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2018 Pillar 3 Disclosures
Interest-rate risk in positions not included in the trading book
Interest-rate risk is the risk affecting or potentially affecting results or capital as a result of
adverse movements in interest rates in the banking book.
The measurement and analysis of this risk is performed by taking into consideration the following
aspects in accordance with the premises described below:
•
It is conducted on a permanent basis.
•
An analysis is performed of the effects on the Net Interest Margin and Economic Value which
could result from variations in interest rates in the various currencies in which significant
exposures are maintained.
•
The analysis includes all positions that are sensitive to interest-rate risk, including interest-
rate derivatives, both implicit and explicit, and excluding positions that form a part of the
trading book.
Based on these analyses, measures are adopted as required in order to guarantee the optimal
management of this risk.
Gap analysis indicates the exposure to interest-rate risk on the basis of the maturity structure
and/or repricing of positions. This analysis enables interest risk positions to be ascertained over
different terms, and also aims to ascertain where potential impacts may affect the financial
margin and economic value. The data at 2018 year-end are shown in the following table:
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