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2018 Pillar 3 Disclosures
Interest-rate risk in positions not included in the trading book
As mentioned above, the most representative indicators employed internally for management
identify the levels of structural interest-rate risk based on sensitivities to interest-rate
movements. The values of these indicators are set out below:
Indicator
Indicator description
Economic Value
The relationship between the economic value and the highest
quality eligible capital.
152.87%
Sensitivity to Economic
Value with respect to
Tier I and II
Percentage of eligible capital that would be represented by
the loss in Economic Value that would be caused by a sudden
variation of 200 b.p. on the interest-rate curves.
5.55%
Sensitivity to Economic
Value with respect to EVC
Percentage of economic value that would be represented
by the loss that would be caused by a sudden variation of 200 b.p.
on the interest-rate curves.
3.40%
Net Interest Margin
Sensitivity
Sensitivity of the one-year projections for the financial margin to
sudden variations of 200 b.p. on the interest-rate curves.
5.15%
VaR – Banking Book
Percentage of Tier 1 capital committed to the VaR of the Banking
Book.
0.54%
Datos medios del año.
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