4.4.1. Identification of external rating agencies
The external credit assessment institutions (ECAIs) appointed by the Group to determine the risk weightings applicable to its exposures are the following: Standard & Poor’s, Moody’s and Fitch.
The exposures for which the ratings of each ECAI are used are those corresponding to the wholesale portfolio, basically for "Central governments and central banks" in developed countries, and "Financial institutions".
In those cases in which a counterparty has ratings by different ECAIs, the Group follows the procedure laid down in Rule Twenty-one in the Solvency Circular, which specifies the order of priority to be used in the assignment of ratings. When two different credit ratings made by designated ECAIs are available for a rated exposure, the higher risk weighting will be applied. However, when there are more than two credit ratings for the same rated exposure, use is to be made of the two credit ratings that provide the lowest risk weightings. If the two lowest risk weightings coincide, then that weighting will be applied; if they do not coincide, the higher of the two will be applied.
4.4.2. Assignment of the credit ratings of public share issues
The number of cases and the amount of these assignments is not relevant for the Group in terms of admission and management of issuer credit risk.
4.4.3. Exposure values before and after the application of credit risk mitigation techniques
The following tables present the amounts for net exposure, prior to the application of credit risk mitigation techniques, for different risk weightings and for the different categories of risk that correspond to the standardized method, excluding securitization positions.
The increase observed in exposures with weightings of 35% is basically due to the entry of the Unnim portfolio with real-estate collateral already mentioned in earlier chapters. Conversely, there is less significant compensatory effect from the transfer of part of the portfolio of this segment in Spain to internal models.
In the weighted exposures 75% of the increase is derived from the entry of the Unnim portfolio and increased lending activity in the Latin American subsidiaries. These reasons also explain the increase in exposures weighted at 100%.
2012
(Million euros)
|
|
Exposure net of allowances for losses |
|
||||||
|---|---|---|---|---|---|---|---|---|
|
|
Risk weighting |
|
||||||
| Category of exposure | 0% | 5% and 20% | 22% and 35% | 50% | 75% | 100% | 110%-300% | Total |
| Central governments and central banks | 90,803 | 197 | 0 | 3,625 | 0 | 13,560 | 0 | 108,185 |
| Regional governments and local authorities | 774 | 6,789 | 69 | 1,480 | 0 | 248 | 0 | 9,361 |
| Public-sector institutions and other public entities | 961 | 544 | 0 | 118 | 0 | 1,471 | 0 | 3,095 |
| Multilateral development banks | 0 | 117 | 0 | 13 | 0 | 56 | 0 | 187 |
| International organizations | 34 | 0 | 0 | 0 | 0 | 0 | 0 | 34 |
| Institutions | 0 | 15,011 | 125 | 1,324 | 0 | 2,381 | 3 | 18,843 |
| Corporates | 0 | 3,306 | 0 | 2,504 | 0 | 90,369 | 355 | 96,533 |
| Retail | 0 | 0 | 34 | 0 | 55,555 | 0 | 0 | 55,589 |
| Collateralized with real-estate property | 0 | 0 | 43,707 | 5,515 | 0 | 4,803 | 0 | 54,024 |
| Default status | 4 | 0 | 0 | 906 | 0 | 5,833 | 2,166 | 8,908 |
| High risk | 0 | 0 | 0 | 2 | 0 | 186 | 1,335 | 1,523 |
| Guaranteed bonds | 0 | 503 | 0 | 0 | 0 | 0 | 0 | 503 |
| Short-term to institutions and corporates | 0 | 637 | 0 | 0 | 0 | 19 | 0 | 656 |
| Mutual funds | 0 | 0 | 0 | 0 | 0 | 53 | 0 | 53 |
| Other exposures | 8,602 | 407 | 0 | 0 | 121 | 13,929 | 15 | 23,074 |
| TOTAL (1) | 101,179 | 27,511 | 43,935 | 15,486 | 55,676 | 132,907 | 3,874 | 380,567 |
2011
(Million euros)
|
|
Exposure net of allowances for losses |
|
||||||
|---|---|---|---|---|---|---|---|---|
|
|
Risk weighting |
|
||||||
| Categoría de exposición | 0% | 5% and 20% | 22% and 35% | 50% | 75% | 100% | 110%-300% | Total |
| Central governments and central banks | 101,800 | 915 | 0 | 1,945 | 0 | 7,670 | 78 | 112,408 |
| Regional governments and local authorities | 689 | 5,160 | 0 | 3,934 | 0 | 2,315 | 30 | 12,128 |
| Public-sector institutions and other public entities | 680 | 1,918 | 0 | 813 | 0 | 701 | 3 | 4,114 |
| Multilateral development banks | 3 | 14 | 0 | 0 | 0 | 22 | 0 | 39 |
| International organizations | 12 | 0 | 0 | 0 | 0 | 0 | 0 | 12 |
| Institutions | 0 | 14,368 | 59 | 202 | 0 | 1,641 | 0 | 16,269 |
| Corporates | 0 | 4,871 | 0 | 3,475 | 0 | 82,266 | 391 | 91,003 |
| Retail | 0 | 0 | 0 | 0 | 47,864 | 0 | 0 | 47,864 |
| Collateralized with real-estate property | 0 | 0 | 34,513 | 4,689 | 0 | 5,987 | 0 | 45,189 |
| Default status | 0 | 0 | 0 | 712 | 0 | 4,896 | 1,850 | 7,457 |
| High risk | 0 | 0 | 0 | 0 | 0 | 95 | 1,738 | 1,833 |
| Guaranteed bonds | 0 | 78 | 0 | 0 | 0 | 0 | 0 | 78 |
| Short-term to institutions and corporates | 0 | 895 | 0 | 0 | 0 | 0 | 0 | 895 |
| Mutual funds | 0 | 0 | 0 | 0 | 0 | 216 | 0 | 216 |
| Other exposures | 8,249 | 886 | 0 | 0 | 0 | 11,361 | 13 | 20,510 |
| TOTAL (1) | 111,433 | 29,105 | 34,572 | 15,771 | 47,864 | 117,169 | 4,101 | 360,015 |
Below is a presentation of exposure amounts, after the application of credit risk mitigation techniques, for different risk weightings and for the different categories of risk that correspond to the standardized method, excluding securitization positions.
2012
(Million euros)
|
|
Fully adjusted value of the exposure (1) |
|
||||||
|---|---|---|---|---|---|---|---|---|
|
|
Risk weighting |
|
||||||
| Category of exposure | 0% | 5% and 20% | 22% and 35% | 50% | 75% | 100% | 110%-300% | Total |
| Central governments and central banks | 83,767 | 203 | 0 | 3,625 | 0 | 13,560 | 0 | 101,155 |
| Regional governments and local authorities | 784 | 4,457 | 69 | 1,480 | 0 | 240 | 0 | 7,030 |
| Public-sector institutions and other public entities | 1,395 | 1,617 | 0 | 118 | 0 | 1,225 | 0 | 4,355 |
| Multilateral development banks | 13 | 117 | 0 | 13 | 0 | 56 | 0 | 200 |
| International organizations | 34 | 0 | 0 | 0 | 0 | 0 | 0 | 34 |
| Institutions | 0 | 15,071 | 125 | 1,333 | 0 | 2,205 | 3 | 18,736 |
| Corporates | 0 | 3,336 | 0 | 2,264 | 0 | 84,466 | 350 | 90,417 |
| Retail | 0 | 0 | 34 | 0 | 52,620 | 0 | 0 | 52,653 |
| Collateralized with real-estate property | 0 | 0 | 42,553 | 5,484 | 0 | 3,172 | 0 | 51,209 |
| Default status | 4 | 0 | 0 | 857 | 0 | 5,089 | 2,119 | 8,069 |
| High risk | 0 | 0 | 0 | 2 | 0 | 134 | 1,228 | 1,364 |
| Guaranteed bonds | 0 | 503 | 0 | 0 | 0 | 0 | 0 | 503 |
| Short-term to institutions and corporates | 0 | 626 | 0 | 0 | 0 | 19 | 0 | 645 |
| Mutual funds | 0 | 0 | 0 | 0 | 0 | 52 | 0 | 52 |
| Other exposures | 13,800 | 840 | 400 | 140 | 121 | 12,522 | 15 | 27,838 |
| TOTAL (2) | 99,797 | 26,772 | 43,181 | 15,316 | 52,740 | 122,740 | 3,715 | 364,261 |
(1) It is defined as the value of the exposure net of provisions, following the application of risk mitigation techniques.
(2) It does not include securitization positions.
2011
(Million euros)
|
|
Fully adjusted value of the exposure (1) |
|
||||||
|---|---|---|---|---|---|---|---|---|
|
|
Risk weighting |
|
||||||
| Category of exposure | 0% | 5% and 20% | 22% and 35% | 50% | 75% | 100% | 110%-300% | Total |
| Central governments and central banks | 72,731 | 916 | 0 | 1,945 | 0 | 7,670 | 78 | 83,339 |
| Regional governments and local authorities | 689 | 5,176 | 0 | 1,984 | 0 | 2,299 | 30 | 10,178 |
| Public-sector institutions and other public entities | 680 | 1,918 | 0 | 734 | 0 | 690 | 3 | 4,025 |
| Multilateral development banks | 19 | 14 | 0 | 0 | 0 | 22 | 0 | 55 |
| International organizations | 12 | 0 | 0 | 0 | 0 | 0 | 0 | 12 |
| Institutions | 0 | 14,559 | 59 | 218 | 0 | 1,641 | 0 | 16,476 |
| Corporates | 0 | 4,904 | 0 | 3,383 | 0 | 78,690 | 391 | 87,368 |
| Retail | 0 | 0 | 0 | 0 | 46,757 | 0 | 0 | 46,757 |
| Collateralized with real-estate property | 0 | 0 | 33,323 | 4,689 | 0 | 5,879 | 0 | 43,891 |
| Default status | 0 | 0 | 0 | 667 | 0 | 4,886 | 1,849 | 7,402 |
| High risk | 0 | 0 | 0 | 0 | 0 | 92 | 1,717 | 1,809 |
| Guaranteed bonds | 0 | 78 | 0 | 0 | 0 | 0 | 0 | 78 |
| Short-term to institutions and corporates | 0 | 895 | 0 | 0 | 0 | 0 | 0 | 895 |
| Mutual funds | 0 | 0 | 0 | 0 | 0 | 216 | 0 | 216 |
| Other exposures | 14,038 | 1,117 | 428 | 0 | 0 | 11,393 | 20 | 26,997 |
| TOTAL (2) | 88,170 | 29,577 | 33,810 | 13,620 | 46,757 | 113,477 | 4,086 | 329,497 |
(1) It is defined as the value of the exposure net of provisions, following the application of risk mitigation techniques.
(2) It does not include securitization positions.