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Information of Prudential Relevance 2014

3.1. A breakdown of minimum capital requirements by risk type

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Below is the total of capital requirements broken down by risk type as of December 31, 2014 and 2013.

The total amount for credit risk includes the positions in securitizations (standardized and advanced approach) and equity portfolio.

CHART 4: Capital requirements by risk type

As can be seen, the main risk for the Group continues to be Credit, followed by Operational Risk. A new point is credit valuation adjustment risk arising from derivatives, as established by the CRR, accounts for 1% of total requirements.

TABLE 11: Capital requirements by risk type
2014

(Millions of euros)

Exposure categories and risk types Capital Amount
Credit risk 14,194
Central governments or central banks 2,388
Regional governments or local authorities 264
Public sector entities 107
Multilateral Development Banks 2
Institutions 211
Corporates 5,314
Retail 2,458
Secured by mortgages on immovable property 1,581
Exposures in default 436
Items associated with particularly high risk 12
Covered bonds 10
Short-term claims on institutions and corporate 34
Collective investments undertakings (CIU) 1
Other exposures 1,378
Securitized positions 85
Securitized positions 85
Total credit risk by the standardized approach 14,279
Credit risk 7,589
Central governments or central banks 30
Institutions 994
Corporates 4,880
Retail 1,685
Of which: Secured by real estate collateral 834
Of which: Qualifying revolving retail 576
Of which: Other retail assets 275
Equity 1,749
By method:
Of which: Simple Method 787
Of which: PD/LGD Method 833
Of which: Internal Models 129
By nature:
Of which: Exchange-traded equity instruments 822
Of which: Non-trading equity instruments in sufficiently diversified portfolios 927
Securitized positions 57
Total credit risk by the advanced measurement approach 9,395
TOTAL CREDIT RISK 23,674
Standardized: 234
Of which: Price Risk from fixed-income positions 202
Of which: Price risk for securitizations 2
Of which: Correlation price risk 6
Of which: Price Risk from equity portfolios 24
Advanced: Market Risk 712
TOTAL TRADING-BOOK ACTIVITY RISK 946
EXCHANGE RATE RISK (STANDARDIZED APPROACH) 732
RISK DUE TO CVA ADJUSTMENT 360
OPERATIONAL RISK 2,352

CAPITAL REQUIREMENTS
28,064
2013
Exposure categories and risk types Capital Amount
Credit risk 13,295
Central governments or central banks 1,489
Regional governments or local authorities 164
Public sector entities 112
Multilateral Development Banks 1
Institutions 342
Corporates 5,197
Retail 2,586
Secured by mortgages on immovable property 1,549
Exposures in default 728
Items associated with particularly high risk 93
Covered bonds 15
Short-term claims on institutions and corporate 18
Collective investments undertakings (CIU) 21
Other exposures 981
Securitized positions 138
Securitized positions 138
Total credit risk by the standardized approach 13,433
Credit risk 7,376
Central governments or central banks 17
Institutions 992
Corporates 4,488
Retail 1,879
Of which: Secured by real estate collateral 1,018
Of which: Qualifying revolving retail 612
Of which: Other retail assets 249
Equity 1,079
By method:
Of which: Simple Method 151
Of which: PD/LGD Method 821
Of which: Internal Models 107
By nature:
Of which: Exchange-traded equity instruments 670
Of which: Non-trading equity instruments in sufficiently diversified portfolios 408
Securitized positions 95
Total credit risk by the advanced measurement approach 8,550
TOTAL CREDIT RISK 21,983
Standardized: 224
Of which: Price Risk from fixed-income positions 190
Of which: Correlation price risk 12
Of which: Price Risk from equity portfolios 22
Advanced: Market Risk 616
TOTAL TRADING-BOOK ACTIVITY RISK 840
EXCHANGE RATE RISK (STANDARDIZED APPROACH) 780
RISK DUE TO CVA ADJUSTMENT 2,421
OPERATIONAL RISK -122

CAPITAL REQUIREMENTS
25,902

Below is a breakdown of the amount (in terms of original exposure, EAD and RWAs) of the above table that would correspond to counterparty risk:

TABLE 12: Positions subject to counterparty risk in terms of EO, EAD and RWAs

(Millions of euros)

Exposure categories and risk types 2014

Securities financing transactions Derivatives and transactions with deferred settlement From contractual netting between products

EO EAD RWAs EO EAD RWAs EO EAD RWAs
Central governments or central banks 9,278 6,616 133 46 46 19 510 177 5
Regional governments or local authorities - - - 42 42 8 61 61 12
Public sector entities - - - - - - - - -
Multilateral Development Banks - - - - - - - - -
Institutions 658 644 163 3,507 3,507 286 1,598 1,591 470
Corporates 36 32 32 1,190 1,190 1,187 947 947 946
Retail 1 0 0 95 95 70 11 11 7
Secured by mortgages on immovable property - - - - - - - - -
Exposures in default - - - 0 0 0 3 3 4
Items associated with particularly high risk - - - - - - - - -
Covered bonds - - - - - - - - -
Short-term claims on institutions and corporate 34 34 34 - - - - - -
Collective investments undertakings (CIU) 105 31 6 0 0 0 - - -
Other exposures 0 0 - 48 48 0 0 0 0
Total credit risk by the standardized approach 10,112 7,357 369 4,927 4,927 1,570 3,130 2,791 1,444
Central governments or central banks - - - 3 3 0 24 24 5
Institutions 54,922 54,922 1,096 1,743 1,743 619 12,714 12,714 1,466
Corporates 1,917 1,917 70 763 763 564 3,251 3,251 2,305
Retail - - - 2 2 1 5 5 3
Of which: Secured by real estate collateral - - - - - - - - -
Of which: Qualifying revolving retail - - - - - - - - -
Of which: Other retail assets - - - 2 2 1 5 5 3
Total credit risk by the advanced measurement approach 56,839 56,839 1,165 2,510 2,510 1,184 15,994 15,994 3,779
TOTAL CREDIT RISK 66,951 64,196 1,535 7,438 7,438 2,754 19,124 18,785 5,223

The amounts shown in the table above on credit risk include the counterparty risk in trading-book activity as shown below:

TABLE 13: Amounts of counterparty risk in the trading book
Counterparty Risk Trading Book Activities Capital amount
2014 2013
233 203
Advanced Measurement Approach 391 433
Total 624 636
* Also includes requirements related to securities financing transactions

The Group currently has a totally residual amount of capital requirements for trading-book activity liquidation risk.


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