BBVA Disclosure for global systemically important banks (G-SIBs) indicators as of 31 December 2021
In order to comply with disclosure requirements and methodology described in the July 2013 document entitled "Global systemically important banks: updated assessment methodology and the higher loss absorbency requirement"1, we
attach information, corresponding to the fiscal year 2021.
Although BBVA group is not currently a GSIB, the obligation to disclose is defined as follows: "In accordance with the BCBS standards, all banks with a leverage ratio exposure measure exceeding 200 billion euros (using the exchange rate applicable at the financial year-end) are required to publically disclose information containing at least the 12 indicators defined in GSIB methodology within four months of the financial year end".
The Basel Committee on Banking Supervision (BCBS) assesses the systemic importance of banks in a global context.
Global systemic importance is measured in terms of the impact a bank's failure can have on the global financial system and the wider economy, rather than the risk that a failure could occur.
The measurement approach of the global systemic importance is indicator-based. The indicators shall reflect the size of banks, their interconnectedness, the lack of readily available substitutes or financial institution infrastructure for the services they provide, their global (cross-jurisdictional) activity and their complexity.
The indicators provided below are calculated based on specific instructions by the BCBS and thus are not directly comparable against other disclosed information.
Please, be aware that this disclosed information could be subject to changes because is still under review by National Supervisor Authority and also by Basel Committee on Banking Supervision.
Articles 128 and 131 of Directive 2013/36/EU of the European Parliament incorporate at European level the obligation to maintain capital buffers for global systemically important entities. This has been transposed to Spanish regulation by the law 10/2014, "de ordenación, supervisión y solvencia de entidades de crédito". According to this law, capital buffer for systemic entities is being required from January 1st, 2016, subject to transitional period.
Madrid, April 29, 2022
In Million €
Category | Individual indicator | 31.12.2021 |
Size | Total exposures as defined for use in the BIS Basel III leverage ratio 2 | 694.420 |
Cross-Jurisdictional Activity | Cross-Jurisdictional claims | 360.321 |
Cross-Jurisdictional liabilities | 264.732 | |
Interconectedness | Intra-financial system assets | 70.095 |
Intra-financial system liabilities | 58.815 | |
Securities outstanding | 99.800 | |
Substitutability/financial institution infrastructure | Assets under custody | 426.877 |
Payments activity | 10.335.120 | |
Underwritten transactions in debt and equity markets | 29.756 | |
Trading volume | 323.162 | |
Complexity | Notional amount of over-the-counter (OTC) derivatives | 4.587.153 |
Level 3 Assets | 5.301 | |
Trading and available for sale securities 3 | 6.201 | |
1 Document available atwww.bis.org/publ/bcbs255.htm |
2 According to the instructions of GSIBs template requirements, this indicator match the definition of total exposures as defined in Basel III leverage ratio framework and disclosure requirements, January 2014, Basel Committee on Banking Supervision, available atwww.bis.org/publ/bcbs270.htm.
BBVA official COREP total exposure for the calculation of leverage ratio as of end-2021 on a fully-loaded basis is € 671.025 millions.
3 After offsetting of trading and available-for-sale securities that meet the definition of unemcumbered Level 1 and Level 2 (after haircuts) assets, as per BCBS definition
General Bank Data
Section 1 - General Information
a. General information provided by the relevant supervisory authority:
(1) Country code
(2) Bank name
(3) Reporting date (yyyy-mm-dd)
(4) Reporting currency
GSIB
Response
1001
1002
1003
1004
(5) Euro conversion rate
(6) Submission date (yyyy-mm-dd)
10051006
b. General Information provided by the reporting institution:
(1) Reporting unit
1007
1.000
(2) Accounting standard
1008
(3) Date of public disclosure (yyyy-mm-dd)
1009
IFRS 2022-04-29
(4) Language of public disclosure
(5) Web address of public disclosure
(6) LEI code
2015
1010
1011
Englishhttps://accionistaseinversores.bbva.com/wp-content/uploads/2021/04/BBVA-GS K8MS7FD7N5Z2WQ51AZ71
Size Indicator
Section 2 - Total Exposures
a. Derivatives
(1) Counterparty exposure of derivatives contracts
(2) Capped notional amount of credit derivatives
(3) Potential future exposure of derivative contracts
b. Securities financing transactions (SFTs)
(1) Adjusted gross value of SFTs
(2) Counterparty exposure of SFTs
d. Gross notional amount of off-balance sheet items
(1) Items subject to a 0% credit conversion factor (CCF)
(2) Items subject to a 20% CCF
(3) Items subject to a 50% CCF
(4) Items subject to a 100% CCF
e. Regulatory adjustments
c. Other assets
f. Total exposures prior to regulatory adjustments (sum of items 2.a.(1) thorough 2.c, 0.1 times 2.d.(1), 0.2 times 2.d.(2),
0.5 times 2.d.(3), and 2.d.(4))
g. Exposures of insurance subsidiaries not included in 2.f net of intragroup:
(1) On-balance sheet and off-balance sheet insurance assets
(2) Potential future exposure of derivatives contracts for insurance subsidiaries
(3) Investment value in consolidated entities
h. Intragroup exposures with insurance subsidiaries reported in 2.g that are included in 2.f
i. Total exposures indicator, including insurance subsidiaries (sum of items 2.f, 2.g.(1) thorough 2.g.(2) minus 2.g.(3)
thorough 2.h)
GSIB
1012 1201 1018
1013 1014 1015
1019
1022
1023
1024
1031
1103
1701 1205 1208 2101
1117
Interconnectedness Indicators
Section 3 - Intra-Financial System Assets
a. Funds deposited with or lent to other financial institutions
(1) Certificates of deposit
b. Unused portion of committed lines extended to other financial institutions
c. Holdings of securities issued by other financial institutions
(1) Secured debt securities
(2) Senior unsecured debt securities
(3) Subordinated debt securities
(4) Commercial paper
(5) Equity securities
(6) Offsetting short positions in relation to the specific equity securities included in item 3.c.(5)
d. Net positive current exposure of SFTs with other financial institutions
e. OTC derivatives with other financial institutions that have a net positive fair value
(1) Net positive fair value
(2) Potential future exposure
f. Intra-financial system assets indicator, including insurance subsidiaries (sum of items 3.a, 3.b through 3.c.(5), 3.d,
3.e.(1), and 3.e.(2), minus 3.c.(6))
GSIB 1216 2102 1217
2103
2104
2105
2106
2107
2108
1219
2109 2110
1215
Section 4 - Intra-Financial System Liabilities
a. Funds deposited by or borrowed from other financial institutions
(1) Deposits due to depository institutions
(2) Deposits due to non-depository financial institutions
(3) Loans obtained from other financial institutions
b. Unused portion of committed lines obtained from other financial institutions
c. Net negative current exposure of SFTs with other financial institutions
d. OTC derivatives with other financial institutions that have a net negative fair value
(1) Net negative fair value
(2) Potential future exposure
e. Intra-financial system liabilities indicator, including insurance subsidiaries (sum of items 4.a.(1) through 4.d.(2))
GSIB
2111
2112
2113
1223
1224
2114 2115 1221
Section 5 - Securities Outstanding
a. Secured debt securities
b. Senior unsecured debt securities
c. Subordinated debt securities
d. Commercial paper
e. Certificates of deposit
f. Common equity
g. Preferred shares and any other forms of subordinated funding not captured in item 5.c.
GSIB
2116
2117
2118
2119
2120
2121
2122
h. Securities outstanding indicator, including the securities issued by insurance subsidiaries (sum of items 5.a through 5.g) 1226
99.800.285
Substitutability/Financial Institution Infrastructure Indicators
Section 6 - Payments made in the reporting year (excluding intragroup payments) | GSIB | |
a. Australian dollars (AUD) | 1061 | |
b. Canadian dollars (CAD) | 1063 | |
c. Swiss francs (CHF) | 1064 | |
d. Chinese yuan (CNY) | 1065 | |
e. Euros (EUR) | 1066 | |
f. British pounds (GBP) | 1067 | |
g. Hong Kong dollars (HKD) | 1068 | |
h. Indian rupee (INR) | 1069 | |
i. Japanese yen (JPY) | 1070 | |
j. New Zealand dollars (NZD) | 1109 | |
k. Swedish krona (SEK) | 1071 | |
l. United States dollars (USD) | 1072 | |
m. Payments activity indicator (sum of items 6.a through 6.l) | 1073 | |
Section 7 - Assets Under Custody | GSIB | |
a. Assets under custody indicator | 1074 | |
Section 8 - Underwritten Transactions in Debt and Equity Markets | GSIB | Amount |
a. Equity underwriting activity | 1075 | |
b. Debt underwriting activity | 1076 | |
c. Underwriting activity indicator (sum of items 8.a and 8.b) | 1077 | |
Section 9 - Trading Volume | GSIB | Amount |
a. Trading volume of securities issued by other public sector entities, excluding intragroup transactions | 2123 | |
b. Trading volume of other fixed income securities, excluding intragroup transactions | 2124 | |
c. Trading volume fixed income sub-indicator (sum of items 9.a and 9.b) | 2125 | |
d. Trading volume of listed equities, excluding intragroup transactions | 2126 | |
e. Trading volume of all other securities, excluding intragroup transactions | 2127 | |
f. Trading volume equities and other securities sub-indicator (sum of items 9.d and 9.e) | 2128 | |
Complexity indicators | ||
Section 10 - Notional Amount of Over-the-Counter (OTC) Derivatives | GSIB | Amount |
a. OTC derivatives cleared through a central counterparty | 2129 | 3.180.741.121 |
b. OTC derivatives settled bilaterally | 1905 | 1.406.411.560 |
4.587.152.681 | ||
Amount |
Amount
10.335.119.677
6.230.881.036
3.272.540.847
102.156.184
440.911.204
22.469.158
36.207.579
49.313.180
70.259.674
76.158.993
22.123.365
12.092.218
6.239
c. Notional amount of over-the-counter (OTC) derivatives indicator, including insurance subsidiaries (sum of items 10.a and 101.b2)27
Section 11 - Trading and Available-for-Sale Securities | GSIB | |
a. Held-for-trading securities (HFT) | 1081 | 25.415.067 |
b. Available-for-sale securities (AFS) | 1082 | 44.393.023 |
c. Trading and AFS securities that meet the definition of Level 1 assets | 1083 | 52.827.666 |
d. Trading and AFS securities that meet the definition of Level 2 assets, with haircuts | 1084 | 10.779.794 |
e. Trading and AFS securities indicator (sum of items 11.a and 11.b, minus the sum of 11.c and 11.d) | 1085 | 6.200.630 |
Section 12 - Level 3 Assets | GSIB | Amount |
a. Level 3 assets indicator, including insurance subsidiaries | 1229 | 5.300.976 |
Cross-Jurisdictional Activity Indicators | ||
Section 13 - Cross-Jurisdictional Claims | GSIB | Amount |
a. Total foreign claims on an ultimate risk basis | 1087 | 332.006.824 |
b. Foreign derivative claims on an ultimate risk basis | 1146 | 28.314.615 |
c. Cross-jurisdictional claims indicator (sum of items 13.a and 13.b) | 2130 | 360.321.439 |
Section 14 - Cross-Jurisdictional Liabilities | GSIB | Amount |
a. Foreign liabilities on an immediate risk basis, excluding derivatives and including local liabilities in local currency | 2131 | 234.086.181 |
b. Foreign derivative liabilities on an immediate risk basis | 1149 | 30.646.142 |
c. Cross-jurisdictional liabilities indicator (sum of items 14.a and 14.b) | 1148 | 264.732.323 |
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BBVA - Banco Bilbao Vizcaya Argentaria SA published this content on 29 April 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 29 April 2022 10:21:07 UTC.
