institutions and corporates with a short-term credit assesment |
1 | | | 2 | | 7 | 10 | |||||||||||||||||||||
Collective investments undertakings |
0 | | | | 1 | | 1 | |||||||||||||||||||||
Equity exposures |
| | | | | | | |||||||||||||||||||||
Other exposures |
7,564 | 2,122 | 5,293 | 2,485 | 3,295 | 260 | 21,018 | |||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total standardised approach |
100,013 | 70,758 | 70,806 | 98,769 | 60,443 | 21,307 | 422,096 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total |
287,474 | 71,490 | 113,094 | 125,082 | 64,193 | 78,369 | 739,702 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Geographical areas determined based on the counterparty. |
(2) | For the purpose of this table, the original exposure is shown net of credit risk adjustments and provisions reported in the COREP statements for credit risk under both the standardised and IRB approaches. Additionally, it includes equity credit risk and excludes securitisation exposures. |
(3) | Includes all other countries not included in the previous columns. The countries with the greatest exposure in this area are: United Kingdom, France, Italy, Germany and Portugal. |
BBVA. PILLAR III 2020 | RISK | P. 48 |
Table 14. EU CRB-D - Concentration of exposures by industry or counterparty types (excluding counterparty credit risk) (Million Euros. 12-31-2020)
Exposure Class |
Agriculture, forestry and fishing |
Mining and quarrying |
Manufacturing Industry |
Energy supply |
Water supply |
Construction | Wholesale and retail trade |
Transport and storage |
Accommodation and food service activities |
Information and communication |
Financial activities and insurance |
Real estate activities |
Professional, scientific and technical activities |
Administrative and support service activities |
Public administration and defense, compulsory social security |
Education | Human health services and social work activities |
Arts, entertainment and recreation |
Other services |
Total(1) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Central governments or central banks |
| | 0 | | | | | | | | 5,944 | | | | 6,984 | 0 | | | | 12,928 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutions |
4 | | 62 | 455 | 273 | 479 | 17 | 1,340 | 2 | 31 | 9,903 | 103 | 66 | 189 | 20,156 | 2 | 91 | 24 | 170 | 33,369 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporates |
2,036 | 5,274 | 44,855 | 18,035 | 1,634 | 11,469 | 17,737 | 6,081 | 6,171 | 8,140 | 13,372 | 6,663 | 6,682 | 3,776 | 21 | 291 | 1,333 | 985 | 442 | 154,996 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Retail |
577 | 45 | 2,039 | 98 | 69 | 1,976 | 4,167 | 1,432 | 1,523 | 532 | 224 | 455 | 1,764 | 655 | 51 | 275 | 745 | 336 | 95,558 | 112,521 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity |
| | | | | 1,291 | 0 | 17 | | 925 | 2,354 | (1 | ) | (1 | ) | 1 | | | | | 1,537 | 6,123 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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|
|||||||||||||||||||||||||||||||||||||||||
Total IRB approach |
2,617 | 5,319 | 46,956 | 18,588 | 1,976 | 15,214 | 21,921 | 8,870 | 7,696 | 9,628 | 31,798 | 7,221 | 8,511 | 4,621 | 27,212 | 567 | 2,169 | 1,345 | 97,708 | 319,937 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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|
|||||||||||||||||||||||||||||||||||||||||
Central governments or central banks |
| 0 | 0 | | | 0 | 0 | | | | 49,749 | | | 0 | 111,468 | 0 | | | 2,430 | 163,647 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Regional governments or local authorities |
0 | | 29 | 7 | 84 | 53 | 3 | 126 | | 0 | 0 | 70 | 1 | 1 | 16,722 | 878 | 937 | 17 | 719 | 19,648 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Public sector entities |
(0 | ) | 10 | 247 | 484 | 25 | (0 | ) | (0 | ) | 6 | | 61 | 4 | (0 | ) | | 0 | 650 | 3 | 2 | 0 | 2 | 1,494 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Multilateral development banks |
| | | | | | | | | | 229 | | | | 41 | 0 | | | | 270 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
International organisations |
| | | | | | | | | | | | | | | | | | 0 | 0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutions |
| 0 | | | | 0 | 0 | | | 1 | 25,145 | 54 | | | 1,007 | | | | 246 | 26,455 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporates |
1,684 | 2,315 | 27,778 | 6,261 | 356 | 4,442 | 10,862 | 5,895 | 2,116 | 2,049 | 6,384 | 12,369 | 1,876 | 2,282 | 147 | 648 | 3,289 | 731 | 9,390 | 100,873 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Retail |
1,218 | 289 | 4,441 | 206 | 64 | 2,027 | 11,251 | 2,235 | 1,742 | 467 | 307 | 1,028 | 2,251 | 1,370 | 398 | 1,346 | 1,619 | 353 | 47,778 | 80,388 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Secured by mortgages on immovable property |
335 | 173 | 1,369 | 29 | 9 | 525 | 2,311 | 401 | 883 | 161 | 301 | 16,028 | 1,401 | 1,095 | 351 | 945 | 962 | 98 | 7,314 | 34,690 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Exposures in default |
69 | 54 | 639 | 36 | 3 | 372 | 559 | 265 | 285 | 33 | 62 | 242 | 117 | 74 | 12 | 60 | 75 | 45 | 1,082 | 4,083 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Exposures associated with particularly high risk |
1 | 1 | 4 | 469 | | 644 | 68 | 1 | 1 | 505 | 567 | 1,231 | 12 | 8 | | 0 | 1 | 1 | 18 | 3,531 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Covered bonds |
| | | | | | | | | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Claims on institutions and corporates with a short-term |
| | | | | | | | | | 5 | | | | | | | | | 5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
credit assesment |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collective investments undertakings |
1 | | | | | | | | | | | | | | | | | | | 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity exposures |
| | | | | | | | | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other exposures |
0 | | 0 | | | 0 | 0 | 0 | | 1 | 11,917 | 906 | 57 | | 0 | | 0 | | 7,148 | 20,030 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Total standardised approach |
3,307 | 2,842 | 34,506 | 7,492 | 540 | 8,062 | 25,054 | 8,929 | 5,027 | 3,278 | 94,673 | 31,927 | 5,715 | 4,830 | 130,794 | 3,880 | 6,884 | 1,245 | 76,127 | 455,113 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Total |
5,925 | 8,161 | 81,463 | 26,080 | 2,516 | 23,276 | 46,976 | 17,798 | 12,722 | 12,906 | 126,471 | 39,148 | 14,226 | 9,451 | 158,006 | 4,447 | 9,053 | 2,590 | 173,835 | 775,050 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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(1) | For the purpose of this table, the original exposure is shown net of credit risk adjustments and provisions reported in the COREP statements for credit risk under both the standardised and IRB approaches. Additionally, it includes equity credit risk and excludes securitisation exposures |
BBVA. PILLAR III 2020 | RISK | P. 49 |
EU CRB-D - Concentration of exposures by industry or counterparty types (excluding counterparty credit risk) (Million Euros. 12-31-2019)
Exposure Class |
Agriculture, forestry and fishing |
Mining and quarrying |
Manufacturing Industry |
Energy supply |
Water supply |
Construction | Wholesale and retail trade |
Transport and storage |
Accommodation and food service activities |
Information and communication |
Financial activities and insurance |
Real estate activities |
Professional, scientific and technical activities |
Administrative and support service activities |
Public administration and defense, compulsory social security |
Education | Human health services and social work activities |
Arts, entertainment and recreation |
Other services |
Total(1) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Central governments or central banks |
| | 0 | | | | | | | | 2,474 | | 81 | | 6,860 | 0 | | | 0 | 9,414 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutions |
3 | | 170 | 434 | 310 | 594 | 12 | 1,342 | 9 | 66 | 11,614 | 93 | 67 | 243 | 19,189 | 1 | 92 | 19 | 38 | 34,295 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporates |
1,923 | 5,086 | 44,062 | 17,235 | 1,434 | 11,845 | 19,697 | 4,675 | 4,893 | 6,304 | 11,543 | 9,115 | 6,223 | 3,466 | 38 | 303 | 1,378 | 804 | 322 | 150,345 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Retail |
581 | 45 | 1,858 | 105 | 64 | 1,922 | 3,814 | 1,408 | 1,439 | 490 | 223 | 458 | 1,711 | 637 | | 252 | 706 | 304 | 100,409 | 116,427 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity |
| | | | | 830 | 0 | | | 2,830 | 2,352 | 0 | 0 | | 34 | | | | 1,078 | 7,124 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Total IRB approach |
2,506 | 5,131 | 46,090 | 17,775 | 1,808 | 15,190 | 23,523 | 7,425 | 6,341 | 9,690 | 28,206 | 9,666 | 8,082 | 4,346 | 26,121 | 557 | 2,175 | 1,126 | 101,847 | 317,606 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Central governments or central banks |
| | 0 | | | | 0 | 1 | | | 27,355 | | | 0 | 92,720 | 0 | 1 | 0 | 2,250 | 122,327 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Regional governments or local authorities |
0 | | 52 | 27 | 65 | 48 | 4 | 140 | | 0 | 0 | | 1 | 2 | 8,614 | 653 | 860 | 10 | 93 | 10,568 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Public sector entities |
2 | 0 | 304 | 427 | 25 | 0 | 0 | 8 | | 29 | 44 | | 0 | 0 | 711 | 5 | 0 | 0 | 37 | 1,595 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Multilateral development banks |
| | | | | | | | | | 114 | | | | 53 | | | | | 167 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
International organisations |
| | | | | | | | | | | | | | | | | | 0 | 0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutions |
1 | 0 | 14 | 62 | | 29 | 15 | 53 | 24 | 35 | 21,755 | 51 | 215 | 293 | 662 | 0 | 177 | 0 | 354 | 23,738 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporates |
1,712 | 1,996 | 31,688 | 5,984 | 339 | 3,909 | 13,210 | 6,404 | 5,381 | 3,756 | 4,902 | 12,438 | 2,256 | 2,696 | 234 | 684 | 3,951 | 523 | 6,704 | 108,766 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Retail |
1,109 | 403 | 4,619 | 214 | 51 | 2,034 | 11,192 | 1,922 | 1,452 | 457 | 680 | 921 | 2,420 | 1,793 | | 1,529 | 1,879 | 310 | 53,748 | 86,733 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Secured by mortgages on immovable property |
408 | 218 | 1,821 | 179 | 10 | 653 | 2,947 | 516 | 1,172 | 187 | 321 | 17,433 | 1,605 | 1,494 | | 1,076 | 1,164 | 123 | 8,310 | 39,638 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Exposures in default |
109 | 65 | 351 | 31 | 5 | 431 | 521 | 221 | 181 | 39 | 72 | 233 | 170 | 107 | 4 | 45 | 52 | 25 | 940 | 3,602 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Exposures associated with particularly high risk |
2 | 1 | 4 | 660 | 0 | 843 | 356 | 4 | 4 | 1 | 223 | 1,123 | 655 | 35 | | 1 | 1 | 1 | 20 | 3,931 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Covered bonds |
| | | | | | | | | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Claims on institutions and corporates with a short-term |
| | | | | | | | | | 10 | | | | | | | | | 10 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
credit assesment |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collective investments undertakings |
| | | | | | | | | | 1 | | | | | | | | | 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity exposures |
| | | | | | | | | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other exposures |
0 | | 0 | | | 0 | 0 | 0 | | 0 | 12,476 | 565 | 53 | | 0 | | 0 | | 7,924 | 21,018 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Total standardised approach |
3,342 | 2,683 | 38,853 | 7,585 | 496 | 7,946 | 28,245 | 9,269 | 8,213 | 4,505 | 67,955 | 32,764 | 7,373 | 6,419 | 102,999 | 3,993 | 8,085 | 991 | 80,380 | 422,096 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Total |
5,849 | 7,814 | 84,942 | 25,359 | 2,304 | 23,136 | 51,768 | 16,694 | 14,554 | 14,195 | 96,161 | 42,430 | 15,455 | 10,765 | 129,119 | 4,550 | 10,260 | 2,117 | 182,227 | 739,702 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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(1) | For the purpose of this table, the original exposure is shown net of credit risk adjustments and provisions reported in the COREP statements for credit risk under both the standardised and IRB approaches. Additionally, it includes equity credit risk and excludes securitisation exposures. |
BBVA. PILLAR III 2020 | 3. RISK | P. 50 |
Table 15. EU CRB-E - Maturity of exposures (excluding counterparty credit risk) (Million Euros. 12-31-2020)
Net exposure value(1) | ||||||||||||||||||||||||
Exposure Class |
On demand |
£ 1 year | > 1 year £ 5 years |
> 5 years | No stated maturity |
Total | ||||||||||||||||||
Central governments or central banks |
9 | 4,629 | 2,435 | 205 | 5,649 | 12,928 | ||||||||||||||||||
Institutions |
974 | 4,768 | 15,222 | 5,467 | 6,937 | 33,369 | ||||||||||||||||||
Corporates |
330 | 51,184 | 69,964 | 24,434 | 9,085 | 154,996 | ||||||||||||||||||
Retail |
4 | 804 | 9,366 | 80,243 | 22,104 | 112,521 | ||||||||||||||||||
Equity |
| | | | 6,123 | 6,123 | ||||||||||||||||||
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Total IRB approach |
1,317 | 61,385 | 96,988 | 110,349 | 49,898 | 319,937 | ||||||||||||||||||
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Central governments or central banks |
52,119 | 22,439 | 27,249 | 31,231 | 30,610 | 163,647 | ||||||||||||||||||
Regional governments or local authorities |
67 | 1,274 | 2,194 | 15,972 | 140 | 19,648 | ||||||||||||||||||
Public sector entities |
10 | 844 | 120 | 520 | 1,494 | |||||||||||||||||||
Multilateral development banks |
47 | 48 | 38 | 137 | | 270 | ||||||||||||||||||
International organisations |
| | | 0 | 0 | 0 | ||||||||||||||||||
Institutions |
2,928 | 8,982 | 3,532 | 2,698 | 8,315 | 26,455 | ||||||||||||||||||
Corporates |
4,538 | 31,990 | 42,333 | 17,715 | 4,298 | 100,873 | ||||||||||||||||||
Retail |
3,082 | 23,507 | 31,781 | 14,752 | 7,265 | 80,388 | ||||||||||||||||||
Secured by mortgages on immovable property |
168 | 3,908 | 3,002 | 27,597 | 14 | 34,690 | ||||||||||||||||||
Exposures in default |
37 | 852 | 733 | 1,815 | 646 | 4,083 | ||||||||||||||||||
Exposures associated with particularly high risk |
58 | 1,362 | 1,148 | 672 | 291 | 3,531 | ||||||||||||||||||
Covered bonds |
| | | | | | ||||||||||||||||||
Claims on institutions and corporates with a short-term credit assesment |
| 4 | 1 | 5 | ||||||||||||||||||||
Collective investments undertakings |
1 | 0 | | | | 1 | ||||||||||||||||||
Equity exposures |
| | | | | | ||||||||||||||||||
Other exposures |
5,475 | 3,590 | 30 | (628 | ) | 11,563 | 20,030 | |||||||||||||||||
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Total standardised approach |
68,529 | 98,800 | 112,159 | 112,482 | 63,144 | 455,113 | ||||||||||||||||||
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Total |
69,846 | 160,185 | 209,147 | 222,830 | 113,043 | 775,050 | ||||||||||||||||||
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(1) | For the purpose of this table, the original exposure is shown net of credit risk adjustments and provisions reported in the COREP statements for credit risk under both the standardised and IRB approaches. Additionally, it includes equity credit risk and excludes securitisation exposures. |
EU CRB-E - Maturity of exposures (excluding counterparty credit risk) (Million Euros. 12-31-2019)
Net exposure value(1) | ||||||||||||||||||||||||
Exposure Class |
On demand |
£ 1 year | > 1 year £ 5 years |
> 5 years | No stated maturity |
Total | ||||||||||||||||||
Central governments or central banks |
| 591 | 6,081 | 262 | 2,480 | 9,414 | ||||||||||||||||||
Institutions |
577 | 9,668 | 7,971 | 11,583 | 4,497 | 34,295 | ||||||||||||||||||
Corporates |
481 | 52,945 | 64,965 | 22,967 | 8,988 | 150,345 | ||||||||||||||||||
Retail |
7 | 2,049 | 6,624 | 83,415 | 24,332 | 116,427 | ||||||||||||||||||
Equity |
| | | | 7,124 | 7,124 | ||||||||||||||||||
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Total IRB approach |
1,065 | 65,253 | 85,640 | 118,227 | 47,421 | 317,606 | ||||||||||||||||||
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Central governments or central banks |
25,424 | 14,468 | 30,707 | 50,840 | 888 | 122,327 | ||||||||||||||||||
Regional governments or local authorities |
9 | 640 | 2,113 | 7,800 | 6 | 10,568 | ||||||||||||||||||
Public sector entities |
84 | 814 | 182 | 516 | | 1,595 | ||||||||||||||||||
Multilateral development banks |
54 | 83 | 16 | 15 | | 167 | ||||||||||||||||||
International organisations |
| | | 0 | 0 | 0 | ||||||||||||||||||
Institutions |
4,303 | 9,503 | 4,727 | 1,234 | 3,973 | 23,738 | ||||||||||||||||||
Corporates |
5,538 | 35,147 | 48,740 | 18,648 | 694 | 108,766 | ||||||||||||||||||
Retail |
2,762 | 28,464 | 35,917 | 14,687 | 4,904 | 86,733 | ||||||||||||||||||
Secured by mortgages on immovable property |
231 | 4,595 | 4,062 | 30,739 | 11 | 39,638 | ||||||||||||||||||
Exposures in default |
51 | 767 | 64 | 1,625 | 1,096 | 3,602 | ||||||||||||||||||
Exposures associated with particularly high risk |
104 | 1,483 | 916 | 1,036 | 391 | 3,931 | ||||||||||||||||||
Covered bonds |
| | | | | | ||||||||||||||||||
Claims on institutions and corporates with a short-term credit assesment |
| 6 | | 4 | 10 | |||||||||||||||||||
Collective investments undertakings |
1 | 0 | | | | 1 | ||||||||||||||||||
Equity exposures |
| | | | | | ||||||||||||||||||
Other exposures |
4,053 | 5,495 | 24 | | 11,447 | 21,018 | ||||||||||||||||||
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Total standardised approach |
42,613 | 101,465 | 127,467 | 127,138 | 23,412 | 422,096 | ||||||||||||||||||
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Total |
43,677 | 166,717 | 213,108 | 245,365 | 70,834 | 739,702 | ||||||||||||||||||
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(1) | For the purpose of this table, the original exposure is shown net of credit risk adjustments and provisions reported in the COREP statements for credit risk under both the standardised and IRB approaches. Additionally, it includes equity credit risk and excludes securitisation exposures. |
BBVA. PILLAR III 2020 | RISK | P. 51 |
3.2.3.3. Credit quality of exposures
Table 16. EU CR1 - Performing and non-performing exposures and related provisions (Million Euros. 12-31-2020)
Gross carrying amount/nominal amount | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Collateral and financial | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Performing exposures | Non-performing exposures | Performing exposures | Non-performing exposures | guarantees received | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Of which stage 1 |
Of which stage 2 |
Of which stage 2 |
Of which stage 3 |
Of which stage 1 |
Of which stage 2 |
Of which stage 2 |
Of which stage 3 |
Accumulated partial write-off |
On performing exposures |
On non- performing exposures |
||||||||||||||||||||||||||||||||||||||||||||||||||
Loans and advances |
329,513 | 298,940 | 30,572 | 14,684 | | 14,684 | (4,331 | ) | (2,042 | ) | (2,289 | ) | (7,820 | ) | | (7,820 | ) | 21,963 | 159,684 | 4,152 | ||||||||||||||||||||||||||||||||||||||||
Central banks |
6,229 | 6,229 | | | | | (20 | ) | (20 | ) | | | | | | 479 | | |||||||||||||||||||||||||||||||||||||||||||
General governments |
19,447 | 19,247 | 200 | 76 | | 76 | (23 | ) | (14 | ) | (9 | ) | (25 | ) | | (25 | ) | 36 | 4,477 | 19 | ||||||||||||||||||||||||||||||||||||||||
Credit institutions |
14,607 | 14,587 | 20 | 6 | | 6 | (12 | ) | (10 | ) | (2 | ) | (2 | ) | | (2 | ) | 4 | 237 | | ||||||||||||||||||||||||||||||||||||||||
Other financial corporations |
9,347 | 9,252 | 95 | 14 | | 14 | (32 | ) | (25 | ) | (6 | ) | (7 | ) | | (7 | ) | 3 | 1,977 | | ||||||||||||||||||||||||||||||||||||||||
Non-financial corporations |
135,720 | 120,542 | 15,178 | 7,476 | | 7,476 | (1,882 | ) | (772 | ) | (1,110 | ) | (4,238 | ) | | (4,238 | ) | 16,555 | 60,932 | 1,548 | ||||||||||||||||||||||||||||||||||||||||
Of which: SME |
50,784 | 44,160 | 6,624 | 4,150 | | 4,150 | (960 | ) | (397 | ) | (563 | ) | (2,463 | ) | | (2,463 | ) | 5,060 | 30,142 | 1,107 | ||||||||||||||||||||||||||||||||||||||||
Households |
144,163 | 129,082 | 15,080 | 7,113 | | 7,113 | (2,361 | ) | (1,200 | ) | (1,161 | ) | (3,548 | ) | | (3,548 | ) | 5,364 | 91,583 | 2,585 | ||||||||||||||||||||||||||||||||||||||||
Debt securities |
84,765 | 84,350 | 416 | 20 | | 20 | (119 | ) | (75 | ) | (44 | ) | (16 | ) | | (16 | ) | | | | ||||||||||||||||||||||||||||||||||||||||
Central banks |
1,624 | 1,624 | | | | | (13 | ) | (13 | ) | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||
General governments |
69,339 | 68,934 | 405 | | | | (93 | ) | (50 | ) | (43 | ) | | | | | | | ||||||||||||||||||||||||||||||||||||||||||
Credit institutions |
2,064 | 2,064 | | | | | (1 | ) | (1 | ) | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||
Other financial corporations |
7,429 | 7,424 | 5 | 19 | | 19 | (9 | ) | (8 | ) | | (15 | ) | | (15 | ) | | | | |||||||||||||||||||||||||||||||||||||||||
Non-financial corporations |
4,309 | 4,304 | 5 | 1 | | 1 | (3 | ) | (3 | ) | (1 | ) | (1 | ) | | (1 | ) | | | | ||||||||||||||||||||||||||||||||||||||||
Off-balance-sheet exposures |
177,866 | 165,184 | 12,682 | 1,032 | | 1,032 | (454 | ) | (239 | ) | (215 | ) | (274 | ) | | (274 | ) | | 7,021 | 103 | ||||||||||||||||||||||||||||||||||||||||
Central banks |
125 | 125 | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||
General governments |
3,244 | 3,146 | 98 | 7 | | 7 | (2 | ) | (1 | ) | (1 | ) | (3 | ) | | (3 | ) | | 46 | | ||||||||||||||||||||||||||||||||||||||||
Credit institutions |
17,049 | 16,743 | 306 | 1 | | 1 | (13 | ) | (11 | ) | (2 | ) | | | | | 2 | | ||||||||||||||||||||||||||||||||||||||||||
Other financial corporations |
8,798 | 8,316 | 483 | | | | (6 | ) | (6 | ) | | | | | | 123 | | |||||||||||||||||||||||||||||||||||||||||||
Non-financial corporations |
106,978 | 97,395 | 9,583 | 917 | | 917 | (281 | ) | (110 | ) | (172 | ) | (258 | ) | | (258 | ) | | 6,525 | 100 | ||||||||||||||||||||||||||||||||||||||||
Households |
41,672 | 39,460 | 2,212 | 107 | | 107 | (152 | ) | (112 | ) | (40 | ) | (13 | ) | | (13 | ) | | 325 | 3 | ||||||||||||||||||||||||||||||||||||||||
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|||||||||||||||||||||||||||||||
Total exposures December 2020 |
592,144 | 548,474 | 43,670 | 15,736 | | 15,736 | (4,903 | ) | (2,355 | ) | (2,548 | ) | (8,110 | ) | | (8,110 | ) | 21,963 | 166,705 | 4,255 | ||||||||||||||||||||||||||||||||||||||||
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(*) | Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework. Excluding the assets of BBVA USA and BBVA Paraguay, which are accounted for as non-current assets held for sale (see Note 1.3 of the Consolidated Financial Statements). |
(**) | The Groups general policy is to align the default and stage 3 concepts so that they are uniform at the management level. However, for portfolios where IRB models are used, there may be some differences due to the use of materiality thresholds on wholesale exposures by other prudential specifications. In any case, the Group estimates that the difference between these two concepts is not material on 31 December 2020 as it would not exceed 1% of the defaulted exposures. |
BBVA. PILLAR III 2020 | RISK | P. 52 |
EU CR1 - Performing and non-performing exposures and related provisions (Million Euros. 12-31-2019)
Gross carrying amount/nominal amount | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Collateral and financial | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Performing exposures | Non-performing exposures | Performing exposures | Non-performing exposures | guarantees received | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Of which stage 1 |
Of which stage 2 |
Of which stage 2 |
Of which stage 3 |
Of which stage 1 |
Of which stage 2 |
Of which stage 2 |
Of which stage 3 |
Accumulated partial write-off |
On performing exposures |
On non- performing exposures |
||||||||||||||||||||||||||||||||||||||||||||||||||
Loans and advances |
396,946 | 363,449 | 33,498 | 15,957 | | 15,957 | (4,326 | ) | (2,143 | ) | (2,183 | ) | (8,092 | ) | | (8,092 | ) | 26,206 | 181,867 | 5,132 | ||||||||||||||||||||||||||||||||||||||||
Central banks |
4,285 | 4,285 | | | | | (9 | ) | (9 | ) | | | | | 0 | 5 | | |||||||||||||||||||||||||||||||||||||||||||
General governments |
28,787 | 28,105 | 682 | 88 | | 88 | (38 | ) | (15 | ) | (22 | ) | (21 | ) | | (21 | ) | 32 | 11,897 | 21 | ||||||||||||||||||||||||||||||||||||||||
Credit institutions |
13,519 | 13,361 | 158 | 6 | | 6 | (11 | ) | (9 | ) | (3 | ) | (2 | ) | | (2 | ) | 5 | 193 | | ||||||||||||||||||||||||||||||||||||||||
Other financial corporations |
10,951 | 10,815 | 136 | 17 | | 17 | (22 | ) | (19 | ) | (2 | ) | (10 | ) | | (10 | ) | 3 | 3,385 | 1 | ||||||||||||||||||||||||||||||||||||||||
Non-financial corporations |
165,239 | 149,223 | 16,017 | 8,465 | | 8,465 | (1,713 | ) | (808 | ) | (904 | ) | (4,748 | ) | | (4,748 | ) | 17,064 | 55,548 | 2,003 | ||||||||||||||||||||||||||||||||||||||||
Of which: SME |
47,042 | 40,279 | 6,764 | 4,078 | | 4,078 | (723 | ) | (331 | ) | (392 | ) | (2,259 | ) | | (2,259 | ) | 4,820 | 20,602 | 1,301 | ||||||||||||||||||||||||||||||||||||||||
Households |
174,165 | 157,660 | 16,505 | 7,381 | | 7,381 | (2,534 | ) | (1,282 | ) | (1,252 | ) | (3,312 | ) | | (3,312 | ) | 9,102 | 110,839 | 3,107 | ||||||||||||||||||||||||||||||||||||||||
Debt securities |
77,534 | 77,178 | 356 | 34 | | 34 | (135 | ) | (60 | ) | (75 | ) | (18 | ) | | (18 | ) | | | | ||||||||||||||||||||||||||||||||||||||||
Central banks |
1,015 | 1,015 | | | | | (5 | ) | (5 | ) | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||
General governments |
64,505 | 64,195 | 310 | | | | (116 | ) | (44 | ) | (72 | ) | | | | | | | ||||||||||||||||||||||||||||||||||||||||||
Credit institutions |
1,057 | 1,057 | | 0 | | 0 | (0 | ) | (0 | ) | | (0 | ) | | (0 | ) | | | | |||||||||||||||||||||||||||||||||||||||||
Other financial corporations |
7,851 | 7,823 | 28 | 33 | | 33 | (12 | ) | (10 | ) | (2 | ) | (17 | ) | | (17 | ) | | | | ||||||||||||||||||||||||||||||||||||||||
Non-financial corporations |
3,106 | 3,088 | 18 | 1 | | 1 | (2 | ) | (1 | ) | (1 | ) | (1 | ) | | (1 | ) | | | | ||||||||||||||||||||||||||||||||||||||||
Off-balance-sheet exposures |
179,717 | 169,265 | 10,452 | 1,001 | | 1,001 | (443 | ) | (248 | ) | (196 | ) | (268 | ) | | (268 | ) | | 7,324 | 109 | ||||||||||||||||||||||||||||||||||||||||
Central banks |
2 | 2 | | 0 | | 0 | (0 | ) | (0 | ) | | (0 | ) | | (0 | ) | | | | |||||||||||||||||||||||||||||||||||||||||
General governments |
3,756 | 3,672 | 84 | 7 | | 7 | (2 | ) | (2 | ) | (0 | ) | (1 | ) | | (1 | ) | | 91 | | ||||||||||||||||||||||||||||||||||||||||
Credit institutions |
18,689 | 18,422 | 267 | 1 | | 1 | (5 | ) | (5 | ) | (1 | ) | (0 | ) | | (0 | ) | | 2 | | ||||||||||||||||||||||||||||||||||||||||
Other financial corporations |
7,655 | 7,495 | 160 | 0 | | 0 | (3 | ) | (3 | ) | (1 | ) | (0 | ) | | (0 | ) | | 66 | 0 | ||||||||||||||||||||||||||||||||||||||||
Non-financial corporations |
103,232 | 95,604 | 7,628 | 920 | | 920 | (252 | ) | (111 | ) | (141 | ) | (254 | ) | | (254 | ) | | 6,774 | 106 | ||||||||||||||||||||||||||||||||||||||||
Households |
46,383 | 44,071 | 2,313 | 73 | | 73 | (181 | ) | (128 | ) | (53 | ) | (12 | ) | | (12 | ) | | 391 | 4 | ||||||||||||||||||||||||||||||||||||||||
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|||||||||||||||||||||||||||||||
Total exposures December 2019 |
654,197 | 609,892 | 44,306 | 16,992 | | 16,992 | (4,905 | ) | (2,451 | ) | (2,454 | ) | (8,378 | ) | | (8,378 | ) | 26,206 | 189,191 | 5,242 | ||||||||||||||||||||||||||||||||||||||||
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(*) | Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework. Excluding the assets of BBVA USA and BBVA Paraguay, which are accounted for as non-current assets held for sale (see Note 1.3 of the Consolidated Financial Statements). |
(**) | The Groups general policy is to align the default and stage 3 concepts so that they are uniform at the management level. However, for portfolios where IRB models are used, there may be some differences due to the use of materiality thresholds on wholesale exposures by other prudential specifications. In any case, the Group estimates that the difference between these two concepts is not material on 31 December 2019 as it would not exceed 1% of the defaulted exposures. |
BBVA. PILLAR III 2020 | 3. RISK | P. 53 |
Table 17. EU CQ4 - Credit quality of exposures by geography (Million Euros. 12-31-2020)
Gross carrying amount(2)/nominal amount | ||||||||||||||||||||||||||||
Of which: non performing |
Of which: defaulted |
Of which: subject to impairment(3) |
Accumulated impairment |
Provisions on off-balance sheet |
Accumulated negative changes in fair value due to credit risk on non- performing exposures |
|||||||||||||||||||||||
On balance expousures |
488,309 | 14,704 | 14,704 | 487,291 | (12,285 | ) | | |||||||||||||||||||||
Spain |
239,786 | 7,826 | 7,826 | 239,650 | (5,365 | ) | | |||||||||||||||||||||
Turkey |
73,056 | 1,791 | 1,791 | 72,846 | (2,220 | ) | | |||||||||||||||||||||
Mexico |
50,602 | 2,842 | 2,842 | 49,998 | (2,240 | ) | | |||||||||||||||||||||
USA |
18,043 | 32 | 32 | 17,975 | (44 | ) | | |||||||||||||||||||||
South America |
49,521 | 1,744 | 1,744 | 49,520 | (1,997 | ) | | |||||||||||||||||||||
Other areas(1) |
57,301 | 469 | 469 | 57,301 | (419 | ) | | |||||||||||||||||||||
Off balance expousures |
178,898 | 1,032 | 1,032 | (728 | ) | |||||||||||||||||||||||
Spain |
52,907 | 536 | 536 | (224 | ) | |||||||||||||||||||||||
Turkey |
17,391 | 86 | 86 | (114 | ) | |||||||||||||||||||||||
Mexico |
15,480 | 210 | 210 | (246 | ) | |||||||||||||||||||||||
USA |
36,284 | 100 | 100 | (11 | ) | |||||||||||||||||||||||
South America |
10,357 | 82 | 82 | (98 | ) | |||||||||||||||||||||||
Other areas(1) |
46,479 | 19 | 19 | (35 | ) | |||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total |
667,207 | 15,736 | 15,736 | 487,291 | (12,285 | ) | (728 | ) | | |||||||||||||||||||
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|
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|
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|
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|
|
(*) | Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework. Excluding the assets of BBVA USA and BBVA Paraguay, which are accounted for as non-current assets held for sale (see Note 1.3 of the Consolidated Financial Statements). |
(1) | Includes all other countries not included on the previous columns. The countries with the greatest exposure in this area are: United Kingdom, France, Italy, Germany and Portugal. |
(2) | Includes gross carrying amount of assets at amortised cost, assets at fair value through other comprehensive income and assets designated at fair value through profit and loss other than those held for trading. |
(3) | Includes gross carrying amount of assets at amortised cost and assets at fair value through other comprehensive income. |
EU CQ4 - Credit quality of exposures by geography (Million Euros. 12-31-2019)
Gross carrying amount(2)/nominal amount | ||||||||||||||||||||||||||||
Of which: non performing |
Of which: defaulted |
Of which: subject to impairment(3) |
Accumulated impairment |
Provisions on off-balance sheet |
Accumulated negative changes in fair value due to credit risk on non- performing exposures |
|||||||||||||||||||||||
On balance expousures |
527,907 | 15,991 | 15,991 | 526,725 | (12,572 | ) | | |||||||||||||||||||||
Spain |
207,925 | 8,107 | 8,107 | 207,276 | (4,946 | ) | | |||||||||||||||||||||
Turkey |
75,033 | 1,478 | 1,478 | 74,951 | (2,017 | ) | | |||||||||||||||||||||
Mexico |
55,628 | 3,238 | 3,238 | 55,183 | (2,460 | ) | | |||||||||||||||||||||
USA |
90,258 | 682 | 682 | 90,258 | (704 | ) | | |||||||||||||||||||||
South America |
48,831 | 1,851 | 1,851 | 48,830 | (1,908 | ) | | |||||||||||||||||||||
Other areas(1) |
50,233 | 633 | 633 | 50,226 | (537 | ) | | |||||||||||||||||||||
Off balance expousures |
180,718 | 1,001 | 1,001 | (711 | ) | |||||||||||||||||||||||
Spain |
52,127 | 530 | 530 | (195 | ) | |||||||||||||||||||||||
Turkey |
19,551 | 7 | 7 | (105 | ) | |||||||||||||||||||||||
Mexico |
16,901 | 242 | 242 | (181 | ) | |||||||||||||||||||||||
USA |
38,014 | 130 | 130 | (101 | ) | |||||||||||||||||||||||
South America |
11,783 | 73 | 73 | (101 | ) | |||||||||||||||||||||||
Other areas(1) |
42,342 | 19 | 19 | (28 | ) | |||||||||||||||||||||||
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|
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|
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|
|||||||||||||||
Total |
708,625 | 16,992 | 16,992 | 526,725 | (12,572 | ) | (711 | ) | | |||||||||||||||||||
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|
|
|
|
|
|
|
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|
|
(*) | Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework. Excluding the assets of BBVA USA and BBVA Paraguay, which are accounted for as non-current assets held for sale (see Note 1.3 of the Consolidated Financial Statements). |
(1) | Includes all other countries not included on the previous columns. The countries with the greatest exposure in this area are: United Kingdom, France, Italy, Germany and Portugal. |
(2) | Includes gross carrying amount of assets at amortised cost, assets at fair value through other comprehensive income and assets designated at fair value through profit and loss other than those held for trading. |
(3) | Includes gross carrying amount of assets at amortised cost and assets at fair value through other comprehensive income. |
BBVA. PILLAR III 2020 | 3. RISK | P. 54 |
Table 18. EU CQ5 - Credit quality of loans and advances by industry or counterparty types (Million Euros. 12-31-2020)
Gross carrying amount(1)/nominal amount | ||||||||||||||||||||||||
Of which: non performing |
Of which: defaulted |
Of which: subject to impairment(2) |
Accumulated impairment |
Accumulated negative changes in fair value due to credit risk on non- performing exposures |
||||||||||||||||||||
Agriculture, forestry and fishing |
3,438 | 132 | 132 | 3,438 | (108 | ) | | |||||||||||||||||
Mining and quarrying |
4,349 | 47 | 47 | 4,349 | (59 | ) | | |||||||||||||||||
Manufacturing |
33,811 | 1,486 | 1,486 | 33,771 | (1,129 | ) | | |||||||||||||||||
Electricity, gas, steam and air conditioning supply |
13,490 | 591 | 591 | 13,490 | (509 | ) | | |||||||||||||||||
Water supply |
899 | 17 | 17 | 899 | (15 | ) | | |||||||||||||||||
Construction |
10,021 | 1,397 | 1,397 | 10,019 | (722 | ) | | |||||||||||||||||
Wholesale and retail trade |
24,594 | 1,456 | 1,456 | 24,594 | (1,223 | ) | | |||||||||||||||||
Transport and storage |
8,117 | 489 | 489 | 8,117 | (368 | ) | | |||||||||||||||||
Accommodation and food service activities |
8,337 | 358 | 358 | 8,337 | (294 | ) | | |||||||||||||||||
Information and communication |
6,179 | 73 | 73 | 5,764 | (60 | ) | | |||||||||||||||||
Real estate activities |
5,289 | 123 | 123 | 5,289 | (132 | ) | | |||||||||||||||||
Financial activities and insurance |
10,099 | 617 | 617 | 10,025 | (494 | ) | | |||||||||||||||||
Professional, scientific and technical activities |
2,895 | 177 | 177 | 2,886 | (124 | ) | | |||||||||||||||||
Administrative and support service activities |
4,031 | 142 | 142 | 4,031 | (192 | ) | | |||||||||||||||||
Public administration and defence, compulsory social security |
129 | 5 | 5 | 129 | (4 | ) | | |||||||||||||||||
Education |
665 | 54 | 54 | 665 | (43 | ) | | |||||||||||||||||
Human health services and social work activities |
1,812 | 67 | 67 | 1,812 | (59 | ) | | |||||||||||||||||
Arts, entertainment and recreation |
1,131 | 46 | 46 | 1,131 | (65 | ) | | |||||||||||||||||
Other services |
3,911 | 198 | 198 | 3,911 | (521 | ) | | |||||||||||||||||
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|
|
|
|
|
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|
|
|
|
|
|||||||||||||
Total |
143,196 | 7,476 | 7,476 | 142,655 | (6,120 | ) | | |||||||||||||||||
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|
|
|
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|
|
|
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|
|
(*) | Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework. Excluding the assets of BBVA USA and BBVA Paraguay, which are accounted for as non-current assets held for sale (see Note 1.3 of the Consolidated Financial Statements). |
(1) | Includes gross carrying amount of assets at amortised cost, assets at fair value through other comprehensive income and assets designated at fair value through profit and loss other than those held for trading. |
(2) | Includes gross carrying amount of assets at amortised cost and assets at fair value through other comprehensive income. |
EU CQ5 - Credit quality of loans and advances by industry or counterparty types (Million Euros. 12-31-2019)
Gross carrying amount(1)/nominal amount | ||||||||||||||||||||||||
Of which: non performing |
Of which: defaulted |
Of which: subject to impairment(2) |
Accumulated impairment |
Accumulated negative changes in fair value due to credit risk on non- performing exposures |
||||||||||||||||||||
Agriculture, forestry and fishing |
3,758 | 154 | 154 | 3,758 | (124 | ) | | |||||||||||||||||
Mining and quarrying |
4,669 | 100 | 100 | 4,669 | (86 | ) | | |||||||||||||||||
Manufacturing |
39,517 | 1,711 | 1,711 | 39,517 | (1,242 | ) | | |||||||||||||||||
Electricity, gas, steam and air conditioning supply |
12,305 | 684 | 684 | 12,305 | (575 | ) | | |||||||||||||||||
Water supply |
900 | 14 | 14 | 900 | (16 | ) | | |||||||||||||||||
Construction |
10,945 | 1,377 | 1,377 | 10,945 | (876 | ) | | |||||||||||||||||
Wholesale and retail trade |
27,467 | 1,799 | 1,799 | 27,467 | (1,448 | ) | | |||||||||||||||||
Transport and storage |
9,638 | 507 | 507 | 9,638 | (392 | ) | | |||||||||||||||||
Accommodation and food service activities |
8,703 | 279 | 279 | 8,703 | (203 | ) | | |||||||||||||||||
Information and communication |
6,761 | 95 | 95 | 6,316 | (65 | ) | | |||||||||||||||||
Real estate activities |
6,856 | 191 | 191 | 6,856 | (139 | ) | | |||||||||||||||||
Financial activities and insurance |
19,435 | 782 | 782 | 19,435 | (527 | ) | | |||||||||||||||||
Professional, scientific and technical activities |
4,375 | 167 | 167 | 4,375 | (140 | ) | | |||||||||||||||||
Administrative and support service activities |
3,428 | 118 | 118 | 3,428 | (134 | ) | | |||||||||||||||||
Public administration and defence, compulsory social security |
282 | 5 | 5 | 282 | (6 | ) | | |||||||||||||||||
Education |
903 | 41 | 41 | 903 | (38 | ) | | |||||||||||||||||
Human health services and social work activities |
4,696 | 66 | 66 | 4,696 | (55 | ) | | |||||||||||||||||
Arts, entertainment and recreation |
1,396 | 47 | 47 | 1,396 | (39 | ) | | |||||||||||||||||
Other services |
7,672 | 329 | 329 | 7,658 | (356 | ) | | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total |
173,704 | 8,465 | 8,465 | 173,247 | (6,460 | ) | | |||||||||||||||||
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|
|
|
|
|
|
|
|
|
(*) | Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework. Excluding the assets of BBVA USA and BBVA Paraguay, which are accounted for as non-current assets held for sale (see Note 1.3 of the Consolidated Financial Statements). |
(1) | Includes gross carrying amount of assets at amortised cost, assets at fair value through other comprehensive income and assets designated at fair value through profit and loss other than those held for trading. |
(2) | Includes gross carrying amount of assets at amortised cost and assets at fair value through other comprehensive income. |
BBVA. PILLAR III 2020 | 3. RISK | P. 55 |
The distribution of the gross carrying amount of performing and non-performing exposures of loans and debt securities by residual maturity is shown in the following table, which includes the amounts as of December 31, 2020 and the main figures as of December 31, 2019 for comparative purposes only:
Table 19. EU CQ3 - Credit quality of performing and non-performing exposures by past due days (Million Euros. 12-31-2020)
Gross carrying amount/nominal amount | ||||||||||||||||||||||||||||||||||||||||||||||||
Performing exposures | Non-performing exposures | |||||||||||||||||||||||||||||||||||||||||||||||
|
Not past due or past due £ 30 days |
Past due > 30 days £ 90 days |
|
Unlikely to pay that are not past due or are past due £ 90 days |
Past due > 90 days £ 180 days |
Past due > 180 days £ 1 year |
Past due > 1 year £ 2 years |
Past due > 2 years £ 5 years |
Past due > 5 years £ 7 years |
Past due > 7 years |
Of which defaulted |
|||||||||||||||||||||||||||||||||||||
Loans and advances |
329,513 | 327,647 | 1,866 | 14,684 | 7,800 | 1,251 | 948 | 1,972 | 2,393 | 179 | 141 | 14,684 | ||||||||||||||||||||||||||||||||||||
Central banks |
6,229 | 6,229 | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
General governments |
19,447 | 19,444 | 3 | 76 | 53 | | 1 | 2 | 3 | | 17 | 76 | ||||||||||||||||||||||||||||||||||||
Credit institutions |
14,607 | 14,607 | | 6 | 4 | 2 | | | | | | 6 | ||||||||||||||||||||||||||||||||||||
Other financial corporations |
9,347 | 9,346 | 1 | 14 | 6 | 7 | | | 1 | | | 14 | ||||||||||||||||||||||||||||||||||||
Non-financial corporations |
135,720 | 135,310 | 410 | 7,476 | 4,102 | 322 | 413 | 995 | 1,443 | 113 | 88 | 7,476 | ||||||||||||||||||||||||||||||||||||
Of which: SME |
50,784 | 50,590 | 194 | 4,150 | 1,714 | 246 | 269 | 655 | 1,144 | 92 | 29 | 4,150 | ||||||||||||||||||||||||||||||||||||
Households |
144,163 | 142,710 | 1,453 | 7,113 | 3,635 | 921 | 534 | 976 | 945 | 65 | 36 | 7,113 | ||||||||||||||||||||||||||||||||||||
Debt securities |
84,765 | 84,765 | | 20 | 17 | 3 | | | | | | 20 | ||||||||||||||||||||||||||||||||||||
Central banks |
1,624 | 1,624 | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
General governments |
69,339 | 69,339 | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
Credit institutions |
2,064 | 2,064 | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
Other financial corporations |
7,429 | 7,429 | | 19 | 16 | 3 | | | | | | 19 | ||||||||||||||||||||||||||||||||||||
Non-financial corporations |
4,309 | 4,309 | | 1 | 1 | | | | | | | 1 | ||||||||||||||||||||||||||||||||||||
Off-balance-sheet exposures |
177,866 | | | 1,032 | | | | | | | | 1,032 | ||||||||||||||||||||||||||||||||||||
Central banks |
125 | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
General governments |
3,244 | | | 7 | | | | | | | | 7 | ||||||||||||||||||||||||||||||||||||
Credit institutions |
17,049 | | | 1 | | | | | | | | 1 | ||||||||||||||||||||||||||||||||||||
Other financial corporations |
8,798 | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
Non-financial corporations |
106,978 | | | 917 | | | | | | | | 917 | ||||||||||||||||||||||||||||||||||||
Households |
41,672 | | | 107 | | | | | | | | 107 | ||||||||||||||||||||||||||||||||||||
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|||||||||||||||||||||||||
Total exposures December 2020 |
592,144 | 412,412 | 1,866 | 15,736 | 7,817 | 1,254 | 948 | 1,972 | 2,393 | 179 | 141 | 15,736 | ||||||||||||||||||||||||||||||||||||
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(*) | Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework. Excluding the assets of BBVA USA and BBVA Paraguay, which are accounted for as non-current assets held for sale (see Note 1.3 of the Consolidated Financial Statements). |
BBVA. PILLAR III 2020 | 3. RISK | P. 56 |
EU CQ3 - Credit quality of performing and non-performing exposures by past due days (Million Euros. 12-31-2019)
Gross carrying amount/nominal amount | ||||||||||||||||||||||||||||||||||||||||||||||||
Performing exposures | Non-performing exposures | |||||||||||||||||||||||||||||||||||||||||||||||
|
Not past due or past due £ 30 days |
Past due > 30 days £ 90 days |
|
Unlikely to pay that are not past due or are past due £ 90 days |
Past due > 90 days £ 180 days |
Past due > 180 days £ 1 year |
Past due > 1 year £ 2 years |
Past due > 2 years £ 5 years |
Past due > 5 years £ 7 years |
Past due > 7 years |
Of which defaulted |
|||||||||||||||||||||||||||||||||||||
Loans and advances |
396,946 | 393,722 | 3,224 | 15,957 | 8,107 | 1,323 | 1,930 | 2,329 | 1,970 | 148 | 149 | 15,957 | ||||||||||||||||||||||||||||||||||||
Central banks |
4,285 | 4,285 | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
General governments |
28,787 | 28,783 | 4 | 88 | 61 | 1 | 2 | 3 | 2 | 4 | 16 | 88 | ||||||||||||||||||||||||||||||||||||
Credit institutions |
13,519 | 13,518 | 1 | 6 | 4 | 2 | 0 | 0 | | | | 6 | ||||||||||||||||||||||||||||||||||||
Other financial corporations |
10,951 | 10,950 | 1 | 17 | 9 | 5 | 1 | 0 | 2 | | | 17 | ||||||||||||||||||||||||||||||||||||
Non-financial corporations |
165,239 | 164,549 | 691 | 8,465 | 4,433 | 396 | 914 | 1,400 | 1,152 | 83 | 86 | 8,465 | ||||||||||||||||||||||||||||||||||||
Of which: SME |
47,042 | 46,624 | 418 | 4,078 | 1,719 | 203 | 504 | 878 | 719 | 23 | 31 | 4,078 | ||||||||||||||||||||||||||||||||||||
Households |
174,165 | 171,638 | 2,527 | 7,381 | 3,600 | 918 | 1,012 | 926 | 815 | 62 | 48 | 7,381 | ||||||||||||||||||||||||||||||||||||
Debt securities |
77,534 | 77,534 | | 34 | 31 | 3 | | | | | | 34 | ||||||||||||||||||||||||||||||||||||
Central banks |
1,015 | 1,015 | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
General governments |
64,505 | 64,505 | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
Credit institutions |
1,057 | 1,057 | | 0 | 0 | | | | | | | 0 | ||||||||||||||||||||||||||||||||||||
Other financial corporations |
7,851 | 7,851 | | 33 | 30 | 3 | | | | | | 33 | ||||||||||||||||||||||||||||||||||||
Non-financial corporations |
3,106 | 3,106 | | 1 | 1 | | | | | | | 1 | ||||||||||||||||||||||||||||||||||||
Off-balance-sheet exposures |
179,717 | | | 1,001 | | | | | | | | 1,001 | ||||||||||||||||||||||||||||||||||||
Central banks |
2 | | | 0 | | | | | | | | 0 | ||||||||||||||||||||||||||||||||||||
General governments |
3,756 | | | 7 | | | | | | | | 7 | ||||||||||||||||||||||||||||||||||||
Credit institutions |
18,689 | | | 1 | | | | | | | | 1 | ||||||||||||||||||||||||||||||||||||
Other financial corporations |
7,655 | | | 0 | | | | | | | | 0 | ||||||||||||||||||||||||||||||||||||
Non-financial corporations |
103,232 | | | 920 | | | | | | | | 920 | ||||||||||||||||||||||||||||||||||||
Households |
46,383 | | | 73 | | | | | | | | 73 | ||||||||||||||||||||||||||||||||||||
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|||||||||||||||||||||||||
Total exposures December 2019 |
654,197 | 471,256 | 3,224 | 16,992 | 8,138 | 1,325 | 1,930 | 2,329 | 1,970 | 148 | 149 | 16,992 | ||||||||||||||||||||||||||||||||||||
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(*) | Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework. Excluding the assets of BBVA USA and BBVA Paraguay, which are accounted for as non-current assets held for sale (see Note 1.3 of the Consolidated Financial Statements). |
Table 20. EU CR2-A - Changes in the stock of general and specific credit risk adjustments (Million Euros. 12-31-2020)
Accumulated credit risk adjustment(1) |
||||
Opening balance |
13,396 | |||
|
|
|||
Increases due to origination and acquisition |
1,571 | |||
Decrease due to derecognition repayments and disposals |
(1,444 | ) | ||
Changes due to change in credit risk (net) |
3,699 | |||
Changes due to modifications without derecognition (net) |
283 | |||
Changes due to update in the institutions methodology for estimation (net) |
| |||
Decrease in allowance account due to write-offs |
(2,568 | ) | ||
Other adjustments |
(1,924 | ) | ||
|
|
|||
Closing balance |
13,013 | |||
Recoveries on credit risk adjustments recorded directly to the statement of profit or loss |
(338 | ) | ||
Specific credit risk adjustments recorded directly to the statement of profit or loss |
314 |
(1) | The closing balance excludes the impairment losses of BBVA USA and BBVA Paraguay which are included in Other adjustments (see section 1.1.3). |
BBVA. PILLAR III 2020 | 3. RISK | P. 57 |
Table 21. EU CQ1 - Credit quality of forborne exposures (Million Euros. 12-31-2020)
Gross carrying amount/nominal amount of exposures with forbearance measures |
Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Collateral received and financial guarantees received on forborne exposures |
||||||||||||||||||||||||||||||
Non-performing forborne | ||||||||||||||||||||||||||||||||
Performing forborne |
|
Of which defaulted |
Of which impaired |
On performing forborne exposures |
On non- performing forborne exposures |
Of which collateral and financial guarantees received on non- performing exposures with forbearance measures |
||||||||||||||||||||||||||
Loans and advances |
7,659 | 9,040 | 9,040 | 9,040 | (759 | ) | (4,100 | ) | 7,408 | 3,149 | ||||||||||||||||||||||
Central banks |
| | | | | | | | ||||||||||||||||||||||||
General governments |
83 | 56 | 56 | 56 | (3 | ) | (12 | ) | 45 | 14 | ||||||||||||||||||||||
Credit institutions |
| | | | | | | | ||||||||||||||||||||||||
Other financial corporations |
2 | 2 | 2 | 2 | | | 1 | | ||||||||||||||||||||||||
Non-financial corporations |
2,996 | 5,023 | 5,023 | 5,023 | (372 | ) | (2,565 | ) | 2,638 | 1,158 | ||||||||||||||||||||||
Households |
4,579 | 3,958 | 3,958 | 3,958 | (384 | ) | (1,522 | ) | 4,725 | 1,977 | ||||||||||||||||||||||
Debt Securities |
| | | | | | | | ||||||||||||||||||||||||
Loan commitments given |
182 | 57 | 57 | 57 | (4 | ) | (4 | ) | 1 | 1 | ||||||||||||||||||||||
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|||||||||||||||||
Total exposures December 2020 |
7,841 | 9,097 | 9,097 | 9,097 | (763 | ) | (4,104 | ) | 7,409 | 3,150 | ||||||||||||||||||||||
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(*) | Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework. Excluding the assets of BBVA USA and BBVA Paraguay, which are accounted for as non-current assets held for sale (see Note 1.3 of the Consolidated Financial Statements). |
EU CQ1 - Credit quality of forborne exposures (Million Euros. 12-31-2019)
Gross carrying amount/nominal amount of exposures with forbearance measures |
Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Collateral received and financial guarantees received on forborne exposures |
||||||||||||||||||||||||||||||
Non-performing forborne | ||||||||||||||||||||||||||||||||
Performing forborne |
|
Of which defaulted |
Of which impaired |
On performing forborne exposures |
On non- performing forborne exposures |
Of which collateral and financial guarantees received on non- performing exposures with forbearance measures |
||||||||||||||||||||||||||
Loans and advances |
6,888 | 9,350 | 9,350 | 9,350 | (623 | ) | (4,164 | ) | 7,304 | 3,423 | ||||||||||||||||||||||
Central banks |
| | | | | | | | ||||||||||||||||||||||||
General governments |
96 | 62 | 62 | 62 | (3 | ) | (7 | ) | 49 | 16 | ||||||||||||||||||||||
Credit institutions |
| | | | | | | | ||||||||||||||||||||||||
Other financial corporations |
1 | 5 | 5 | 5 | (0 | ) | (4 | ) | 1 | 1 | ||||||||||||||||||||||
Non-financial corporations |
2,853 | 5,235 | 5,235 | 5,235 | (294 | ) | (2,722 | ) | 2,417 | 1,185 | ||||||||||||||||||||||
Households |
3,938 | 4,048 | 4,048 | 4,048 | (326 | ) | (1,431 | ) | 4,838 | 2,221 | ||||||||||||||||||||||
Debt Securities |
| | | | | | | | ||||||||||||||||||||||||
Loan commitments given |
134 | 45 | 45 | 45 | (5 | ) | (7 | ) | | | ||||||||||||||||||||||
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|||||||||||||||||
Total exposures December 2019 |
7,022 | 9,395 | 9,395 | 9,395 | (628 | ) | (4,172 | ) | 7,304 | 3,423 | ||||||||||||||||||||||
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(*) | Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework. Excluding the assets of BBVA USA and BBVA Paraguay, which are accounted for as non-current assets held for sale (see Note 1.3 of the Consolidated Financial Statements). |
Table 22. EU CQ7 - Collateral obtained by taking possession and execution processes (Million Euros)
12-31-2020 | 12-31-2019 | |||||||||||||||
Collateral obtained | Collateral obtained | |||||||||||||||
Value at initial recognition(1) |
Accumulated negative changes(2) |
Value at initial recognition(1) |
Accumulated negative changes(2) |
|||||||||||||
Property, plant and equipment (PP&E) |
| | 641 | | ||||||||||||
Other than PP&E |
3,028 | (853 | ) | 2,996 | (738 | ) | ||||||||||
Residential immovable property |
1,504 | (371 | ) | 1,438 | (377 | ) | ||||||||||
Commercial Immovable property |
367 | (135 | ) | 348 | (152 | ) | ||||||||||
Movable property (auto, shipping, etc.) |
23 | (11 | ) | 1 | (0 | ) | ||||||||||
Equity and debt instruments |
1,074 | (279 | ) | 1,177 | (209 | ) | ||||||||||
Other |
60 | (57 | ) | 31 | | |||||||||||
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|
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|
|
|||||||||
Total |
3,028 | (853 | ) | 3,637 | (738 | ) | ||||||||||
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|
|
(*) | Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework. Excluding the assets of BBVA USA and BBVA Paraguay, which are accounted for as non-current assets held for sale (see Note 1.3 of the Consolidated Financial Statements). |
(1) | Value at initial recognition: the gross carrying amount of the collateral obtained by taking possession at initial recognition in the balance sheet. |
(2) | Accumulated negative changes: accumulated impairment or accumulated negative changes to the initial recognition value of the collateral obtained by taking possession. |
BBVA. PILLAR III 2020 | RISK | P. 58 |
Table 23. Information on loans and advances subject to to legislative and non-legislative moratoria (Million euros. 12-31-2020)
Gross carrying amount | Accumulated impairment, accumulated negative changes in fair value due to credit risk |
Gross carriyng amount |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Performing | Non Performing | Performing | Non performing | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Of which: exposures with forbearance measures |
Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) |
Of which: exposures with forbearance measures |
Of which: Unlikely to pay that are not past-due or past-due <= 90 days |
Of which: exposures with forbearance measures |
Of which: Instruments with significant increase in credit risk since initial recognition but not credit- impaired (Stage 2) |
Of which: exposures with forbearance measures |
Of which: Unlikely to pay that are not past-due or past-due <= 90 days |
Inflows to non- performing exposures |
||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans and advances subject to moratorium |
6,803 | 6,265 | 1,311 | 3,049 | 538 | 488 | 502 | (582 | ) | (457 | ) | (257 | ) | (427 | ) | (126 | ) | (104 | ) | (106 | ) | 59 | ||||||||||||||||||||||||||||||||||||||
of which: Households |
4,657 | 4,179 | 614 | 1,874 | 478 | 447 | 464 | (267 | ) | (166 | ) | (42 | ) | (149 | ) | (100 | ) | (86 | ) | (91 | ) | 35 | ||||||||||||||||||||||||||||||||||||||
of which: Collateralised by residential immovable property |
3,664 | 3,248 | 441 | 1,421 | 417 | 406 | 411 | (169 | ) | (93 | ) | (24 | ) | (88 | ) | (76 | ) | (74 | ) | (74 | ) | 21 | ||||||||||||||||||||||||||||||||||||||
of which: Non-financial corporations |
2,086 | 2,026 | 697 | 1,175 | 60 | 41 | 37 | (315 | ) | (290 | ) | (215 | ) | (278 | ) | (26 | ) | (18 | ) | (15 | ) | 25 | ||||||||||||||||||||||||||||||||||||||
of which: Small and Medium-sized Enterprises |
1,031 | 983 | 217 | 544 | 48 | 34 | 30 | (145 | ) | (126 | ) | (70 | ) | (118 | ) | (19 | ) | (15 | ) | (11 | ) | 21 | ||||||||||||||||||||||||||||||||||||||
of which: Collateralised by commercial immovable property |
918 | 886 | 213 | 416 | 31 | 21 | 22 | (101 | ) | (92 | ) | (60 | ) | (86 | ) | (9 | ) | (6 | ) | (6 | ) | 10 |
(*) | For more information on loans subject to moratoria, see note 7.2 of the Consolidated Financial Statements of BBVA Group. |
Table 24. Breakdown of loans and advances subject to legislative and non-legislative moratoria by residual maturity of moratoria (Million Euros. 12-31-2020)
Gross carrying amount | ||||||||||||||||||||||||||||||||||||
Number of obligors(1) |
Of which: legislative moratoria |
Of which: expired |
Residual maturity of moratoria | |||||||||||||||||||||||||||||||||
|
<= 3 months | > 3 months <= 6 months | > 6 months <= 9 months | > 9 months <= 12 months | > 1 year | |||||||||||||||||||||||||||||||
Loans and advances for which moratorium was offered |
2,866,628 | 35,150 | ||||||||||||||||||||||||||||||||||
Loans and advances subject to moratorium (granted) |
2,843,977 | 33,828 | 30,101 | 27,025 | 3,173 | 1,987 | 1,415 | 213 | 15 | |||||||||||||||||||||||||||
of which: Households |
21,333 | 17,628 | 16,676 | 1,835 | 1,612 | 1,113 | 98 | | ||||||||||||||||||||||||||||
of which: Collateralised by residential immovable property |
12,387 | 9,148 | 8,723 | 1,005 | 1,490 | 1,074 | 95 | | ||||||||||||||||||||||||||||
of which: Non-financial corporations |
12,237 | 12,217 | 10,151 | 1,309 | 357 | 289 | 115 | 15 | ||||||||||||||||||||||||||||
of which: Small and Medium-sized Enterprises |
6,087 | 6,086 | 5,056 | 644 | 94 | 199 | 85 | 9 | ||||||||||||||||||||||||||||
of which: Collateralised by commercial immovable property |
2,511 | 2,503 | 1,593 | 548 | 38 | 228 | 92 | 12 |
(1) | For further information on loans subject to moratorium measures, see note 7.2 of the Groups Consolidated Annual Accounts |
Table 25. Information on new loans and advances subject to public guarantee schemes introduced in response to the COVID-19 crisis (12-31-2020. Million euros)
Gross carrying amount | Maximum amount of collateral that can be considered |
Gross carrying amount | ||||||||||||||
of which: forborne | Public guarantees received | Inflows to non-performing exposures | ||||||||||||||
Newly originated loans and advances subject to public guarantee schemes |
18,619 | 170 | 15,242 | 60 | ||||||||||||
of which: Households |
1,237 | 3 | ||||||||||||||
of which: Collateralised by residential immovable property |
1 | | ||||||||||||||
of which: Non-financial corporations |
17,303 | 168 | 14,163 | 57 | ||||||||||||
of which: Small and medium-sized enterprises |
11,373 | 39 | ||||||||||||||
of which: Collateralised by commercial immovable property |
4 | 0 |
(*) | For further information on loans under public guarantee programmes, see note 7.2 of the Groups Consolidated Financial Statements. |
BBVA. PILLAR III 2020 | 3. RISK | P. 59 |
Table 26. EU CR4 - Standardised approach - credit risk exposure and credit risk mitigation effects (Million Euros. 12-31-2020)
Exposures before CCF and CRM(1) |
Exposures post- CCF and CRM(2) |
RWA(3) and RWA Density |
||||||||||||||||||||||
Exposure Class |
On-balance sheet amount |
Off-balance sheet amount |
On-balance sheet amount |
Off-balance sheet amount |
RWA | RWA Density |
||||||||||||||||||
Central governments or central banks |
159,908 | 3,740 | 202,956 | 2,709 | 29,227 | 14 | % | |||||||||||||||||
Regional governments or local authorities |
18,791 | 857 | 6,880 | 326 | 2,316 | 32 | % | |||||||||||||||||
Public sector entities |
1,195 | 298 | 1,525 | 157 | 690 | 41 | % | |||||||||||||||||
Multilateral development banks |
232 | 38 | 302 | | 7 | 2 | % | |||||||||||||||||
International Organisations |
| | | | | | ||||||||||||||||||
Institutions |
12,604 | 13,851 | 12,698 | 1,661 | 7,014 | 49 | % | |||||||||||||||||
Corporates |
69,279 | 31,594 | 62,616 | 15,387 | 75,827 | 97 | % | |||||||||||||||||
Retail |
53,759 | 26,629 | 46,005 | 2,979 | 34,337 | 70 | % | |||||||||||||||||
Secured by mortgages on immovable property |
34,472 | 218 | 34,433 | 180 | 12,769 | 37 | % | |||||||||||||||||
Exposures in default |
3,911 | 172 | 3,847 | 112 | 4,480 | 113 | % | |||||||||||||||||
Exposures associated with particularly high risk |
3,104 | 426 | 2,988 | 137 | 4,687 | 150 | % | |||||||||||||||||
Covered bonds |
| | | | | | ||||||||||||||||||
Institutions and corporates with a short term credit assessment |
1 | | 1 | | 1 | 87 | % | |||||||||||||||||
Collective Investment Undertakings |
| 5 | | 3 | 3 | 100 | % | |||||||||||||||||
Equity |
| | | | | | ||||||||||||||||||
Other Items |
20,030 | | 19,964 | 425 | 12,120 | 59 | % | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total |
377,286 | 77,828 | 394,215 | 24,077 | 183,479 | 44 | % | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Net OE: original exposure net of value adjustments and provisions. |
(2) | EAD: original exposure net of value adjustments and provisions after CRM and CCF. |
(3) | RWAs: EAD after risk-weighting. |
BBVA. PILLAR III 2020 | 3. RISK | P. 60 |
EU CR4 - Standardised approach - credit risk exposure and credit risk mitigation effects (Million Euros. 12-31-2019)
Exposures before CCF and CRM (1) |
Exposures post- CCF and CRM(2) |
RWA(3) and RWA Density |
||||||||||||||||||||||
Exposure Class |
On-balance sheet amount |
Off-balance sheet amount |
On- balance sheet amount |
Off-balance sheet amount |
RWA | RWA Density |
||||||||||||||||||
Central governments or central banks |
117,878 | 4,449 | 146,001 | 654 | 29,629 | 20 | % | |||||||||||||||||
Regional governments or local authorities |
9,512 | 1,056 | 6,827 | 271 | 1,643 | 23 | % | |||||||||||||||||
Public sector entities |
1,383 | 212 | 1,504 | 137 | 714 | 43 | % | |||||||||||||||||
Multilateral development banks |
130 | 38 | 210 | | 11 | 5 | % | |||||||||||||||||
International Organisations |
| | | | | | ||||||||||||||||||
Institutions |
10,202 | 13,536 | 10,239 | 1,063 | 4,725 | 42 | % | |||||||||||||||||
Corporates |
75,447 | 33,319 | 71,354 | 17,058 | 86,058 | 97 | % | |||||||||||||||||
Retail |
56,081 | 30,653 | 52,060 | 2,755 | 38,451 | 70 | % | |||||||||||||||||
Secured by mortgages on immovable property |
39,471 | 167 | 39,423 | 138 | 14,983 | 38 | % | |||||||||||||||||
Exposures in default |
3,273 | 330 | 3,197 | 225 | 3,806 | 111 | % | |||||||||||||||||
Exposures associated with particularly high risk |
3,502 | 428 | 3,285 | 107 | 5,088 | 150 | % | |||||||||||||||||
Covered bonds |
| | | | | | ||||||||||||||||||
Institutions and corporates with a short term credit assessment |
1 | | 1 | | 1 | 96 | % | |||||||||||||||||
Collective Investment Undertakings |
6 | 4 | 4 | 3 | 7 | 100 | % | |||||||||||||||||
Equity |
| | | | | 0 | % | |||||||||||||||||
Other Items |
21,018 | | 21,211 | 496 | 12,767 | 59 | % | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total |
337,904 | 84,191 | 355,316 | 22,907 | 197,882 | 52 | % | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Net OE: original exposure net of value adjustments and provisions. |
(2) | EAD: original exposure net of value adjustments and provisions after CRM and CCF. |
(3) | RWAs: EAD after risk-weighting. |
BBVA. PILLAR III 2020 | RISK | P. 61 |
Table 27. Standardised approach: exposure values before application of credit risk mitigation techinques (Million Euros. 12-31-2020)
Risk Weight | Total credit exposures amount |
Of which: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Exposure Class |
0% | 2% | 4% | 10% | 20% | 35% | 50% | 70% | 75% | 100% | 150% | 250% | 370% | 1250% | Others | pre-CRM) | unrated(1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Central Government or central banks |
131,891 | | | | 6,501 | | 4,612 | | | 16,541 | 660 | 3,441 | | | | 163,647 | 60,006 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Regional government or local authorities |
526 | | | | 14,806 | | 1,181 | | | 3,136 | | | | | | 19,648 | 16,891 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Public sector entities |
| | | | 561 | | 654 | | | 278 | | | | | | 1,494 | 1,034 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Multilateral development banks |
218 | | | | | | 52 | | | | | | | | | 270 | 229 | |||||||||||||||||||||||||||||||||||||||||||||||||||
International Organisations |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutions |
| 280 | | | 18,089 | | 2,941 | | | 5,062 | 83 | | | | | 26,455 | 24,326 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Corporates |
| | | | 57 | | 808 | | | 98,776 | 1,231 | | | | | 100,873 | 99,478 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Retail |
| | | | | | | | 80,388 | | | | | | | 80,388 | 80,388 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Secured by mortgages on immovable property |
| | | | | 30,065 | 3,552 | | 846 | 228 | | | | | | 34,690 | 34,690 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Exposures in default |
| | | | | | | | | 2,973 | 1,110 | | | | | 4,083 | 4,083 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Exposures associated with particularly high risk |
| | | | | | | | | | 3,531 | | | | | 3,531 | 3,531 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Covered bonds |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutions and corporates with a short-term credit assessment |
| | | | | | | | | 1 | | | | | | 1 | 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Collective investment undertakings |
| | | | | | | | | 5 | | | | | | 5 | 5 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other Items |
7,280 | | | | | | | | | 12,750 | | | | | | 20,030 | 20,030 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Equity |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
|
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|
|||||||||||||||||||||||||||||||||||
Total |
139,916 | 280 | | | 40,015 | 30,065 | 13,798 | | 81,233 | 139,748 | 6,617 | 3,441 | | | | 455,113 | 344,692 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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|
|
(1) | Of which: Unrated refers to exposure for which no credit rating from designated ECAIs is available. |
Standardised approach: exposure values before application of credit risk mitigation techinques (Million Euros. 12-31-2019)
Risk Weight | Total credit exposures amount |
Of which: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Exposure Class |
0% | 2% | 4% | 10% | 20% | 35% | 50% | 70% | 75% | 100% | 150% | 250% | 370% | 1250% | Others | pre-CRM) | unrated (1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Central Government or central banks |
90,680 | | | | 4,536 | | 5,923 | | | 17,045 | 872 | 3,271 | | | | 122,327 | 51,205 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Regional government or local authorities |
244 | | | | 6,827 | | 3,360 | | | 136 | | | | | | 10,568 | 9,110 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Public sector entities |
| | | | 672 | | 634 | | | 289 | 1 | | | | | 1,595 | 1,092 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Multilateral development banks |
77 | | | | 90 | | | | | | | | | | | 167 | 114 | |||||||||||||||||||||||||||||||||||||||||||||||||||
International Organisations |
0 | | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutions |
| 250 | | | 6,292 | | 15,024 | | | 2,152 | 21 | | | | | 23,738 | 20,511 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Corporates |
| 399 | | | 142 | | 2,935 | | | 104,209 | 1,081 | | | | | 108,766 | 107,315 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Retail |
| | | | | | | | 84,589 | 2,145 | | | | | | 86,733 | 86,601 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Secured by mortgages on immovable property |
| | | | | 33,296 | 4,898 | | 810 | 634 | | | | | | 39,638 | 39,634 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Exposures in default |
| | | | | | | | | 2,797 | 805 | | | | | 3,602 | 3,596 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Exposures associated with particularly high risk |
| | | | | | | | | | 3,931 | | | | | 3,931 | 3,931 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Covered bonds |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutions and corporates with a short-term credit assessment |
| | | | 0 | | | | | 1 | | | | | | 1 | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Collective investment undertakings |
| | | | | | | | | 10 | | | | | | 10 | 10 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other Items |
7,484 | | | | 6 | | | | | 13,527 | 0 | | | | | 21,018 | 20,941 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Equity |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
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|||||||||||||||||||||||||||||||||||
Total |
98,485 | 649 | | | 18,566 | 33,296 | 32,774 | | 85,398 | 142,946 | 6,711 | 3,271 | | | | 422,096 | 344,060 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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|
(1) | Of which: Unrated refers to exposures for which no credit rating from designated ECAIs is available. |
BBVA. PILLAR III 2020 | RISK | P. 62 |
Table 28. EU CR5 - Standardised approach: exposure values after application of credit risk mitigation techniques (Million Euros. 12-31-2020)
Risk Weight | Total credit exposures amount |
Of which: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Exposure Class |
0% | 2% | 4% | 10% | 20% | 35% | 50% | 70% | 75% | 100% | 150% | 250% | 370% | 1250% | Others | pre-CRM) | unrated(1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Central Government or central banks |
176,481 | | | | 3,752 | | 4,797 | | | 16,534 | 660 | 3,441 | | | | 205,665 | 59,394 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Regional government or local authorities |
1 | | | | 5,582 | | 847 | | | 776 | | | | | | 7,206 | 2,032 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Public sector entities |
| | | | 905 | | 534 | | | 242 | | | | | | 1,681 | 643 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Multilateral development banks |
288 | | | | | | 14 | | | | | | | | | 302 | 229 | |||||||||||||||||||||||||||||||||||||||||||||||||||
International Organisations |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutions |
| 280 | | | 7,826 | | 1,701 | | | 4,472 | 80 | | | | | 14,359 | 12,720 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Corporates |
| | | | 50 | | 498 | | | 76,550 | 904 | | | | | 78,003 | 76,329 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Retail |
| | | | | | | | 48,984 | | | | | | | 48,984 | 48,984 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Secured by mortgages on immovable property |
| | | | | 30,049 | 3,506 | | 844 | 215 | | | | | | 34,614 | 34,614 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Exposures in default |
| | | | | | | | | 2,917 | 1,042 | | | | | 3,959 | 3,959 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Exposures associated with particularly high risk |
| | | | | | | | | | 3,125 | | | | | 3,125 | 3,125 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Covered bonds |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutions and corporates with a short-term credit assessment |
| | | | | | | | | 1 | | | | | | 1 | 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Collective investment undertakings |
| | | | | | | | | 3 | | | | | | 3 | 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other Items |
8,269 | | | | | | | | | 12,120 | | | | | | 20,389 | 20,389 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Equity |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
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|||||||||||||||||||||||||||||||||||
Total |
185,038 | 280 | | | 18,116 | 30,049 | 11,895 | | 49,829 | 113,831 | 5,812 | 3,441 | | | | 418,291 | 262,422 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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|
(1) | Of which: Unrated refers to exposure for which no credit rating from designated ECAIs is available |
EU CR5 - Standardised approach: exposure values after application of credit risk mitigation techniques (Million Euros. 12-31-2019)
Risk Weight | Total credit exposures amount |
Of which: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Exposure Class |
0% | 2% | 4% | 10% | 20% | 35% | 50% | 70% | 75% | 100% | 150% | 250% | 370% | 1250% | Others | pre-CRM) | unrated(1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Central Government or central banks |
118,530 | | | | 1,230 | | 5,708 | | | 17,044 | 872 | 3,271 | | | | 146,655 | 50,520 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Regional government or local authorities |
1 | | | | 6,579 | | 381 | | | 136 | | | | | | 7,098 | 7,075 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Public sector entities |
| | | | 798 | | 578 | | | 264 | 1 | | | | | 1,641 | 497 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Multilateral development banks |
157 | | | | 53 | | | | | | | | | | | 210 | 114 | |||||||||||||||||||||||||||||||||||||||||||||||||||
International Organisations |
0 | | | | | | | | | | | | | | | 0 | 0 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutions |
| 250 | | | 5,757 | | 3,474 | | | 1,802 | 19 | | | | | 11,302 | 8,756 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Corporates |
| | | | 34 | | 1,895 | | | 85,656 | 828 | | | | | 88,412 | 86,955 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Retail |
| | | | | | | | 54,814 | | | | | | | 54,814 | 54,682 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Secured by mortgages on immovable property |
| | | | | 33,285 | 4,843 | | 804 | 629 | | | | | | 39,561 | 39,558 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Exposures in default |
| | | | | | | | | 2,655 | 767 | | | | | 3,423 | 3,423 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Exposures associated with particularly high risk |
| | | | | | | | | | 3,392 | | | | | 3,392 | 3,392 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Covered bonds |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutions and corporates with a short-term credit assessment |
| | | | 0 | | | | | 1 | | | | | | 1 | 0 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Collective investment undertakings |
| | | | | | | | | 7 | | | | | | 7 | 7 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other Items |
8,935 | | | | 6 | | | | | 12,765 | 0 | | | | | 21,707 | 21,707 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Equity |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
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|||||||||||||||||||||||||||||||||||
Total |
127,622 | 250 | | | 14,458 | 33,285 | 16,879 | | 55,618 | 120,959 | 5,880 | 3,271 | | | | 378,222 | 276,846 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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(1) | Of which: Unrated refers to exposure for which no credit rating from designated ECAIs is available |
BBVA. PILLAR III 2020 | 3. RISK | P. 63 |
Table 29. RWA flow statements of credit risk exposures under the standardised approach (Million Euros)
Credit Risk | Counterparty Credit Risk | Total | ||||||||||||||||||||||
RWA amounts | Capital Requirements |
RWA amounts | Capital Requirements |
RWA amounts | Capital requirements |
|||||||||||||||||||
RWAs as of September 30, 2020 |
179,907 | 14,393 | 3,612 | 289 | 183,519 | 14,682 | ||||||||||||||||||
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|||||||||||||
Asset size |
5,602 | 448 | (14 | ) | (1 | ) | 5,588 | 447 | ||||||||||||||||
Asset quality |
(97 | ) | (8 | ) | (8 | ) | (1 | ) | (105 | ) | (8 | ) | ||||||||||||
Model updates |
| | | | | | ||||||||||||||||||
Methodology and policy |
| | | | | | ||||||||||||||||||
Acquisitions and disposals |
| | | | | | ||||||||||||||||||
Foreign exchange movements |
(1,933 | ) | (155 | ) | (493 | ) | (39 | ) | (2,426 | ) | (194 | ) | ||||||||||||
Other |
| | | | | | ||||||||||||||||||
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|
|
|||||||||||||
RWAs as of December 31, 2020 |
183,479 | 14,678 | 3,097 | 248 | 186,576 | 14,926 | ||||||||||||||||||
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Table 30. Models authorised by the supervisor for the purpose of their use in the calculation of capital requirements (12-31-2020)
Institution Portfolio |
Portfolio |
Number of |
Model description | |||
BBVA S.A. | Financial institutions | 4 | 1 Rating, 1 PD model, 1 LGD model, 1 EAD model | |||
Public institutions | 5 | 1 Rating, 1 PD model, 2 LGD models, 1 EAD model | ||||
Specialised finance | 2 | 1 Slotting criteria, 1 EAD model | ||||
Developers | 4 | 1 Rating, 1 PD model, 1 LGD model, 1 EAD model | ||||
Small Corporates | 5 | 1 Rating, 1 PD model, 2 LGD models, 1 EAD model | ||||
Medium-sized Corporates | 5 | 1 Rating, 1 PD model, 2 LGD models, 1 EAD model | ||||
Large Corporates | 5 | 1 Rating, 1 PD model, 2 LGD models, 1 EAD model | ||||
Mortgages | 6 | 2 Scorings, 2 PD models, 1 LGD model, 1 EAD model | ||||
Consumer finance | 5 | 2 Scorings, 2 PD models, 1 LGD model | ||||
Credit cards | 10 | 2 Scorings, 2 PD models, 3 LGD models, 3 EAD models | ||||
Automobiles | 4 | 2 Scorings, 1 PD model, 1 LGD model | ||||
BBVA Bancomer |
Retail Revolving (Credit Cards) |
11 |
4 Scorings, 5 PD models, 1 LGD model, 1 EAD model | |||
Large Corporates | 5 | 1 Rating, 1 PD model, 2 LGD models, 1 EAD model | ||||
Medium-sized Corporates | 5 | 1 Rating, 1 PD model, 2 LGD models, 1 EAD model | ||||
Grupo BBVA | Equity | 1 | 1 capital model |
BBVA. PILLAR III 2020 | 3. RISK | P. 65 |
Table 31. Master Scale of BBVAs rating (12-31-2020)
External rating |
Internal rating | Probability of default (basic points) | ||||||||||||||
Standard & Poors List |
Reduced List (22 groups) | Average | Minimum from >= | Maximum | ||||||||||||
AAA |
AAA | 1 | 0 | 2 | ||||||||||||
AA+ |
AA+ | 2 | 2 | 3 | ||||||||||||
AA |
AA | 3 | 3 | 4 | ||||||||||||
AA- |
AA- | 4 | 4 | 5 | ||||||||||||
A+ |
A+ | 5 | 5 | 6 | ||||||||||||
A |
A | 8 | 6 | 9 | ||||||||||||
A- |
A- | 10 | 9 | 11 | ||||||||||||
BBB+ |
BBB+ | 14 | 11 | 17 | ||||||||||||
BBB |
BBB | 20 | 17 | 24 | ||||||||||||
BBB- |
BBB- | 31 | 24 | 39 | ||||||||||||
BB+ |
BB+ | 51 | 39 | 67 | ||||||||||||
BB |
BB | 88 | 67 | 116 | ||||||||||||
BB- |
BB- | 150 | 116 | 194 | ||||||||||||
B+ |
B+ | 255 | 194 | 335 | ||||||||||||
B |
B | 441 | 335 | 581 | ||||||||||||
B- |
B- | 785 | 581 | 1,061 | ||||||||||||
CCC+ |
CCC+ | 1,191 | 1,061 | 1,336 | ||||||||||||
CCC |
CCC | 1,500 | 1,336 | 1,684 | ||||||||||||
CCC- |
CCC- | 1,890 | 1,684 | 2,121 | ||||||||||||
CC+ |
CC+ | 2,381 | 2,121 | 2,673 | ||||||||||||
CC |
CC | 3,000 | 2,673 | 3,367 | ||||||||||||
CC- |
CC- | 3,780 | 3,367 | 4,243 |
BBVA. PILLAR III 2020 | 3. RISK | P. 66 |
BBVA. PILLAR III 2020 | 3. RISK | P. 67 |
BBVA. PILLAR III 2020 | 3. RISK | P. 68 |
BBVA. PILLAR III 2020 | 3. RISK | P. 69 |
2. | A cohort is a twelve-month window that has a reference date (end of each month) and contains all delinquent transactions whose date of noncompliance occurs within said cohort. All operations must have a contract date prior to the reference date. |
BBVA. PILLAR III 2020 | RISK | P. 70 |
Table 32. EU CR6 - IRB approach - Credit risk exposures by exposure class and PD range (Million Euros. 12-31-2020)
PD Scale as of 12-31-2020(1)(7) |
Original on- balance sheet gross exposure |
Off-balance sheet exposures pre CCF |
Average CCF(2) |
EAD post CRM and post-CCF |
Average PD(3) |
Number of obligors |
Average LGD(4) |
Average Maturity (days)(5) |
RWAs | RWA Density |
EL | Value adjustments and provisions |
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Prudential portfolios for FIRB approach(6) |
4,938 | 616 | 56.01 | % | 5,283 | | 332 | | 4,263 | 81 | % | 69 | (23 | ) | ||||||||||||||||||||||||||||||||||
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Corporate - Specialised lending |
4,938 | 616 | 56.01 | % | 5,283 | | 332 | | | 4,263 | 81 | % | 69 | (23 | ) | |||||||||||||||||||||||||||||||||
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Prudential portfolios for AIRB approach |
214,542 | 100,982 | 40.73 | % | 231,880 | 4.03 | % | 11,107,380 | 37.28 | % | 81,798 | 35 | % | 3,665 | (5,372 | ) | ||||||||||||||||||||||||||||||||
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Central governments or central banks |
12,664 | 271 | 48.78 | % | 13,930 | 0.27 | % | 66 | 23.19 | % | 370 | 843 | 6 | % | 14 | (7 | ) | |||||||||||||||||||||||||||||||
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0,00<0,15 |
12,315 | 108 | 48.31 | % | 13,749 | 0.03 | % | 28 | 22.91 | % | 366 | 734 | 5 | % | 1 | (1 | ) | |||||||||||||||||||||||||||||||
0,15<0,25 |
79 | 51 | 50.30 | % | 82 | 0.20 | % | 4 | 43.62 | % | 680 | 41 | 50 | % | 0 | (0 | ) | |||||||||||||||||||||||||||||||
0,25<0,50 |
3 | 3 | 40.68 | % | 38 | 0.29 | % | 3 | 48.72 | % | 887 | 29 | 76 | % | 0 | (0 | ) | |||||||||||||||||||||||||||||||
0,50<0,75 |
| 0 | 52.14 | % | 8 | 0.48 | % | 1 | 51.81 | % | 627 | 10 | 125 | % | 0 | (1 | ) | |||||||||||||||||||||||||||||||
0,75<2,50 |
63 | 1 | 51.20 | % | 14 | 1.11 | % | 4 | 47.73 | % | 819 | 13 | 93 | % | 0 | (0 | ) | |||||||||||||||||||||||||||||||
2,50<10,00 |
14 | 41 | 54.35 | % | 4 | 2.76 | % | 14 | 47.03 | % | 756 | 5 | 139 | % | 0 | (1 | ) | |||||||||||||||||||||||||||||||
10,00<100,00 |
1 | 7 | 50.24 | % | 3 | 19.15 | % | 6 | 39.87 | % | 103 | 7 | 201 | % | 0 | (0 | ) | |||||||||||||||||||||||||||||||
100,00 (Default) |
189 | 61 | | 32 | 100.00 | % | 6 | 39.99 | % | 401 | 4 | 14 | % | 13 | (4 | ) | ||||||||||||||||||||||||||||||||
Institutions |
26,470 | 6,932 | 55.10 | % | 15,934 | 0.35 | % | 3,200 | 42.50 | % | 594 | 4,754 | 30 | % | 26 | (33 | ) | |||||||||||||||||||||||||||||||
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0,00<0,15 |
20,022 | 5,153 | 55.48 | % | 12,803 | 0.07 | % | 1,844 | 43.96 | % | 591 | 3,099 | 24 | % | 4 | (8 | ) | |||||||||||||||||||||||||||||||
0,15<0,25 |
2,262 | 582 | 52.29 | % | 1,011 | 0.20 | % | 489 | 42.45 | % | 529 | 402 | 40 | % | 1 | (2 | ) | |||||||||||||||||||||||||||||||
0,25<0,50 |
2,848 | 862 | 58.85 | % | 1,006 | 0.31 | % | 310 | 25.29 | % | 683 | 297 | 30 | % | 1 | (3 | ) | |||||||||||||||||||||||||||||||
0,50<0,75 |
344 | 109 | 47.36 | % | 265 | 0.51 | % | 170 | 37.30 | % | 1,143 | 160 | 61 | % | 1 | (1 | ) | |||||||||||||||||||||||||||||||
0,75<2,50 |
785 | 149 | 53.27 | % | 725 | 1.44 | % | 153 | 42.41 | % | 403 | 616 | 85 | % | 4 | (2 | ) | |||||||||||||||||||||||||||||||
2,50<10,00 |
88 | 63 | 50.29 | % | 71 | 5.27 | % | 143 | 39.97 | % | 690 | 101 | 143 | % | 2 | (1 | ) | |||||||||||||||||||||||||||||||
10,00<100,00 |
53 | 15 | 50.09 | % | 31 | 16.97 | % | 20 | 45.67 | % | 817 | 75 | 242 | % | 2 | (0 | ) | |||||||||||||||||||||||||||||||
100,00 (Default) |
67 | 0 | 46.88 | % | 21 | 100.00 | % | 71 | 53.92 | % | 98 | 3 | 14 | % | 11 | (15 | ) | |||||||||||||||||||||||||||||||
Corporate SMEs |
17,961 | 5,155 | 39.27 | % | 15,596 | 12.57 | % | 34,205 | 44.14 | % | 825 | 11,329 | 73 | % | 866 | (1,028 | ) | |||||||||||||||||||||||||||||||
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0,00<0,15 |
2,399 | 1,230 | 41.41 | % | 2,796 | 0.11 | % | 6,157 | 50.59 | % | 654 | 739 | 26 | % | 2 | (3 | ) | |||||||||||||||||||||||||||||||
0,15<0,25 |
768 | 323 | 42.85 | % | 795 | 0.20 | % | 1,745 | 50.82 | % | 632 | 307 | 39 | % | 1 | (2 | ) | |||||||||||||||||||||||||||||||
0,25<0,50 |
1,293 | 494 | 44.91 | % | 1,274 | 0.31 | % | 2,610 | 48.11 | % | 676 | 632 | 50 | % | 2 | (3 | ) | |||||||||||||||||||||||||||||||
0,50<0,75 |
2,185 | 551 | 44.68 | % | 1,803 | 0.52 | % | 3,316 | 44.41 | % | 879 | 1,232 | 68 | % | 4 | (8 | ) | |||||||||||||||||||||||||||||||
0,75<2,50 |
4,387 | 1,102 | 36.74 | % | 3,342 | 1.12 | % | 6,117 | 41.94 | % | 946 | 2,934 | 88 | % | 16 | (26 | ) | |||||||||||||||||||||||||||||||
2,50<10,00 |
4,337 | 1,143 | 36.23 | % | 3,213 | 4.79 | % | 9,005 | 38.56 | % | 1,148 | 3,753 | 117 | % | 59 | (131 | ) | |||||||||||||||||||||||||||||||
10,00<100,00 |
943 | 270 | 30.87 | % | 773 | 19.39 | % | 2,620 | 37.04 | % | 1,264 | 1,248 | 162 | % | 56 | (54 | ) | |||||||||||||||||||||||||||||||
100,00 (Default) |
1,649 | 42 | 33.17 | % | 1,602 | 100.00 | % | 2,635 | 45.37 | % | 160 | 486 | 30 | % | 727 | (801 | ) | |||||||||||||||||||||||||||||||
Corporate Non-SMEs |
62,268 | 66,392 | 47.79 | % | 89,319 | 2.31 | % | 12,818 | 42.14 | % | 692 | 42,456 | 48 | % | 771 | (1,285 | ) | |||||||||||||||||||||||||||||||
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0,00<0,15 |
21,200 | 30,625 | 48.69 | % | 36,839 | 0.11 | % | 2,576 | 43.93 | % | 674 | 10,049 | 27 | % | 18 | (12 | ) | |||||||||||||||||||||||||||||||
0,15<0,25 |
10,499 | 14,432 | 46.99 | % | 17,369 | 0.29 | % | 1,259 | 41.95 | % | 713 | 7,366 | 42 | % | 21 | (12 | ) | |||||||||||||||||||||||||||||||
0,25<0,50 |
11,463 | 11,008 | 47.28 | % | 16,400 | 0.33 | % | 2,149 | 40.57 | % | 714 | 8,833 | 54 | % | 22 | (22 | ) | |||||||||||||||||||||||||||||||
0,50<0,75 |
7,248 | 5,041 | 46.21 | % | 8,308 | 0.60 | % | 1,831 | 39.72 | % | 763 | 5,639 | 68 | % | 20 | (21 | ) | |||||||||||||||||||||||||||||||
0,75<2,50 |
6,295 | 3,768 | 47.32 | % | 5,836 | 1.48 | % | 1,990 | 41.20 | % | 776 | 5,574 | 96 | % | 36 | (58 | ) | |||||||||||||||||||||||||||||||
2,50<10,00 |
3,115 | 1,093 | 48.51 | % | 2,242 | 4.30 | % | 2,167 | 41.84 | % | 513 | 2,980 | 133 | % | 40 | (248 | ) | |||||||||||||||||||||||||||||||
10,00<100,00 |
907 | 306 | 42.02 | % | 808 | 20.41 | % | 270 | 40.92 | % | 688 | 1,730 | 214 | % | 66 | (33 | ) | |||||||||||||||||||||||||||||||
100,00 (Default) |
1,542 | 120 | 29.75 | % | 1,517 | 100.00 | % | 576 | 36.13 | % | 211 | 286 | 19 | % | 548 | (880 | ) | |||||||||||||||||||||||||||||||
Retail - Mortgage exposures |
71,759 | 4,311 | 2.00 | % | 71,824 | 4.17 | % | 1,030,894 | 24.03 | % | | 7,319 | 10 | % | 570 | (1,129 | ) | |||||||||||||||||||||||||||||||
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0,00<0,15 |
55,416 | | 0.00 | % | 55,463 | 0.04 | % | 824,534 | 23.35 | % | | 1,733 | 3 | % | 6 | (18 | ) | |||||||||||||||||||||||||||||||
0,15<0,25 |
3,312 | | 0.00 | % | 3,311 | 0.20 | % | 41,258 | 28.60 | % | | 402 | 12 | % | 2 | (5 | ) | |||||||||||||||||||||||||||||||
0,25<0,50 |
1,703 | | 0.00 | % | 1,710 | 0.32 | % | 24,476 | 30.88 | % | | 314 | 18 | % | 2 | (8 | ) | |||||||||||||||||||||||||||||||
0,50<0,75 |
2,197 | 261 | 0.00 | % | 2,201 | 0.49 | % | 30,465 | 27.96 | % | | 500 | 23 | % | 3 | (12 | ) | |||||||||||||||||||||||||||||||
0,75<2,50 |
3,737 | 321 | 2.00 | % | 3,743 | 1.01 | % | 49,590 | 27.08 | % | | 1,342 | 36 | % | 10 | (46 | ) | |||||||||||||||||||||||||||||||
2,50<10,00 |
2,167 | 210 | 2.01 | % | 2,171 | 4.98 | % | 27,586 | 26.23 | % | | 1,900 | 88 | % | 28 | (245 | ) | |||||||||||||||||||||||||||||||
10,00<100,00 |
509 | 42 | 2.00 | % | 509 | 16.96 | % | 6,337 | 27.23 | % | | 779 | 153 | % | 24 | (46 | ) | |||||||||||||||||||||||||||||||
100,00 (Default) |
2,718 | 0 | 2.36 | % | 2,715 | 100.00 | % | 26,648 | 18.27 | % | | 350 | 13 | % | 496 | (749 | ) |
BBVA. PILLAR III 2020 | RISK | P. 71 |
PD Scale as of 12-31-2020(1)(7) |
Original on- balance sheet gross exposure |
Off-balance sheet exposures pre CCF |
Average CCF(2) |
EAD post CRM and post-CCF |
Average PD(3) |
Number of obligors |
Average LGD(4) |
Average Maturity (days)(5) |
RWAs | RWA Density |
EL | Value adjustments and provisions |
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Retail - Other exposures SMEs |
4,153 | 1,611 | 54.78 | % | 3,208 | 15.63 | % | 162,989 | 51.77 | % | | 1,287 | 40 | % | 304 | (296 | ) | |||||||||||||||||||||||||||||||
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0,00<0,15 |
422 | | 52.31 | % | 418 | 0.12 | % | 25,064 | 52.62 | % | | 55 | 13 | % | 0 | (1 | ) | |||||||||||||||||||||||||||||||
0,15<0,25 |
193 | | 56.80 | % | 173 | 0.20 | % | 7,615 | 52.35 | % | | 37 | 21 | % | 0 | (0 | ) | |||||||||||||||||||||||||||||||
0,25<0,50 |
327 | | 55.55 | % | 304 | 0.31 | % | 13,110 | 52.43 | % | | 90 | 30 | % | 0 | (1 | ) | |||||||||||||||||||||||||||||||
0,50<0,75 |
387 | 218 | 54.38 | % | 312 | 0.52 | % | 15,445 | 51.71 | % | | 112 | 36 | % | 1 | (1 | ) | |||||||||||||||||||||||||||||||
0,75<2,50 |
863 | 329 | 56.98 | % | 593 | 1.17 | % | 32,103 | 50.92 | % | | 287 | 48 | % | 4 | (5 | ) | |||||||||||||||||||||||||||||||
2,50<10,00 |
1,283 | 276 | 57.58 | % | 829 | 4.28 | % | 44,179 | 46.67 | % | | 484 | 58 | % | 17 | (18 | ) | |||||||||||||||||||||||||||||||
10,00<100,00 |
252 | 41 | 45.84 | % | 161 | 23.31 | % | 10,139 | 47.24 | % | | 143 | 89 | % | 18 | (13 | ) | |||||||||||||||||||||||||||||||
100,00 (Default) |
427 | 10 | 39.98 | % | 418 | 100.00 | % | 15,334 | 63.31 | % | | 80 | 19 | % | 265 | (256 | ) | |||||||||||||||||||||||||||||||
Retail - Other exposures Non-SMEs |
11,175 | 15 | 52.81 | % | 11,166 | 8.58 | % | 1,013,058 | 55.25 | % | | 3,876 | 35 | % | 538 | (862 | ) | |||||||||||||||||||||||||||||||
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0,00<0,15 |
4,751 | 4 | 42.32 | % | 4,752 | 0.06 | % | 362,577 | 52.40 | % | | 418 | 9 | % | 1 | (4 | ) | |||||||||||||||||||||||||||||||
0,15<0,25 |
440 | 1 | 60.42 | % | 441 | 0.20 | % | 48,192 | 57.91 | % | | 111 | 25 | % | 1 | (2 | ) | |||||||||||||||||||||||||||||||
0,25<0,50 |
1,129 | 1 | 76.75 | % | 1,130 | 0.31 | % | 120,280 | 57.51 | % | | 373 | 33 | % | 2 | (7 | ) | |||||||||||||||||||||||||||||||
0,50<0,75 |
881 | 1 | 56.92 | % | 879 | 0.60 | % | 97,446 | 56.22 | % | | 415 | 47 | % | 3 | (8 | ) | |||||||||||||||||||||||||||||||
0,75<2,50 |
1,612 | 3 | 47.86 | % | 1,609 | 1.22 | % | 169,642 | 58.61 | % | | 1,073 | 67 | % | 11 | (29 | ) | |||||||||||||||||||||||||||||||
2,50<10,00 |
1,322 | 3 | 56.00 | % | 1,316 | 3.90 | % | 122,097 | 57.46 | % | | 1,136 | 86 | % | 30 | (107 | ) | |||||||||||||||||||||||||||||||
10,00<100,00 |
234 | 1 | 33.85 | % | 233 | 29.49 | % | 23,870 | 55.79 | % | | 320 | 137 | % | 38 | (47 | ) | |||||||||||||||||||||||||||||||
100,00 (Default) |
807 | 0 | 42.86 | % | 806 | 100.00 | % | 68,954 | 55.96 | % | | 30 | 4 | % | 451 | (657 | ) | |||||||||||||||||||||||||||||||
Retail - qualifying revolving (QRRE) |
6,222 | 16,294 | 17.26 | % | 9,035 | 7.77 | % | 8,850,150 | 67.80 | % | | 5,987 | 66 | % | 557 | (734 | ) | |||||||||||||||||||||||||||||||
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0,00<0,15 |
906 | 4,522 | 23.80 | % | 1,982 | 0.04 | % | 2,568,735 | 46.79 | % | | 25 | 1 | % | 0 | (1 | ) | |||||||||||||||||||||||||||||||
0,15<0,25 |
130 | 204 | 22.88 | % | 177 | 0.21 | % | 248,504 | 47.48 | % | | 10 | 5 | % | 0 | (1 | ) | |||||||||||||||||||||||||||||||
0,25<0,50 |
50 | 105 | 25.19 | % | 76 | 0.31 | % | 98,125 | 49.42 | % | | 7 | 9 | % | 0 | (0 | ) | |||||||||||||||||||||||||||||||
0,50<0,75 |
548 | 1,911 | 12.35 | % | 784 | 0.53 | % | 652,799 | 69.48 | % | | 147 | 19 | % | 3 | (4 | ) | |||||||||||||||||||||||||||||||
0,75<2,50 |
1,296 | 4,493 | 12.66 | % | 1,865 | 1.19 | % | 1,516,590 | 73.95 | % | | 688 | 37 | % | 16 | (31 | ) | |||||||||||||||||||||||||||||||
2,50<10,00 |
2,203 | 4,566 | 16.34 | % | 2,949 | 5.28 | % | 2,814,082 | 75.07 | % | | 3,120 | 106 | % | 118 | (206 | ) | |||||||||||||||||||||||||||||||
10,00<100,00 |
770 | 492 | 22.85 | % | 883 | 22.59 | % | 766,499 | 75.99 | % | | 1,977 | 224 | % | 151 | (230 | ) | |||||||||||||||||||||||||||||||
100,00 (Default) |
319 | 0 | 25.27 | % | 319 | 100.00 | % | 184,816 | 84.02 | % | | 14 | 5 | % | 268 | (260 | ) | |||||||||||||||||||||||||||||||
Equity |
1,869 | | | 1,869 | 1.08 | % | | 90.00 | % | | 3,945 | 211 | % | 18 | | |||||||||||||||||||||||||||||||||
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0,00<0,15 |
895 | | | 895 | 0.14 | % | | 90.00 | % | | 1,073 | 120 | % | 1 | | |||||||||||||||||||||||||||||||||
0,15<0,25 |
106 | | | 106 | 0.20 | % | | 90.00 | % | | 160 | 151 | % | 0 | | |||||||||||||||||||||||||||||||||
0,25<0,50 |
17 | | | 17 | 0.31 | % | | 90.00 | % | | 29 | 2 | 0 | | ||||||||||||||||||||||||||||||||||
0,50<0,75 |
| | | | | | | | | 0 | % | | | |||||||||||||||||||||||||||||||||||
0,75<2,50 |
285 | | | 285 | 1.50 | % | | 90.00 | % | 831 | 292 | % | 4 | | ||||||||||||||||||||||||||||||||||
2,50<10,00 |
567 | | | 567 | 2.55 | % | | 90.00 | % | | 1,852 | 327 | % | 13 | | |||||||||||||||||||||||||||||||||
10,00<100,00 |
| | | | | | | | | | 0 | | ||||||||||||||||||||||||||||||||||||
100,00 (Default) |
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Total Standardised Approach |
219,480 | 101,598 | 40.73 | % | 237,163 | 4.03 | % | 11,107,380 | 37.28 | % | 86,061 | 36 | % | 3,733 | (5,395 | ) | ||||||||||||||||||||||||||||||||
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(1) | PD Intervals recommended by the EBA Guidelines on Disclosure Requirements under Part Eight of the CRR. |
(2) | Calculated as EAD after CCF for off-balance sheet exposure over total off-balance exposure before CCF. |
(3) | Corresponds to obligor grade PD weighted by EAD post CRM. |
(4) | Corresponds to obligor grade LGD weighted by EAD post CRM. |
(5) | Corresponds to the obligor maturity in days weighted by EAD post CRM. According to Regulation (EU) No 680/2014, it is reported only for categories in which the average maturities are relevant for the calculation of RWAs. |
(6) | Exposure classified in the FIRB approach corresponds to specialised lending exposure. The Group has chosen to use the slotting criteria, in line with Article 153.5 of the CRR. |
(7) | It does not include the frontloading amount to partially cover the regulatory impacts derived from Targeted Review of Internal Models (TRIM) and other regulatory/supervisory impacts. |
BBVA. PILLAR III 2020 | RISK | P. 72 |
EU CR6 - IRB approach - Credit risk exposures by exposure class and PD range (Million Euros. 12-31-2019)
PD Scale as of 12-31-2019(1)(7) |
Original on- balance sheet gross exposure |
Off-balance sheet exposures pre CCF |
Average CCF(2) |
EAD post CRM and post-CCF |
Average PD(3) |
Number of obligors |
Average LGD(4) |
Average Maturity (days)(5) |
RWAs | RWA Density |
EL | Value adjustments and provisions |
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Prudential portfolios for FIRB approach(6) |
5,676 | 671 | 51.66 | % | 6,022 | | 352 | | 4,606 | 76 | % | 113 | (62 | ) | ||||||||||||||||||||||||||||||||||
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Corporate - Specialised lending |
5,676 | 671 | 51.66 | % | 6,022 | | 352 | | | 4,606 | 76 | % | 113 | (62 | ) | |||||||||||||||||||||||||||||||||
Prudential portfolios for AIRB approach |
215,544 | 96,342 | 41.11 | % | 239,149 | 3.97 | % | 11,054,690 | 37.74 | % | 85,586 | 36 | % | 3,457 | (4,805 | ) | ||||||||||||||||||||||||||||||||
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Central governments or central banks |
9,109 | 310 | 49.59 | % | 11,899 | 0.06 | % | 60 | 26.68 | % | 567 | 664 | 6 | % | 3 | (5 | ) | |||||||||||||||||||||||||||||||
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0,00<0,15 |
8,684 | 113 | 49.80 | % | 11,489 | 0.04 | % | 24 | 26.13 | % | 550 | 596 | 5 | % | 1 | (2 | ) | |||||||||||||||||||||||||||||||
0,15<0,25 |
64 | 63 | 49.78 | % | 324 | 0.21 | % | 3 | 41.64 | % | 1,176 | 20 | 6 | % | 0 | (0 | ) | |||||||||||||||||||||||||||||||
0,25<0,50 |
5 | 8 | 45.00 | % | 46 | 0.29 | % | 4 | 44.39 | % | 613 | 5 | 10 | % | 0 | (2 | ) | |||||||||||||||||||||||||||||||
0,50<0,75 |
0 | 0 | 35.29 | % | 0 | 0.58 | % | 1 | 21.67 | % | 402 | 0 | 30 | % | | | ||||||||||||||||||||||||||||||||
0,75<2,50 |
95 | 2 | 49.82 | % | 7 | 0.91 | % | 7 | 42.04 | % | 580 | 3 | 51 | % | 0 | (0 | ) | |||||||||||||||||||||||||||||||
2,50<10,00 |
202 | 107 | 50.42 | % | 28 | 4.25 | % | 13 | 43.07 | % | 292 | 31 | 112 | % | 1 | (1 | ) | |||||||||||||||||||||||||||||||
10,00<100,00 |
12 | 8 | 50.21 | % | 5 | 18.09 | % | 5 | 39.40 | % | 128 | 9 | 194 | % | 0 | (0 | ) | |||||||||||||||||||||||||||||||
100,00 (Default) |
47 | 8 | 0.00 | % | 1 | 100.00 | % | 3 | 39.20 | % | 971 | 0 | 1 | % | 0 | (1 | ) | |||||||||||||||||||||||||||||||
Institutions |
27,634 | 6,701 | 55.70 | % | 15,189 | 0.45 | % | 2,845 | 42.17 | % | 504 | 4,243 | 28 | % | 27 | (39 | ) | |||||||||||||||||||||||||||||||
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0,00<0,15 |
20,587 | 4,764 | 56.46 | % | 11,976 | 0.07 | % | 1,555 | 43.64 | % | 470 | 2,428 | 20 | % | 4 | (9 | ) | |||||||||||||||||||||||||||||||
0,15<0,25 |
2,282 | 579 | 51.01 | % | 952 | 0.20 | % | 465 | 42.67 | % | 524 | 370 | 39 | % | 1 | (2 | ) | |||||||||||||||||||||||||||||||
0,25<0,50 |
3,188 | 1,058 | 56.49 | % | 995 | 0.32 | % | 281 | 24.90 | % | 777 | 320 | 32 | % | 1 | (4 | ) | |||||||||||||||||||||||||||||||
0,50<0,75 |
326 | 108 | 50.58 | % | 235 | 0.54 | % | 167 | 37.41 | % | 1,115 | 148 | 63 | % | 0 | (1 | ) | |||||||||||||||||||||||||||||||
0,75<2,50 |
955 | 124 | 52.20 | % | 877 | 1.38 | % | 129 | 43.02 | % | 422 | 764 | 87 | % | 5 | (2 | ) | |||||||||||||||||||||||||||||||
2,50<10,00 |
124 | 38 | 50.33 | % | 68 | 4.19 | % | 139 | 36.30 | % | 973 | 87 | 127 | % | 1 | (1 | ) | |||||||||||||||||||||||||||||||
10,00<100,00 |
84 | 27 | 48.51 | % | 55 | 14.42 | % | 17 | 42.36 | % | 857 | 121 | 222 | % | 3 | (4 | ) | |||||||||||||||||||||||||||||||
100,00 (Default) |
89 | 3 | 49.73 | % | 30 | 100.00 | % | 92 | 37.85 | % | 118 | 4 | 14 | % | 11 | (16 | ) | |||||||||||||||||||||||||||||||
Corporate SMEs |
18,431 | 4,551 | 40.20 | % | 18,841 | 10.32 | % | 32,755 | 44.17 | % | 788 | 12,355 | 66 | % | 816 | (1,029 | ) | |||||||||||||||||||||||||||||||
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0,00<0,15 |
2,748 | 1,092 | 41.84 | % | 3,980 | 0.11 | % | 7,001 | 51.29 | % | 715 | 1,058 | 27 | % | 2 | (12 | ) | |||||||||||||||||||||||||||||||
0,15<0,25 |
672 | 214 | 43.85 | % | 901 | 0.20 | % | 1,584 | 51.47 | % | 705 | 346 | 38 | % | 1 | (3 | ) | |||||||||||||||||||||||||||||||
0,25<0,50 |
1,502 | 352 | 42.46 | % | 1,686 | 0.32 | % | 2,883 | 48.18 | % | 738 | 832 | 49 | % | 3 | (6 | ) | |||||||||||||||||||||||||||||||
0,50<0,75 |
3,524 | 594 | 44.73 | % | 3,380 | 0.52 | % | 3,776 | 41.44 | % | 908 | 2,351 | 70 | % | 7 | (14 | ) | |||||||||||||||||||||||||||||||
0,75<2,50 |
4,079 | 1,055 | 38.60 | % | 3,642 | 1.17 | % | 5,840 | 42.45 | % | 986 | 3,190 | 88 | % | 18 | (25 | ) | |||||||||||||||||||||||||||||||
2,50<10,00 |
3,639 | 1,065 | 36.26 | % | 3,136 | 4.21 | % | 7,416 | 37.93 | % | 855 | 3,337 | 106 | % | 50 | (179 | ) | |||||||||||||||||||||||||||||||
10,00<100,00 |
612 | 130 | 33.81 | % | 458 | 18.44 | % | 1,511 | 35.54 | % | 1,250 | 772 | 169 | % | 30 | (27 | ) | |||||||||||||||||||||||||||||||
100,00 (Default) |
1,656 | 48 | 37.92 | % | 1,657 | 100.00 | % | 2,744 | 42.56 | % | 120 | 468 | 28 | % | 705 | (762 | ) | |||||||||||||||||||||||||||||||
Corporate Non-SMEs |
61,299 | 62,074 | 48.60 | % | 90,321 | 2.42 | % | 11,898 | 41.72 | % | 706 | 40,643 | 45 | % | 761 | (1,266 | ) | |||||||||||||||||||||||||||||||
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0,00<0,15 |
26,073 | 34,260 | 48.63 | % | 43,874 | 0.11 | % | 2,755 | 43.53 | % | 704 | 12,349 | 28 | % | 21 | (23 | ) | |||||||||||||||||||||||||||||||
0,15<0,25 |
6,583 | 8,835 | 49.24 | % | 11,432 | 0.20 | % | 1,046 | 40.73 | % | 755 | 4,874 | 43 | % | 9 | (16 | ) | |||||||||||||||||||||||||||||||
0,25<0,50 |
13,183 | 11,376 | 49.87 | % | 18,964 | 0.31 | % | 1,797 | 39.94 | % | 753 | 10,080 | 53 | % | 24 | (23 | ) | |||||||||||||||||||||||||||||||
0,50<0,75 |
6,077 | 3,529 | 46.25 | % | 7,176 | 0.50 | % | 1,711 | 38.84 | % | 697 | 4,781 | 67 | % | 14 | (16 | ) | |||||||||||||||||||||||||||||||
0,75<2,50 |
4,184 | 2,382 | 46.82 | % | 4,192 | 1.14 | % | 1,701 | 42.05 | % | 681 | 3,800 | 91 | % | 20 | (23 | ) | |||||||||||||||||||||||||||||||
2,50<10,00 |
2,942 | 1,298 | 41.08 | % | 2,420 | 4.40 | % | 2,082 | 41.60 | % | 548 | 3,456 | 143 | % | 45 | (171 | ) | |||||||||||||||||||||||||||||||
10,00<100,00 |
500 | 280 | 45.66 | % | 458 | 13.86 | % | 169 | 42.51 | % | 815 | 974 | 213 | % | 27 | (12 | ) | |||||||||||||||||||||||||||||||
100,00 (Default) |
1,757 | 114 | 46.17 | % | 1,805 | 100.00 | % | 637 | 33.33 | % | 233 | 330 | 18 | % | 602 | (982 | ) | |||||||||||||||||||||||||||||||
Retail - Mortgage exposures |
74,000 | 4,378 | 3.69 | % | 74,139 | 4.36 | % | 1,054,848 | 24.12 | % | | 8,904 | 12 | % | 610 | (941 | ) | |||||||||||||||||||||||||||||||
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0,00<0,15 |
56,265 | 3,104 | 3.69 | % | 56,366 | 0.05 | % | 838,237 | 23.26 | % | | 1,774 | 3 | % | 6 | (9 | ) | |||||||||||||||||||||||||||||||
0,15<0,25 |
2,005 | 28 | 3.70 | % | 2,005 | 0.20 | % | 25,223 | 29.24 | % | | 248 | 12 | % | 1 | (2 | ) | |||||||||||||||||||||||||||||||
0,25<0,50 |
3,281 | 423 | 3.69 | % | 3,296 | 0.32 | % | 42,025 | 30.85 | % | | 617 | 19 | % | 3 | (2 | ) | |||||||||||||||||||||||||||||||
0,50<0,75 |
1,953 | 255 | 3.69 | % | 1,961 | 0.54 | % | 26,409 | 29.99 | % | | 518 | 26 | % | 3 | (3 | ) | |||||||||||||||||||||||||||||||
0,75<2,50 |
4,268 | 328 | 3.69 | % | 4,279 | 1.09 | % | 55,196 | 26.98 | % | | 1,617 | 38 | % | 13 | (50 | ) | |||||||||||||||||||||||||||||||
2,50<10,00 |
2,297 | 199 | 3.69 | % | 2,302 | 4.74 | % | 28,834 | 26.87 | % | | 1,993 | 87 | % | 29 | (200 | ) | |||||||||||||||||||||||||||||||
10,00<100,00 |
1,112 | 40 | 3.69 | % | 1,112 | 18.89 | % | 11,614 | 26.86 | % | | 1,778 | 160 | % | 58 | (82 | ) | |||||||||||||||||||||||||||||||
100,00 (Default) |
2,820 | 0 | 3.69 | % | 2,818 | 100.00 | % | 27,310 | 17.61 | % | | 359 | 13 | % | 496 | (593 | ) |
BBVA. PILLAR III 2020 | RISK | P. 73 |
PD Scale as of 12-31-2019(1)(7) |
Original on- balance sheet gross exposure |
Off-balance sheet exposures pre CCF |
Average CCF(2) |
EAD post CRM and post-CCF |
Average PD(3) |
Number of obligors |
Average LGD(4) |
Average Maturity (days)(5) |
RWAs | RWA Density |
EL | Value adjustments and provisions |
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Retail - Other exposures SMEs |
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3,556 |
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884 | 54.98 | % | 4,002 | 12.64 | % | 155,069 | 51.92 | % | | 1,635 | 41 | % | 291 | (268 | ) | |||||||||||||||||||||||||||||
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0,00<0,15 |
327 | 238 | 53.30 | % | 454 | 0.11 | % | 23,712 | 51.75 | % | | 52 | 11 | % | 0 | (1 | ) | |||||||||||||||||||||||||||||||
0,15<0,25 |
146 | 66 | 53.94 | % | 182 | 0.20 | % | 7,173 | 52.52 | % | | 32 | 18 | % | 0 | (0 | ) | |||||||||||||||||||||||||||||||
0,25<0,50 |
256 | 95 | 55.62 | % | 308 | 0.31 | % | 11,021 | 51.93 | % | | 71 | 23 | % | 0 | (0 | ) | |||||||||||||||||||||||||||||||
0,50<0,75 |
343 | 119 | 54.22 | % | 404 | 0.52 | % | 15,094 | 51.96 | % | | 127 | 32 | % | 1 | (1 | ) | |||||||||||||||||||||||||||||||
0,75<2,50 |
871 | 188 | 57.10 | % | 969 | 1.18 | % | 33,664 | 51.38 | % | | 441 | 45 | % | 6 | (4 | ) | |||||||||||||||||||||||||||||||
2,50<10,00 |
1,019 | 140 | 57.71 | % | 1,083 | 4.31 | % | 42,177 | 50.48 | % | | 653 | 60 | % | 23 | (24 | ) | |||||||||||||||||||||||||||||||
10,00<100,00 |
197 | 29 | 50.15 | % | 203 | 21.54 | % | 8,279 | 46.14 | % | | 176 | 87 | % | 20 | (13 | ) | |||||||||||||||||||||||||||||||
100,00 (Default) |
398 | 10 | 40.29 | % | 400 | 100.00 | % | 13,949 | 59.90 | % | | 82 | 21 | % | 240 | (225 | ) | |||||||||||||||||||||||||||||||
Retail - Other exposures Non-SMEs |
11,441 | 16 | 50.49 | % | 11,445 | 6.68 | % | 1,023,637 | 56.53 | % | | 4,223 | 37 | % | 392 | (611 | ) | |||||||||||||||||||||||||||||||
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0,00<0,15 |
4,856 | 5 | 37.66 | % | 4,858 | 0.06 | % | 385,973 | 54.67 | % | | 446 | 9 | % | 2 | (3 | ) | |||||||||||||||||||||||||||||||
0,15<0,25 |
642 | 1 | 50.83 | % | 643 | 0.20 | % | 65,735 | 61.12 | % | | 171 | 27 | % | 1 | (2 | ) | |||||||||||||||||||||||||||||||
0,25<0,50 |
794 | 1 | 57.89 | % | 794 | 0.30 | % | 81,542 | 59.77 | % | | 263 | 33 | % | 1 | (3 | ) | |||||||||||||||||||||||||||||||
0,50<0,75 |
1,017 | 4 | 56.77 | % | 1,018 | 0.50 | % | 107,899 | 60.19 | % | | 467 | 46 | % | 3 | (5 | ) | |||||||||||||||||||||||||||||||
0,75<2,50 |
1,321 | 1 | 59.13 | % | 1,322 | 1.17 | % | 135,038 | 60.27 | % | | 898 | 68 | % | 9 | (13 | ) | |||||||||||||||||||||||||||||||
2,50<10,00 |
1,984 | 3 | 60.58 | % | 1,983 | 3.87 | % | 171,172 | 55.94 | % | | 1,674 | 84 | % | 43 | (104 | ) | |||||||||||||||||||||||||||||||
10,00<100,00 |
212 | 1 | 40.54 | % | 212 | 21.30 | % | 20,638 | 57.20 | % | | 276 | 130 | % | 26 | (24 | ) | |||||||||||||||||||||||||||||||
100,00 (Default) |
615 | 0 | 41.67 | % | 615 | 100.00 | % | 55,640 | 49.80 | % | | 29 | 5 | % | 306 | (457 | ) | |||||||||||||||||||||||||||||||
Retail - qualifying revolving (QRRE) |
7,190 | 17,428 | 18.59 | % | 10,430 | 6.48 | % | 8,773,578 | 68.56 | % | | 7,365 | 71 | % | 527 | (646 | ) | |||||||||||||||||||||||||||||||
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0,00<0,15 |
1,104 | 4,540 | 24.90 | % | 2,234 | 0.04 | % | 2,782,216 | 45.53 | % | | 30 | 1 | % | 0 | (1 | ) | |||||||||||||||||||||||||||||||
0,15<0,25 |
23 | 41 | 26.66 | % | 34 | 0.20 | % | 37,976 | 49.63 | % | | 2 | 6 | % | 0 | (0 | ) | |||||||||||||||||||||||||||||||
0,25<0,50 |
78 | 131 | 26.00 | % | 112 | 0.29 | % | 140,727 | 48.95 | % | | 8 | 8 | % | 0 | (0 | ) | |||||||||||||||||||||||||||||||
0,50<0,75 |
472 | 1,757 | 12.40 | % | 690 | 0.52 | % | 484,949 | 71.11 | % | | 130 | 19 | % | 3 | (3 | ) | |||||||||||||||||||||||||||||||
0,75<2,50 |
1,595 | 5,377 | 13.57 | % | 2,324 | 1.15 | % | 1,494,958 | 74.25 | % | | 836 | 36 | % | 20 | (33 | ) | |||||||||||||||||||||||||||||||
2,50<10,00 |
2,697 | 5,040 | 18.77 | % | 3,643 | 5.05 | % | 2,728,548 | 76.09 | % | | 3,797 | 104 | % | 141 | (204 | ) | |||||||||||||||||||||||||||||||
10,00<100,00 |
1,009 | 542 | 31.38 | % | 1,179 | 20.92 | % | 961,891 | 76.20 | % | | 2,549 | 216 | % | 188 | (247 | ) | |||||||||||||||||||||||||||||||
100,00 (Default) |
213 | 1 | 29.70 | % | 213 | 100.00 | % | 142,313 | 82.07 | % | | 13 | 6 | % | 175 | (159 | ) | |||||||||||||||||||||||||||||||
Equity |
2,883 | | 0.00 | % | 2,883 | 1.18 | % | | 88.67 | % | | 5,554 | 193 | % | 30 | | ||||||||||||||||||||||||||||||||
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0,00<0,15 |
1,687 | | 0.00 | % | 1,687 | 0.14 | % | | 89.56 | % | | 2,013 | 119 | % | 2 | | ||||||||||||||||||||||||||||||||
0,15<0,25 |
110 | | 0.00 | % | 110 | 0.20 | % | | 65.00 | % | | 112 | 103 | % | 0 | | ||||||||||||||||||||||||||||||||
0,25<0,50 |
0 | | 0.00 | % | | 0.31 | % | | 65.00 | % | | 0 | 0 | % | | | ||||||||||||||||||||||||||||||||
0,50<0,75 |
14 | | 0.00 | % | 14 | 0.58 | % | | 65.00 | % | | 23 | 160 | % | 0 | | ||||||||||||||||||||||||||||||||
0,75<2,50 |
443 | | | 443 | 0.78 | % | | 90.00 | % | | 1,081 | 244 | % | 3 | | |||||||||||||||||||||||||||||||||
2,50<10,00 |
630 | | | 630 | 4.41 | % | | 90.00 | % | | 2,325 | 369 | % | 25 | | |||||||||||||||||||||||||||||||||
10,00<100,00 |
| | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
100,00 (Default) |
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Total Standardised Approach |
221,219 | 97,013 | 41.11 | % | 245,171 | 3.97 | % | 11,055,042 | 37.74 | % | 90,193 | 37 | % | 3,569 | (4,867 | ) | ||||||||||||||||||||||||||||||||
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(1) | PD Intervals recommended by the EBA Guidelines on Disclosure Requirements under Part Eight of the CRR. |
(2) | Calculated as EAD after CCF for off-balance sheet exposure over total off-balance exposure before CCF. |
(3) | Corresponds to obligor grade PD weighted by EAD post CRM. |
(4) | Corresponds to obligor grade LGD weighted by EAD post CRM. |
(5) | Corresponds to the obligor maturity in days weighted by EAD post CRM. According to Regulation (EU) No 680/2014, it is reported only for categories in which the average maturities are relevant for the calculation of RWAs. |
(6) | Exposure classified in the FIRB approach corresponds to specialised lending. The Group has chosen to use the slotting criteria, in line with Article 153.5 of the CRR. |
(7) | It does not include the frontloading amount to partially cover the regulatory impacts derived from Targeted Review of Internal Models (TRIM) and other regulatory/supervisory impacts. |
BBVA. PILLAR III 2020 | 3.RISK | P. 74 |
Table 33. Average PD and LGD by category and country (Spain. 12-31-2020)
Exposure Class |
Weighted average PD by EAD |
Weighted average LGD by EAD |
||||||
Central governments or central banks |
0.26 | % | 22.67 | % | ||||
Institutions |
0.14 | % | 16.96 | % | ||||
Corporates |
3.84 | % | 43.75 | % | ||||
Corporates - SMEs |
14.07 | % | 45.41 | % | ||||
Corporates - Other |
2.16 | % | 43.48 | % | ||||
Retail |
5.11 | % | 29.73 | % | ||||
Of which: mortgage exposures - SMEs |
2.61 | % | 17.60 | % | ||||
Of which: mortgage exposures - Non SMEs |
4.17 | % | 24.03 | % | ||||
Of which: qualifying revolving (QRRE) |
3.22 | % | 48.89 | % | ||||
Of which: other exposures SMEs |
15.63 | % | 51.76 | % | ||||
Of which: other exposures Non SMEs |
8.58 | % | 55.25 | % | ||||
|
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|
|||||
IRB approach totals |
2.84 | % | 29.63 | % | ||||
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|
|
BBVA. PILLAR III 2020 | 3. RISK | P. 75 |
PD and LGD by category and country (Mexico. 12-31-2020)
Exposure Class |
Weighted average PD by EAD |
Weighted average LGD by EAD |
||||||
Central governments or central banks |
||||||||
Institutions |
||||||||
Corporates |
3.08 | % | 34.50 | % | ||||
Corporates - SMEs |
5.67 | % | 38.15 | % | ||||
Corporates - Other |
2.58 | % | 33.79 | % | ||||
Retail |
9.82 | % | 76.31 | % | ||||
Of which: mortgage exposures - SMEs |
||||||||
Of which: mortgage exposures - Non SMEs |
||||||||
Of which: qualifying revolving (QRRE) |
9.82 | % | 76.31 | % | ||||
Of which: other exposures SMEs |
||||||||
Of which: other exposures Non SMEs |
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IRB approach totals |
4.85 | % | 45.49 | % | ||||
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Table 34. EU CR9 - IRB approach - Backtesting of PD per exposure class (BBVA, S.A. Million euros. 12-31-2020)
External rating |
Weighted | Arithmetic average PD |
Number of Obligors | Defaulted obligors in |
Average historical annual |
|||||||||||||||||||||||
PD Range |
equivalent | average PD(1) | by obligors | 12-31-2020 | 12-31-2019 | the year | default rate | |||||||||||||||||||||
Central governments or central banks |
||||||||||||||||||||||||||||
0.00<0.02 |
AAA | 0.01 | % | 0.01 | % | 5 | 5 | | | |||||||||||||||||||
0.02<0.03 |
AA+ | 0.03 | % | 0.03 | % | 1 | 1 | | | |||||||||||||||||||
0.03<0.04 |
AA | 0.03 | % | 0.03 | % | 1 | 3 | | | |||||||||||||||||||
0.04<0.05 |
AA- | 0.04 | % | 0.04 | % | 4 | 3 | | | |||||||||||||||||||
0.05<0.06 |
A+ | 0.05 | % | 0.05 | % | 8 | 8 | | | |||||||||||||||||||
0.06<0.09 |
A | 0.08 | % | 0.07 | % | 1 | 1 | | | |||||||||||||||||||
0.09<0.11 |
A- | 0.10 | % | 0.10 | % | 3 | 2 | | | |||||||||||||||||||
0.11<0.17 |
BBB+ | 0.15 | % | 0.13 | % | 7 | 5 | | | |||||||||||||||||||
0.17<0.24 |
BBB | 0.20 | % | 0.19 | % | 5 | 4 | | | |||||||||||||||||||
0.29<0.39 |
BBB- | 0.29 | % | 0.29 | % | 3 | 4 | | | |||||||||||||||||||
0.39<0.67 |
BB+ | 0.48 | % | 0.51 | % | 1 | 1 | | | |||||||||||||||||||
0.67<1.16 |
BB | 0.86 | % | 0.83 | % | 2 | 4 | | | |||||||||||||||||||
1.16<1.94 |
BB- | 1.30 | % | 1.43 | % | 2 | 3 | 2 | 100.00 | % | ||||||||||||||||||
1.94<3.35 |
B+ | 2.48 | % | 2.52 | % | 6 | 3 | 1 | 12.50 | % | ||||||||||||||||||
3.35<5.81 |
B | 4.41 | % | 4.41 | % | 4 | 2 | | | |||||||||||||||||||
5.81<11.61 |
B- | 7.85 | % | 7.85 | % | 4 | 8 | 1 | 20.00 | % | ||||||||||||||||||
11.61<100.00 |
C | 19.24 | % | 24.90 | % | 6 | 5 | | | |||||||||||||||||||
100.00 (default) |
D | 100.00 | % | 100.00 | % | 6 | 3 | | | |||||||||||||||||||
Institutions |
||||||||||||||||||||||||||||
0.00<0.02 |
AAA | 0.03 | % | 0.03 | % | 10 | 10 | | | |||||||||||||||||||
0.02<0.03 |
AA+ | 0.03 | % | 0.03 | % | 11 | 9 | | | |||||||||||||||||||
0.03<0.04 |
AA | 0.03 | % | 0.03 | % | 29 | 31 | | | |||||||||||||||||||
0.04<0.05 |
AA- | 0.04 | % | 0.04 | % | 151 | 146 | | | |||||||||||||||||||
0.05<0.06 |
A+ | 0.05 | % | 0.05 | % | 387 | 324 | | | |||||||||||||||||||
0.06<0.09 |
A | 0.08 | % | 0.08 | % | 143 | 162 | | |
BBVA. PILLAR III 2020 | 3. RISK | P. 76 |
External rating |
Weighted | Arithmetic average PD |
Number of Obligors | Defaulted obligors in |
Average historical annual |
|||||||||||||||||||||
PD Range |
equivalent | average PD(1) | by obligors | 12-31-2020 | 12-31-2019 | the year | default rate | |||||||||||||||||||
0.09<0.11 |
A- | 0.10 | % | 0.09 | % | 475 | 486 | 9 | 0.32 | % | ||||||||||||||||
0.11<0.17 |
BBB+ | 0.14 | % | 0.15 | % | 1,113 | 1,158 | 10 | 0.80 | % | ||||||||||||||||
0.17<0.24 |
BBB | 0.20 | % | 0.24 | % | 521 | 536 | 4 | 0.85 | % | ||||||||||||||||
0.29<0.39 |
BBB- | 0.31 | % | 0.35 | % | 337 | 325 | | 0.54 | % | ||||||||||||||||
0.39<0.67 |
BB+ | 0.51 | % | 0.69 | % | 174 | 188 | | 1.29 | % | ||||||||||||||||
0.67<1.16 |
BB | 0.88 | % | 0.89 | % | 88 | 89 | | | |||||||||||||||||
1.16<1.94 |
BB- | 1.50 | % | 1.13 | % | 190 | 176 | | | |||||||||||||||||
1.94<3.35 |
B+ | 2.55 | % | 2.57 | % | 62 | 73 | | 0.60 | % | ||||||||||||||||
3.35<5.81 |
B | 4.41 | % | 4.41 | % | 56 | 59 | | 0.91 | % | ||||||||||||||||
5.81<11.61 |
B- | 7.94 | % | 7.86 | % | 33 | 22 | | 1.68 | % | ||||||||||||||||
11.61<100.00 |
C | 17.05 | % | 15.92 | % | 23 | 21 | | | |||||||||||||||||
100.00 (default) |
D | 100.00 | % | 100.00 | % | 72 | 92 | | | |||||||||||||||||
Corporate - SMEs |
||||||||||||||||||||||||||
0.00<0.02 |
AAA | 0.03 | % | 0.03 | % | 105 | 74 | | | |||||||||||||||||
0.02<0.03 |
AA+ | 0.03 | % | 0.03 | % | 45 | 20 | | | |||||||||||||||||
0.03<0.04 |
AA | 0.03 | % | 0.03 | % | 24 | 45 | | | |||||||||||||||||
0.04<0.05 |
AA- | 0.05 | % | 0.05 | % | 2 | 15 | | | |||||||||||||||||
0.05<0.06 |
A+ | 0.05 | % | 0.05 | % | 31 | 21 | | | |||||||||||||||||
0.06<0.09 |
A | 0.07 | % | 0.07 | % | 75 | 52 | | | |||||||||||||||||
0.09<0.11 |
A- | 0.11 | % | 0.11 | % | 3,984 | 5,124 | 5 | 0.11 | % | ||||||||||||||||
0.11<0.17 |
BBB+ | 0.15 | % | 0.17 | % | 1,896 | 1,878 | 6 | 0.22 | % | ||||||||||||||||
0.17<0.24 |
BBB | 0.22 | % | 0.35 | % | 1,721 | 1,615 | 6 | 0.18 | % | ||||||||||||||||
0.29<0.39 |
BBB- | 0.64 | % | 0.88 | % | 2,420 | 2,590 | 11 | 0.38 | % | ||||||||||||||||
0.39<0.67 |
BB+ | 0.56 | % | 0.52 | % | 2,896 | 2,953 | 23 | 0.70 | % | ||||||||||||||||
0.67<1.16 |
BB | 0.94 | % | 0.88 | % | 3,139 | 2,855 | 30 | 1.21 | % | ||||||||||||||||
1.16<1.94 |
BB- | 1.58 | % | 1.94 | % | 2,563 | 2,778 | 43 | 2.02 | % | ||||||||||||||||
1.94<3.35 |
B+ | 2.75 | % | 3.05 | % | 3,235 | 2,690 | 71 | 2.81 | % | ||||||||||||||||
3.35<5.81 |
B | 4.51 | % | 4.58 | % | 4,283 | 2,243 | 72 | 3.34 | % | ||||||||||||||||
5.81<11.61 |
B- | 8.02 | % | 8.60 | % | 1,299 | 2,396 | 79 | 7.00 | % | ||||||||||||||||
11.61<100.00 |
C | 19.52 | % | 23.15 | % | 2,596 | 1,512 | 109 | 6.36 | % | ||||||||||||||||
100.00 (default) |
D | 100.00 | % | 100.00 | % | 2,618 | 2,635 | | | |||||||||||||||||
Corporate - Non-SMEs |
||||||||||||||||||||||||||
0.00<0.02 |
AAA | | | | | | | |||||||||||||||||||
0.02<0.03 |
AA+ | 0.03 | % | 0.03 | % | 34 | 31 | | | |||||||||||||||||
0.03<0.04 |
AA | 0.03 | % | 0.03 | % | 36 | 37 | | | |||||||||||||||||
0.04<0.05 |
AA- | 0.04 | % | 0.04 | % | 20 | 19 | | | |||||||||||||||||
0.05<0.06 |
A+ | 0.05 | % | 0.05 | % | 51 | 50 | 1 | 2.27 | % | ||||||||||||||||
0.06<0.09 |
A | 0.08 | % | 0.08 | % | 213 | 244 | 1 | 0.46 | % | ||||||||||||||||
0.09<0.11 |
A- | 0.10 | % | 0.09 | % | 1,173 | 1,563 | 2 | 0.13 | % | ||||||||||||||||
0.11<0.17 |
BBB+ | 0.14 | % | 0.14 | % | 1,100 | 1,034 | 4 | 0.56 | % | ||||||||||||||||
0.17<0.24 |
BBB | 0.20 | % | 0.20 | % | 1,114 | 1,063 | 9 | 0.49 | % | ||||||||||||||||
0.29<0.39 |
BBB- | 0.31 | % | 0.32 | % | 1,533 | 1,444 | 5 | 0.36 | % | ||||||||||||||||
0.39<0.67 |
BB+ | 0.51 | % | 0.52 | % | 1,003 | 900 | 11 | 1.06 | % | ||||||||||||||||
0.67<1.16 |
BB | 0.88 | % | 0.93 | % | 774 | 570 | 2 | 0.93 | % | ||||||||||||||||
1.16<1.94 |
BB- | 1.60 | % | 1.63 | % | 506 | 389 | 18 | 2.51 | % | ||||||||||||||||
1.94<3.35 |
B+ | 3.00 | % | 3.03 | % | 496 | 412 | 17 | 2.69 | % | ||||||||||||||||
3.35<5.81 |
B | 4.40 | % | 4.46 | % | 524 | 432 | 8 | 5.40 | % | ||||||||||||||||
5.81<11.61 |
B- | 7.92 | % | 9.81 | % | 213 | 201 | 13 | 8.84 | % | ||||||||||||||||
11.61<100.00 |
C | 46.30 | % | 45.54 | % | 221 | 154 | 15 | 10.29 | % | ||||||||||||||||
100.00 (default) |
D | 100.00 | % | 100.00 | % | 376 | 391 | | | |||||||||||||||||
Retail - Mortgage exposures |
||||||||||||||||||||||||||
0.00<0.02 |
AAA | 0.03 | % | 0.03 | % | 470,671 | 447,207 | 410 | 0.04 | % | ||||||||||||||||
0.02<0.03 |
AA+ | 0.03 | % | 0.03 | % | 75,026 | 77,011 | 143 | 0.11 | % | ||||||||||||||||
0.03<0.04 |
AA | 0.03 | % | 0.03 | % | 16,045 | 82,575 | 201 | 0.08 | % | ||||||||||||||||
0.04<0.05 |
AA- | 0.05 | % | 0.05 | % | 20,469 | 33,040 | 71 | 0.09 | % | ||||||||||||||||
0.05<0.06 |
A+ | 0.05 | % | 0.05 | % | 63,580 | 31,973 | 63 | 0.07 | % | ||||||||||||||||
0.06<0.09 |
A | 0.07 | % | 0.07 | % | 90,446 | 70,598 | 273 | 0.19 | % | ||||||||||||||||
0.09<0.11 |
A- | 0.10 | % | 0.10 | % | 59,002 | 53,643 | 125 | 0.15 | % | ||||||||||||||||
0.11<0.17 |
BBB+ | 0.14 | % | 0.14 | % | 29,295 | 42,190 | 133 | 0.25 | % | ||||||||||||||||
0.17<0.24 |
BBB | 0.20 | % | 0.20 | % | 41,258 | 25,223 | 111 | 0.36 | % | ||||||||||||||||
0.29<0.39 |
BBB- | 0.32 | % | 0.31 | % | 24,476 | 42,025 | 150 | 0.35 | % | ||||||||||||||||
0.39<0.67 |
BB+ | 0.49 | % | 0.50 | % | 30,465 | 26,409 | 141 | 0.50 | % | ||||||||||||||||
0.67<1.16 |
BB | 0.78 | % | 0.84 | % | 37,922 | 39,287 | 409 | 1.00 | % | ||||||||||||||||
1.16<1.94 |
BB- | 1.73 | % | 1.57 | % | 11,763 | 15,909 | 235 | 2.14 | % | ||||||||||||||||
1.94<3.35 |
B+ | 2.64 | % | 2.64 | % | 10,484 | 10,203 | 278 | 4.93 | % | ||||||||||||||||
3.35<5.81 |
B | 3.96 | % | 4.48 | % | 7,766 | 9,971 | 621 | 10.64 | % | ||||||||||||||||
5.81<11.61 |
B- | 8.09 | % | 7.95 | % | 9,361 | 8,660 | 767 | 14.10 | % | ||||||||||||||||
11.61<100.00 |
C | 16.96 | % | 17.40 | % | 6,337 | 11,614 | 2,338 | 21.89 | % | ||||||||||||||||
100.00 (default) |
D | 100.00 | % | 100.00 | % | 26,649 | 27,310 | | |
BBVA. PILLAR III 2020 | 3. RISK | P. 77 |
External rating |
Weighted | Arithmetic average PD |
Number of Obligors | Defaulted obligors in |
Average historical annual |
|||||||||||||||||||||||
PD Range |
equivalent | average PD(1) | by obligors | 12-31-2020 | 12-31-2019 | the year | default rate | |||||||||||||||||||||
Retail - Other exposures SMEs |
||||||||||||||||||||||||||||
0.00<0.02 |
AAA | | | | | | | |||||||||||||||||||||
0.02<0.03 |
AA+ | | | | | | | |||||||||||||||||||||
0.03<0.04 |
AA | | | | | | | |||||||||||||||||||||
0.04<0.05 |
AA- | | | | | | | |||||||||||||||||||||
0.05<0.06 |
A+ | | | | | | | |||||||||||||||||||||
0.06<0.09 |
A | | | | | | | |||||||||||||||||||||
0.09<0.11 |
A- | 0.10 | % | 0.10 | % | 16,924 | 16,439 | 8 | 0.03 | % | ||||||||||||||||||
0.11<0.17 |
BBB+ | 0.14 | % | 0.16 | % | 8,213 | 7,383 | 9 | 0.06 | % | ||||||||||||||||||
0.17<0.24 |
BBB | 0.21 | % | 0.26 | % | 7,626 | 7,203 | 4 | 0.10 | % | ||||||||||||||||||
0.29<0.39 |
BBB- | 0.32 | % | 0.44 | % | 13,168 | 11,120 | 27 | 0.26 | % | ||||||||||||||||||
0.39<0.67 |
BB+ | 0.56 | % | 0.61 | % | 15,490 | 15,151 | 60 | 0.39 | % | ||||||||||||||||||
0.67<1.16 |
BB | 0.98 | % | 1.16 | % | 16,992 | 17,239 | 160 | 0.72 | % | ||||||||||||||||||
1.16<1.94 |
BB- | 1.68 | % | 1.69 | % | 15,206 | 16,554 | 151 | 1.09 | % | ||||||||||||||||||
1.94<3.35 |
B+ | 2.93 | % | 2.98 | % | 17,388 | 17,426 | 379 | 1.85 | % | ||||||||||||||||||
3.35<5.81 |
B | 4.65 | % | 4.68 | % | 18,918 | 15,527 | 404 | 2.61 | % | ||||||||||||||||||
5.81<11.61 |
B- | 8.44 | % | 8.46 | % | 8,000 | 9,388 | 354 | 5.31 | % | ||||||||||||||||||
11.61<100.00 |
C | 23.92 | % | 29.89 | % | 10,179 | 8,315 | 781 | 8.75 | % | ||||||||||||||||||
100.00 (default) |
D | 100.00 | % | 100.00 | % | 15,349 | 13,980 | | | |||||||||||||||||||
Retail - Other exposures Non-SMEs |
||||||||||||||||||||||||||||
0.00<0.02 |
AAA | 0.03 | % | 0.03 | % | 45,523 | 3 | | 0.03 | % | ||||||||||||||||||
0.02<0.03 |
AA+ | 0.03 | % | 0.03 | % | 47,895 | 102,001 | 89 | 0.05 | % | ||||||||||||||||||
0.03<0.04 |
AA | 0.03 | % | 0.04 | % | 74,722 | 39,448 | 20 | 0.03 | % | ||||||||||||||||||
0.04<0.05 |
AA- | | | | 72,835 | | | |||||||||||||||||||||
0.05<0.06 |
A+ | 0.06 | % | 0.06 | % | 46,484 | 43,631 | 66 | 0.09 | % | ||||||||||||||||||
0.06<0.09 |
A | 0.08 | % | 0.08 | % | 76,354 | 30,849 | 51 | 0.10 | % | ||||||||||||||||||
0.09<0.11 |
A- | 0.10 | % | 0.10 | % | 146 | 7,355 | 22 | 0.19 | % | ||||||||||||||||||
0.11<0.17 |
BBB+ | 0.12 | % | 0.12 | % | 71,459 | 89,860 | 341 | 0.29 | % | ||||||||||||||||||
0.17<0.24 |
BBB | 0.20 | % | 0.20 | % | 48,192 | 65,735 | 445 | 0.56 | % | ||||||||||||||||||
0.29<0.39 |
BBB- | 0.31 | % | 0.31 | % | 120,280 | 81,542 | 632 | 0.57 | % | ||||||||||||||||||
0.39<0.67 |
BB+ | 0.60 | % | 0.60 | % | 97,449 | 107,899 | 1,248 | 0.90 | % | ||||||||||||||||||
0.67<1.16 |
BB | 0.92 | % | 0.91 | % | 92,219 | 68,209 | 1,179 | 1.33 | % | ||||||||||||||||||
1.16<1.94 |
BB- | 1.57 | % | 1.57 | % | 77,423 | 66,829 | 1,423 | 1.84 | % | ||||||||||||||||||
1.94<3.35 |
B+ | 2.52 | % | 2.50 | % | 64,274 | 74,921 | 1,950 | 2.37 | % | ||||||||||||||||||
3.35<5.81 |
B | 4.18 | % | 4.19 | % | 39,595 | 78,771 | 3,163 | 3.63 | % | ||||||||||||||||||
5.81<11.61 |
B- | 8.71 | % | 8.86 | % | 18,229 | 17,481 | 1,750 | 6.75 | % | ||||||||||||||||||
11.61<100.00 |
C | 29.49 | % | 28.61 | % | 23,870 | 20,639 | 5,556 | 24.43 | % | ||||||||||||||||||
100.00 (default) |
D | 100.00 | % | 100.00 | % | 68,954 | 55,640 | | | |||||||||||||||||||
Retail - qualifying revolving (QRRE) |
||||||||||||||||||||||||||||
0.00<0.02 |
AAA | 0.03 | % | 0.03 | % | 1,241,113 | 753,482 | 573 | 0.02 | % | ||||||||||||||||||
0.02<0.03 |
AA+ | 0.03 | % | 0.03 | % | 514,424 | 1,401,597 | 696 | 0.03 | % | ||||||||||||||||||
0.03<0.04 |
AA | 0.03 | % | 0.03 | % | 518,378 | 210,330 | 291 | 0.06 | % | ||||||||||||||||||
0.04<0.05 |
AA- | 0.04 | % | 0.04 | % | 110,402 | 110,402 | | | |||||||||||||||||||
0.05<0.06 |
A+ | 0.05 | % | 0.05 | % | 2,186 | 3,972 | 3 | 0.24 | % | ||||||||||||||||||
0.06<0.09 |
A | 0.07 | % | 0.07 | % | 80,719 | 65,007 | 191 | 0.24 | % | ||||||||||||||||||
0.09<0.11 |
A- | 0.10 | % | 0.10 | % | 25,896 | 123,283 | 290 | 0.16 | % | ||||||||||||||||||
0.11<0.17 |
BBB+ | 0.14 | % | 0.14 | % | 75,610 | 114,142 | 453 | 0.42 | % | ||||||||||||||||||
0.17<0.24 |
BBB | 0.21 | % | 0.21 | % | 248,466 | 37,963 | 290 | 0.14 | % | ||||||||||||||||||
0.29<0.39 |
BBB- | 0.31 | % | 0.31 | % | 97,891 | 140,687 | 887 | 0.62 | % | ||||||||||||||||||
0.39<0.67 |
BB+ | 0.53 | % | 0.53 | % | 192,000 | 130,456 | 1,331 | 0.82 | % | ||||||||||||||||||
0.67<1.16 |
BB | 0.92 | % | 0.91 | % | 120,196 | 129,461 | 1,617 | 1.52 | % | ||||||||||||||||||
1.16<1.94 |
BB- | 1.52 | % | 1.51 | % | 68,890 | 100,825 | 2,499 | 1.90 | % | ||||||||||||||||||
1.94<3.35 |
B+ | 2.47 | % | 2.47 | % | 137,465 | 78,872 | 2,258 | 2.89 | % | ||||||||||||||||||
3.35<5.81 |
B | 4.77 | % | 4.73 | % | 81,254 | 66,995 | 3,431 | 3.76 | % | ||||||||||||||||||
5.81<11.61 |
B- | 6.91 | % | 6.91 | % | 38,070 | 32,127 | 1,757 | 5.78 | % | ||||||||||||||||||
11.61<100.00 |
C | 27.27 | % | 28.81 | % | 24,574 | 27,493 | 3,131 | 11.79 | % | ||||||||||||||||||
100.00 (default) |
D | 100.00 | % | 100.00 | % | 69,940 | 66,970 | | | |||||||||||||||||||
Corporate - Specialised lending |
369 | 627 |
(*) | A floor of 0.03% PD is applied to exposures in the categories of Institutions, Corporates and Retail, according to Articles 160 and 163 of the CRR. |
BBVA. PILLAR III 2020 | 3. RISK | P. 78 |
EU CR9 - IRB approach - Backtesting of PD per exposure class (BBVA Mexico. Million euros. 12-31-2020)
External rating |
Weighted | Arithmetic average PD |
Number of Obligors | Defaulted obligors in |
Average historical annual |
|||||||||||||||||||||
PD Range |
equivalent | average PD(1) | by obligors | 12-31-2020 | 12-31-2019 | the year | default rate | |||||||||||||||||||
Corporate - SMEs |
||||||||||||||||||||||||||
0.00 a <0.02 |
AAA | | | | | | | |||||||||||||||||||
0.02 a <0.03 |
AA+ | | | | | | | |||||||||||||||||||
0.03 a <0.04 |
AA | | | | | | | |||||||||||||||||||
0.04 a <0.05 |
AA- | | | | | | | |||||||||||||||||||
0.05 a <0.06 |
A+ | | | | | | | |||||||||||||||||||
0.06 a <0.09 |
A | | | | | | | |||||||||||||||||||
0.09 a <0.11 |
A- | | | | | | | |||||||||||||||||||
0.11 a <0.17 |
BBB+ | 0.14 | % | 0.14 | % | 2 | | | | |||||||||||||||||
0.17 a <0.24 |
BBB | 0.19 | % | 0.20 | % | 16 | 19 | | | |||||||||||||||||
0.29 a <0.39 |
BBB- | 0.31 | % | 0.27 | % | 67 | 374 | | | |||||||||||||||||
0.39 a <0.67 |
BB+ | 0.53 | % | 0.50 | % | 256 | 902 | | | |||||||||||||||||
0.67 a <1.16 |
BB | 0.90 | % | 1.00 | % | 332 | 211 | | | |||||||||||||||||
1.16 a <1.94 |
BB- | 1.55 | % | 1.90 | % | 183 | 155 | | | |||||||||||||||||
1.94 a <3.35 |
B+ | 2.63 | % | 2.28 | % | 105 | 110 | | | |||||||||||||||||
3.35 a <5.81 |
B | 4.36 | % | 4.77 | % | 65 | 55 | | | |||||||||||||||||
5.81 a <10.61 |
B- | 6.92 | % | 7.49 | % | 307 | 50 | | | |||||||||||||||||
10.61 a <100.00 |
C | 15.62 | % | 14.25 | % | 22 | 21 | | | |||||||||||||||||
100.00 (default) |
D | 100.00 | % | 100.00 | % | 79 | 149 | | | |||||||||||||||||
Corporate - Non-SMEs |
0 | 0.00 | % | 0.00 | % | | | | 0 | % | ||||||||||||||||
0.00 a <0.02 |
AAA | | | | | | | |||||||||||||||||||
0.02 a <0.03 |
AA+ | | | | | | | |||||||||||||||||||
0.03 a <0.04 |
AA | | | | | | | |||||||||||||||||||
0.04 a <0.05 |
AA- | | | | | | | |||||||||||||||||||
0.05 a <0.06 |
A+ | | | | | | | |||||||||||||||||||
0.06 a <0.09 |
A | | | | 5 | | | |||||||||||||||||||
0.09 a <0.11 |
A- | 0.10 | % | 0.10 | % | | 27 | | | |||||||||||||||||
0.11 a <0.17 |
BBB+ | 0.14 | % | 0.13 | % | 6 | 28 | | | |||||||||||||||||
0.17 a <0.24 |
BBB | 0.19 | % | 0.20 | % | 40 | 100 | | | |||||||||||||||||
0.29 a <0.39 |
BBB- | 0.31 | % | 0.27 | % | 170 | 562 | 7 | 1.13 | % | ||||||||||||||||
0.39 a <0.67 |
BB+ | 0.53 | % | 0.50 | % | 654 | 899 | 11 | 1.91 | % | ||||||||||||||||
0.67 a <1.16 |
BB | 0.90 | % | 1.00 | % | 844 | 305 | 22 | 4.97 | % | ||||||||||||||||
1.16 a <1.94 |
BB- | 1.55 | % | 1.90 | % | 467 | 511 | 29 | 6.15 | % | ||||||||||||||||
1.94 a <3.35 |
B+ | 2.63 | % | 2.28 | % | 266 | 154 | 26 | 9.05 | % | ||||||||||||||||
3.35 a <5.81 |
B | 4.36 | % | 4.77 | % | 166 | 177 | 33 | 12.12 | % | ||||||||||||||||
5.81 a <10.61 |
B- | 6.92 | % | 7.49 | % | 781 | 763 | 37 | 2.46 | % | ||||||||||||||||
10.61 a <100.00 |
C | 15.62 | % | 14.25 | % | 56 | 26 | 4 | 11.11 | % | ||||||||||||||||
100.00 (default) |
D | 100.00 | % | 100.00 | % | 200 | 254 | 31 | 47.97 | % | ||||||||||||||||
Retail - qualifying revolving (QRRE) |
||||||||||||||||||||||||||
0.00 a <0.02 |
AAA | | | | | | | |||||||||||||||||||
0.02 a <0.03 |
AA+ | | | | | | | |||||||||||||||||||
0.03 a <0.04 |
AA | | | | | | | |||||||||||||||||||
0.04 a <0.05 |
AA- | | | | | | | |||||||||||||||||||
0.05 a <0.06 |
A+ | | | | | | | |||||||||||||||||||
0.06 a <0.09 |
A | | | | | | | |||||||||||||||||||
0.09 a <0.11 |
A- | | | | | | | |||||||||||||||||||
0.11 a <0.17 |
BBB+ | 0.15 | % | 0.15 | % | 7 | 1 | | | |||||||||||||||||
0.17 a <0.24 |
BBB | 0.19 | % | 0.20 | % | 38 | 13 | | 87.50 | % | ||||||||||||||||
0.29 a <0.39 |
BBB- | 0.33 | % | 0.33 | % | 234 | 40 | | 94.00 | % | ||||||||||||||||
0.39 a <0.67 |
BB+ | 0.53 | % | 0.54 | % | 460,799 | 354,493 | 2,331 | 0.30 | % | ||||||||||||||||
0.67 a <1.16 |
BB | 0.86 | % | 0.87 | % | 576,325 | 720,615 | 4,150 | 0.40 | % | ||||||||||||||||
1.16 a <1.94 |
BB- | 1.46 | % | 1.42 | % | 751,179 | 544,057 | 8,184 | 0.87 | % | ||||||||||||||||
1.94 a <3.35 |
B+ | 2.57 | % | 2.36 | % | 723,529 | 671,605 | 14,323 | 1.40 | % | ||||||||||||||||
3.35 a <5.81 |
B | 4.40 | % | 4.31 | % | 697,138 | 755,064 | 26,181 | 2.13 | % | ||||||||||||||||
5.81 a <10.61 |
B- | 7.92 | % | 5.90 | % | 1,136,626 | 1,123,885 | 44,319 | 2.26 | % | ||||||||||||||||
10.61 a <100.00 |
C | 22.48 | % | 18.70 | % | 741,925 | 934,398 | 11,404 | 3.99 | % | ||||||||||||||||
100.00 (default) |
D | 100.00 | % | 100.00 | % | 114,876 | 75,343 | 3,706 | 9.92 | % |
(*) | A floor of 0.03% PD is applied to exposures in the categories of Institutions, Corporates and Retail, according to Articles 160 and 163 of the CRR. |
BBVA. PILLAR III 2020 | 3. RISK | P. 79 |
Table 35. EU CR8 - RWA flow statements of credit risk and counterparty exposures under the IRB approach (Million euros)
Credit Risk | Counterparty Credit Risk | Total | ||||||||||||||||||||||
RWA amounts |
Capital Requirements |
RWA amounts |
Capital Requirements |
RWA amounts |
Capital requirements |
|||||||||||||||||||
RWAs as of September 30, 2020 |
82,207 | 6,577 | 4,495 | 360 | 86,702 | 6,936 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Asset size |
(102 | ) | (8 | ) | (144 | ) | (12 | ) | (246 | ) | (20 | ) | ||||||||||||
Asset quality |
(40 | ) | (3 | ) | 117 | 9 | 77 | 6 | ||||||||||||||||
Model updates |
| | | | | | ||||||||||||||||||
Methodology and policy |
| | | | | | ||||||||||||||||||
Acquisitions and disposals |
| | | | | | ||||||||||||||||||
Foreign exchange movements |
51 | 4 | 145 | 12 | 196 | 16 | ||||||||||||||||||
Other |
| | | | | | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
RWAs as of December 31, 2020 |
82,115 | 6,569 | 4,613 | 369 | 86,729 | 6,938 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
3. | In line with the possible start date of the cycle identified by the regulator. |
4. | PD PiT Basel. |
5. | The methodology (LGD pit) allows for better approximation of observed losses. For more recent years, since recovery processes have not yet been completed, the best estimate of final loss given default is shown. |
6. | In some cases, the data for 2004 and 2005 had to be estimated. |
BBVA. PILLAR III 2020 | 3. RISK | P. 80 |
BBVA. PILLAR III 2020 | 3. RISK | P. 81 |
BBVA. PILLAR III 2020 | 3. RISK | P. 82 |
Table 36. EU CR10 (1) - IRB: specialised lending (Million Euros. 12-31-2020)
Specialised lending |
||||||||||||||||||||||||||
Regulatory |
Remaining Maturity |
On-balance sheet amount(1) |
Off-balance sheet amount(2) |
RW | Exposure Amount(3) |
RWAs | Expected Losses |
|||||||||||||||||||
Category 1 |
Less than 2.5 years |
320 | 38 | 50 | % | 355 | 177 | | ||||||||||||||||||
Category 1 |
Equal to or more than 2.5 years |
2,549 | 866 | 70 | % | 3,297 | 2,308 | 13 | ||||||||||||||||||
Category 2 |
Less than 2.5 years |
224 | 122 | 70 | % | 303 | 212 | 1 | ||||||||||||||||||
Category 2 |
Equal to or more than 2.5 years |
1,213 | 349 | 90 | % | 1,465 | 1,319 | 12 | ||||||||||||||||||
Category 3 |
Less than 2.5 years |
148 | 1 | 115 | % | 148 | 170 | 4 | ||||||||||||||||||
Category 3 |
Equal to or more than 2.5 years |
341 | 79 | 115 | % | 414 | 476 | 12 | ||||||||||||||||||
Category 4 |
Less than 2.5 years |
20 | 1 | 250 | % | 21 | 53 | 2 | ||||||||||||||||||
Category 4 |
Equal to or more than 2.5 years |
75 | 4 | 250 | % | 79 | 197 | 6 | ||||||||||||||||||
Category 5 |
Less than 2.5 years |
3 | 2 | 4 | | 2 | ||||||||||||||||||||
Category 5 |
Equal to or more than 2.5 years |
45 | 6 | 51 | | 25 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total |
Less than 2.5 years |
715 | 165 | 830 | 612 | 9 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total |
Equal to or more than 2.5 years |
4,223 | 1,304 | 5,305 | 4,299 | 68 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Corresponds to the original exposure. |
(2) | Corresponds to the value of off-balance sheet exposure, regardless of credit conversion factors (CCF), or the effect of the Credit Risk Mitigation (CRM) techniques. |
(3) | Corresponds to exposure value after CRM and CCF. |
EU CR10 (1) - IRB: specialised lending (Million Euros. 12-31-2019)
Specialised lending |
||||||||||||||||||||||||||
Regulatory |
Remaining Maturity |
On-balance sheet amount(1) |
Off-balance sheet amount(2) |
RW | Exposure Amount(3) |
RWAs | Expected Losses |
|||||||||||||||||||
Category 1 |
Less than 2.5 years |
289 | 63 | 50 | % | 333 | 166 | | ||||||||||||||||||
Category 1 |
Equal to or more than 2.5 years |
3,054 | 960 | 70 | % | 3,833 | 2,683 | 15 | ||||||||||||||||||
Category 2 |
Less than 2.5 years |
217 | 55 | 70 | % | 253 | 177 | 1 | ||||||||||||||||||
Category 2 |
Equal to or more than 2.5 years |
1,576 | 444 | 90 | % | 1,923 | 1,731 | 15 | ||||||||||||||||||
Category 3 |
Less than 2.5 years |
161 | 4 | 115 | % | 163 | 187 | 5 | ||||||||||||||||||
Category 3 |
Equal to or more than 2.5 years |
212 | 70 | 115 | % | 276 | 318 | 8 | ||||||||||||||||||
Category 4 |
Less than 2.5 years |
4 | | 250 | % | 4 | 10 | 0 | ||||||||||||||||||
Category 4 |
Equal to or more than 2.5 years |
19 | 34 | 250 | % | 53 | 133 | 4 | ||||||||||||||||||
Category 5 |
Less than 2.5 years |
103 | 4 | 105 | | 53 | ||||||||||||||||||||
Category 5 |
Equal to or more than 2.5 years |
40 | 1 | 41 | | 21 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total |
Less than 2.5 years |
774 | 126 | 859 | 542 | 58 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total |
Equal to or more than 2.5 years |
4,901 | 1,508 | 6,127 | 4,865 | 63 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Corresponds to the original exposure. |
(2) | Corresponds to the value of off-balance sheet exposure, regardless of credit conversion factors (CCF), or the effect of the Credit Risk Mitigation (CRM) techniques. |
(3) | Corresponds to exposure value after CRM and CCF. |
Table 37. EU CR10 (2) - IRB: equity (Million Euros. 12-31-2020)
Equity under the IRB approach | ||||||||||||||||||||||||
Categories |
On-balance sheet amount(1) |
Off-balance sheet amount(2) |
RW | Exposure Amount(3) |
RWAs | Capital Requirements |
||||||||||||||||||
Simple method - Private Equity Exposures |
586 | | 190 | % | 586 | 1,114 | 89 | |||||||||||||||||
Simple method - Exchange-traded equity exposures |
147 | | 290 | % | 147 | 425 | 34 | |||||||||||||||||
Simple method - Other Equity Exposures |
79 | | 370 | % | 79 | 291 | 23 | |||||||||||||||||
Exposures subject to 250% risk weight |
3,257 | | 250 | % | 3,257 | 8,144 | 651 | |||||||||||||||||
Internal model |
185 | | 185 | 613 | 49 | |||||||||||||||||||
PD/LGD method |
1,869 | | 1,869 | 3,945 | 316 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total |
6,123 | | 6,123 | 14,532 | 1,163 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Corresponds to the original exposure. |
(2) | Corresponds to the value of off-balance sheet exposure, regardless of credit conversion factors (CCF), or the effect of the Credit Risk Mitigation (CRM) techniques. |
(3) | Corresponds to exposure value after CRM and CCF. |
BBVA. PILLAR III 2020 | 3. RISK | P. 83 |
EU CR10 (2) - IRB: equity (Million Euros. 12-31-2019)
Equity under the IRB approach | ||||||||||||||||||||||||
Categories |
On-balance sheet amount(1) |
Off-balance sheet amount(2) |
RW | Exposure Amount(3) |
RWAs | Capital Requirements |
||||||||||||||||||
Simple method - Private Equity Exposures |
563 | | 190 | % | 563 | 1,070 | 86 | |||||||||||||||||
Simple method - Exchange-traded equity exposures |
290 | | 290 | % | 290 | 841 | 67 | |||||||||||||||||
Simple method - Other Equity Exposures |
108 | | 370 | % | 108 | 399 | 32 | |||||||||||||||||
Exposures subject to 250% risk weight |
3,142 | | 250 | % | 3,142 | 7,854 | 628 | |||||||||||||||||
Internal model |
138 | | 138 | 449 | 36 | |||||||||||||||||||
PD/LGD method |
2,883 | | 2,883 | 5,554 | 444 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total |
7,124 | | 7,124 | 16,167 | 1,293 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Corresponds to the original exposure. |
(2) | Corresponds to the value of off-balance sheet exposure, regardless of credit conversion factors (CCF), or the effect of the Credit Risk Mitigation (CRM) techniques. |
(3) | Corresponds to exposure value after CRM and CCF. |
BBVA. PILLAR III 2020 | 3. RISK | P. 84 |
BBVA. PILLAR III 2020 | 3. RISK | P. 85 |
Table 38. Positions subject to counterparty credit risk in terms of OE, EAD and RWAs (Million euros. 12-31-2020)
Securities financing transactions |
Derivatives and transactions with deferred settlement |
Total | ||||||||||||||||||||||||||||||||||
Exposure Class and risk types |
OE | EAD | RWAs | OE | EAD | RWAs | OE | EAD | RWAs | |||||||||||||||||||||||||||
Central governments or central banks |
13,260 | 1,007 | 7 | 245 | 410 | 108 | 13,506 | 1,418 | 115 | |||||||||||||||||||||||||||
Regional governments or local authorities |
| | | 65 | 1 | 1 | 65 | 1 | 1 | |||||||||||||||||||||||||||
Public sector entities |
| | | 431 | 153 | 78 | 431 | 153 | 78 | |||||||||||||||||||||||||||
Multilateral Development Banks |
| | | 1 | 1 | | 1 | 1 | | |||||||||||||||||||||||||||
Institutions |
6,563 | 675 | 137 | 2,530 | 2,013 | 676 | 9,093 | 2,688 | 813 | |||||||||||||||||||||||||||
Corporates |
2,208 | 77 | 73 | 1,934 | 1,905 | 1,922 | 4,142 | 1,982 | 1,995 | |||||||||||||||||||||||||||
Retail |
393 | | | 36 | 34 | 25 | 428 | 34 | 25 | |||||||||||||||||||||||||||
Secured by mortgages on immovable property |
| | | | | | | | | |||||||||||||||||||||||||||
Exposures in default |
| | | | | | | | | |||||||||||||||||||||||||||
Exposures associated with particularly high risk |
| | | 47 | 47 | 70 | 47 | 47 | 70 | |||||||||||||||||||||||||||
Covered bonds |
| | | | | | | | | |||||||||||||||||||||||||||
Short-term claims on institutions and corporate |
| | | | | | | | | |||||||||||||||||||||||||||
Collective investments undertakings |
3 | | | | | | 3 | | | |||||||||||||||||||||||||||
Other exposures |
| | | | | | | | | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total counterparty risk by standardised approach |
22,426 | 1,760 | 217 | 5,290 | 4,565 | 2,880 | 27,716 | 6,325 | 3,097 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Central governments or central banks |
365 | 365 | 1 | 33 | 33 | 5 | 398 | 398 | 6 | |||||||||||||||||||||||||||
Institutions |
60,337 | 60,337 | 984 | 18,684 | 18,184 | 1,346 | 79,021 | 78,521 | 2,330 | |||||||||||||||||||||||||||
Corporates |
204 | 204 | | 4,779 | 4,779 | 2,275 | 4,983 | 4,983 | 2,275 | |||||||||||||||||||||||||||
Of which: SMEs |
| | | 138 | 138 | 122 | 138 | 138 | 122 | |||||||||||||||||||||||||||
Of which: specialised lending |
| | | 853 | 853 | 649 | 853 | 853 | 649 | |||||||||||||||||||||||||||
Of which: other |
204 | 204 | | 3,789 | 3,789 | 1,504 | 3,992 | 3,992 | 1,504 | |||||||||||||||||||||||||||
Retail |
| | | 3 | 3 | 1 | 3 | 3 | 1 | |||||||||||||||||||||||||||
Of which: Secured by immovable property |
| | | | | | | | | |||||||||||||||||||||||||||
Of which: Qualifying revolving |
| | | | | | | | | |||||||||||||||||||||||||||
Of which: Other retail |
| | | 3 | 3 | 1 | 3 | 3 | 1 | |||||||||||||||||||||||||||
Other retail: SMEs |
| | | | | | | | | |||||||||||||||||||||||||||
Other retail: Non SMEs |
| | | 3 | 3 | 1 | 3 | 3 | 1 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total counterparty risk by IRB approach |
60,907 | 60,907 | 986 | 23,499 | 22,999 | 3,627 | 84,406 | 83,906 | 4,613 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total credit risk |
83,333 | 62,666 | 1,203 | 28,789 | 27,565 | 6,507 | 112,122 | 90,231 | 7,710 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Positions subject to counterparty credit risk in terms of OE, EAD and RWAs (Million euros. 12-31-2019)
Securities financing transactions |
Derivatives and transactions with deferred settlement |
Total | ||||||||||||||||||||||||||||||||||
Exposure Class and risk types |
OE | EAD | RWAs | OE | EAD | RWAs | OE | EAD | RWAs | |||||||||||||||||||||||||||
Central governments or central banks |
7,521 | 1,904 | 42 | 74 | 305 | 13 | 7,595 | 2,209 | 55 | |||||||||||||||||||||||||||
Regional governments or local authorities |
| | | 74 | 3 | 1 | 74 | 3 | 1 | |||||||||||||||||||||||||||
Public sector entities |
| | | 167 | 138 | 76 | 167 | 138 | 76 | |||||||||||||||||||||||||||
Multilateral Development Banks |
| | | | | | | | | |||||||||||||||||||||||||||
Institutions |
10,192 | 488 | 235 | 2,140 | 1,543 | 406 | 12,332 | 2,031 | 641 | |||||||||||||||||||||||||||
Corporates |
1,773 | 257 | 255 | 1,184 | 1,157 | 1,173 | 2,957 | 1,414 | 1,428 | |||||||||||||||||||||||||||
Retail |
465 | | | 58 | 57 | 41 | 523 | 57 | 41 | |||||||||||||||||||||||||||
Secured by mortgages on immovable property |
| | | | | | | | | |||||||||||||||||||||||||||
Exposures in default |
| | | 1 | 1 | 1 | 1 | 1 | 1 | |||||||||||||||||||||||||||
Exposures associated with particularly high risk |
| | | 32 | 32 | 48 | 32 | 32 | 48 |
BBVA. PILLAR III 2020 | 3. RISK | P. 86 |
Covered bonds |
| | | | | | | | | |||||||||||||||||||||||||||
Short-term claims on institutions and corporate |
| | | | | | | | | |||||||||||||||||||||||||||
Collective investments undertakings |
10 | 0 | 0 | 1 | 1 | 1 | 12 | 2 | 2 | |||||||||||||||||||||||||||
Other exposures |
| 4,136 | | | | | | 4,136 | | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total counterparty risk by standardised approach |
19,961 | 6,785 | 533 | 3,733 | 3,237 | 1,761 | 23,693 | 10,022 | 2,294 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Central governments or central banks |
1,558 | 1,558 | 3 | 41 | 41 | 6 | 1,599 | 1,599 | 9 | |||||||||||||||||||||||||||
Institutions |
62,497 | 62,497 | 879 | 19,022 | 18,576 | 1,524 | 81,520 | 81,073 | 2,402 | |||||||||||||||||||||||||||
Corporates |
116 | 116 | 0 | 3,806 | 3,806 | 2,010 | 3,922 | 3,922 | 2,010 | |||||||||||||||||||||||||||
Of which: SMEs |
| | | 139 | 139 | 123 | 139 | 139 | 123 | |||||||||||||||||||||||||||
Of which: specialised lending |
| | | 964 | 964 | 800 | 964 | 964 | 800 | |||||||||||||||||||||||||||
Of which: other |
116 | 116 | 0 | 2,704 | 2,704 | 1,086 | 2,820 | 2,820 | 1,087 | |||||||||||||||||||||||||||
Retail |
| | | 4 | 4 | 1 | 4 | 4 | 1 | |||||||||||||||||||||||||||
Of which: Secured by immovable property |
| | | | | | | | | |||||||||||||||||||||||||||
Of which: Qualifying revolving |
| | | | | | | | | |||||||||||||||||||||||||||
Of which: Other retail |
| | | 4 | 4 | 1 | 4 | 4 | 1 | |||||||||||||||||||||||||||
Other retail: SMEs |
| | | | | | | | | |||||||||||||||||||||||||||
Other retail: Non SMEs |
| | | 4 | 4 | 1 | 4 | 4 | 1 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total counterparty risk by IRB approach |
64,171 | 64,171 | 882 | 22,874 | 22,428 | 3,540 | 87,045 | 86,599 | 4,423 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total credit risk |
84,132 | 70,956 | 1,415 | 26,606 | 25,665 | 5,301 | 110,738 | 96,621 | 6,716 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 39. Amounts of counterparty risk in the trading book (Million euros)
Capital requirements | ||||||||||||||||
2020 | 2019 | |||||||||||||||
Counterparty Risk Trading Book Activities |
Mtm Method | Internal Models (IMM) |
Mtm Method | Internal Models (IMM) |
||||||||||||
Standardised Approach |
239 | 169 | ||||||||||||||
Advanced Approach |
337 | 357 | ||||||||||||||
|
|
|
|
|||||||||||||
Total |
576 | 526 | ||||||||||||||
|
|
|
|
Table 40. CCR5-A - Impact of netting and collateral held on exposure values(1) (Million euros. 12-31-2020)
Gross positive fair value or net carrying amount |
Netting benefits |
Netted current credit exposure |
Collateral held(4) |
Net credit exposure |
||||||||||||||||
Derivatives(2) |
44,436 | (29,522 | ) | 14,914 | (7,536 | ) | 7,377 | |||||||||||||
SFTs(3) |
34,157 | | 34,157 | (31,070 | ) | 3,087 | ||||||||||||||
Cross-product netting |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
78,593 | (29,522 | ) | 49,071 | (38,607 | ) | 10,464 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Securities financing transactions include both collateral recognised on the balance sheet and collateral that is not offset on the balance sheet by accounting standards, but does reduce credit risk. |
Collateral for derivatives corresponds only to those that are eligible as mitigation techniques for capital purposes.
(2) | Positive mark-to-market of derivatives is included. |
(3) | Only the amount of reverse repurchase agreements is included. |
(4) | The collateral held amount includes volatility adjustments outlined in Title II, Chapter 4, Section 4 of the CRR. |
CCR5-A - Impact of netting and collateral held on exposure values(1) (Million euros. 12-31-2019)
Gross positive fair value or net carrying amount |
Netting benefits |
Netted current credit exposure |
Collateral held(4) |
Net credit exposure |
||||||||||||||||
Derivatives(2) |
36,583 | (23,265 | ) | 13,319 | (6,440 | ) | 6,879 | |||||||||||||
SFTs(3) |
35,629 | | 35,629 | (32,394 | ) | 3,236 | ||||||||||||||
Cross-product netting |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
72,213 | (23,265 | ) | 48,948 | (38,833 | ) | 10,115 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Securities financing transactions include both collateral recognised on the balance sheet and collateral that is not offset on the balance sheet by accounting standards, but does reduce credit risk. |
Collateral for derivatives corresponds only to those that are eligible as mitigation techniques for capital purposes.
(2) | Positive mark-to-market of derivatives is included. |
(3) | Only the amount of reverse repurchase agreements is included. |
(4) | The collateral held amount includes volatility adjustments outlined in Title II, Chapter 4, Section 4 of the CRR. |
BBVA. PILLAR III 2020 | 3. RISK | P. 87 |
Table 41. : EU CCR1 - Analysis of CCR exposure by approach (Million Euros)
12-31-2020 | 12-31-2019 | |||||||||||||||||||||||||||||||
Replacement Cost / Current market value |
Potential future credit exposure |
EAD post- CRM |
RWAs | Replacement Cost / Current market value |
Potential future credit exposure |
EAD post- CRM |
RWAs | |||||||||||||||||||||||||
Mark to market |
14,299 | 10,370 | 21,082 | 6,146 | 13,174 | 10,153 | 20,157 | 5,119 | ||||||||||||||||||||||||
Internal Model Method (for derivatives and SFTs) |
| | | | | | | | ||||||||||||||||||||||||
Simple Approach for credit risk mitigation (for SFTs) |
| | | | | | | | ||||||||||||||||||||||||
Comprehensive Approach for credit risk mitigation (for SFTs) |
| | 62,320 | 1,195 | | | 70,367 | 1,186 | ||||||||||||||||||||||||
VaR for SFTs |
| | | | | | | | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total |
14,299 | 10,370 | 83,402 | 7,341 | 13,174 | 10,153 | 90,524 | 6,305 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 42. EU CCR3 - Standardised approach - CCR exposures by regulatory portfolio and risk (Million Euros. 12-31-2020)
Risk weight | Of which: unrated(1) |
|||||||||||||||||||||||||||||||||||||||||||||||||||
Exposure Class |
0% | 2% | 4% | 10% | 20% | 50% | 70% | 75% | 100% | 150% | Others | Total | ||||||||||||||||||||||||||||||||||||||||
Central governments or central banks |
1,270 | | | | 10 | 48 | | | 89 | | | 1,418 | 856 | |||||||||||||||||||||||||||||||||||||||
Regional government or local authorities |
| | | | | | | | 1 | | | 1 | 1 | |||||||||||||||||||||||||||||||||||||||
Public sector entities |
| | | | | 151 | | | 2 | | | 153 | 2 | |||||||||||||||||||||||||||||||||||||||
Multilateral development banks |
1 | | | | | | | | | | | 1 | 1 | |||||||||||||||||||||||||||||||||||||||
International organisations |
| | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||
Institutions |
| 101 | 591 | | 1,186 | 520 | | | 290 | | | 2,688 | 2,162 | |||||||||||||||||||||||||||||||||||||||
Corporates |
| | | | 2 | 9 | | | 1,889 | 82 | | 1,982 | 1,940 | |||||||||||||||||||||||||||||||||||||||
Retail |
| | | | | | | 34 | | | | 34 | 34 | |||||||||||||||||||||||||||||||||||||||
Institutions and corporates with a short term credit assessment |
| | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||
Other items |
| | | | | | | | | 47 | | 47 | 47 | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total |
1,272 | 101 | 591 | | 1,198 | 729 | | 34 | 2,271 | 129 | | 6,325 | 5,043 | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Of which: Unrated refers to exposure for which no credit rating from designated ECAIs is available. |
EU CCR3 - Standardised approach - CCR exposures by regulatory portfolio and risk (Million Euros. 12-31-2019)
Risk weight | Of which: unrated(1) |
|||||||||||||||||||||||||||||||||||||||||||||||||||
Exposure Class |
0% | 2% | 4% | 10% | 20% | 50% | 70% | 75% | 100% | 150% | Others | Total | ||||||||||||||||||||||||||||||||||||||||
Central governments or central banks |
2,066 | | | | 62 | 76 | | | 5 | | | 2,209 | 1,660 | |||||||||||||||||||||||||||||||||||||||
Regional government or local authorities |
| | | | 3 | 1 | | | | | | 3 | 3 | |||||||||||||||||||||||||||||||||||||||
Public sector entities |
| | | | 3 | 120 | | | 16 | | | 138 | 105 | |||||||||||||||||||||||||||||||||||||||
Multilateral development banks |
| | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||
International organisations |
| | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||
Institutions |
| 471 | 15 | | 789 | 566 | | | 190 | | | 2,031 | 1,639 | |||||||||||||||||||||||||||||||||||||||
Corporates |
| | | | 2 | 5 | | | 1,369 | 37 | | 1,414 | 1,353 | |||||||||||||||||||||||||||||||||||||||
Retail |
| | | | | | | 57 | | | | 57 | 57 | |||||||||||||||||||||||||||||||||||||||
Institutions and corporates with a short term credit assessment |
| | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||
Other items |
4,136 | | | | | | | | 2 | 33 | | 4,170 | 3,853 | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total |
6,202 | 471 | 15 | | 858 | 768 | | 57 | 1,582 | 70 | | 10,022 | 8,668 | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Of which: Unrated refers to exposure for which no credit rating from designated ECAIs is available. |
BBVA. PILLAR III 2020 | 3. RISK | P. 88 |
Table 43. EU CCR4 - IRB approach - CCR exposures by portfolio and PD scale (Million Euros. 12-31-2020)
PD scale as of 31-12-2020(1) |
EAD post-CRM |
Average PD(2) |
Number of Obligors |
Average LGD(3) |
Average Maturity (days)(4) |
RWAs | RWA Density |
|||||||||||||||||||||
Prudential Portfolio- FIRB method(5) |
853 | | 260 | | 649 | 76 | % | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Corporate - Specialised lending |
853 | | 260 | | | 649 | 76 | % | ||||||||||||||||||||
Prudential Portfolio- AIRB method |
83,053 | 0.10 | % | 3,416 | 13.00 | % | 3,964 | 5 | % | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Central governments or central banks |
398 | 0.07 | % | 5 | 4.51 | % | 102 | 6 | 2 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
0,00 to <0,15 |
382 | 0.06 | % | 4 | 3.00 | % | 88 | 2 | 0 | % | ||||||||||||||||||
0,15 to <0,25 |
16 | 0.20 | % | 1 | 40.00 | % | 417 | 5 | 29 | % | ||||||||||||||||||
0,25 to <0,50 |
| | | | | | | |||||||||||||||||||||
0,50 to <0,75 |
| | | | | | | |||||||||||||||||||||
0,75 to <2,50 |
| | | | | | | |||||||||||||||||||||
2,50 to <10,00 |
| | | | | | | |||||||||||||||||||||
10,00 to <100,00 |
| | | | | | | |||||||||||||||||||||
100,00 (Default) |
| | | | | | | |||||||||||||||||||||
Institutions |
78,521 | 0.10 | % | 978 | 11.72 | % | 229 | 2,330 | 3 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
0,00 to <0,15 |
66,024 | 0.06 | % | 717 | 13.13 | % | 215 | 1,794 | 3 | % | ||||||||||||||||||
0,15 to <0,25 |
6,601 | 0.20 | % | 54 | 3.79 | % | 412 | 243 | 4 | % | ||||||||||||||||||
0,25 to <0,50 |
4,464 | 0.31 | % | 46 | 4.46 | % | 207 | 154 | 3 | % | ||||||||||||||||||
0,50 to <0,75 |
817 | 0.51 | % | 13 | 4.82 | % | 129 | 51 | 6 | % | ||||||||||||||||||
0,75 to <2,50 |
519 | 1.06 | % | 135 | 8.40 | % | 93 | 77 | 15 | % | ||||||||||||||||||
2,50 to <10,00 |
97 | 4.08 | % | 11 | 3.28 | % | | 10 | 10 | % | ||||||||||||||||||
10,00 to <100,00 |
0 | 37.80 | % | 2 | 45.00 | % | 1,825 | 0 | 305 | % | ||||||||||||||||||
100,00 (Default) |
| | | | | | | |||||||||||||||||||||
Corporate - SMEs |
138 | 11.12 | % | 932 | 40.05 | % | 474 | 122 | 89 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
0,00 to <0,15 |
6 | 0.11 | % | 173 | 40.42 | % | 406 | 1 | 13 | % | ||||||||||||||||||
0,15 to <0,25 |
7 | 0.20 | % | 59 | 40.30 | % | 357 | 1 | 20 | % | ||||||||||||||||||
0,25 to <0,50 |
11 | 0.31 | % | 124 | 40.59 | % | 338 | 4 | 33 | % | ||||||||||||||||||
0,50 to <0,75 |
25 | 0.54 | % | 152 | 39.21 | % | 270 | 15 | 58 | % | ||||||||||||||||||
0,75 to <2,50 |
42 | 1.18 | % | 215 | 40.19 | % | 558 | 34 | 80 | % | ||||||||||||||||||
2,50 to <10,00 |
30 | 5.63 | % | 158 | 39.23 | % | 511 | 38 | 129 | % | ||||||||||||||||||
10,00 to <100,00 |
5 | 20.22 | % | 21 | 42.05 | % | 1,234 | 10 | 192 | % | ||||||||||||||||||
100,00 (Default) |
12 | 100.00 | % | 30 | 41.60 | % | 415 | 20 | 167 | % | ||||||||||||||||||
Corporate - Non-SMEs |
3,992 | 0.44 | % | 1,027 | 37.78 | % | 560 | 1,504 | 38 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
0,00 to <0,15 |
2,221 | 0.12 | % | 267 | 34.60 | % | 425 | 433 | 20 | % | ||||||||||||||||||
0,15 to <0,25 |
479 | 0.20 | % | 116 | 38.59 | % | 563 | 169 | 35 | % | ||||||||||||||||||
0,25 to <0,50 |
789 | 0.31 | % | 223 | 43.84 | % | 712 | 412 | 52 | % | ||||||||||||||||||
0,50 to <0,75 |
138 | 0.51 | % | 148 | 43.06 | % | 816 | 99 | 71 | % | ||||||||||||||||||
0,75 to <2,50 |
284 | 1.36 | % | 164 | 40.57 | % | 1,057 | 292 | 103 | % | ||||||||||||||||||
2,50 to <10,00 |
71 | 4.19 | % | 85 | 42.44 | % | 492 | 88 | 123 | % | ||||||||||||||||||
10,00 to <100,00 |
5 | 15.03 | % | 13 | 43.90 | % | 1,259 | 11 | 222 | % | ||||||||||||||||||
100,00 (Default) |
3 | 100.00 | % | 11 | 43.72 | % | 978 | 1 | 16 | % | ||||||||||||||||||
Retail - Other SMEs |
3 | 13.08 | % | 464 | 40.02 | % | | 1 | 38 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
0,00 to <0,15 |
0 | 0.12 | % | 73 | 40.00 | % | | 0 | 8 | % | ||||||||||||||||||
0,15 to <0,25 |
0 | 0.20 | % | 11 | 40.00 | % | | | 0 | % | ||||||||||||||||||
0,25 to <0,50 |
1 | 0.31 | % | 58 | 40.00 | % | | 0 | 17 | % | ||||||||||||||||||
0,50 to <0,75 |
0 | 0.51 | % | 45 | 40.00 | % | | 0 | 22 | % | ||||||||||||||||||
0,75 to <2,50 |
1 | 1.12 | % | 95 | 40.13 | % | | 0 | 34 | % | ||||||||||||||||||
2,50 to <10,00 |
1 | 5.02 | % | 127 | 40.00 | % | | 1 | 46 | % | ||||||||||||||||||
10,00 to <100,00 |
1 | 22.30 | % | 40 | 40.00 | % | | 0 | 63 | % | ||||||||||||||||||
100,00 (Default) |
0 | 100.00 | % | 15 | 40.05 | % | | 0 | 14 | % | ||||||||||||||||||
Retail - Other Non-SMEs |
0 | 3.07 | % | 10 | 40.00 | % | | 0 | 39 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
0,00 to <0,15 |
0 | 0.10 | % | 6 | 40.00 | % | | 0 | 10 | % | ||||||||||||||||||
0,15 to <0,25 |
| | | | | | | |||||||||||||||||||||
0,25 to <0,50 |
| | | | | | | |||||||||||||||||||||
0,50 to <0,75 |
0 | 0.51 | % | 3 | 40.00 | % | | 0 | 33 | % | ||||||||||||||||||
0,75 to <2,50 |
| | | | | | | |||||||||||||||||||||
2,50 to <10,00 |
0 | 3.84 | % | 1 | 40.00 | % | | 0 | 45 | % | ||||||||||||||||||
10,00 to <100,00 |
| | | | | | | |||||||||||||||||||||
100,00 (Default) |
| | | | | | | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total Advanced Approach |
83,906 | 0.13 | % | 3,676 | 12.99 | % | 4,613 | 5 | % | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | PD Intervals recommended by the EBA Guidelines on Disclosure Requirements under Part Eight of the CRR. |
(2) | Corresponds to obligor grade PD weighted by EAD post CRM. |
(3) | Corresponds to obligor grade LGD weighted by EAD post CRM. |
(4) | Corresponds to the obligor maturity in days weighted by EAD post CRM. According to Regulation (EU) No 680/2014, it is reported only for categories in which the average maturities are relevant for the calculation of RWAs. |
(5) | Exposure classified in the FIRB approach corresponds to specialised lending exposure. The Group has chosen to use the slotting criteria, in line with Article 153.5 of the CRR. |
BBVA. PILLAR III 2020 | 3. RISK | P. 89 |
EU CCR4 - IRB approach - CCR exposures by portfolio and PD scale (Million Euros. 12-31-2019)
PD scale as of 31-12-2019(1) |
EAD post-CRM |
Average PD(2) |
Number of Obligors |
Average LGD(3) |
Average Maturity (days)(4) |
RWAs | RWA Density |
|||||||||||||||||||||
Prudential Portfolio- FIRB method(5) |
964 | | 275 | | 800 | 83 | % | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Corporate - Specialised lending |
964 | | 275 | | | 800 | 83 | % | ||||||||||||||||||||
Prudential Portfolio- AIRB method |
85,635 | 0.21 | % | 3,368 | 11.66 | % | 3,622 | 4 | % | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Central governments or central banks |
1,599 | 0.05 | % | 5 | 2.10 | % | 8 | 9 | 1 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
0,00 to <0,15 |
1,586 | 0.05 | % | 4 | 1.79 | % | 2 | 4 | 0 | % | ||||||||||||||||||
0,15 to <0,25 |
13 | 0.20 | % | 1 | 40.00 | % | 782 | 5 | 38 | % | ||||||||||||||||||
0,25 to <0,50 |
| | | | | | | |||||||||||||||||||||
0,50 to <0,75 |
| | | | | | | |||||||||||||||||||||
0,75 to <2,50 |
| | | | | | | |||||||||||||||||||||
2,50 to <10,00 |
| | | | | | | |||||||||||||||||||||
10,00 to <100,00 |
| | | | | | | |||||||||||||||||||||
100,00 (Default) |
| | | | | | | |||||||||||||||||||||
Institutions |
81,073 | 0.14 | % | 1,062 | 10.81 | % | 115 | 2,402 | 3 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
0,00 to <0,15 |
62,300 | 0.06 | % | 771 | 13.37 | % | 144 | 1,984 | 3 | % | ||||||||||||||||||
0,15 to <0,25 |
7,927 | 0.20 | % | 71 | 2.51 | % | 8 | 132 | 2 | % | ||||||||||||||||||
0,25 to <0,50 |
7,164 | 0.31 | % | 44 | 1.76 | % | 31 | 124 | 2 | % | ||||||||||||||||||
0,50 to <0,75 |
1,590 | 0.51 | % | 21 | 4.08 | % | 49 | 75 | 5 | % | ||||||||||||||||||
0,75 to <2,50 |
1,854 | 1.34 | % | 136 | 2.00 | % | 9 | 66 | 4 | % | ||||||||||||||||||
2,50 to <10,00 |
238 | 3.60 | % | 15 | 3.20 | % | 50 | 20 | 9 | % | ||||||||||||||||||
10,00 to <100,00 |
0 | 36.30 | % | 4 | 44.65 | % | 1,726 | 1 | 296 | % | ||||||||||||||||||
100,00 (Default) |
| | | | | | | |||||||||||||||||||||
CorporateSMEs |
139 | 32.80 | % | 787 | 49.92 | % | 462 | 123 | 89 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
0,00 to <0,15 |
4 | 0.10 | % | 228 | 40.40 | % | 470 | 1 | 14 | % | ||||||||||||||||||
0,15 to <0,25 |
1 | 0.21 | % | 50 | 40.98 | % | 876 | 0 | 38 | % | ||||||||||||||||||
0,25 to <0,50 |
5 | 0.30 | % | 81 | 41.06 | % | 777 | 2 | 44 | % | ||||||||||||||||||
0,50 to <0,75 |
24 | 0.53 | % | 79 | 40.54 | % | 508 | 16 | 65 | % | ||||||||||||||||||
0,75 to <2,50 |
32 | 1.17 | % | 159 | 40.06 | % | 722 | 27 | 84 | % | ||||||||||||||||||
2,50 to <10,00 |
26 | 3.99 | % | 128 | 39.55 | % | 595 | 29 | 113 | % | ||||||||||||||||||
10,00 to <100,00 |
4 | 20.47 | % | 22 | 38.20 | % | 314 | 9 | 235 | % | ||||||||||||||||||
100,00 (Default) |
43 | 100.00 | % | 40 | 71.79 | % | 134 | 40 | 92 | % | ||||||||||||||||||
Corporate - Non-SMEs |
2,820 | 0.47 | % | 847 | 39.67 | % | 686 | 1,087 | 39 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
0,00 to <0,15 |
1,684 | 0.11 | % | 283 | 37.75 | % | 661 | 429 | 26 | % | ||||||||||||||||||
0,15 to <0,25 |
284 | 0.20 | % | 117 | 41.95 | % | 661 | 107 | 38 | % | ||||||||||||||||||
0,25 to <0,50 |
588 | 0.31 | % | 209 | 43.83 | % | 710 | 308 | 52 | % | ||||||||||||||||||
0,50 to <0,75 |
93 | 0.50 | % | 88 | 43.16 | % | 631 | 64 | 69 | % | ||||||||||||||||||
0,75 to <2,50 |
119 | 1.10 | % | 74 | 36.68 | % | 836 | 93 | 78 | % | ||||||||||||||||||
2,50 to <10,00 |
48 | 5.15 | % | 57 | 42.84 | % | 1,144 | 77 | 159 | % | ||||||||||||||||||
10,00 to <100,00 |
4 | 14.99 | % | 11 | 43.58 | % | 894 | 8 | 215 | % | ||||||||||||||||||
100,00 (Default) |
0 | 100.00 | % | 8 | 41.40 | % | 1,301 | 0 | 14 | % | ||||||||||||||||||
Retail - Other SMEs |
4 | 23.01 | % | 656 | 40.02 | % | | 1 | 27 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
0,00 to <0,15 |
0 | 0.12 | % | 110 | 40.10 | % | | 0 | 10 | % | ||||||||||||||||||
0,15 to <0,25 |
0 | 0.19 | % | 30 | 40.00 | % | | 0 | 13 | % | ||||||||||||||||||
0,25 to <0,50 |
1 | 0.27 | % | 99 | 40.00 | % | | 0 | 16 | % | ||||||||||||||||||
0,50 to <0,75 |
0 | 0.48 | % | 57 | 40.00 | % | | 0 | 21 | % | ||||||||||||||||||
0,75 to <2,50 |
1 | 1.13 | % | 129 | 40.01 | % | | 0 | 33 | % | ||||||||||||||||||
2,50 to <10,00 |
1 | 5.20 | % | 164 | 40.00 | % | | 0 | 45 | % | ||||||||||||||||||
10,00 to <100,00 |
0 | 17.01 | % | 36 | 40.12 | % | | 0 | 61 | % | ||||||||||||||||||
100,00 (Default) |
1 | 100.00 | % | 31 | 40.02 | % | | 0 | 14 | % | ||||||||||||||||||
Retail - Other Non-SMEs |
0 | 0.10 | % | 11 | 40.00 | % | | 0 | 7 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
0,00 to <0,15 |
0 | 0.10 | % | 11 | 40.00 | % | | 0 | 7 | % | ||||||||||||||||||
0,15 to <0,25 |
| | | | | | | |||||||||||||||||||||
0,25 to <0,50 |
| | | | | | | |||||||||||||||||||||
0,50 to <0,75 |
| | | | | | | |||||||||||||||||||||
0,75 to <2,50 |
| | | | | | | |||||||||||||||||||||
2,50 to <10,00 |
| | | | | | | |||||||||||||||||||||
10,00 to <100,00 |
| | | | | | | |||||||||||||||||||||
100,00 (Default) |
| | | | | | | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total Advanced Approach |
86,599 | 0.21 | % | 3,643 | 11.66 | % | 4,423 | 5 | % | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | PD Intervals recommended by the EBA Guidelines on Disclosure Requirements under Part Eight of the CRR. |
(2) | Corresponds to obligor grade PD weighted by EAD post CRM. |
(3) | Corresponds to obligor grade LGD weighted by EAD post CRM. |
(4) | Corresponds to the obligor maturity in days weighted by EAD post CRM. According to Regulation (EU) No 680/2014, it is reported only for categories in which the average maturities are relevant for the calculation of RWAs. |
(5) | Exposure classified in the FIRB approach corresponds to specialised lending exposure. The Group has chosen to use the slotting criteria, in line with Article 153.5 of the CRR. |
BBVA. PILLAR III 2020 | 3. RISK | P. 90 |
Table 44. EU CCR5-B - Composition of collateral for exposure to Counterparty Credit Risk(1) (Million Euros. 12-31-2020)
Collateral used in derivative transactions | Collateral used in SFTs | |||||||||||||||||||||||
Fair Value of Collateral received |
Fair Value of posted Collateral(1) |
Fair Value of Collateral received |
Fair Value of posted Collateral |
|||||||||||||||||||||
Segregated(2) | Unsegregated(3) | Segregated(2) | Unsegregated(3) | |||||||||||||||||||||
Cash- domestic currency |
| 2,688 | 4 | 7,159 | 23,290 | 26,939 | ||||||||||||||||||
Cash- other currencies |
| 2,162 | 1 | 1,503 | 19,141 | 7,218 | ||||||||||||||||||
Domestic sovereign debt |
| | | | 8,081 | 15,650 | ||||||||||||||||||
Other sovereign debt |
| | | 20 | 14,377 | 13,179 | ||||||||||||||||||
Government agency debt |
| | | | 144 | 209 | ||||||||||||||||||
Corporate bonds |
| 998 | | | 5,658 | 11,274 | ||||||||||||||||||
Equity securities |
| | | | | 2,435 | ||||||||||||||||||
Other collateral |
| 1,853 | | 110 | 2,810 | | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||
Total |
| 7,701 | 4 | 8,792 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(1) | In accordance with Articles 279 and 298 of Regulation (EU) 2015/13 regarding the treatment of collateral for the purpose of calculating counterparty risk, the amount of collateral provided as collateral for the netting of derivative liability arrangements has been taken into account in the EAD calculation. |
(2) | Refers to collateral that is held in a bankruptcy-remote manner. (3) Refers to collateral that is not held in a bankruptcy-remote manner. |
EU CCR5-B - Composition of collateral for exposure to Counterparty Credit Risk(1) (Million Euros. 12-31-2019)
Collateral used in derivative transactions | Collateral used in SFTs | |||||||||||||||||||||||
Fair Value of Collateral received |
Fair Value of posted Collateral(1) |
Fair Value of Collateral received |
Fair Value of posted Collateral |
|||||||||||||||||||||
Segregated(2) |
Unsegregated(3) |
Segregated(2) |
Unsegregated(3) |
|||||||||||||||||||||
Cash- domestic currency |
| 2,549 | | 6,242 | 29,306 | 29,259 | ||||||||||||||||||
Cash- other currencies |
| 1,113 | | 1,154 | 16,601 | 6,371 | ||||||||||||||||||
Domestic sovereign debt |
| | | | 5,163 | 19,708 | ||||||||||||||||||
Other sovereign debt |
| 5 | | | 7,947 | 14,411 | ||||||||||||||||||
Government agency debt |
| 2 | | | 162 | 215 | ||||||||||||||||||
Corporate bonds |
| 960 | | | 5,029 | 7,833 | ||||||||||||||||||
Equity securities |
| | | | | 3,526 | ||||||||||||||||||
Other collateral |
| 1,811 | | | 14,093 | 29 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||
Total |
| 6,440 | | 7,397 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(1) | In accordance with Articles 279 and 298 of Regulation (EU) 2015/13 regarding the treatment of collateral for the purpose of calculating counterparty risk, the amount of collateral provided as collateral for the netting of derivative liability arrangements has been taken into account in the EAD calculation. |
(2) | Refers to collateral that is held in a bankruptcy-remote manner. (3) Refers to collateral that is not held in a bankruptcy-remote manner. |
Table 45. EU CCR6 - Credit derivatives exposures (Million Euros. 12-31-2020)
Credit derivative hedges | ||||||||||||
Protection Bought |
Protection Sold |
Other credit derivatives |
||||||||||
Notionals |
10,148 | 14,110 | | |||||||||
|
|
|
|
|
|
|||||||
Single-name credit default swaps |
5,166 | 6,243 | | |||||||||
Index credit default swaps |
4,982 | 5,985 | | |||||||||
Total return swaps |
| 1,882 | | |||||||||
Credit options |
| | | |||||||||
Other credit derivatives |
| | | |||||||||
Fair Values |
(122 | ) | (30 | ) | | |||||||
|
|
|
|
|
|
|||||||
Positive fair value (asset) |
21 | 132 | | |||||||||
Negative fair value (liability) |
(142 | ) | (163 | ) | |
BBVA. PILLAR III 2020 | 3. RISK | P. 91 |
EU CCR6 - EU CCR6 - Credit derivatives exposures (Million Euros. 12-31-2019)
Credit derivative hedges | Other credit derivatives |
|||||||||||
Protection Bought |
Protection Sold |
|||||||||||
Notionals |
12,431 | 16,646 | | |||||||||
|
|
|
|
|
|
|||||||
Single-name credit default swaps |
5,718 | 6,934 | | |||||||||
Index credit default swaps |
6,713 | 7,338 | | |||||||||
Total return swaps |
| 2,225 | | |||||||||
Credit options |
| 150 | | |||||||||
Other credit derivatives |
| | | |||||||||
Fair Values |
(218 | ) | 174 | | ||||||||
|
|
|
|
|
|
|||||||
Positive fair value (asset) |
36 | 316 | | |||||||||
Negative fair value (liability) |
(255 | ) | (143 | ) | |
Table 46. EU CCR2 - CVA Capital Charge (Million Euros. 12-31-2020)
Exposure value |
RWA | |||||||
Total portfolios subject to the advanced method |
| | ||||||
(i) VaR component (included 3x multiplier) |
| | ||||||
(ii) SVaR component (included 3x multiplier) |
| | ||||||
All portfolios subject to the standardised method |
7,369 | 1,485 | ||||||
|
|
|
|
|||||
Total subject to the CVA capital charge |
7,369 | 1,485 | ||||||
|
|
|
|
EU CCR2 - CVA Capital Charge (Million Euros. 12-31-2019)
Exposure value |
RWA | |||||||
Total portfolios subject to the advanced method |
| | ||||||
(i) VaR component (included 3x multiplier) |
| | ||||||
(ii) SVaR component (included 3x multiplier) |
| | ||||||
All portfolios subject to the standardised method |
7.283 | 1.529 | ||||||
|
|
|
|
|||||
Total subject to the CVA capital charge |
7.283 | 1.529 | ||||||
|
|
|
|
BBVA. PILLAR III 2020 | 3. RISK | P. 92 |
Table 48. EU CCR8- Exposures to CCPs (Million Euros)
12-31-2020 | 12-31-2019 | |||||||||||||||
EAD post CRM |
RWA | EAD post CRM |
RWA | |||||||||||||
Exposures to QCCPs (total) |
458 | 198 | ||||||||||||||
Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which |
6,812 | 349 | 5,823 | 139 | ||||||||||||
(i) OTC Derivatives |
4,738 | 114 | 4,939 | 121 | ||||||||||||
(ii) Exchange-traded derivatives |
1,729 | 228 | 520 | 10 | ||||||||||||
(iii) Securities financing transactions (SFTs) |
346 | 7 | 364 | 7 | ||||||||||||
(iv) Netting sets where cross-product netting has been approved |
| | | | ||||||||||||
Segregated initial margin |
1,372 | 1,239 | ||||||||||||||
Non-segregated initial margin |
576 | 20 | 340 | 16 | ||||||||||||
Pre-funded default fund contributions |
132 | 89 | 111 | 44 | ||||||||||||
Alternative calculation of own funds requirements for exposures |
| | ||||||||||||||
|
|
|
|
|||||||||||||
Exposures to non-QCCPs (total) |
667 | 690 | ||||||||||||||
|
|
|
|
|||||||||||||
Exposures for trades at non-QCCPs (excluding initial margin and default to contributions); of which |
17 | 20 | 273 | 273 | ||||||||||||
(i) OTC Derivatives |
10 | 10 | 42 | 42 | ||||||||||||
(ii) Exchange-traded derivatives |
6 | 9 | 6 | 9 | ||||||||||||
(iii) Securities financing transactions (SFTs) |
1 | 1 | 225 | 222 | ||||||||||||
(iv) Netting sets where cross-product netting has been approved |
| | | | ||||||||||||
Segregated initial margin |
171 | | ||||||||||||||
Non-segregated initial margin |
710 | 647 | 496 | 417 | ||||||||||||
Pre-funded default fund contributions |
| | 1 | 0 | ||||||||||||
Unfunded default fund contributions |
| | | |
BBVA. PILLAR III 2020 | 3. RISK | P. 94 |
BBVA. PILLAR III 2020 | 3. RISK | P. 95 |
Table 49. SEC1 Securitisation exposures in the banking book (Million Euros. 12-31-2020)
Bank acts as originator | Bank acts as sponsor | Bank acts as investor | ||||||||||||||||||||||||||||||||||||||||||||||
Traditional | Of which: STS |
Synthetic | Subtotal | Traditional | Of which: STS |
Synthetic | Subtotal | Traditional | Of which: STS |
Synthetic | Subtotal | |||||||||||||||||||||||||||||||||||||
Retail (total)-of which |
269 | 269 | 932 | 1,200 | | | | | 411 | 73 | | 411 | ||||||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Residential mortgage |
| | | | | | | | 337 | | | 337 | ||||||||||||||||||||||||||||||||||||
Credit card |
| | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
Other retail exposures |
269 | 269 | 932 | 1,200 | | | | | 73 | 73 | | 73 | ||||||||||||||||||||||||||||||||||||
Re-Securitisation |
| | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Wholesale (total)-of which |
| | | | | | | | 54 | | | 54 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Loans to corporates |
| | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
Commercial mortgage |
| | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
Lease and receivables |
| | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
Other wholesale |
| | | | | | | | 54 | | | 54 | ||||||||||||||||||||||||||||||||||||
Re-Securitisation |
| | | | | | | | | | | |
SEC1- Securitisation exposures in the banking book (Million Euros. 12-31-2019)
Bank acts as originator | Bank acts as sponsor | Bank acts as investor | ||||||||||||||||||||||||||||||||||
Traditional | Synthetic | Subtotal | Traditional | Synthetic | Subtotal | Traditional | Synthetic | Subtotal | ||||||||||||||||||||||||||||
Retail (total)-of which |
788 | | 788 | | | | 474 | | 474 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Residential mortgage |
| | | | | | 474 | | 474 | |||||||||||||||||||||||||||
Credit card |
| | | | | | | | | |||||||||||||||||||||||||||
Other retail exposures |
788 | | 788 | | | | | | | |||||||||||||||||||||||||||
Re-Securitisation |
| | | | | | | | | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Wholesale (total)-of which |
65 | 1,447 | 1,511 | | | | 75 | | 75 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Loans to corporates |
23 | 1,447 | 1,470 | | | | 44 | | 44 | |||||||||||||||||||||||||||
Commercial mortgage |
| | | | | | 1 | | 1 | |||||||||||||||||||||||||||
Lease and receivables |
42 | | 42 | | | | | | | |||||||||||||||||||||||||||
Other wholesale |
| | | | | | 30 | | 30 | |||||||||||||||||||||||||||
Re-Securitisation |
| | | | | | | | |
The table below shows the amounts in terms of EAD of securitisation positions for the trading book:
Table 50. SEC2 Securitisation exposures in the trading book (Million euros. 12-31-2020)
Bank acts as originator | Bank acts as sponsor | Bank acts as investor | ||||||||||||||||||||||||||||||||||||||||||||||
Traditional | Of Which: STS |
Synthetic | Subtotal | Traditional | Of Which: STS |
Synthetic | Subtotal | Traditional | Of Which: STS |
Synthetic | Subtotal | |||||||||||||||||||||||||||||||||||||
Retail (total)-of which |
| | | | | | 16 | | | 16 | ||||||||||||||||||||||||||||||||||||||
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Residential mortgage |
| | | | | | 16 | | | 16 | ||||||||||||||||||||||||||||||||||||||
Credit card |
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Other retail exposures |
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Re-Securitisation |
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Wholesale (total)-of which |
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Loans to corporates |
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Commercial mortgage |
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Lease and receivables |
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Other wholesale |
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Re-Securitisation |
| | | | | | | | | | | |
(*) | Positions in securitisations posted in the trading portfolio are included. |
BBVA. PILLAR III 2020 | RISK | P. 96 |
Table 51. SEC4Securitisation exposures in the banking book and associated regulatory capital requirements bank acting as investor (Million Euros. 12-31-2020)
Exposure values (by RW bands) | Exposure values (by regulatory approach) |
RWA (by regulatory approach) | Capital requirement after cap | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
£20% RW |
>20% to 50% RW |
>50% to 100% RW |
>100% to <1250% RW |
1250% RW |
SEC-IRBA | SEC-ERBA & SEC-IAA |
SEC-SA | 1250% | SEC-IRBA | SEC-ERBA & SEC-IAA |
SEC-SA | 1250% | SEC-IRBA | SEC-ERBA & SEC-IAA |
SEC-SA | 1250% | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Exposures |
75 | 308 | 50 | 9 | 7 | | 442 | | 7 | | 204 | | | | 16 | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
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Traditional Securitisation |
75 | 308 | 50 | 9 | 7 | | 442 | | 7 | | 204 | | | | 16 | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
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Of which Securitisation |
75 | 308 | 50 | 9 | 7 | | 442 | | 7 | | 204 | | | | 16 | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which retail underlying |
74 | 269 | 38 | 8 | 6 | | 388 | | 6 | | 175 | | | | 14 | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which STS |
73 | | | | | | 73 | | | | 7 | | | | 1 | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which wholesale |
1 | 39 | 12 | 2 | | 54 | | | 29 | | | | 2 | | | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Of which STS |
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Of which re-Securitisation |
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Of which senior |
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Of which non-senior |
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Synthetic Securitisation |
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Of which Securitisation |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which retail underlying |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which wholesale |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which re-Securitisation |
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Of which senior |
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Of which non-senior |
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De la cual, preferente |
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De la cual, no preferente |
* | Securitisations with a risk weighting of 1250% are deducted from own funds, as explained in section m) of chapter 2.1 of this report. |
SEC4 - Securitisation exposures in the banking book and associated regulatory capital requirements bank acting as investor (Million Euros. 12-31-2019)
Exposure values (by RW bands) | Exposure values (by regulatory approach) |
RWA (by regulatory approach) | Capital requirement after cap | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
£20% RW |
>20% to 50% RW |
>50% to 100% RW |
>100% to <1250% RW |
1250% RW |
SEC-IRBA | SEC-ERBA & SEC-IAA |
SEC-SA | 1250% | SEC-IRBA | SEC-ERBA & SEC-IAA |
SEC-SA | 1250% | SEC-IRBA | SEC-ERBA & SEC-IAA |
SEC-SA | 1250% | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Exposures |
395 | 120 | 5 | 5 | 25 | 411 | | 113 | 25 | 38 | | 60 | 1 | 3 | | 5 | | |||||||||||||||||||||||||||||||||||||||||||||||||||
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Traditional Securitisation |
395 | 120 | 5 | 5 | 25 | 411 | | 113 | 25 | 38 | | 60 | 1 | 3 | | 5 | | |||||||||||||||||||||||||||||||||||||||||||||||||||
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Of which Securitisation |
395 | 120 | 5 | 5 | 25 | 411 | | 113 | 25 | 38 | | 60 | 1 | 3 | | 5 | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which retail underlying |
388 | 52 | 5 | 5 | 25 | 380 | | 69 | 25 | 30 | | 39 | 1 | 2 | | 3 | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which wholesale |
6 | 68 | | | | 31 | | 44 | | 8 | | 21 | | 1 | | 2 | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which re-Securitisation |
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Of which senior |
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Of which non-senior |
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Synthetic Securitisation |
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Of which Securitisation |
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Of which retail underlying |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which wholesale |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which re-Securitisation |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which senior |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which non-senior |
| | | | | | | | | | | | | | | | |
* | Securitisations with a risk weighting of 1250% are deducted from own funds, as explained in section m) of chapter 2.1 of this report. |
BBVA. PILLAR III 2020 | 3. RISK | P. 97 |
BBVA. PILLAR III 2020 | RISK | P. 98 |
Table 52. SEC3Securitisation exposures in the banking book and associated regulatory capital requirements bank acting as originator or as sponsor (Million Euros. 12-31-2020)
Exposure values (by RW bands) | Exposure values (by regulatory approach) |
RWA (by regulatory approach) | Capital requirement after cap | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
£20% RW |
>20% to 50% RW |
>50% to 100% RW |
>100% to <1250% RW |
1250% RW | SEC-IRBA | SEC-ERBA & SEC-IAA |
SEC-SA | 1250% | SEC-IRBA | SEC-ERBA & SEC-IAA |
SEC-SA | 1250% | SEC-IRBA | SEC-ERBA & SEC-IAA |
SEC-SA | 1250% | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Exposures |
1,175 | | | 3 | 22 | 1,178 | | | 22 | 143 | | | | 11 | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
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Traditional Securitisation |
264 | | | 3 | 2 | 267 | | | 2 | 52 | | | | 4 | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
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Of which Securitisation |
264 | | | 3 | 2 | 267 | | | 2 | 52 | | | | 4 | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which retail underlying |
264 | | | 3 | 2 | 267 | | | 2 | 52 | | | | 4 | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which STS |
264 | | | 3 | 2 | 267 | | | 2 | 52 | | | | 4 | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which wholesale |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which STS |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which re-Securitisation |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which senior |
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Of which non-senior |
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Synthetic Securitisation |
911 | | | | 21 | 911 | | | 21 | 91 | | | | 7 | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
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Of which Securitisation |
911 | | | | 21 | 911 | | | 21 | 91 | | | | 7 | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which retail underlying |
911 | | | | 21 | 911 | | | 21 | 91 | | | | 7 | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which wholesale |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which re-Securitisation |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which senior |
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Of which non-senior |
| | | | | | | | | | | | | | | | |
(*) | Securitisations with a risk weighting of 1250% are deducted from own funds, as explained in section m) of chapter 2.1 of this report. |
SEC3Securitisation exposures in the banking book and associated regulatory capital requirements bank acting as originator or as sponsor (Million Euros. 12-31-2019)
Exposure values (by RW bands) | Exposure values (by regulatory approach) |
RWA (by regulatory approach) | Capital requirement after cap | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
£20% RW | >20% to 50% RW |
>50% to 100% RW |
>100% to <1250% RW |
1250% RW | SEC-IRBA | SEC-ERBA & SEC-IAA |
SEC-SA | 1250% | SEC-IRBA | SEC-ERBA & SEC-IAA |
SEC-SA | 1250% | SEC-IRBA | SEC-ERBA & SEC-IAA |
SEC-SA | 1250% | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Exposures |
2,150 | 33 | | 1 | 116 | 785 | 1,398 | | 116 | 86 | 98 | | 634 | 7 | | | 51 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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Traditional Securitisation |
752 | 33 | | 1 | 67 | 785 | | | 67 | 86 | | | 24 | 7 | | | 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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Of which Securitisation |
752 | 33 | | 1 | 67 | 785 | | | 67 | 86 | | | 24 | 7 | | | 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which retail underlying |
752 | 33 | | 1 | 3 | 785 | | | 3 | 86 | | | | 7 | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which wholesale |
| | | | 65 | | | | 65 | | | | 24 | | | | 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which re-Securitisation |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which senior |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which non-senior |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Synthetic Securitisation |
1,398 | | | | 49 | | 1,398 | | 49 | | 98 | | 610 | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||||
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Of which Securitisation |
1,398 | | | | 49 | | 1,398 | | 49 | | | | 610 | | | | 49 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which retail underlying |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which wholesale |
1,398 | | | | 49 | | 1,398 | | 49 | | 98 | | 610 | | | | 49 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which re-Securitisation |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which senior |
| | | | | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Of which non-senior |
| | | | | | | | | | | | | | | | |
(*) | Securitisations with a risk weighting of 1250% are deducted from own funds, as explained in section m) of chapter 2.1 of this report. |
BBVA. PILLAR III 2020 | 3. RISK | P. 99 |
BBVA. PILLAR III 2020 | 3. RISK | P. 100 |
BBVA. PILLAR III 2020 | 3. RISK | P. 101 |
Table 55. EU CR3CRM techniques overview (Million Euros. 12-31-2020)
Exposures | Exposures | |||||||||||||||||||
Exposures | Exposures | Exposures | secured by | secured | ||||||||||||||||
unsecured - | secured - | secured by | financial | by credit | ||||||||||||||||
carrying amount | Carrying amount | collateral | guarantees(1) | derivatives | ||||||||||||||||
Total Loans |
239,644 | 163,879 | 116,867 | 47,012 | | |||||||||||||||
Total debt securities |
84,786 | | | | | |||||||||||||||
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Total exposures |
324,430 | 163,879 | 116,867 | 47,012 | | |||||||||||||||
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Of which: defaulted |
10,552 | 4,152 | 3,577 | 575 | |
(1) | Excluding personal guarantees (unfunded credit protection which impacts on the PD but not in EAD. |
EU CR3CRM techniques overview (Million Euros. 12-31-2019)
Exposures | Exposures | Exposures | ||||||||||||||||||
Exposures | secured - | Exposures | secured by | secured | ||||||||||||||||
unsecured - | Carrying | secured by | financial | by credit | ||||||||||||||||
carrying amount | amount | collateral | guarantees(1) | derivatives | ||||||||||||||||
Total Loans |
238,603 | 211,736 | 152,341 | 59,395 | | |||||||||||||||
Total debt securities |
77,568 | | | | | |||||||||||||||
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Total exposures |
316,171 | 211,736 | 152,341 | 59,395 | | |||||||||||||||
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Of which: defaulted |
10,858 | 5,132 | 4,590 | 542 | |
(1) | Excluding personal guarantees (unfunded credit protection which impacts on the PD but not in EAD. |
BBVA. PILLAR III 2020 | 3. RISK | P. 102 |
Table 56. Breakdown of RWA density by geographical area and approach (12-31-2020)
RWA density(1)(2) | ||||||||||||||||||||||||||||
Category of exposure |
Total | Spain(3) | Turkey | Mexico | USA | South America |
Other areas(4) |
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Central governments or central banks |
14 | % | 12 | % | 58 | % | 11 | % | 1 | % | 39 | % | 1 | % | ||||||||||||||
Regional governments or local authorities |
32 | % | 16 | % | 100 | % | 63 | % | 20 | % | 83 | % | 20 | % | ||||||||||||||
Public sector entities |
42 | % | | 98 | % | 52 | % | 20 | % | 63 | % | 19 | % | |||||||||||||||
Multilateral Development Banks |
2 | % | | | | | 9 | % | | |||||||||||||||||||
International organisations |
| | | | | | | |||||||||||||||||||||
Institutions |
46 | % | 23 | % | 70 | % | 81 | % | 22 | % | 56 | % | 31 | % | ||||||||||||||
Corporates |
97 | % | 94 | % | 95 | % | 99 | % | 99 | % | 98 | % | 95 | % | ||||||||||||||
Retail |
70 | % | 63 | % | 68 | % | 71 | % | 74 | % | 73 | % | 72 | % | ||||||||||||||
Secured by mortgages on immovable property |
37 | % | 33 | % | 35 | % | 37 | % | 36 | % | 40 | % | 37 | % | ||||||||||||||
Exposures in default |
113 | % | 111 | % | 112 | % | 101 | % | 126 | % | 109 | % | 108 | % | ||||||||||||||
Exposures associated with particularly high risk |
150 | % | 150 | % | 150 | % | 150 | % | 150 | % | 150 | % | 150 | % | ||||||||||||||
Covered bonds |
| | | | | | | |||||||||||||||||||||
Short-term claims on institutions and corporate |
87 | % | | | | | 87 | % | | |||||||||||||||||||
Collective investments undertakings |
100 | % | 100 | % | 0 | % | 0 | % | 100 | % | | 100 | % | |||||||||||||||
Other exposures |
59 | % | 80 | % | 46 | % | 50 | % | 75 | % | 34 | % | 18 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total credit risk by standardised approach |
44 | % | 23 | % | 77 | % | 38 | % | 50 | % | 65 | % | 37 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Central governments or central banks |
6 | % | 71 | % | 96 | % | 49 | % | 1 | % | 18 | % | 9 | % | ||||||||||||||
Institutions |
8 | % | 13 | % | 132 | % | 59 | % | 14 | % | 15 | % | 6 | % | ||||||||||||||
Corporates |
52 | % | 56 | % | 90 | % | 72 | % | 37 | % | 53 | % | 42 | % | ||||||||||||||
Retail |
19 | % | 14 | % | 6 | % | 92 | % | 16 | % | 21 | % | 22 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total credit risk by IRB approach |
27 | % | 27 | % | 92 | % | 77 | % | 22 | % | 35 | % | 16 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Securitisation exposures |
21 | % | 19 | % | 0 | % | 0 | % | 74 | % | 0 | % | 0 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total credit risk dilution and delivery |
37 | % | 25 | % | 77 | % | 49 | % | 45 | % | 63 | % | 20 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Does not include equity exposures. |
(2) | Calculated as RWAs/EAD. |
(3) | In Spain, the category of Central Governments or Central Banks includes deferred tax assets net of deferred tax liabilities. |
(4) | Includes all other countries not included on the previous columns. The countries with the greatest exposure in this area are: United Kingdom, France, Italy, Germany and Portugal. |
Breakdown of RWA density by geographical area and approach (12-31-2019)
RWA density(1)(2) | ||||||||||||||||||||||||||||
Category of exposure |
Total | Spain(3) | Turkey | Mexico | USA | South America |
Other areas(4) |
|||||||||||||||||||||
Central governments or central banks |
20 | % | 19 | % | 48 | % | 11 | % | 2 | % | 53 | % | 4 | % | ||||||||||||||
Regional governments or local authorities |
23 | % | 20 | % | 100 | % | 50 | % | 20 | % | 73 | % | 20 | % | ||||||||||||||
Public sector entities |
44 | % | | 79 | % | 64 | % | 20 | % | 61 | % | | ||||||||||||||||
Multilateral Development Banks |
5 | % | | | | | 10 | % | | |||||||||||||||||||
International organisations |
| | | | | | | |||||||||||||||||||||
Institutions |
40 | % | 39 | % | 69 | % | 52 | % | 21 | % | 75 | % | 29 | % | ||||||||||||||
Corporates |
97 | % | 78 | % | 98 | % | 91 | % | 100 | % | 100 | % | 97 | % | ||||||||||||||
Retail |
70 | % | 62 | % | 68 | % | 72 | % | 74 | % | 73 | % | 71 | % | ||||||||||||||
Secured by mortgages on immovable property |
38 | % | 32 | % | 43 | % | 36 | % | 36 | % | 42 | % | 36 | % | ||||||||||||||
Exposures in default |
111 | % | 118 | % | 112 | % | 100 | % | 121 | % | 103 | % | 117 | % | ||||||||||||||
Exposures associated with particularly high risk |
150 | % | 150 | % | 150 | % | 150 | % | 150 | % | 150 | % | 150 | % | ||||||||||||||
Covered bonds |
| | | | | | | |||||||||||||||||||||
Short-term claims on institutions and corporate |
96 | % | | | | | 96 | % | | |||||||||||||||||||
Collective investments undertakings |
100 | % | 100 | % | 0 | % | 100 | % | 100 | % | | 100 | % | |||||||||||||||
Other exposures |
49 | % | 79 | % | 45 | % | 52 | % | 71 | % | 33 | % | 2 | % | ||||||||||||||
Securitisation exposures |
45 | % | | | 50 | % | 44 | % | | | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total credit risk by standardised approach |
52 | % | 31 | % | 74 | % | 38 | % | 62 | % | 71 | % | 36 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Central governments or central banks |
5 | % | 5 | % | 1 | % | 10 | % | 2 | % | 9 | % | 7 | % | ||||||||||||||
Institutions |
7 | % | 10 | % | 115 | % | 27 | % | 11 | % | 30 | % | 5 | % | ||||||||||||||
Corporates |
50 | % | 52 | % | 77 | % | 66 | % | 33 | % | 61 | % | 41 | % | ||||||||||||||
Retail |
22 | % | 16 | % | 11 | % | 95 | % | 18 | % | 25 | % | 25 | % | ||||||||||||||
Securitisation exposures |
27 | % | 27 | % | | | | | | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total credit risk by IRB approach |
27 | % | 27 | % | 60 | % | 72 | % | 22 | % | 38 | % | 16 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total credit risk dilution and delivery |
40 | % | 28 | % | 74 | % | 48 | % | 54 | % | 69 | % | 20 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Does not include equity exposures. |
(2) | Calculated as RWAs/EAD. |
(3) | In Spain, the category of Central Governments or Central Banks includes deferred tax assets net of deferred tax liabilities. |
(4) | Includes all other countries not included on the previous columns. The countries with the greatest exposure in this area are: United Kingdom, France, Italy, Germany and Portugal. |
BBVA. PILLAR III 2020 | 3. RISK | P. 103 |
BBVA. PILLAR III 2020 | 3. RISK | P. 104 |
BBVA. PILLAR III 2020 | 3. RISK | P. 105 |
BBVA. PILLAR III 2020 | 3. RISK | P. 106 |
Table 58. EU PV1Prudent Valuation Adjustments (Million Euros. 12-31-2020)
Unearned | Investment | Of which: in | Of which: in | |||||||||||||||||||||||||||||||||||||
Interest | credit | and funding | the trading | the banking | ||||||||||||||||||||||||||||||||||||
Equity | Rates | FX | Credit | Commodities | spreads | costs | Total | book | book | |||||||||||||||||||||||||||||||
Close-out uncertainty, of which: |
73 | 366 | 28 | 12 | | 5 | | 205 | 101 | 104 | ||||||||||||||||||||||||||||||
Mid-market value |
28 | 183 | 11 | 2 | | 1 | | 77 | 39 | 37 | ||||||||||||||||||||||||||||||
Close-out cost |
30 | 136 | 17 | 10 | | 4 | | 67 | 47 | 20 | ||||||||||||||||||||||||||||||
Concentration |
15 | 46 | | | | | | 62 | 15 | 47 | ||||||||||||||||||||||||||||||
Early termination |
| 1 | | | | | | 1 | 1 | | ||||||||||||||||||||||||||||||
Model risk |
16 | 3 | | 3 | | | 2 | 8 | 3 | 5 | ||||||||||||||||||||||||||||||
Operational risk |
2 | 11 | 1 | 1 | | | | 14 | 9 | 6 | ||||||||||||||||||||||||||||||
Future administrative costs |
| 4 | | | | | | 4 | 4 | | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Adjustment |
91 | 384 | 29 | 16 | | 5 | 2 | 233 | 118 | 115 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BBVA. PILLAR III 2020 | 3. RISK | P. 107 |
EU PV1Prudent Valuation Adjustments (Million Euros. 12-31-2019)
Unearned | Investment | Of which: in | Of which: in | |||||||||||||||||||||||||||||||||||||
Interest | credit | and funding | the trading | the banking | ||||||||||||||||||||||||||||||||||||
Equity | Rates | FX | Credit | Commodities | spreads | costs | Total | book | book | |||||||||||||||||||||||||||||||
Close-out uncertainty, of which: |
106 | 301 | 30 | 12 | | 18 | | 274 | 121 | 153 | ||||||||||||||||||||||||||||||
Mid-market value |
27 | 146 | 9 | 7 | | 7 | | 98 | 50 | 48 | ||||||||||||||||||||||||||||||
Close-out cost |
37 | 115 | 21 | 5 | | 10 | | 94 | 63 | 32 | ||||||||||||||||||||||||||||||
Concentration |
42 | 39 | | | | | | 82 | 8 | 73 | ||||||||||||||||||||||||||||||
Early termination |
| 1 | | | | | | 1 | 1 | | ||||||||||||||||||||||||||||||
Model risk |
15 | 4 | | 1 | | 11 | 4 | 17 | 10 | 8 | ||||||||||||||||||||||||||||||
Operational risk |
| 7 | | | | | | 7 | 0 | 6 | ||||||||||||||||||||||||||||||
Future administrative costs |
| 3 | | | | | | 3 | 3 | | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Adjustment |
121 | 315 | 30 | 13 | | 28 | 4 | 302 | 135 | 136 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 59. Trading Book. VaR without smoothing by risk factors (Million Euros)
Interest-rate | Exchange - | Vega / | Diversification | |||||||||||||||||||||
VaR by risk factors |
and spread risk | rate risk | Equity risk | correlation risk | effect(1) | Total | ||||||||||||||||||
December 2020 |
||||||||||||||||||||||||
Average VaR for the period |
29 | 12 | 4 | 11 | (28 | ) | 27 | |||||||||||||||||
Maximum VaR for the period |
39 | 20 | 10 | 20 | (14 | ) | 39 | |||||||||||||||||
Minimum VaR for the period |
20 | 3 | 1 | 6 | (39 | ) | 18 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
VaR at the end of the period |
32 | 12 | 2 | 11 | (29 | ) | 28 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
December 2019 |
||||||||||||||||||||||||
Average VaR for the period |
21 | 6 | 4 | 9 | (20 | ) | 19 | |||||||||||||||||
Maximum VaR for the period |
28 | 6 | 3 | 9 | (21 | ) | 25 | |||||||||||||||||
Minimum VaR for the period |
13 | 5 | 5 | 9 | (18 | ) | 14 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
VaR at the end of the period |
24 | 5 | 5 | 8 | (22 | ) | 20 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | The diversification effect is the difference between the sum of the average individual risk factors and the total VaR figure that includes the implied correlation between all the variables and scenarios used in the measurement. |
BBVA. PILLAR III 2020 | 3. RISK | P. 108 |
Table 60. EU-MR3IMA values for trading portfolios (Million Euros)
Table 61. EU MR2-AMarket risk under the IMA (Million Euros. 12-31-2020)
RWAs | Capital Requirements |
|||||||
VaR |
2,276 | 182 | ||||||
Previous days VaR |
793 | 63 | ||||||
Average of the daily VaR on each of the preceding sixty business days (VaRavg) x multiplication factor |
2,276 | 182 | ||||||
SVaR |
3,640 | 291 | ||||||
Latest SVaR |
1,587 | 127 | ||||||
Average of the SVaR during the preceding sixty business days (sVaRavg) x multiplication factor (mc) |
3,640 | 291 | ||||||
Incremental risk chargeIRC |
2,461 | 197 | ||||||
Most recent IRC value |
2,076 | 166 | ||||||
Average of the IRC number over the preceding 12 weeks |
2,461 | 197 | ||||||
Comprehensive Risk Measure- CRM |
| | ||||||
Most recent risk number for the correlation trading portfolio over the preceding 12 weeks |
| | ||||||
Average of the risk number for the correlation trading portfolio over the preceding 12 weeks |
| | ||||||
8% of the own funds requirement in SA on most recent risk number for the correlation trading portfolio |
| | ||||||
Others |
| | ||||||
|
|
|
|
|||||
Total |
8,376 | 670 | ||||||
|
|
|
|
EU MR2-AMarket risk under the IMA (Million Euros. 12-31-2019)
RWAs | Capital Requirements |
|||||||
VaR |
2,095 | 168 | ||||||
Previous days VaR |
653 | 52 | ||||||
Average of the daily VaR on each of the preceding sixty business days (VaRavg) x multiplication factor |
2,095 | 168 | ||||||
SVaR |
4,680 | 374 | ||||||
Latest SVaR |
2,126 | 170 | ||||||
Average of the SVaR during the preceding sixty business days (sVaRavg) x multiplication factor (mc) |
4,680 | 374 | ||||||
Incremental risk chargeIRC |
2,301 | 184 | ||||||
Most recent IRC value |
2,301 | 184 | ||||||
Average of the IRC number over the preceding 13 weeks |
1,934 | 155 | ||||||
Comprehensive Risk Measure- CRM |
| | ||||||
Most recent risk number for the correlation trading portfolio over the preceding 13 weeks |
| | ||||||
Average of the risk number for the correlation trading portfolio over the preceding 13 weeks |
| | ||||||
8% of the own funds requirement in SA on most recent risk number for the correlation trading portfolio |
| | ||||||
Others |
| | ||||||
|
|
|
|
|||||
Total |
9,075 | 726 | ||||||
|
|
|
|
BBVA. PILLAR III 2020 | 3. RISK | P. 109 |
The main changes in the market RWAs, calculated using the
method based on internal models are below:
Table 62. EU MR2-BRWA flow statements of market risk exposures under the IMA (Million Euros)
VaR | SVaR | IRC | CRM | Other | Total RWAs |
Total Capital Requirements |
||||||||||||||||||||||
RWAs September, 2020 |
2,355 | 4,386 | 3,404 | | | 10,145 | 812 | |||||||||||||||||||||
Regulatory adjustments |
1,617 | 3,132 | | | | 4,749 | 380 | |||||||||||||||||||||
RWAs as of September 30, 2020 |
738 | 1,254 | 3,404 | | | 5,396 | 432 | |||||||||||||||||||||
Level risk variation |
(130 | ) | (901 | ) | (1,066 | ) | | | (2,098 | ) | (168 | ) | ||||||||||||||||
Model updates |
| | | | | | | |||||||||||||||||||||
Methodology and policy |
| | | | | | | |||||||||||||||||||||
Acquisitions and disposals |
| | | | | | | |||||||||||||||||||||
Foreign Exchange movements |
51 | 155 | 123 | | | 329 | 26 | |||||||||||||||||||||
Other |
| | | | | | | |||||||||||||||||||||
RWAs as of December 31, 2020 |
793 | 1,587 | 2,076 | | | 4,456 | 356 | |||||||||||||||||||||
Regulatory adjustments |
1,483 | 2,052 | 385 | | | 3,920 | 314 | |||||||||||||||||||||
RWAs December, 2020 |
2,276 | 3,640 | 2,461 | | | 8,376 | 670 |
BBVA. PILLAR III 2020 | 3. RISK | P. 110 |
Table 64. Trading Book. Stress resampling (Million Euros)
Europe | Mexico | Peru | Venezuela | Argentina | Colombia | Turkey | USA | |||||||||||||||||||||||||
Expected impact |
(121 | ) | (69 | ) | (8 | ) | | (8 | ) | (4 | ) | (8 | ) | (5 | ) |
Stress VaR | Expected Shortfall |
Stress Period | Stress VaR 1D | |||||||||||||
2020 | 95 20 D | 95 20 D | 99% Resampling | |||||||||||||
Total |
||||||||||||||||
GM Europe, NY and Asia |
(77 | ) | (121 | ) | |
02-01-2008 - 02-12-2009 |
|
(36 | ) | |||||||
GM Mexico |
(51 | ) | (69 | ) | |
09-05-2008 - 06-05-2010 |
|
(15 | ) |
BBVA. PILLAR III 2020 | 3. RISK | P. 111 |
GREEN ZONE model acceptance zone |
It is characterised as being an area in which there is a high probability of accepting a suitable model and a low probability of accepting an unsuitable model. This is defined by the set for which the accumulated probability of less than 95%, with the null hypothesis proving correct. It covers a number between zero and four exceptions. | |
YELLOW ZONE ambiguous zone | Possible results for both a suitable and inadequate model. It begins when the accumulated probability is greater than equal to 95% (it must be less than 99.99%), with the null hypothesis proving correct. It covers a number of between five and nine exceptions. | |
RED ZONE model rejection zone |
High probability that the model is unsuitable and unlikely to reject if suitable. It is defined by the fact that the level of significance is less than 0.1% or, which is the same, the accumulated probability is greater than or equal to 99.99%, with the null hypothesis proving correct. It corresponds to a number of exceptions equal to or greater than ten. |
8. | Joint Supervisory Team allows the exclusion of the exceptions, since they were caused by COVID-19 pandemic, based in CRR article 500c. |
BBVA. PILLAR III 2020 | 3. RISK | P. 113 |
Chart 21. Trading book. Market Risk Model Validation for BBVA S.A. Real Backtesting (EU MR4) (Million Euros)
Chart 22. Trading book. Market Risk Model Validation for BBVA Bancomer. Hypothetical Backtesting (EU MR4) (Million Euros)
Chart 23. Trading book. Market Risk Model Validation for BBVA Bancomer. Real Backtesting (EU MR4) (Million Euros)
BBVA. PILLAR III 2020 | 3. RISK | P. 115 |
Table 65. Breakdown of book value, EAD and RWAs of equity investments and capital instruments (Million Euros)
Equity investments and capital instruments | ||||||||||||||||||||||||||||||||
12-31-2020 | 12-31-2019 | |||||||||||||||||||||||||||||||
Book value |
OE | EAD | RWAs | Book value |
OE | EAD | RWAs | |||||||||||||||||||||||||
Investments in associates |
4,249 | 4,249 | 4,249 | 10,901 | 4,577 | 4,577 | 4,577 | 11,819 | ||||||||||||||||||||||||
Financial assets at fair value through other comprehensive income |
1,307 | 1,307 | 1,307 | 2,244 | 2,108 | 2,108 | 2,108 | 3,355 | ||||||||||||||||||||||||
Non - trading financial assets mandatorily at fair value through profit or loss |
568 | 568 | 568 | 1,387 | 439 | 439 | 439 | 994 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total |
6,123 | 6,123 | 6,123 | 14,532 | 7,124 | 7,124 | 7,124 | 16,167 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BBVA. PILLAR III 2020 | 3. RISK | P. 116 |
Table 66. Exposure in equity investments and capital instruments (Million Euros)
Nature of Exposure(1) | ||||||||||||||||
2020 | 2019 | |||||||||||||||
Concepto |
Non-derivatives | Derivatives | Non-derivatives | Derivatives | ||||||||||||
Exchange-traded instruments |
1,418 | 79 | 2,481 | 88 | ||||||||||||
Non-exchange traded instruments |
4,626 | | 4,555 | | ||||||||||||
Included in sufficiently diversified portfolios |
4,626 | | 4,555 | | ||||||||||||
Other instruments |
| | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
6,044 | 79 | 7,036 | 88 | ||||||||||||
|
|
|
|
|
|
|
|
(1) | Depending on their nature, equity instruments not included in trading book activity will be separated into derivatives and non-derivatives. The amount shown refers to Original Exposure, i.e. gross exposure of value corrections through asset impairment and provisions, before applying risk mitigation techniques. |
Table 67. Breakdown of RWAs, equity investments and capital instruments by applicable approach (Million Euros)
RWAs | ||||||||||||||||||
Concepto |
Internal Models | Simple method | PD/LGD method | Total | ||||||||||||||
12-31-2020 | Investments in associates | | 8,514 | 2,909 | 11,423 | |||||||||||||
Financial assets at fair value through other comprehensive income | 261 | 500 | 1,036 | 1,797 | ||||||||||||||
Non - trading financial assets mandatorily at fair value through profit or loss | 352 | 960 | | 1,312 | ||||||||||||||
12-31-2019 | Investments in associates | | 8,253 | 3,566 | 11,819 | |||||||||||||
Financial assets at fair value through other comprehensive income | 289 | 1,077 | 1,988 | 3,355 | ||||||||||||||
Non - trading financial assets mandatorily at fair value through profit or loss | 160 | 834 | | 994 |
BBVA. PILLAR III 2020 | 3. RISK | P. 117 |
Table 69. Realised profit and loss from sales and settlements of equity investments and capital instruments (Million Euros)
12-31-2020 | 12-31-2019 | |||||||||||||||||||||||
Losses | Gains | Net | Losses | Gains | Net | |||||||||||||||||||
Investments in associates |
1 | 7 | 6 | 2 | 18 | 16 | ||||||||||||||||||
Financial assets at fair value through other comprehensive income |
1 | 8 | 7 | 0 | 18 | 17 | ||||||||||||||||||
Non - trading financial assets mandatorily at fair value through profit or loss |
74 | 159 | 85 | 28 | 198 | 170 |
Table 70. TValuation adjustments for latent revaluation of equity investments and capital instruments (Million Euros)
Valuation adjustments for latent revaluation
FVOCI | ||||
December 2019 |
(402 | ) | ||
Variation |
(852 | ) | ||
December 2020 |
(1,255 | ) |
BBVA. PILLAR III 2020 | 3. RISK | P. 118 |
Table 71. Maturity of wholesale issuances of Balance Euro by nature (Million Euros)
Type of issuance |
2021 | 2022 | 2023 | After 2023 | Total | |||||||||||||||
Senior debt |
1,484 | 2,790 | 1,160 | 3,217 | 8,651 | |||||||||||||||
Non preferred senior debt |
| 1,499 | 1,650 | 5,538 | 8,687 | |||||||||||||||
Mortgage-covered bonds |
3,175 | 1,618 | 2,350 | 5,417 | 12,559 | |||||||||||||||
Public-covered bonds |
| 300 | 200 | | 500 | |||||||||||||||
Preferred shares(1) |
1,193 | 500 | 1,000 | 3,628 | 6,320 | |||||||||||||||
Subordinated debt(1) |
86 | 68 | 150 | 4,168 | 4,471 | |||||||||||||||
Structured financing(2) |
2,497 | 225 | 199 | 724 | 3,644 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
8,434 | 7,000 | 6,708 | 22,691 | 44,833 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Regulatory capital instruments are classified in this table by terms according to their contractual maturity or nearest amortisation option. |
(2) | Global Markets MTN programme balances not eligible as MREL instruments, classified according to their nearest repayment option. |
Table 72. Maturity of wholesale issuances of BBVA Mexico by nature (Million Euros)
Type of issuance |
2021 | 2022 | 2023 | After 2023 | Total | |||||||||||||||
Senior debt |
184 | 322 | 517 | 2,075 | 3,098 | |||||||||||||||
Subordinated debt(1) |
611 | 1,222 | | 1,589 | 3,423 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
796 | 1,544 | 517 | 3,664 | 6,521 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Regulatory capital instruments are classified in this table by terms according to their contractual maturity or nearest amortisation option. |
Table 73. Maturity of wholesale issuances of BBVA USA by nature (Million Euros)
Type of issuance |
2021 | 2022 | 2023 | After 2023 | Total | |||||||||||||||
Senior debt |
937 | 611 | | 489 | 2,037 | |||||||||||||||
Subordinated debt(1) |
17 | | | 628 | 645 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
954 | 611 | | 1,117 | 2,683 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Regulatory capital instruments are classified in this table by terms according to their contractual maturity or nearest amortisation option. |
Table 74. Maturity of wholesale issuances of BBVA Garanti by nature (Million Euros)
Type of issuance |
2021 | 2022 | 2023 | After 2023 | Total | |||||||||||||||
Senior debt |
407 | 471 | 432 | 122 | 1,432 | |||||||||||||||
Mortgage-covered bonds |
| 92 | 16 | | 109 | |||||||||||||||
Subordinated debt(1) |
| | | 721 | 721 | |||||||||||||||
Securitisations |
47 | 288 | 105 | 176 | 616 | |||||||||||||||
Syndicated loans |
1,132 | | | | 1,132 | |||||||||||||||
Other long term financial instruments |
461 | 324 | 146 | 1,593 | 2,524 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
2,047 | 1,175 | 700 | 2,612 | 6,535 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Regulatory capital instruments are classified in this table by terms according to their contractual maturity or nearest amortisation option. |
Table 75. Maturity of wholesale issuances of South America by nature (Million Euros)
Type of issuance |
2021 | 2022 | 2023 | After 2023 | Total | |||||||||||||||
Senior debt |
286 | 816 | 272 | 206 | 1,580 | |||||||||||||||
Subordinated debt(1) |
41 | 20 | 68 | 805 | 934 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
327 | 836 | 340 | 1,011 | 2,514 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Regulatory capital instruments are classified in this table by terms according to their contractual maturity or nearest amortisation option. |
BBVA. PILLAR III 2020 | 3. RISK | P. 119 |
Table 76. EU LIQ1: Liquidity Coverage Ratio disclosure (Million Euros)
Total unweighted value (average) | Total weighted value (average) | |||||||||||||||||||||||||||||||
March | June | September | December | March | June | September | December | |||||||||||||||||||||||||
End of the quarter |
03-31-20 | 06-30-20 | 09-30-20 | 12-31-20 | 03-31-20 | 06-30-20 | 09-30-20 | 12-31-20 | ||||||||||||||||||||||||
Number of data points used in the calculation of averages |
12 | 12 | 12 | 12 | 12 | 12 | 12 | 12 | ||||||||||||||||||||||||
High-quality liquid assets |
| | | | | | | | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total high-quality liquid assets (HQLA) |
91 | 98 | 105 | 114 | ||||||||||||||||||||||||||||
Cash-outflows |
| | | | | | | | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Retail deposits and deposits from small business customers, of which: |
221 | 231 | 240 | 248 | 16 | 16 | 17 | 17 | ||||||||||||||||||||||||
Stable deposits |
149 | 154 | 158 | 163 | 7 | 8 | 8 | 8 | ||||||||||||||||||||||||
Less stable deposits |
72 | 73 | 74 | 74 | 9 | 9 | 9 | 9 | ||||||||||||||||||||||||
Unsecured wholesale funding |
130 | 134 | 135 | 139 | 55 | 57 | 57 | 58 | ||||||||||||||||||||||||
Operational deposits (all counterparties) and deposits in networks of cooperative banks |
52 | 54 | 56 | 58 | 12 | 12 | 13 | 13 | ||||||||||||||||||||||||
Non-operational deposits (all counterparties) |
76 | 78 | 78 | 79 | 42 | 43 | 42 | 43 | ||||||||||||||||||||||||
Unsecured debt |
2 | 2 | 1 | 2 | 2 | 2 | 1 | 2 | ||||||||||||||||||||||||
Secured wholesale funding |
4 | 5 | 5 | 5 | ||||||||||||||||||||||||||||
Additional requirements |
96 | 93 | 93 | 93 | 16 | 16 | 17 | 18 | ||||||||||||||||||||||||
Outflows related to derivative exposures and other collateral requirements(1) |
6 | 6 | 7 | 8 | 6 | 6 | 7 | 8 | ||||||||||||||||||||||||
Outflows related to loss of funding on debt products |
0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Credit and liquidity facilities |
89 | 87 | 86 | 85 | 9 | 9 | 9 | 10 | ||||||||||||||||||||||||
Other contractual funding obligations |
14 | 14 | 13 | 13 | 1 | 1 | 1 | 1 | ||||||||||||||||||||||||
Other contingent funding obligations |
64 | 78 | 79 | 81 | 3 | 3 | 3 | 3 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total cash outflows |
96 | 99 | 99 | 102 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Cashinflows |
| | | | | | | | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Secured lending (e.g. reverse repos) |
21 | 22 | 21 | 21 | 1 | 1 | 1 | 1 | ||||||||||||||||||||||||
Inflows from fully performing exposures |
31 | 30 | 29 | 29 | 20 | 19 | 19 | 18 | ||||||||||||||||||||||||
Other cash inflows |
4 | 4 | 4 | 5 | 4 | 4 | 4 | 5 | ||||||||||||||||||||||||
(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) |
||||||||||||||||||||||||||||||||
(Excess inflows from a related specialised credit institutions) |
||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total cash inflows |
56 | 56 | 55 | 54 | 25 | 24 | 24 | 24 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Fully exempt inflows |
||||||||||||||||||||||||||||||||
Inflows subject to 90% cap |
||||||||||||||||||||||||||||||||
Inflows subject to 75% cap |
56 | 56 | 55 | 54 | 25 | 24 | 24 | 24 | ||||||||||||||||||||||||
Total adjusted value |
||||||||||||||||||||||||||||||||
Liquidity buffer |
91 | 98 | 105 | 114 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total net cash outflows |
71 | 75 | 75 | 78 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Liquidity coverage ratio (%) |
128.4 | % | 131.6 | % | 140.6 | % | 147.0 | % | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Liquidity buffer (including excess liquidity of subsidiaries) |
112 | 119 | 128 | 138 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total net cash outflows |
71 | 75 | 75 | 78 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Liquidity coverage ratio (%) |
156.9 | % | 159.5 | % | 170.3 | % | 178.5 | % | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
(1) | Includes the amount of the collateral that the entity would have to provide in case of a credit downgrade, according to CRR Article 449(d). |
BBVA. PILLAR III 2020 | 3. RISK | P. 120 |
10. | An asset is considered encumbered if it is subject to any form of agreement with the objective of ensuring, collateralizing or improving the credit quality of a transaction, and it cannot be freely removed. |
In any case, the consideration of a committed asset is not based on an explicit legal definition, such as the transfer of a title, but on an economic criterion, so any asset that is subject to any restriction to be used or to replace another asset, is considered pledged.
BBVA. PILLAR III 2020 | 3. RISK | P. 121 |
BBVA. PILLAR III 2020 | 3. RISK | P. 122 |
Table 81. Encumbered and unencumbered Assets (Million Euros. 12-31-2020)
Carrying value of encumbered assets |
Fair value of encumbered assets |
Carrying value of unencumbered assets |
Fair value of unencumbered assets |
|||||||||||||||||||||||||||||
of which notionally elligible EHQLA and HQLA |
of which notionally elligible EHQLA and HQLA |
of which EHQLA and HQLA |
of which EHQLA and HQLA |
|||||||||||||||||||||||||||||
Institutions assets |
122,054 | 31,223 | 593,490 | 144,764 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Equity instruments |
2,231 | 1,495 | 6,073 | 2,684 | ||||||||||||||||||||||||||||
Debt securities |
31,409 | 30,159 | 28,149 | 30,159 | 82,078 | 74,084 | 85,229 | 75,078 | ||||||||||||||||||||||||
Of which: covered bonds |
72 | 63 | 72 | 63 | 592 | 592 | 591 | 591 | ||||||||||||||||||||||||
Of which: ABSs |
31 | | 36 | | 220 | | 214 | | ||||||||||||||||||||||||
Of which: issued by general governments |
26,642 | 26,642 | 23,210 | 23,210 | 67,528 | 64,679 | 70,841 | 65,630 | ||||||||||||||||||||||||
Of which: issued by financial corporations |
2,238 | 1,650 | 2,409 | 1,650 | 8,988 | 5,738 | 8,824 | 5,826 | ||||||||||||||||||||||||
Of which: issued by non- financial corporations |
2,860 | 1,967 | 2,864 | 1,967 | 2,598 | 768 | 2,589 | 784 | ||||||||||||||||||||||||
Loans and Other assets |
91,156 | | 506,019 | 64,394 | ||||||||||||||||||||||||||||
Of which: Loans and advances |
87,939 | | 397,392 | 55,091 | ||||||||||||||||||||||||||||
Of which: Other assets |
0 | | 105,139 | 5,780 |
Encumbered and unencumbered Assets (Million Euros. 12-31-2019)
Carrying value of encumbered assets |
Fair value of encumbered assets |
Carrying value of unencumbered assets |
Fair value of unencumbered assets |
|||||||||||||||||||||||||||||
of which notionally elligible EHQLA and HQLA |
of which notionally elligible EHQLA and HQLA |
of which EHQLA and HQLA |
of which EHQLA and HQLA |
|||||||||||||||||||||||||||||
Institutions assets |
109,189 | 32,142 | 570,814 | 105,564 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Equity instruments |
2,664 | 1,635 | 7,269 | 3,862 | ||||||||||||||||||||||||||||
Debt securities |
32,119 | 30,491 | 33,255 | 30,673 | 73,893 | 64,130 | 73,766 | 64,850 | ||||||||||||||||||||||||
Of which: covered bonds |
46 | 44 | 45 | 44 | 693 | 691 | 683 | 681 | ||||||||||||||||||||||||
Of which: ABSs |
22 | | 22 | | 193 | | 231 | | ||||||||||||||||||||||||
Of which: issued by general governments |
27,802 | 28,109 | 28,879 | 28,290 | 61,515 | 58,527 | 61,457 | 59,219 | ||||||||||||||||||||||||
Of which: issued by financial corporations |
2,751 | 1,369 | 2,823 | 1,375 | 7,545 | 4,840 | 7,473 | 4,855 | ||||||||||||||||||||||||
Of which: issued by non- financial corporations |
1,289 | 971 | 1,280 | 971 | 2,564 | 732 | 2,578 | 745 | ||||||||||||||||||||||||
Loans and Other assets |
74,238 | | 490,012 | 37,056 | ||||||||||||||||||||||||||||
Of which: Loans and advances |
74,238 | | 396,242 | 31,073 | ||||||||||||||||||||||||||||
Of which: Other assets |
| | 89,710 | 5,253 |
Table 82. Collateral received (Million Euros. 12-31-2020)
Fair value of encumbered collateral received or own debt securities issued |
Fair value of collateral received or own debt securities issued available for encumbrance |
|||||||||||||||
of which notionally elligible EHQLA and HQLA | of which EHQLA and HQLA | |||||||||||||||
Collateral received |
38,879 | 35,352 | 7,590 | 4,455 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Loans on demand |
| | | | ||||||||||||
Equity instruments |
220 | 111 | 199 | 158 | ||||||||||||
Debt securities |
38,659 | 35,233 | 7,410 | 4,327 | ||||||||||||
Of which: covered bonds |
823 | 143 | 25 | 2 | ||||||||||||
Of which: ABSs |
| | 24 | | ||||||||||||
Of which: issued by general governments |
32,065 | 30,628 | 4,240 | 3,980 | ||||||||||||
Of which: issued by financial corporations |
5,115 | 2,085 | 2,400 | 535 | ||||||||||||
Of which: issued by non- financial corporations |
1,260 | 259 | 530 | 42 | ||||||||||||
Loans and advances other than loans on demand |
| | | | ||||||||||||
Other collateral received |
| | | | ||||||||||||
Own debt securities issued other than own mortgage-covered bonds or ABSs |
| | 112 | | ||||||||||||
Own mortgage-covered bonds and ABSs issued and not yet pledged |
11,141 | | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total assets, collateral received and own debt securities issued |
162,044 | 68,860 | ||||||||||||||
|
|
|
|
|
|
|
|
BBVA. PILLAR III 2020 | 3. RISK | P. 123 |
Collateral received (Million Euros. 12-31-2019)
Fair value of encumbered collateral received or own debt securities issued |
Fair value of collateral received or own debt securities issued available for encumbrance |
|||||||||||||||
of which notionally elligible EHQLA and HQLA | of which EHQLA and HQLA | |||||||||||||||
Collateral received |
33,705 | 28,795 | 10,301 | 6,724 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Loans on demand |
| | 0 | | ||||||||||||
Equity instruments |
125 | 77 | 67 | 27 | ||||||||||||
Debt securities |
33,582 | 28,750 | 10,217 | 6,689 | ||||||||||||
Of which: covered bonds |
640 | 146 | 91 | 10 | ||||||||||||
Of which: ABSs |
| | 175 | | ||||||||||||
Of which: issued by general governments |
28,575 | 26,591 | 6,008 | 5,558 | ||||||||||||
Of which: issued by financial corporations |
3,105 | 599 | 2,989 | 1,068 | ||||||||||||
Of which: issued by non- financial corporations |
692 | 153 | 360 | 74 | ||||||||||||
Loans and advances other than loans on demand |
| | 1 | | ||||||||||||
Other collateral received |
| | | | ||||||||||||
Own debt securities issued other than own mortgage-covered bonds or ABSs |
9 | | 82 | | ||||||||||||
Own mortgage-covered bonds and ABSs issued and not yet pledged |
19,311 | | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total assets, collateral received and own debt securities issued |
139,930 | | ||||||||||||||
|
|
|
|
|
|
|
|
Table 83. Sources of encumbrance (Million Euros. 12-31-2020)
Matching liabilities, contingent liabilities or securities lent |
Assets, collateral received and own securities issued other than mortgage-covered bonds, public-covered bonds and ABSs encumbered |
|||||||
Carrying amount of selected financial liabilities |
138,902 | 156,573 | ||||||
|
|
|
|
|||||
Derivatives |
18,165 | 16,700 | ||||||
Repos and other collateralised deposits |
104,618 | 121,009 | ||||||
Debt securities |
17,818 | 21,671 | ||||||
Other sources of encumbrance |
516 | 5,472 |
Sources of encumbrance (Million Euros. 12-31-2019)
Matching liabilities, contingent liabilities or securities lent |
Assets, collateral received and own securities issued other than mortgage-covered bonds, public-covered bonds and ABSs encumbered |
|||||||
Carrying amount of selected financial liabilities |
120,985 | 135,005 | ||||||
|
|
|
|
|||||
Derivatives |
13,345 | 12,914 | ||||||
Repos and other collateralised deposits |
89,895 | 99,999 | ||||||
Debt securities |
17,882 | 21,865 | ||||||
Other sources of encumbrance |
465 | 4,925 |
BBVA. PILLAR III 2020 | 3. RISK | P. 125 |
Table 84. Regulatory capital for Operational Risk (Million Euros)
Capital requirements | RWAs | |||||||||||||||
Regulatory capital for operational risk |
12-31-2020 | 12-31-2019 | 12-31-2020 | 12-31-2019 | ||||||||||||
Advanced |
1,746 | 21,822 | ||||||||||||||
Spain |
1,382 | 17,270 | ||||||||||||||
Mexico |
364 | 4,552 | ||||||||||||||
Standardised |
2,782 | 1,220 | 34,773 | 15,250 | ||||||||||||
Spain |
804 | 5 | 10,045 | 62 | ||||||||||||
Mexico |
875 | 0 | 10,943 | 0 | ||||||||||||
Others |
1,103 | 1,215 | 13,785 | 15,188 | ||||||||||||
Basic |
71 | 64 | 883 | 805 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
BBVA Group total |
2,853 | 3,030 | 35,656 | 37,877 | ||||||||||||
|
|
|
|
|
|
|
|
BBVA. PILLAR III 2020 | 4. LEVERAGE RATIO | P. 127 |
4.1. |
128 | |||||
4.2. |
129 | |||||
4.3. |
130 |
BBVA. PILLAR III 2020 | 4. LEVERAGE RATIO | P. 129 |
Table 85. LRSumSummary reconciliation of accounting assets and exposure corresponding to the Leverage Ratio (Million Euros)
Summary table of accounting assets and leverage ratio exposure conciliation |
12-31-2020 Phased-in |
12-31-2020 Fully Loaded |
12-31-2019 Phased-in |
12-31-2019 Fully Loaded |
||||||||||||
(a) Total assets as published financial statements |
736,176 | 736,176 | 698,690 | 698,690 | ||||||||||||
(b) Adjustment for entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation |
(20,326 | ) | (20,326 | ) | (21,636 | ) | (21,636 | ) | ||||||||
(Adjustment for fiduciary assets recognised on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure in accordance with Article 429 (13) of Regulation (EU) No 575/2013) |
| | | | ||||||||||||
(c) Adjustments for derivative financial instruments |
(13,858 | ) | (13,858 | ) | (7,124 | ) | (7,124 | ) | ||||||||
(d) Adjustments for securities financing transactions SFTs |
1,992 | 1,992 | 1,840 | 1,840 | ||||||||||||
(e) Adjustment for off-balance sheet items(1) |
67,758 | 67,758 | 67,165 | 67,165 | ||||||||||||
(f) (Adjustment for intragroup exposures excluded from the leverage ratio exposure measure in accordance with Article 429 (7) of Regulation (EU) No 575/2013) |
| | | | ||||||||||||
(g) (Adjustment for exposures excluded from the total exposure measure corresponding to the leverage ratio under Article 429(14) of Regulation (EU) No 575/2013) |
(26,456 | ) | (26,456 | ) | | | ||||||||||
(h) Other adjustments |
(4,191 | ) | (5,788 | ) | (7,847 | ) | (8,656 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Leverage ratio total exposure measure(2) |
741,095 | 739,497 | 731,087 | 730,279 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
(i) Capital Tier 1 |
49,597 | 48,012 | 49,701 | 48,775 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Leverage ratio |
6.69 | % | 6.49 | % | 6.80 | % | 6.68 | % | ||||||||
|
|
|
|
|
|
|
|
(1) | Corresponds to the off-balance sheet exposure after applying the conversion factors obtained in accordance with Article 429(10) of the CRR. |
(2) | Excluding the temporary exemption of certain exposures to Central Banks, the total exposure would amount to 767,551 million, with a phased-in leverage ratio of 6.46%. |
BBVA. PILLAR III 2020 | 5. INFORMATION ON REMUNERATION | P. 131 |
5. Information on remuneration
BBVA. PILLAR III 2020 | 5. INFORMATION ON REMUNERATION | P. 133 |
BBVA. PILLAR III 2020 | 5. INFORMATION ON REMUNERATION | P. 134 |
BBVA. PILLAR III 2020 | 5. INFORMATION ON REMUNERATION | P. 135 |
5.2. Description of the different types of employees included in the Identified Staff
11. | Regarding non-executive directors, they are defined as Risk Takers by virtue of the provisions of Article 3 of Delegated Regulation 604/2014, although, as detailed in Section 5.3, below, they are subject to a specific remuneration system, different from the one applicable to executive directors and they do not receive variable remuneration |
BBVA. PILLAR III 2020 | 5. INFORMATION ON REMUNERATION | P. 137 |
BBVA. PILLAR III 2020 | 5. INFORMATION ON REMUNERATION | P. 138 |
BBVA. PILLAR III 2020 | 5. INFORMATION ON REMUNERATION | P. 139 |
BBVA. PILLAR III 2020 | 5. INFORMATION ON REMUNERATION | P. 143 |
Table 88. Remuneration of the Identified Staff for the 2020 financial year (Thousand euros or number of shares) |
Remuneration for Identified Staff in 2020 |
Executive Directors(1) |
Non-executive Directors(2) |
Senior Management(3) |
Rest of Identified Staff |
Total Identified Staff |
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Number of beneficiaries of fixed remuneration |
2 | 13 | 15 | 561 | 591 | |||||||||||||||
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|
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Amount of total fixed remuneration for 2020(4) |
6,246 | 4,172 | 15,187 | 203,908 | 229,513 | |||||||||||||||
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|
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Number of beneficiaries of variable remuneration |
| | | 420 | 420 | |||||||||||||||
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|
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Amount of total variable remuneration for 2020(5) |
| | | 38,077 | 38,077 | |||||||||||||||
In cash |
| | | 19,039 | 19,039 | |||||||||||||||
Number of BBVA shares |
| | | 4,467,719 | 4,467,719 | |||||||||||||||
Variable remuneration corresponding to 2020 payable in 2021 |
| | | 22,584 | 22,584 | |||||||||||||||
In cash |
| | | 11,292 | 11,292 | |||||||||||||||
Number of BBVA shares |
| | | 2,648,588 | 2,648,588 | |||||||||||||||
Outstanding deferred variable remuneration corresponding to 2020(6) |
| | | 15,493 | 15,493 | |||||||||||||||
In cash |
| | | 7,747 | 7,747 | |||||||||||||||
Number of BBVA shares |
| | | 1,819,131 | 1,819,131 |
(1) | Includes the information of the executive directors who held such position as of 31 December 2020. The information relating to the executive director who ceased to hold office after the 2020 General Meeting is included in the category Other Identified Staff. The remuneration amounts are detailed in Note 54 of the Annual Report of BBVAs Consolidated Financial Statements. |
(2) | Includes information on the non-executive directors who held this position as of 31 December 2020. The information relating to the two non-executive directors who ceased to hold office after the 2020 Annual General Meeting is included in the category of Other Identified Staff. The remuneration amounts are detailed in Note 54 of the Annual Report of BBVAs Consolidated Financial Statements. |
(3) | Includes information on the members of Senior Management, excluding executive directors, who had such status as of 31 December 2020. |
(4) | Fixed remuneration received in 2020, both in cash and in kind, except for social welfare. In the case of executive directors and Senior Management, the contributions made by the Bank in 2020 in relation to the pension commitments assumed in matters of social welfare are detailed in Note 54 of the Annual Report of BBVAs Consolidated Financial Statements. In the case of non-executive directors have a fixed remuneration system with deferred delivery of shares after they cease to hold office. Detailed information on this system, including the number of theoretical shares allocated in 2020 (corresponding to 20% of the annual fixed allowance received in the previous year), is included in Note 54 of the Annual Report of BBVAs Consolidated Financial Statements. |
(5) | Includes the total variable remuneration corresponding to 2020 (including the Annual Variable Remuneration and other payments considered variable in accordance with the applicable regulations). Regarding the discretionary pension benefits (15% of the annual contribution agreed to cover the retirement contingency of executive directors and members of Senior Management), detailed information can be found in Note 54 of the Annual Report corresponding to BBVAs Consolidated Financial Statements, in the section on pension commitments. |
(6) | Includes the variable remuneration corresponding to 2020, which is deferred and pending payment. This remuneration is subject to multi-year performance indicators related to the Risk Appetite Framework and shareholder return that may reduce, even in its entirety, these deferred amounts (never increase them). |
(*) | Provisional data from Garanti BBVA |
Table 89. Extraordinary remuneration of the Identified Staff for the 2020 financial year (Thousand euros)
Extraordinary remuneration |
Executive Directors |
Non-executive directors |
Senior Management |
Rest of Identified Staff |
Total Identified Staff |
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Number of beneficiaries of guaranteed bonuses |
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Total amount of guarantees bonuses granted in 2020 |
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Number of beneficiaries of hiring incentives |
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Total amount of hiring incentives paid in 2020 |
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Number of beneficiaries of severance indemnity |
| | 1 | 22 | 23 | |||||||||||||||
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Total amount of severance indemnity paid in 2020(1) |
| | 2,185 | 22,163 | 24,348 | |||||||||||||||
Upfront payment |
| | 2,185 | 19,833 | 22,018 | |||||||||||||||
Deferred amount |
| | 0 | 2,330 | 2,330 |
(1) | Includes the amount of the compulsory severance payment in accordance with labour regulations, as well as, if applicable, the amount in addition to this legal severance payment (which is considered variable remuneration in accordance with the solvency regulations applicable to this staff) and, if applicable, the amounts corresponding to the advance notice clauses, all in accordance with the provisions contained in the contracts of certain members of the Identified Staff. |
On the other hand, non-competition agreements have been signed with some beneficiaries for a total amount of 11,458 thousand euros, that will be paid periodically from the moment the member of the Identified Collective leaves, during the non-competition period.
BBVA. PILLAR III 2020 | 5. INFORMATION ON REMUNERATION | P. 144 |
Table 90. Deferred variable remuneration from financial years prior to 2020 (Thousand Euros or number of shares)
Deferred variable remuneration for years prior to 2020 for the Identified Staff |
Executive Directors(1) |
Non-executive directors(2) |
Senior Management(3) |
Rest of Identified Staff |
Total Identified Staff |
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Vested(4) |
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In cash |
861 | | 1,380 | 36,798 | 39,039 | |||||||||||||||
Number of BBVA shares |
120,244 | | 182,461 | 3,918,195 | 4,220,900 | |||||||||||||||
Outstanding(5) |
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In cash |
3,282 | | 3,235 | 57,378 | 63,896 | |||||||||||||||
Number of BBVA shares |
853,903 | | 845,174 | 10,693,258 | 12,392,335 | |||||||||||||||
Implicit ex-post adjustments applied in the year(6) |
(178 | ) | | (270 | ) | (4,994 | ) | (5,442 | ) | |||||||||||
Explicit ex-post adjustments applied in the year(7) |
(43 | ) | | (73 | ) | (1,905 | ) | (2,021 | ) |
(1) | Includes the information of the Executive Directors who held such position as of 31 December 2020. |
(2) | Includes information on Non-Executive Directors who held such position as of 31 December 2020. |
(3) | Includes information of the members of the Senior Management who held such position as of 31 December 2020, excluding executive directors. |
(4) | Includes the amounts paid in 2020 of the deferred variable remuneration corresponding to previous financial years and the restatement thereof (total amount of deferred variable remuneration for 2016 including the downward adjustment for long-term indicators). In the case of the executive directors, these amounts are stated individually in Note 54 of the Annual Report of the Banks Consolidated Financial Statements. |
(5) | This includes the amounts pending payment as of 31 December 2020 of deferred variable remuneration corresponding to financial years prior to 2020 (the total deferred variable remuneration for 2017, 2018 and 2019). The amounts corresponding to each executive director are as follows: |
- | The total deferred annual variable remuneration for 2017: 675 thousand and 139,488 BBVA shares in the case of the chairman and 290 thousand and 39,796 BBVA shares in the case of the chief executive officer. |
- | The total deferred annual variable remuneration for 2018: 574 thousand and 180,785 BBVA shares in the case of the Chairman and 295 thousand and 61,901 BBVA shares in the case of the Chief Executive Officer. |
- | The total deferred annual variable remuneration for 2019: 763 thousand euros and 227,645 BBVA shares in the case of the Chairman; 685 thousand euros and 204,288 BBVA shares in the case of the Chief Executive Officer. |
(6) | Adjustment derived from the decrease in the value of the deferred variable remuneration shares corresponding to previous financial years and delivered in 2020. |
(7) | Adjustment derived from the result of the multi-year indicators, which led to a 3% reduction in the deferred amounts of the 2016 variable remuneration paid in 2020. |
Table 91. Remuneration of the Identified Staff for the 2020 financial year, by activity areas (Thousand Euros)
Activity area |
Number of people | 2020 total remuneration(1) | Average variable/fixed ratio | |||||||||
Executive Directors(2) |
2 | 6,246 | 0 | % | ||||||||
Non-executive Directors(3) |
13 | 4,172 | 0 | % | ||||||||
Senior Management (4) |
15 | 15,187 | 0 | % | ||||||||
Commercial Banking(5) |
178 | 81,386 | 24 | % | ||||||||
Investment Banking(6) |
87 | 44,844 | 51 | % | ||||||||
Asset Management(7) |
24 | 11,146 | 50 | % | ||||||||
Corporate functions(8) |
152 | 67,268 | 11 | % | ||||||||
Control functions(9) |
118 | 37,159 | 13 | % | ||||||||
Rest(10) |
2 | 183 | 0 | % | ||||||||
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Total Identified Staff |
591 | 267,590 | ||||||||||
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(1) | Fixed remuneration received in 2020 and total variable remuneration for 2020. The executive directors and other members of senior management have voluntarily waived their annual variable remuneration for 2020. For this reason, the ratio of variable over fixed is zero for all members. |
(2) | Includes the information of the executive directors who had such status as at 31 December 2020. |
(3) | Includes the information of the non-executive directors who were executive directors as at 31 December 2020. |
(4) | Includes information on members of senior management who were senior executives as at 31 December 2020, excluding executive directors. |
(5) | Includes Retail, Business, Corporate and Insurance Banking activities. |
(6) | Includes trading and other investment banking activities. |
(7) | Includes Asset Management and Private Banking activities. |
(8) | Includes support areas for the BBVA Group and business support areas (Finance, Legal, Human Resources, etc.). |
(9) | Includes Risk Management, Internal Audit and Compliance activities. |
(10) | Other activities not included in the previous categories. Includes the two non-executive directors who stepped down in 2020. |
(*) | Provisional data from Garanti BBVA. |
BBVA. PILLAR III 2020 | 5. INFORMATION ON REMUNERATION | P. 145 |
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Banco Bilbao Vizcaya Argentaria, S.A. | ||||||
Date: March 12, 2021 | By: | /s/ Juan Carlos García Céspedes | ||||
Name: | Juan Carlos García Céspedes | |||||
Title: | Authorized representative |