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2018 Pillar 3 Disclosures
Market risk in the trading book
For the purposes of calculating the capital requirements associated with the trading book, it
should be indicated that the bank classifies as such any positions in financial instruments and
commodities which are held with the intention of trading, in other words, the portfolio of
financial assets held for trading (“intention of trading” being understood as holding positions
for the purpose of disposing of them in the short term or benefiting in the short term from real
or expected differences between the purchase price and the sale price, or variations in other
prices or interest rates), or which are measured at fair value through profit or loss (portfolio
of financial assets not held for trading at fair value through profit or loss). Finally, the trading
book includes positions that provide coverage to the elements of this portfolio.
The bank uses an internal model for managing and controlling market risk. It also uses this
model to determine the capital adequacy of the capital requirement established according
to the standard methodology, if it is necessary to take any type of action through Pillar 2. A
description of the risk management and control model can be found in point 2 of Annex I.
The details of financial assets included in the trading book are set out below as defined
previously, classified by accounting portfolio and type of instrument at 31 December 2018.
This classification includes the changes introduced by IFRS 9 regarding asset valuation and
classification, set out at the end of this section.
The table below shows the amount of capital requirements associated with the trading book at 31
December 2018:
Capital requirements in the trading book
Position risk requirements
59,826
Counterparty credit risk requirements
6,709
Total capital requirements
66,535
Thousands of euros.
5 |
Financial assets for trading
Held-for-trading financial assets
1,920,383
Derivatives
926,943
Equity instruments
240,744
Debt securities
752,696
Financial assets not held for trading at fair value through profit or loss
60,413
Equity instruments
19,093
Debt securities
41,320
Total financial assets in the trading book
1,980,796
Thousands of euros.