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, Fitch and DBRS.
The exposures for which the ratings of each ECAI are used are those corresponding to the wholesale portfolios, basically involving “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 of 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 table presents the amounts for net exposure, prior to the application of credit risk mitigation techniques, for different risk weightings and for the different exposure categories that correspond to the standardized method, excluding securitization positions.
Table 24. Exposure values before the application of credit risk mitigation techniques
2013
(Millions of euros)
|
|
Exposure net of allowances for losses |
|
||||||
|---|---|---|---|---|---|---|---|---|
|
|
Risk weighting |
|
||||||
| Category of exposure | 0% | 20% | 35% | 50% | 75% | 100% | 150% | Total |
| Central governments and central banks | 72,104 | 714 | – | 4,882 | 1 | 15,801 | – | 93,502 |
| Regional governments and local authorities | 855 | 6,387 | – | 1,330 | 1 | 622 | – | 9,195 |
| Public-sector institutions and other public entities | 1,180 | 1,495 | 0 | 114 | 3 | 1,694 | – | 4,486 |
| Multilateral development banks | 34 | 0 | – | 16 | 0 | – | – | 50 |
| International organizations | 8 | – | – | – | 0 | – | – | 8 |
| Institutions (2) | 593 | 15,641 | – | 2,881 | 3 | 1,570 | 3 | 20,690 |
| SMEs | – | 3,574 | – | 694 | – | 88,189 | 42 | 92,499 |
| Retail | – | – | 854 | – | 59,452 | 22 | – | 60,328 |
| Collateralized with real-estate property | – | – | 43,681 | 6,231 | – | 1,889 | – | 51,801 |
| Default status | – | – | – | 1,684 | – | 5,656 | 3,334 | 10,674 |
| High risk | – | – | – | – | 11 | 513 | 594 | 1,118 |
| Guaranteed bonds | – | 911 | – | – | – | – | – | 911 |
| Short Term to Institutions and Corporates | – | 542 | – | 7 | 114 | – | 1 | 663 |
| Collective Investment Institutions | – | – | – | – | 0 | 816 | – | 816 |
| Other exposures | 9,247 | 441 | – | 1 | 163 | 12,249 | 11 | 22,112 |
| TOTAL (1) | 84,020 | 29,705 | 44,535 | 17,839 | 59,749 | 129,019 | 3,985 | 368,852 |
2012
(Millions of euros)
|
|
Exposure net of allowances for losses |
|
||||||
|---|---|---|---|---|---|---|---|---|
|
|
Risk weighting |
|
||||||
| Category of exposure | 0% | 20% | 35% | 50% | 75% | 100% | 150% | Total |
| Central governments and central banks | 90,803 | 197 | - | 3,625 | – | 13,560 | – | 108,185 |
| Regional governments and local authorities | 774 | 6,789 | 69 | 1,480 | – | 248 | – | 9,361 |
| Public-sector institutions and other public entities | 961 | 544 | – | 118 | – | 1,471 | – | 3,095 |
| Multilateral development banks | – | 117 | – | 13 | – | 56 | – | 187 |
| International organizations | 34 | – | – | – | – | – | – | 34 |
| Institutions (2) | – | 15,011 | 125 | 1,324 | – | 2,381 | 3 | 18,843 |
| SMEs | – | 3,306 | – | 2,504 | – | 90,369 | 355 | 96,533 |
| Retail | – | – | 34 | – | 55,555 | – | – | 55,589 |
| Collateralized with real-estate property | – | – | 43,707 | 5,515 | – | 4,803 | – | 54,024 |
| Default status | 4 | – | – | 906 | – | 5,833 | 2,166 | 8,908 |
| High risk | – | – | – | 2 | – | 186 | 1,335 | 1,523 |
| Guaranteed bonds | – | 503 | – | – | – | – | – | 503 |
| Short Term to Institutions and Corporates | – | 637 | – | – | – | 19 | – | 656 |
| Collective Investment Institutions | – | – | – | – | – | 53 | – | 53 |
| Other exposures | 8,602 | 407 | – | – | 121 | 13,929 | 15 | 23,074 |
| TOTAL (1) | 101,178 | 27,511 | 43,935 | 15,487 | 55,676 | 132,908 | 3,874 | 380,568 |
The main variations of exposures for the standardized and advanced measurement approaches are shown in sections 4.4.3 and 4.5.2 of this document.
As shown in the above tables, the exposure to Central Governments (exposures weighted at 0%) and Other Public Sector Institutions decreased throughout 2013 due the reduction in repo operations and the general deleveraging of the balance sheet.
In the case of wholesale exposures, most of the increase in exposure is due to increased activity of the Mexico subsidiaries in this segment (exposures weighted at 75%).
Exposure to default has increased due basically to the inclusion of refinanced exposures in the non-performing category, as indicated in Note 7.1.6 to the Group’s Annual Consolidated Financial Statements as of December 31, 2013. This would explain the increase in exposures with weightings greater than or equal to 150%. As a result, exposure in the “collateralized with real estate property” segment decreases (exposures weighted at 35%).
There follows a presentation of exposure amounts after the application of credit risk mitigation techniques, for different risk weightings and for the different exposure categories that correspond to the standardized method, excluding securitization positions.
Table 25. Exposure values after the application of credit risk mitigation techniques
2013
(Millions of euros)
|
|
Fully adjusted value of the exposure (1) |
|
||||||
|---|---|---|---|---|---|---|---|---|
|
|
Risk weighting |
|
||||||
| Category of exposure | 0% | 20% | 35% | 50% | 75% | 100% | 150% | Total |
| Central governments and central banks | 70,222 | 2,136 | – | 4,882 | 1 | 15,801 | – | 93,042 |
| Regional governments and local authorities | 875 | 4,024 | – | 1,330 | 1 | 618 | – | 6,847 |
| Public-sector institutions and other public entities | 1,638 | 1,570 | 0 | 128 | 3 | 1,490 | – | 4,829 |
| Multilateral development banks | 34 | 0 | – | 16 | 0 | – | – | 50 |
| International organizations | 8 | – | – | – | 0 | – | – | 8 |
| Institutions (3) | 593 | 15,462 | – | 2,882 | 96 | 1,298 | 3 | 20,334 |
| SMEs | – | 3,574 | – | 571 | – | 82,673 | 33 | 86,852 |
| Retail | – | – | 851 | – | 56,475 | 20 | – | 57,346 |
| Collateralized with real-estate property | – | – | 42,850 | 6,178 | – | 1,437 | – | 50,465 |
| Default status | – | – | – | 1,253 | – | 5,351 | 2,125 | 8,728 |
| High risk | – | – | – | – | 11 | 338 | 581 | 930 |
| Guaranteed bonds | – | 911 | – | – | – | – | – | 911 |
| Short-term to institutions and corporates | – | 542 | – | 6 | – | 114 | 1 | 663 |
| Collective Investment Institutions | – | – | – | – | 0 | 261 | – | 261 |
| Other exposures | 14,579 | 839 | 52 | 1 | 165 | 11,964 | 11 | 27,612 |
| TOTAL (2) | 87,949 | 29,058 | 43,753 | 17,247 | 56,753 | 121,364 | 2,755 | 358,879 |
2012
(Millions of euros)
|
|
Fully adjusted value of the exposure (1) |
|
||||||
|---|---|---|---|---|---|---|---|---|
|
|
Risk weighting |
|
||||||
| Category of exposure | 0% | 20% | 35% | 50% | 75% | 100% | 150% | Total |
| Central governments and central banks | 83,767 | 203 | – | 3,625 | – | 13,650 | – | 101,155 |
| Regional governments and local authorities | 784 | 4,457 | 69 | 1,480 | – | 240 | – | 7,030 |
| Public-sector institutions and other public entities | 1,395 | 1,617 | – | 118 | – | 1,225 | – | 4,355 |
| Multilateral development banks | 13 | 117 | – | 13 | – | 56 | – | 200 |
| International organizations | 34 | – | – | – | – | – | – | 34 |
| Institutions (3) | – | 15,071 | 125 | 1,333 | – | 2,205 | 3 | 18,736 |
| SMEs | – | 3,336 | – | 2,264 | – | 84,466 | 350 | 90,417 |
| Retail | – | – | 34 | – | 52,620 | – | – | 52,653 |
| Collateralized with real-estate property | – | – | 42,553 | 5,484 | – | 3,172 | – | 51,209 |
| Default status | 4 | – | – | 857 | – | 5,089 | 2,119 | 8,069 |
| High risk | – | – | – | 2 | – | 134 | 1,228 | 1,364 |
| Guaranteed bonds | – | 503 | – | – | – | – | – | 503 |
| Short-term to institutions and corporates | – | 626 | – | – | – | 19 | – | 645 |
| Collective Investment Institutions | – | – | – | – | – | 52 | – | 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 |