A summary of the average weighting percentages by exposure category existing in the main geographical areas in which the Group operates is shown below, for the purpose of obtaining an overview of the entity's risk profile in terms of RWAs.
TABLE 46: Breakdown of RWA density by geographical area and approach
(Millions of euros)
| Category of exposure | RWA density | ||||||
|---|---|---|---|---|---|---|---|
| TOTAL | Spain | Eurasia | Mexico | U.S. | South America | Rest of the World | |
| Central governments or central banks | 28% | 0% | 10% | 0% | 1% | 101% | 0% |
| Deferred tax assets | 100% | 100% | 0% | 0% | 0% | 0% | 0% |
| Regional governments or local authorities | 45% | 21% | 23% | 24% | 60% | 46% | 0% |
| Public sector entities | 53% | 15% | 94% | 48% | 5% | 82% | 0% |
| Multilateral Development Banks | 30% | 20% | 0% | 0% | 0% | 66% | 0% |
| International organizations | 0% | 0% | 0% | 0% | 0% | 0% | 0% |
| Institutions | 23% | 0% | 22% | 20% | 18% | 29% | 21% |
| Corporates | 93% | 94% | 99% | 70% | 91% | 99% | 100% |
| Retail | 71% | 67% | 69% | 75% | 68% | 72% | 75% |
| Secured by mortgages on immovable property | 38% | 37% | 40% | 36% | 37% | 41% | 36% |
| Exposures in default | 104% | 107% | 101% | 100% | 101% | 100% | 100% |
| Items associated with particularly high risk | 90% | 90% | 0% | 0% | 0% | 0% | 0% |
| Covered bonds | 20% | 0% | 0% | 20% | 0% | 0% | 0% |
| Short-term claims on institutions and corporate | 23% | 22% | 0% | 0% | 21% | 31% | 0% |
| Collective investments undertakings (CIU) | 28% | 20% | 20% | 0% | 20% | 100% | 0% |
| Other exposures | 55% | 93% | 13% | 43% | 32% | 30% | 0% |
| Securitized positions | 41% | 291% | 0% | 58% | 26% | 0% | 0% |
| TOTAL CREDIT RISK BY THE STANDARDIZED APPROACH |
53% | 40% | 45% | 32% | 62% | 76% | 57% |
| Central governments or central banks | 8% | 33% | 3% | 12% | 1% | 11% | 16% |
| Institutions | 11% | 15% | 7% | 3% | 17% | 24% | 14% |
| Corporates | 59% | 59% | 56% | 74% | 39% | 50% | 66% |
| Retail | 24% | 18% | 8% | 97% | 6% | 11% | 7% |
| Equity Exposures | 204% | 180% | 217% | 236% | 272% | 248% | 308% |
| Securitized positions | 70% | 71% | 0% | 0% | 5% | 0% | 104% |
| TOTAL CREDIT RISK BY THE ADVANCED MEASUREMENT APPROACH |
37% | 33% | 32% | 87% | 29% | 67% | 53% |
| TOTAL CREDIT RISK DILUTION AND DELIVERY | 45% | 35% | 36% | 50% | 58% | 76% | 53% |
As shown, the Group has a RWA density below 50%, with the lowest densities concentrated in the euro zone countries (in line with the rest of Spanish peers) and the highest in the Americas. The reason for this lies in:
- The weight that the advanced measurement approaches represent in Spain with respect to the rest of the countries in which the Group operates, as explained in section 4.2.3.
- The RWs applied to European PAs represent a small percentage with respect to the RWs applied to the PAs outside the euro zone.
- Moreover, the exposures in Europe with institutional counterparties (which have a low associated RW) represent a higher percentage of the portfolio's total than in the rest of the Group's countries.