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Note 7 - Risk Management (Tables) | 12 Months Ended
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Dec. 31, 2020
Risk Management Abstract |
Principal Geographical Areas GDP |
GDP for the main geographies
| Spain | Mexico | Turkey | United States
Date | GDP negative scenario | GDP base scenario | GDP positive scenario | GDP negative scenario | GDP base scenario | GDP positive scenario | GDP negative scenario | GDP base scenario | GDP positive scenario | GDP negative scenario | GDP base scenario | GDP positive scenario
2019 | 0,96% | 1,54% | 2,15% | (0,58%) | 0,23% | 1,06% | (0,60%) | 3,32% | 7,06% | 1,16% | 2,12% | 3,13%
2020 | 1,35% | 1,87% | 2,42% | 0,93% | 1,66% | 2,39% | (0,68%) | 2,48% | 5,27% | 1,00% | 1,81% | 2,62%
2021 | 2,01% | 2,10% | 2,19% | 2,05% | 2,14% | 2,23% | 4,60% | 4,74% | 4,91% | 1,84% | 1,92% | 2,03%
2022 | 1,85% | 1,89% | 1,88% | 2,07% | 2,14% | 2,19% | 4,28% | 4,38% | 4,47% | 1,83% | 1,86% | 1,91%
2023 | 1,81% | 1,85% | 1,85% | 2,11% | 2,15% | 2,17% | 4,31% | 4,38% | 4,50% | 1,88% | 1,91% | 1,94%
GDP for the main geographies
| Peru | Argentina | Colombia
Date | GDP negative scenario | GDP base scenario | GDP positive scenario | GDP negative scenario | GDP base scenario | GDP positive scenario | GDP negative scenario | GDP base scenario | GDP positive scenario
2019 | 0,34% | 2,92% | 5,43% | (7,41%) | (2,47%) | 2,40% | 1,93% | 3,29% | 4,58%
2020 | 0,32% | 2,46% | 4,56% | (6,62%) | (2,57%) | 0,85% | 1,71% | 2,73% | 3,74%
2021 | 3,07% | 3,28% | 3,49% | 2,08% | 2,30% | 2,51% | 3,61% | 3,61% | 3,61%
2022 | 3,39% | 3,39% | 3,39% | 1,64% | 1,78% | 1,88% | 3,59% | 3,59% | 3,59%
2023 | 3,86% | 3,86% | 3,86% | 1,95% | 2,10% | 2,23% | 3,59% | 3,59% | 3,59%
Credit Risk Exposure |
Maximum credit risk exposure (Millions of Euros)
| Notes | December 2020 | Stage 1 | Stage 2 | Stage 3
Financial assets held for trading |  | 68.075 |  |  |
Debt securities | 10 | 23.970 |  |  |
Equity instruments | 10 | 11.458 |  |  |
Loans and advances | 10 | 32.647 |  |  |
Non-trading financial assets mandatorily at fair value through profit or loss |  | 5.198 |  |  |
Loans and advances | 11 | 709 |  |  |
Debt securities | 11 | 356 |  |  |
Equity instruments | 11 | 4.133 |  |  |
Financial assets designated at fair value through profit or loss | 12 | 1.117 |  |  |
Derivatives (trading and hedging) |  | 46.302 |  |  |
Financial assets at fair value through other comprehensive income |  | 69.537 |  |  |
Debt securities |  | 68.404 | 67.995 | 410 | -
Equity instruments | 13 | 1.100 |  |  |
Loans and advances to credit institutions | 13 | 33 | 33 | - | -
Financial assets at amortized cost |  | 379.857 | 334.552 | 30.607 | 14.698
Loans and advances to central banks |  | 6.229 | 6.229 | - | -
Loans and advances to credit institutions |  | 14.591 | 14.565 | 20 | 6
Loans and advances to customers |  | 323.252 | 277.998 | 30.581 | 14.672
Debt securities |  | 35.785 | 35.759 | 6 | 20
Total financial assets risk |  | 570.084 | - | - | -
Total loan commitments and financial guarantees |  | 179.440 | 165.726 | 12.682 | 1.032
Loan commitments given | 33 | 132.584 | 124.104 | 8.214 | 265
Financial guarantees given | 33 | 10.665 | 9.208 | 1.168 | 290
Other commitments given | 33 | 36.190 | 32.414 | 3.300 | 477
Total maximum credit exposure |  | 749.524 |  |  |
Maximum credit risk exposure (Millions of Euros)
| Notes | December 2019 | Stage 1 | Stage 2 | Stage 3
Financial assets held for trading |  | 69.503 |  |  |
Debt securities | 10 | 26.309 |  |  |
Equity instruments | 10 | 8.892 |  |  |
Loans and advances | 10 | 34.303 |  |  |
Non-trading financial assets mandatorily at fair value through profit or loss |  | 5.557 |  |  |
Loans and advances | 11 | 1.120 |  |  |
Debt securities | 11 | 110 |  |  |
Equity instruments | 11 | 4.327 |  |  |
Financial assets designated at fair value through profit or loss | 12 | 1.214 |  |  |
Derivatives (trading and hedging) |  | 39.462 |  |  |
Financial assets at fair value through other comprehensive income |  | 61.293 |  |  |
Debt securities |  | 58.841 | 58.590 | 250 | -
Equity instruments | 13 | 2.420 |  |  |
Loans and advances to credit institutions | 13 | 33 | 33 | - | -
Financial assets at amortized cost |  | 451.640 | 402.024 | 33.624 | 15.993
Loans and advances to central banks |  | 4.285 | 4.285 | - | -
Loans and advances to credit institutions |  | 13.664 | 13.500 | 158 | 6
Loans and advances to customers |  | 394.763 | 345.449 | 33.360 | 15.954
Debt securities |  | 38.930 | 38.790 | 106 | 33
Total financial assets risk |  | 628.670 |  |  |
Total loan commitments and financial guarantees |  | 181.116 | 169.663 | 10.452 | 1.001
Loan commitments given | 33 | 130.923 | 123.707 | 6.945 | 270
Financial guarantees given | 33 | 10.984 | 9.804 | 955 | 224
Other commitments given | 33 | 39.209 | 36.151 | 2.552 | 506
Total maximum credit exposure |  | 809.786 |  |  |
Maximum credit risk exposure (Millions of Euros)
| Notes | December 2018 | Stage 1 | Stage 2 | Stage 3
Financial assets held for trading |  | 59.581 |  |  |
Debt securities | 10 | 25.577 |  |  |
Equity instruments | 10 | 5.254 |  |  |
Loans and advances | 10 | 28.750 |  |  |
Non-trading financial assets mandatorily at fair value through profit or loss |  | 5.135 |  |  |
Loans and advances | 11 | 1.803 |  |  |
Debt securities | 11 | 237 |  |  |
Equity instruments | 11 | 3.095 |  |  |
Financial assets designated at fair value through profit or loss | 12 | 1.313 |  |  |
Derivatives (trading and hedging) |  | 38.249 |  |  |
Financial assets at fair value through other comprehensive income |  | 56.365 |  |  |
Debt securities |  | 53.737 | 53.734 | 3 | -
Equity instruments | 13 | 2.595 |  |  |
Loans and advances to credit institutions | 13 | 33 | 33 | - | -
Financial assets at amortized cost |  | 431.927 | 384.632 | 30.902 | 16.394
Loans and advances to central banks |  | 3.947 | 3.947 | - | -
Loans and advances to credit institutions |  | 9.175 | 9.131 | 34 | 10
Loans and advances to customers |  | 386.225 | 339.204 | 30.673 | 16.348
Debt securities |  | 32.580 | 32.350 | 195 | 35
Total financial assets risk |  | 592.571 |  |  |
Total loan commitments and financial guarantees |  | 170.511 | 161.404 | 8.120 | 987
Loan commitments given | 33 | 118.959 | 113.403 | 5.308 | 247
Financial guarantees given | 33 | 16.454 | 14.902 | 1.220 | 332
Other commitments given | 33 | 35.098 | 33.099 | 1.591 | 408
Total maximum credit exposure |  | 763.082 |  |  |
Credit Risk Exposure By Stages and geographic location |
December 2020 (Millions of Euros)
| Gross exposure | Accumulated allowances | Carrying amount
| Total | Stage 1 | Stage 2 | Stage 3 | Total | Stage 1 | Stage 2 | Stage 3 | Total | Stage 1 | Stage 2 | Stage 3
Spain (*) | 195.983 | 171.397 | 16.387 | 8.199 | (5.679) | (753) | (849) | (4.077) | 190.304 | 170.644 | 15.538 | 4.122
Mexico | 52.211 | 46.373 | 4.071 | 1.767 | (2.211) | (685) | (442) | (1.083) | 50.000 | 45.688 | 3.628 | 684
Turkey (**) | 39.633 | 30.832 | 5.806 | 2.995 | (2.338) | (246) | (535) | (1.557) | 37.295 | 30.586 | 5.272 | 1.438
South America (***) | 34.499 | 28.484 | 4.312 | 1.703 | (1.870) | (320) | (460) | (1.090) | 32.629 | 28.165 | 3.852 | 612
Others | 925 | 912 | 5 | 8 | (7) | (1) | - | (6) | 918 | 911 | 4 | 2
Total (****) | 323.252 | 277.998 | 30.581 | 14.672 | (12.105) | (2.005) | (2.287) | (7.813) | 311.147 | 275.993 | 28.294 | 6.860
Of which: individual |  |  |  |  | (2.611) | (10) | (479) | (2.122) |  |  |  |
Of which: collective |  |  |  |  | (9.494) | (1.995) | (1.808) | (5.691) |  |  |  |
December 2019 (Millions of Euros)
| Gross exposure | Accumulated allowances | Carrying amount
| Total | Stage 1 | Stage 2 | Stage 3 | Total | Stage 1 | Stage 2 | Stage 3 | Total | Stage 1 | Stage 2 | Stage 3
Spain (*) | 197.058 | 173.843 | 14.599 | 8.616 | (5.311) | (712) | (661) | (3.939) | 191.747 | 173.131 | 13.939 | 4.677
The United States | 57.387 | 49.744 | 7.011 | 632 | (688) | (165) | (342) | (182) | 56.699 | 49.580 | 6.670 | 450
Mexico | 60.099 | 54.748 | 3.873 | 1.478 | (2.013) | (697) | (404) | (912) | 58.087 | 54.052 | 3.469 | 566
Turkey (**) | 43.113 | 34.536 | 5.127 | 3.451 | (2.613) | (189) | (450) | (1.974) | 40.500 | 34.347 | 4.677 | 1.477
South America (***) | 36.265 | 31.754 | 2.742 | 1.769 | (1.769) | (366) | (323) | (1.079) | 34.497 | 31.388 | 2.419 | 690
Others | 839 | 824 | 7 | 9 | (8) | (1) | (1) | (6) | 832 | 823 | 6 | 2
Total (****) | 394.763 | 345.449 | 33.360 | 15.954 | (12.402) | (2.129) | (2.181) | (8.093) | 382.360 | 343.320 | 31.179 | 7.861
Of which: individual |  |  |  |  | (2.795) | (6) | (347) | (2.441) |  |  |  |
Of which: collective |  |  |  |  | (9.608) | (2.123) | (1.834) | (5.652) |  |  |  |
December 2018 (Millions of Euros)
| Gross exposure | Accumulated allowances | Carrying amount
| Total | Stage 1 | Stage 2 | Stage 3 | Total | Stage 1 | Stage 2 | Stage 3 | Total | Stage 1 | Stage 2 | Stage 3
Spain (*) | 195.447 | 172.599 | 12.827 | 10.021 | (5.874) | (713) | (877) | (4.284) | 189.574 | 171.886 | 11.951 | 5.737
The United States | 57.321 | 50.665 | 5.923 | 733 | (658) | (206) | (299) | (153) | 56.663 | 50.459 | 5.624 | 580
Mexico | 52.858 | 48.354 | 3.366 | 1.138 | (1.750) | (640) | (373) | (737) | 51.107 | 47.714 | 2.992 | 401
Turkey (**) | 43.718 | 34.883 | 6.113 | 2.722 | (2.241) | (171) | (591) | (1.479) | 41.479 | 34.712 | 5.523 | 1.244
South America (***) | 36.098 | 31.947 | 2.436 | 1.715 | (1.656) | (338) | (234) | (1.084) | 34.442 | 31.609 | 2.202 | 631
Others | 783 | 756 | 8 | 19 | (19) | - | (1) | (18) | 763 | 755 | 7 | 1
Total (****) | 386.225 | 339.204 | 30.673 | 16.348 | (12.199) | (2.070) | (2.374) | (7.755) | 374.027 | 337.134 | 28.299 | 8.593
Of which: individual |  |  |  |  | (3.333) | (3) | (504) | (2.826) |  |  |  |
Of which: collective |  |  |  |  | (8.866) | (2.067) | (1.870) | (4.929) |  |  |  |
Credit Risk Exposure By Stages and Counterparty |
December 2020 (Millions of Euros)
| Gross exposure | Accumulated allowances | Net amount
| Total | Stage 1 | Stage 2 | Stage 3 | Total | Stage 1 | Stage 2 | Stage 3 | Total | Stage 1 | Stage 2 | Stage 3
Public administrations | 19.439 | 19.163 | 200 | 76 | (48) | (14) | (9) | (25) | 19.391 | 19.149 | 191 | 51
Other financial corporations | 9.856 | 9.747 | 95 | 14 | (39) | (25) | (6) | (7) | 9.817 | 9.722 | 88 | 7
Non-financial corporations | 142.547 | 119.891 | 15.179 | 7.477 | (6.123) | (774) | (1.110) | (4.239) | 136.424 | 119.117 | 14.069 | 3.238
Individuals | 151.410 | 129.196 | 15.108 | 7.106 | (5.895) | (1.192) | (1.161) | (3.542) | 145.515 | 128.005 | 13.946 | 3.564
Loans and advances to customers | 323.252 | 277.998 | 30.581 | 14.672 | (12.105) | (2.005) | (2.287) | (7.813) | 311.147 | 275.993 | 28.294 | 6.860
December 2019 (Millions of Euros)
| Gross exposure | Accumulated allowances | Net amount
| Total | Stage 1 | Stage 2 | Stage 3 | Total | Stage 1 | Stage 2 | Stage 3 | Total | Stage 1 | Stage 2 | Stage 3
Public administrations | 28.281 | 27.511 | 682 | 88 | (59) | (15) | (22) | (21) | 28.222 | 27.496 | 660 | 66
Other financial corporations | 11.239 | 11.085 | 136 | 17 | (31) | (19) | (2) | (10) | 11.207 | 11.066 | 134 | 8
Non-financial corporations | 173.254 | 148.768 | 16.018 | 8.468 | (6.465) | (811) | (904) | (4.750) | 166.789 | 147.957 | 15.114 | 3.718
Individuals | 181.989 | 158.085 | 16.523 | 7.381 | (5.847) | (1.283) | (1.252) | (3.312) | 176.142 | 156.801 | 15.272 | 4.069
Loans and advances to customers | 394.763 | 345.449 | 33.360 | 15.954 | (12.402) | (2.129) | (2.181) | (8.093) | 382.360 | 343.320 | 31.179 | 7.861
December 2018 (Millions of Euros)
| Gross exposure | Accumulated allowances | Net amount
| Total | Stage 1 | Stage 2 | Stage 3 | Total | Stage 1 | Stage 2 | Stage 3 | Total | Stage 1 | Stage 2 | Stage 3
Public administrations | 28.632 | 27.740 | 764 | 128 | (84) | (21) | (25) | (38) | 28.549 | 27.719 | 739 | 91
Other financial corporations | 9.490 | 9.189 | 291 | 11 | (22) | (13) | (4) | (4) | 9.468 | 9.176 | 286 | 6
Non-financial corporations | 169.764 | 145.875 | 15.516 | 8.372 | (6.260) | (730) | (1.190) | (4.341) | 163.503 | 145.145 | 14.327 | 4.031
Individuals | 178.339 | 156.400 | 14.102 | 7.838 | (5.833) | (1.305) | (1.155) | (3.372) | 172.506 | 155.094 | 12.946 | 4.466
Loans and advances to customers | 386.225 | 339.204 | 30.673 | 16.348 | (12.199) | (2.070) | (2.374) | (7.755) | 374.027 | 337.134 | 28.299 | 8.593
Loans And Advances Breakdown By Counterparty |
December 2020 (Millions of Euros)
| Central banks | General governments | Credit institutions | Other financial corporations | Non-financial corporations | Households | Total | Gross carrying amount
On demand and short notice | - | 7 | - | 502 | 1.798 | 528 | 2.835 | 3.021
Credit card debt | - | - | - | 2 | 1.485 | 11.605 | 13.093 | 14.220
Commercial debtors |  | 898 | - | 317 | 14.262 | 67 | 15.544 | 15.796
Finance leases | - | 197 | - | 6 | 7.125 | 322 | 7.650 | 8.013
Reverse repurchase loans | 472 | - | 1.914 | - | 71 | - | 2.457 | 2.463
Other term loans | 5.690 | 18.111 | 3.972 | 5.799 | 111.141 | 132.603 | 277.317 | 287.467
Advances that are not loans | 48 | 260 | 8.721 | 3.191 | 1.084 | 473 | 13.777 | 13.833
LOANS AND ADVANCES | 6.209 | 19.475 | 14.608 | 9.817 | 136.966 | 145.598 | 332.672 | 344.813
By secured loans |  |  |  |  |  |  |  |
Of which: mortgage loans collateralized by immovable property |  | 372 | - | 209 | 22.091 | 94.147 | 116.819 | 120.194
Of which: other collateralized loans | 472 | 952 | - | 317 | 3.763 | 2.059 | 7.562 | 7.776
By purpose of the loan |  |  |  |  |  |  |  |
Of which: credit for consumption |  |  |  |  |  | 39.799 | 39.799 | 43.037
Of which: lending for house purchase |  |  |  |  |  | 94.098 | 94.098 | 95.751
By subordination |  |  |  |  |  |  |  |
Of which: project finance loans |  |  |  |  | 10.721 |  | 10.721 | 11.032
December 2019 (Millions of Euros)
| Central banks | General governments | Credit institutions | Other financial corporations | Non-financial corporations | Households | Total | Gross carrying amount
On demand and short notice | - | 9 | - | 118 | 2.328 | 595 | 3.050 | 3.251
Credit card debt | - | 10 | 1 | 3 | 1.940 | 14.401 | 16.355 | 17.608
Commercial debtors |  | 971 | - | 230 | 15.976 | 99 | 17.276 | 17.617
Finance leases | - | 227 | - | 6 | 8.091 | 387 | 8.711 | 9.095
Reverse repurchase loans | - | - | 1.817 | - | 26 | - | 1.843 | 1.848
Other term loans | 4.240 | 26.734 | 4.121 | 7.795 | 137.934 | 160.223 | 341.047 | 351.230
Advances that are not loans | 35 | 865 | 7.743 | 3.056 | 951 | 506 | 13.156 | 13.214
LOANS AND ADVANCES | 4.275 | 28.816 | 13.682 | 11.208 | 167.246 | 176.211 | 401.438 | 413.863
By secured loans |  |  |  |  |  |  |  |
Of which: mortgage loans collateralized by immovable property |  | 1.067 | 15 | 261 | 23.575 | 111.085 | 136.003 | 139.317
Of which: other collateralized loans | - | 10.447 | 93 | 2.106 | 29.009 | 6.893 | 48.548 | 49.266
By purpose of the loan |  |  |  |  |  |  |  |
Of which: credit for consumption |  |  |  |  |  | 46.356 | 46.356 | 49.474
Of which: lending for house purchase |  |  |  |  |  | 110.178 | 110.178 | 111.636
By subordination |  |  |  |  |  |  |  |
Of which: project finance loans |  |  |  |  | 12.259 |  | 12.259 | 12.415
December 2018 (Millions of Euros)
| Central banks | General governments | Credit institutions | Other financial corporations | Non-financial corporations | Households | Total | Gross carrying amount
On demand and short notice | - | 10 | - | 151 | 2.833 | 648 | 3.641 | 3.834
Credit card debt | - | 8 | 1 | 2 | 2.328 | 13.108 | 15.446 | 16.495
Commercial debtors |  | 948 | - | 195 | 16.190 | 103 | 17.436 | 17.716
Finance leases | - | 226 | - | 3 | 8.014 | 406 | 8.650 | 9.077
Reverse repurchase loans | - | 293 | 477 | - | - | - | 770 | 772
Other term loans | 3.911 | 26.839 | 2.947 | 7.030 | 133.573 | 157.760 | 332.060 | 342.264
Advances that are not loans | 29 | 1.592 | 5.771 | 2.088 | 984 | 498 | 10.962 | 11.025
LOANS AND ADVANCES | 3.941 | 29.917 | 9.196 | 9.468 | 163.922 | 172.522 | 388.966 | 401.183
By secured loans |  |  |  |  |  |  |  |
Of which: mortgage loans collateralized by immovable property |  | 1.056 | 15 | 219 | 26.784 | 111.809 | 139.883 | 144.005
Of which: other collateralized loans | - | 7.179 | 285 | 1.389 | 31.393 | 6.835 | 47.081 | 47.855
By purpose of the loan |  |  |  |  |  |  |  |
Of which: credit for consumption |  |  |  |  |  | 40.124 | 40.124 | 42.736
Of which: lending for house purchase |  |  |  |  |  | 111.007 | 111.007 | 112.952
By subordination |  |  |  |  |  |  |  |
Of which: project finance loans |  |  |  |  | 13.973 |  | 13.973 | 14.286
Guaranteed financial instruments based on IFRS 9 |
December 2020 (Millions of Euros)
| Maximum exposure to credit risk | Of which secured by collateral
| Residential properties | Commercial properties | Cash | Others | Financial
Impaired loans and advances at amortized cost | 14.678 | 2.717 | 789 | 18 | 52 | 575
Total | 14.678 | 2.717 | 789 | 18 | 52 | 575
December 2019 (Millions of Euros)
| Maximum exposure to credit risk | Of which secured by collateral
| Residential properties | Commercial properties | Cash | Others | Financial
Impaired loans and advances at amortized cost | 15.959 | 3.396 | 939 | 35 | 221 | 542
Total | 15.959 | 3.396 | 939 | 35 | 221 | 542
December 2018 (Millions of Euros)
| Maximum exposure to credit risk | Of which secured by collateral
| Residential properties | Commercial properties | Cash | Others | Financial
Impaired loans and advances at amortized cost | 16.359 | 3.484 | 1.255 | 13 | 317 | 502
Total | 16.359 | 3.484 | 1.255 | 13 | 317 | 502
Financial Guarantee received |
Guarantees received (Millions of Euros)
| 2020 | 2019 | 2018
Value of collateral | 116.900 | 152.454 | 158.268
Of which: guarantees normal risks under special monitoring | 11.296 | 14.623 | 14.087
Of which: guarantees non-performing risks | 3.577 | 4.590 | 5.068
Value of other guarantees | 47.012 | 35.464 | 16.897
Of which: guarantees normal risks under special monitoring | 4.045 | 3.306 | 1.519
Of which: guarantees non-performing risks | 575 | 542 | 502
Total value of guarantees received | 163.912 | 187.918 | 175.165
BBVA Abridged Rating Scale |
External rating | Internal rating | Probability of default(basis points)
Standard&Poor's List | Reduced List (22 groups) | Average | Minimum from >= | Maximum
AAA | AAA | 1 | - | 2
AA+ | AA+ | 2 | 2 | 3
AA | AA | 3 | 3 | 4
AA- | AA- | 4 | 4 | 5
A+ | A+ | 5 | 5 | 6
A | A | 8 | 6 | 9
A- | A- | 10 | 9 | 11
BBB+ | BBB+ | 14 | 11 | 17
BBB | BBB | 20 | 17 | 24
BBB- | BBB- | 31 | 24 | 39
BB+ | BB+ | 51 | 39 | 67
BB | BB | 88 | 67 | 116
BB- | BB- | 150 | 116 | 194
B+ | B+ | 255 | 194 | 335
B | B | 441 | 335 | 581
B- | B- | 785 | 581 | 1.061
CCC+ | CCC+ | 1.191 | 1.061 | 1.336
CCC | CCC | 1.500 | 1.336 | 1.684
CCC- | CCC- | 1.890 | 1.684 | 2.121
CC+ | CC+ | 2.381 | 2.121 | 2.673
CC | CC | 3.000 | 2.673 | 3.367
CC- | CC- | 3.780 | 3.367 | 4.243
Probability of Default |
Probability of default (basis points)
| 2020 | 2019 | 2018
| Subject to 12 month ECL (Stage 1) | Subject to lifetime ECL (Stage 2) | Subject to 12 month ECL (Stage 1) | Subject to lifetime ECL (Stage 2) | Subject to 12 month ECL (Stage 1) | Subject to lifetime ECL (Stage 2)
| % | % | % | % | % | %
0 to 2 | 4,0 | - | 5,5 | - | 9,6 | -
2 to 5 | 10,2 | 0,1 | 6,3 | - | 10,8 | 0,1
5 to 11 | 7,7 | 0,1 | 14,6 | 0,2 | 6,3 | -
11 to 39 | 26,8 | 0,5 | 24,5 | 0,8 | 20,9 | 0,4
39 to 194 | 24,0 | 2,3 | 24,5 | 1,6 | 30,1 | 1,8
194 to 1,061 | 15,1 | 3,4 | 14,0 | 3,6 | 12,2 | 3,6
1,061 to 2,121 | 1,5 | 1,2 | 1,4 | 1,2 | 1,6 | 1,2
> 2,121 | 0,6 | 2,5 | 0,4 | 1,5 | 0,2 | 1,2
Total | 89,9 | 10,1 | 91,0 | 9,0 | 91,7 | 8,3
Loans And Advances Impaired And Accumulated Impairment by Sectors |
December 2020 (Millions of Euros)
| Gross carrying amount | Non-performing loans and advances | Accumulated impairment | Non-performing loans and advances as a % of the total
Central banks | 6.229 | - | (20) | -
General governments | 19.439 | 76 | (48) | 0,4%
Credit institutions | 14.591 | 6 | (16) | -
Other financial corporations | 9.856 | 14 | (39) | 0,1%
Non-financial corporations | 142.547 | 7.477 | (6.123) | 5,2%
Agriculture, forestry and fishing | 3.438 | 132 | (108) | 3,8%
Mining and quarrying | 4.349 | 47 | (59) | 1,1%
Manufacturing | 33.771 | 1.486 | (1.129) | 4,4%
Electricity, gas, steam and air conditioning supply | 13.490 | 591 | (509) | 4,4%
Water supply | 899 | 17 | (15) | 1,9%
Construction | 10.019 | 1.397 | (722) | 13,9%
Wholesale and retail trade | 24.594 | 1.456 | (1.223) | 5,9%
Transport and storage | 8.117 | 489 | (368) | 6,0%
Accommodation and food service activities | 8.337 | 358 | (294) | 4,3%
Information and communications | 5.764 | 73 | (60) | 1,3%
Financial and insurance activities | 5.298 | 123 | (132) | 2,3%
Real estate activities | 10.025 | 617 | (494) | 6,2%
Professional, scientific and technical activities | 2.886 | 177 | (124) | 6,1%
Administrative and support service activities | 3.955 | 142 | (192) | 3,6%
Public administration and defense; compulsory social security | 129 | 5 | (4) | 3,5%
Education | 665 | 54 | (43) | 8,1%
Human health services and social work activities | 1.812 | 67 | (59) | 3,7%
Arts, entertainment and recreation | 1.131 | 46 | (65) | 4,1%
Other services | 3.871 | 198 | (523) | 5,1%
Households | 151.410 | 7.106 | (5.895) | 4,7%
LOANS AND ADVANCES | 344.072 | 14.678 | (12.141) | 4,3%
December 2019 (Millions of Euros)
| Gross carrying amount | Non-performing loans and advances | Accumulated impairment | Non-performing loans and advances as a % of the total
Central banks | 4.285 | - | (9) | -
General governments | 28.281 | 88 | (60) | 0,3%
Credit institutions | 13.664 | 6 | (15) | -
Other financial corporations | 11.239 | 17 | (31) | 0,2%
Non-financial corporations | 173.254 | 8.467 | (6.465) | 4,9%
Agriculture, forestry and fishing | 3.758 | 154 | (124) | 4,1%
Mining and quarrying | 4.669 | 100 | (86) | 2,1%
Manufacturing | 39.517 | 1.711 | (1.242) | 4,3%
Electricity, gas, steam and air conditioning supply | 12.305 | 684 | (575) | 5,6%
Water supply | 900 | 14 | (16) | 1,6%
Construction | 10.945 | 1.377 | (876) | 12,6%
Wholesale and retail trade | 27.467 | 1.799 | (1.448) | 6,6%
Transport and storage | 9.638 | 507 | (392) | 5,3%
Accommodation and food service activities | 8.703 | 279 | (203) | 3,2%
Information and communications | 6.316 | 95 | (65) | 1,5%
Financial and insurance activities | 6.864 | 191 | (140) | 2,8%
Real estate activities | 19.435 | 782 | (527) | 4,0%
Professional, scientific and technical activities | 4.375 | 167 | (140) | 3,8%
Administrative and support service activities | 3.415 | 118 | (134) | 3,4%
Public administration and defense, compulsory social security | 282 | 5 | (6) | 1,7%
Education | 903 | 41 | (38) | 4,5%
Human health services and social work activities | 4.696 | 66 | (55) | 1,4%
Arts, entertainment and recreation | 1.396 | 47 | (39) | 3,4%
Other services | 7.671 | 331 | (360) | 4,3%
Households | 181.989 | 7.381 | (5.847) | 4,1%
LOANS AND ADVANCES | 412.711 | 15.959 | (12.427) | 3,9%
December 2018 (Millions of Euros)
| Gross carrying amount | Non-performing loans and advances | Accumulated impairment | Non-performing loans and advances as a % of the total
Central banks | 3.947 | - | (6) | -
General governments | 28.198 | 128 | (84) | 0,4%
Credit institutions | 9.175 | 10 | (12) | 0,1%
Other financial corporations | 9.490 | 11 | (22) | 0,1%
Non-financial corporations | 170.182 | 8.372 | (6.260) | 4,9%
Agriculture, forestry and fishing | 3.685 | 122 | (107) | 3,3%
Mining and quarrying | 4.952 | 96 | (70) | 1,9%
Manufacturing | 36.772 | 1.695 | (1.134) | 4,6%
Electricity, gas, steam and air conditioning supply | 13.853 | 585 | (446) | 4,2%
Water supply | 1.061 | 19 | (15) | 1,8%
Construction | 11.899 | 1.488 | (1.007) | 12,5%
Wholesale and retail trade | 25.833 | 1.624 | (1.259) | 6,3%
Transport and storage | 9.798 | 459 | (374) | 4,7%
Accommodation and food service activities | 7.882 | 315 | (204) | 4,0%
Information and communications | 5.238 | 113 | (72) | 2,1%
Financial and insurance activities | 6.929 | 147 | (128) | 2,1%
Real estate activities | 17.272 | 834 | (624) | 4,8%
Professional, scientific and technical activities | 5.096 | 204 | (171) | 4,0%
Administrative and support service activities | 3.162 | 128 | (125) | 4,0%
Public administration and defense, compulsory social security | 319 | 5 | (7) | 1,6%
Education | 912 | 31 | (31) | 3,4%
Human health services and social work activities | 4.406 | 63 | (63) | 1,4%
Arts, entertainment and recreation | 1.323 | 59 | (41) | 4,5%
Other services | 9.791 | 386 | (382) | 3,9%
Households | 178.355 | 7.838 | (5.833) | 4,4%
LOANS AND ADVANCES | 399.347 | 16.359 | (12.217) | 4,1%
Changes In Impaired Financial Assets And Contingent Risks |
Changes in impaired financial assets and contingent risks (Millions of Euros)
| 2020 | 2019 | 2018
Balance at the beginning | 16.770 | 17.134 | 20.590
Additions | 9.533 | 9.857 | 9.792
Decreases (*) | (5.024) | (5.874) | (6.909)
Net additions | 4.509 | 3.983 | 2.883
Amounts written-off | (3.603) | (3.803) | (5.076)
Exchange differences and other | (968) | (544) | (1.264)
Balance at the end | 16.708 | 16.770 | 17.134
Changes In Impaired Financial Assets Written Off |
Changes in impaired financial assets written-off from the balance sheet (Millions of Euros)
| Notes | 2020 | 2019 | 2018
Balance at the beginning |  | 26.245 | 32.343 | 30.139
Companies held for sale (*) |  | (4.646) | - | -
Increase |  | 3.440 | 4.712 | 6.164
Decrease: |  | (2.715) | (11.039) | (4.210)
Re-financing or restructuring |  | (7) | (2) | (10)
Cash recovery | 47 | (339) | (919) | (589)
Foreclosed assets |  | (479) | (617) | (625)
Sales (**) |  | (1.223) | (8.325) | (1.805)
Debt forgiveness |  | (607) | (493) | (889)
Time-barred debt and other causes |  | (60) | (682) | (292)
Net exchange differences |  | (323) | 230 | 250
Balance at the end |  | 22.001 | 26.245 | 32.343
Corrections Loans And Advances At Amortized Cost |
Changes in gross accounting balances of loans and advances at amortized cost. 2020 (Millions of Euros)
| Stage 1 | Stage 2 | Stage 3 | Total
Opening balance | 363.234 | 33.518 | 15.959 | 412.711
Transfers of financial assets: | (11.935) | 8.807 | 3.128 | -
Transfers from stage 1 to Stage 2 | (15.843) | 15.843 | - | -
Transfers from stage 2 to Stage 1 | 5.107 | (5.107) | - | -
Transfers to Stage 3 | (1.701) | (2.659) | 4.359 | -
Transfers from Stage 3 | 502 | 729 | (1.231) | -
Net annual origination of financial assets | 16.119 | (827) | 102 | 15.395
Becoming write-offs | (3) | (2) | (2.944) | (2.949)
Foreign exchange | (21.472) | (2.342) | (1.157) | (24.970)
Modifications that do not result in derecognition | (204) | 827 | 511 | 1.134
Other | (283) | (190) | 270 | (204)
Discontinued operations | (46.664) | (9.190) | (1.192) | (57.045)
Closing balance | 298.793 | 30.601 | 14.678 | 344.072
Changes in gross accounting balances of loans and advances at amortized cost. 2019 (Millions of Euros)
| Stage 1 | Stage 2 | Stage 3 | Total
Opening balance | 352.282 | 30.707 | 16.359 | 399.347
Transfers of financial assets: | (9.021) | 6.279 | 2.741 | -
Transfers from stage 1 to Stage 2 | (13.546) | 13.546 | - | -
Transfers from stage 2 to Stage 1 | 5.656 | (5.656) | - | -
Transfers to Stage 3 | (1.571) | (2.698) | 4.269 | -
Transfers from Stage 3 | 440 | 1.087 | (1.527) | -
Net annual origination of financial assets | 20.296 | (2.739) | 246 | 17.804
Becoming write-offs | (152) | (349) | (3.407) | (3.908)
Foreign exchange | 1.611 | 35 | 16 | 1.662
Modifications that do not result in derecognition | (1) | (27) | 15 | (13)
Other | (1.782) | (388) | (11) | (2.180)
Closing balance | 363.234 | 33.518 | 15.959 | 412.711
Changes In Value Corrections Loans And Advances At Amortized Cost |
Changes in allowances of loans and advances at amortized cost. 2020 (Millions of Euros)
| Stage 1 | Stage 2 | Stage 3 | Total
Opening balance | (2.149) | (2.183) | (8.094) | (12.427)
Transfers of financial assets: | 184 | (511) | (1.806) | (2.133)
Transfers from stage 1 to Stage 2 | 156 | (923) | - | (766)
Transfers from stage 2 to Stage 1 | (50) | 253 | - | 202
Transfers to Stage 3 | 81 | 218 | (1.950) | (1.652)
Transfers from Stage 3 | (3) | (59) | 144 | 83
Net annual origination of allowances | (872) | (795) | (1.329) | (2.996)
Becoming write-offs | - | - | 2.567 | 2.568
Foreign exchange | 227 | 256 | 721 | 1.204
Modifications that do not result in derecognition | 12 | (118) | (177) | (283)
Other | 160 | 618 | 25 | 803
Discontinued operations | 401 | 444 | 278 | 1.123
Closing balance | (2.037) | (2.289) | (7.815) | (12.141)
Changes in allowances of loans and advances at amortized cost. 2019 (Millions of Euros)
| Stage 1 | Stage 2 | Stage 3 | Total
Opening balance | (2.082) | (2.375) | (7.761) | (12.217)
Transfers of financial assets: | 176 | (227) | (1.574) | (1.626)
Transfers from stage 1 to Stage 2 | 126 | (649) | - | (523)
Transfers from stage 2 to Stage 1 | (38) | 273 | - | 235
Transfers to Stage 3 | 89 | 234 | (1.810) | (1.487)
Transfers from Stage 3 | (1) | (86) | 236 | 149
Net annual origination of allowances | (542) | (116) | (1.711) | (2.370)
Becoming write-offs | 130 | 337 | 2.789 | 3.256
Foreign exchange | (30) | (18) | 69 | 20
Modifications that do not result in derecognition | (15) | (149) | (89) | (254)
Other | 215 | 366 | 183 | 764
Closing balance | (2.149) | (2.183) | (8.094) | (12.427)
Impairement Losses Reconciliations I |
Financial assets at amortized cost. December 2018 (Millions of Euros)
| Not credit-impaired | Credit-impaired | Total
| Stage 1 | Stage 2 | Credit-impaired (Stage 3)
| Loss allowances | Loss allowances (collectively assessed) | Loss allowances (individually assessed) | Loss allowances | Loss allowances
Opening balance | (2.237) | (1.827) | (525) | (9.371) | (13.960)
Transfers of financial assets: | 131 | (155) | 328 | (1.794) | (1.490)
Transfers from Stage 1 to Stage 2 (not credit-impaired) | 208 | (930) | (218) | - | (940)
Transfers from Stage 2 (not credit - impaired) to Stage 1 | (125) | 619 | 50 | - | 544
Transfers to Stage 3 | 55 | 282 | 564 | (2.127) | (1.226)
Transfers from Stage 3 to Stage 1 or 2 | (7) | (126) | (68) | 333 | 132
Changes without transfers between Stages | 358 | (53) | (260) | (3.775) | (3.730)
New financial assets originated | (1.072) | (375) | (244) | - | (1.692)
Disposals | 2 | 3 | - | 110 | 115
Repayments | 641 | 432 | 118 | 1.432 | 2.623
Write-offs | 13 | 14 | 2 | 4.433 | 4.461
Foreign exchange | (84) | 72 | (93) | 343 | 239
Modifications that result in derecognition | 5 | 10 | 25 | 98 | 138
Modifications that do not result in derecognition | 3 | (8) | 1 | (362) | (366)
Other | 135 | 133 | 20 | 1.111 | 1.399
Closing balance | (2.106) | (1.753) | (628) | (7.777) | (12.264)
Of which: Loans and advances |  |  |  |  | (12.217)
Of which: Debt certificates |  |  |  |  | (46)
VAR By Risk Factor |
VaR by Risk Factor (Millions of Euros)
| Interest/Spread risk | Currency risk | Stock-market risk | Vega/Correlation risk | Diversification effect(*) | Total
2020 |  |  |  |  |  |
VaR average in the year | 29 | 12 | 4 | 11 | (28) | 27
VaR max in the year | 39 | 20 | 10 | 20 | (14) | 39
VaR min in the year | 20 | 3 | 1 | 6 | (39) | 18
End of period VaR | 32 | 12 | 2 | 11 | (29) | 28
2019 |  |  |  |  |  |
VaR average in the year | 21 | 6 | 4 | 9 | (20) | 19
VaR max in the year | 28 | 6 | 3 | 9 | (21) | 25
VaR min in the year | 13 | 5 | 5 | 9 | (18) | 14
End of period VaR | 24 | 5 | 5 | 8 | (22) | 20
2018 |  |  |  |  |  |
VaR average in the year | 20 | 6 | 4 | 9 | (20) | 21
VaR max in the year | 23 | 7 | 6 | 11 | (21) | 26
VaR min in the year | 17 | 6 | 4 | 7 | (18) | 16
End of period VaR | 19 | 5 | 3 | 7 | (17) | 17
Expected Shortfall |
Impact of the stress test (Millions of Euros)
| Europe | Mexico | Peru | Venezuela | Argentina | Colombia | Turkey
Expected shortfall | (121) | (69) | (8) | - | (8) | (4) | (8)
Effect Of Compensation |
December 2020 (Millions of Euros)
|  |  |  |  | Gross amounts not offset in the consolidated balance sheets (D) |
| Notes | Gross amounts recognized (A) | Gross amounts offset in the consolidated balance sheets (B) | Net amount presented in the consolidated balance sheets (C=A-B) | Financial instruments | Cash collateral received/ pledged | Net amount (E=C-D)
Trading and hedging derivatives | 10, 15 | 47.862 | 5.688 | 42.173 | 33.842 | 9.018 | (686)
Reverse repurchase, securities borrowing and similar agreements |  | 34.500 | - | 34.500 | 35.141 | 161 | (802)
Total assets |  | 82.362 | 5.688 | 76.674 | 68.983 | 9.178 | (1.488)
Trading and hedging derivatives | 10, 15 | 49.720 | 5.722 | 43.998 | 33.842 | 9.435 | 721
Repurchase, securities lending and similar agreements |  | 43.950 | - | 43.950 | 44.677 | 1.619 | (2.346)
Total liabilities |  | 93.670 | 5.722 | 87.948 | 78.519 | 11.054 | (1.624)
December 2019 (Millions of Euros)
|  |  |  |  | Gross Amounts Not Offset in the Consolidated Balance Sheets (D) |
| Notes | Gross amounts recognized (A) | Gross amounts offset in the consolidated balance sheets (B) | Net amount presented in the consolidated balance sheets (C=A-B) | Financial instruments | Cash collateral received/ pledged | Net amount (E=C-D)
Trading and hedging derivatives | 10, 15 | 36.349 | 2.388 | 33.961 | 25.020 | 8.210 | 731
Reverse repurchase, securities borrowing and similar agreements |  | 35.805 | 21 | 35.784 | 35.618 | 204 | (39)
Total assets |  | 72.154 | 2.409 | 69.744 | 60.637 | 8.415 | 692
Trading and hedging derivatives | 10, 15 | 38.693 | 2.394 | 36.299 | 25.020 | 10.613 | 667
Repurchase, securities lending and similar agreements |  | 45.977 | 21 | 45.956 | 45.239 | 420 | 297
Total liabilities |  | 84.670 | 2.414 | 82.256 | 70.259 | 11.033 | 964
December 2018 (Millions of Euros)
|  |  |  |  | Gross Amounts Not Offset in the Consolidated Balance Sheets (D) |
| Notes | Gross amounts recognized (A) | Gross amounts offset in the consolidated balance sheets (B) | Net amount presented in the consolidated balance sheets (C=A-B) | Financial instruments | Cash collateral received/ pledged | Net amount (E=C-D)
Trading and hedging derivatives | 10, 15 | 48.895 | 16.480 | 32.415 | 24.011 | 7.790 | 613
Reverse repurchase, securities borrowing and similar agreements |  | 28.074 | 42 | 28.032 | 28.022 | 169 | (159)
Total assets |  | 76.969 | 16.522 | 60.447 | 52.033 | 7.959 | 454
Trading and hedging derivatives | 10, 15 | 50.583 | 17.101 | 33.481 | 24.011 | 6.788 | 2.682
Repurchase, securities lending and similar agreements |  | 43.035 | 42 | 42.993 | 42.877 | 34 | 82
Total liabilities |  | 93.618 | 17.143 | 76.474 | 66.888 | 6.822 | 2.765
Sensitivity Analysis To Interest Rate |
Sensitivity to interest-rate analysis - December 2020
| Impact on net interest income (*) | Impact on economic value (**)
| 100 basis-point increase | 100 basis-point decrease (***) | 100 basis-point increase | 100 basis-point decrease (***)
EUR | [1.5% , 3.5%] | [-1.5% , -0.5%] | [3.5% , 5.5%] | [-3.5% , -1.5%]
MXN | [0.5% , 1.5%] | [-1.5% , -0.5%] | [-1.5% , -0.5%] | [0.5% , 1.5%]
TRY | [-0.5% , 0.5%] | [-0.5% , 0.5%] | [-0.5% , 0.5%] | [-0.5% , 0.5%]
Other | [-0.5% , 0.5%] | [-0.5% , 0.5%] | [-0.5% , 0.5%] | [-0.5% , 0.5%]
BBVA Group | [3.5% , 5.5%] | [-3.5% , -1.5%] | [3.5% , 5.5%] | [-3.5% , -1.5%]
LtSCD By LMU |
LtSCD by LMU
| 2020 | 2019 | 2018
Group (average) | 95% | 108% | 106%
Eurozone | 97% | 108% | 101%
BBVA USA | 92% | 111% | 119%
BBVA Mexico | 98% | 116% | 114%
Garanti BBVA | 95% | 99% | 110%
Other LMUs | 86% | 103% | 99%
Liquidity Risk Coverage By UGL |
LCR main LMU
0 | 2020 | 2019 | 2018
Group | 149% | 129% | 127%
Eurozone | 173% | 147% | 145%
BBVA USA (*) | 144% | 145% | 143%
BBVA Mexico | 196% | 147% | 154%
Garanti BBVA | 183% | 206% | 209%
Liquidity Available by Instrument and Subsidiaries |
December 2020 (Millions of Euros)
| BBVA Eurozone | BBVA Mexico | Garanti BBVA | Other
Cash and withdrawable central bank reserves | 39.330 | 8.930 | 6.153 | 6.831
Level 1 tradable assets | 48.858 | 9.205 | 7.019 | 6.237
Level 2A tradable assets | 5.119 | 106 | - | -
Level 2B tradable assets | 6.080 | 11 | - | -
Other tradable assets | 20.174 | 421 | 701 | 745
Cumulated counterbalancing capacity | 119.560 | 18.672 | 13.873 | 13.814
December 2019 (Millions of Euros)
| BBVA Eurozone | BBVA Mexico | BBVA USA | Garanti BBVA | Other
Cash and withdrawable central bank reserves | 14.516 | 6.246 | 4.949 | 6.450 | 6.368
Level 1 tradable assets | 41.961 | 7.295 | 11.337 | 7.953 | 3.593
Level 2A tradable assets | 403 | 316 | 344 | - | -
Level 2B tradable assets | 5.196 | 219 | - | - | 12
Other tradable assets | 22.213 | 1.269 | 952 | 669 | 586
Non tradable assets eligible for central banks | - | - | 2.935 | - | -
Cumulated counterbalancing capacity | 84.288 | 15.344 | 20.516 | 15.072 | 10.559
December 2018 (Millions of Euros)
| BBVA Eurozone | BBVA Mexico | BBVA USA | Garanti BBVA | Other
Cash and withdrawable central bank reserves | 26.506 | 7.666 | 1.667 | 7.633 | 6.677
Level 1 tradable assets | 29.938 | 4.995 | 10.490 | 6.502 | 3.652
Level 2A tradable assets | 449 | 409 | 510 | - | -
Level 2B tradable assets | 4.040 | 33 | - | - | -
Other tradable assets | 8.772 | 1.372 | 1.043 | 499 | 617
Non tradable assets eligible for central banks | - | - | 2.314 | - | -
Cumulated counterbalancing capacity | 69.705 | 14.475 | 16.024 | 14.634 | 10.946
Net Stable Finance Ratio NSFR |
NSFR main LMU
| 2020 | 2019
Group | 127% | 120%
BBVA Eurozone | 121% | 113%
BBVA Mexico | 138% | 130%
BBVA USA | 126% | 116%
Garanti BBVA | 154% | 151%
Matrix Of Residual Maturities |
December 2020. Contractual maturities (Millions of Euros)
ASSETS |  |  |  |  |  |  |  |  |  |  |
Cash, cash balances at central banks and other demand deposits | 42.518 | 32.741 | - | - | - | - | - | - | - | - | 75.258
Deposits in credit entities | - | 3.616 | 677 | 921 | 356 | 461 | 117 | 120 | 2 | 39 | 6.309
Deposits in other financial institutions | - | 2.202 | 855 | 797 | 734 | 543 | 1.251 | 721 | 515 | 500 | 8.119
Reverse repo, securities borrowing and margin lending | - | 20.033 | 4.757 | 1.351 | 364 | 368 | 3.320 | 1.849 | 891 | 1.089 | 34.021
Loans and advances | 279 | 16.939 | 24.280 | 23.012 | 15.579 | 17.032 | 46.182 | 38.851 | 51.709 | 110.173 | 344.036
Securities' portfolio settlement | - | 3.896 | 6.680 | 6.557 | 5.084 | 13.014 | 9.858 | 15.494 | 17.231 | 50.045 | 127.859
December 2020. Contractual maturities (Millions of Euros)
LIABILITIES |  |  |  |  |  |  |  |  |  |  |
Wholesale funding | - | 4.750 | 2.618 | 3.963 | 1.283 | 1.543 | 10.573 | 7.505 | 12.793 | 23.839 | 68.868
Deposits in financial institutions | 8.838 | 7.859 | 254 | 741 | 152 | 726 | 825 | 189 | 166 | 371 | 20.120
Deposits in other financial institutions and international agencies | 12.735 | 4.324 | 2.694 | 588 | 353 | 272 | 957 | 337 | 459 | 870 | 23.589
Customer deposits | 308.360 | 39.978 | 13.416 | 6.808 | 4.526 | 4.366 | 3.361 | 1.213 | 869 | 799 | 383.694
Security pledge funding | - | 41.239 | 5.301 | 1.643 | 1.192 | 368 | 11.304 | 28.510 | 3.740 | 1.516 | 94.812
Derivatives, net | - | (722) | 15 | (961) | (85) | 134 | (400) | (157) | (264) | (159) | (2.599)
December 2019. Contractual maturities (Millions of Euros)
| Demand | Up to 1 month | 1 to 3 months | 3 to 6 months | 6 to 9 months | 9 to 12 months | 1 to 2 years | 2 to 3 years | 3 to 5 years | Over 5 years | Total
ASSETS |  |  |  |  |  |  |  |  |  |  |
Cash, cash balances at central banks and other demand deposits | 20.954 | 20.654 | - | - | - | - | - | - | - | - | 41.608
Deposits in credit entities | - | 3.591 | 283 | 488 | 585 | 503 | 189 | 24 | 120 | 432 | 6.216
Deposits in other financial institutions | - | 1.336 | 1.120 | 796 | 589 | 991 | 1.420 | 1.072 | 672 | 2.089 | 10.084
Reverse repo, securities borrowing and margin lending | - | 21.612 | 3.858 | 2.287 | 561 | 808 | 4.121 | 1.838 | 411 | 803 | 36.299
Loans and advances | 157 | 22.015 | 25.056 | 24.994 | 15.777 | 16.404 | 42.165 | 35.917 | 54.772 | 122.098 | 359.354
Securities' portfolio settlement | - | 1.622 | 3.873 | 6.620 | 2.017 | 7.292 | 21.334 | 6.115 | 13.240 | 46.022 | 108.136
December 2019. Contractual maturities (Millions of Euros)
| Demand | Up to 1 month | 1 to 3 months | 3 to 6 months | 6 to 9 months | 9 to 12 months | 1 to 2 years | 2 to 3 years | 3 to 5 years | Over 5 years | Total
LIABILITIES |  |  |  |  |  |  |  |  |  |  |
Wholesale funding | 1 | 1.393 | 1.714 | 4.208 | 1.645 | 4.386 | 8.328 | 10.608 | 10.803 | 27.840 | 70.927
Deposits in financial institutions | 7.377 | 7.608 | 493 | 1.122 | 172 | 1.514 | 386 | 614 | 206 | 510 | 20.004
Deposits in other financial institutions and international agencies | 10.177 | 3.859 | 867 | 381 | 367 | 257 | 982 | 503 | 499 | 952 | 18.843
Customer deposits | 271.638 | 43.577 | 18.550 | 10.013 | 7.266 | 6.605 | 3.717 | 2.062 | 854 | 1.039 | 365.321
Security pledge funding | - | 45.135 | 3.202 | 15.801 | 1.456 | 653 | 3.393 | 7.206 | 759 | 1.308 | 78.914
Derivatives, net | - | (66) | (25) | 29 | (11) | 1.097 | (830) | (278) | (333) | (420) | (838)
December 2018. Contractual maturities (Millions of Euros)
| Demand | Up to 1 month | 1 to 3 months | 3 to 6 months | 6 to 9 months | 9 to 12 months | 1 to 2 years | 2 to 3 years | 3 to 5 years | Over 5 years | Total
ASSETS |  |  |  |  |  |  |  |  |  |  |
Cash, cash balances at central banks and other demand deposits | 9.550 | 40.599 | - | - | - | - | - | - | - | - | 50.149
Deposits in credit entities | 801 | 3.211 | 216 | 141 | 83 | 152 | 133 | 178 | 27 | 1.269 | 6.211
Deposits in other financial institutions | 1 | 1.408 | 750 | 664 | 647 | 375 | 1.724 | 896 | 1.286 | 2.764 | 10.515
Reverse repo, securities borrowing and margin lending | - | 21.266 | 1.655 | 1.158 | 805 | 498 | 205 | 1.352 | 390 | 210 | 27.539
Loans and advances | 132 | 19.825 | 25.939 | 23.265 | 15.347 | 16.433 | 42.100 | 32.336 | 53.386 | 120.571 | 349.334
Securities' portfolio settlement | - | 1.875 | 4.379 | 5.990 | 2.148 | 6.823 | 8.592 | 12.423 | 11.533 | 42.738 | 96.501
December 2018. Contractual maturities (Millions of Euros)
| Demand | Up to 1 month | 1 to 3 months | 3 to 6 months | 6 to 9 months | 9 to 12 months | 1 to 2 years | 2 to 3 years | 3 to 5 years | Over 5 years | Total
LIABILITIES |  |  |  |  |  |  |  |  |  |  |
Wholesale funding | 1 | 2.678 | 1.652 | 2.160 | 2.425 | 2.736 | 7.225 | 8.578 | 16.040 | 26.363 | 69.858
Deposits in financial institutions | 7.107 | 5.599 | 751 | 1.992 | 377 | 1.240 | 1.149 | 229 | 196 | 904 | 19.544
Deposits in other financial institutions and international agencies | 10.680 | 4.327 | 1.580 | 458 | 302 | 309 | 781 | 304 | 825 | 1.692 | 21.258
Customer deposits | 252.630 | 44.866 | 18.514 | 10.625 | 6.217 | 7.345 | 5.667 | 2.137 | 1.207 | 1.310 | 350.518
Security pledge funding | 40 | 46.489 | 2.219 | 2.274 | 114 | 97 | 22.911 | 526 | 218 | 1.627 | 76.515
Derivatives, net | - | (75) | (523) | (68) | (5) | (117) | 498 | (91) | (67) | (392) | (840)
Table of Encumbered Assets |
December 2020 (Millions of Euros)
| Encumbered assets | Non-encumbered assets
| Book value | Market value | Book value | Market value
Assets | 121.999 |  | 614.260 |
Equity instruments | 2.134 | 2.134 | 14.556 | 14.556
Debt securities | 29.379 | 26.112 | 100.108 | 100.108
Loans and advances and other assets | 90.486 |  | 499.595 |
December 2019 (Millions of Euros)
| Encumbered assets | Non-encumbered assets
| Book value | Market value | Book value | Market value
Assets | 101.792 |  | 596.898 |
Equity instruments | 3.526 | 3.526 | 12.113 | 12.113
Debt Securities | 29.630 | 29.567 | 95.611 | 95.611
Loans and Advances and other assets | 68.636 | - | 489.174 | -
December 2018 (Millions of Euros)
| Encumbered assets | Non-encumbered assets
| Book value | Market value | Book value | Market value
Assets | 107.950 |  | 567.573 |
Equity instruments | 1.864 | 1.864 | 6.485 | 6.485
Debt Securities | 31.157 | 32.216 | 82.209 | 82.209
Loans and Advances and other assets | 74.928 |  | 478.880 |
Collateral Received |
December 2020. Collateral received (Millions of Euros)
Collateral received | 30.723 | 8.652 | 1.071
Equity instruments | 239 | 204 | -
Debt securities | 30.484 | 8.448 | 1.071
Own debt securities issued other than own covered bonds or ABSs | 3 | 94 | -
December 2019. Collateral received (Millions of Euros)
Collateral received | 38.496 | 9.208 | 48
Equity instruments | 65 | 70 | -
Debt securities | 38.431 | 9.130 | 38
Loans and advances and other assets | - | 8 | 10
Own debt securities issued other than own covered bonds or ABSs | - | 82 | -
December 2018. Collateral received (Millions of Euros)
| Fair value of encumbered collateral received or own debt securities issued | Fair value of collateral received or own debt securities issued available for encumbrance | Nominal amount of collateral received or own debt securities issued not available for encumbrance
Collateral received | 27.474 | 5.633 | 319
Equity instruments | 89 | 82 | -
Debt securities | 27.385 | 5.542 | 300
Loans and Advances and other assets | - | 8 | 19
Own debt securities issued other than own covered bonds or ABSs | 78 | 87 | -
Sources Of Encumbrance |
Sources of encumbrance (Millions of Euros)
| 2020 | 2019 | 2018
| Matching liabilities, contingent liabilities or securities lent | Assets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered | Matching liabilities, contingent liabilities or securities lent | Assets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered | Matching liabilities, contingent liabilities or securities lent | Assets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered
Book value of financial liabilities | 131.352 | 147.523 | 124.252 | 135.500 | 113.498 | 131.172
Derivatives | 16.611 | 16.348 | 19.066 | 20.004 | 8.972 | 11.036
Loans and advances | 98.668 | 111.726 | 87.906 | 94.240 | 85.989 | 97.361
Outstanding subordinated debt | 16.073 | 19.449 | 17.280 | 21.256 | 18.538 | 22.775
Other sources | 653 | 5.202 | 449 | 4.788 | 3.972 | 4.330
Unfavorable Scenario For GDP Unemployment Rate Estimates For Major Geographies |
Negative scenario of GDP, unemployment rate and HPI for the main geographies
| Spain | Mexico | Turkey
Date | GDP | Unemployment | HPI | GDP | Unemployment | HPI | GDP | Unemployment
2020 | (11,76%) | 17,44% | (2,60%) | (9,64%) | 4,67% | 1,89% | (2,10%) | 14,49%
2021 | 5,37% | 18,94% | (6,69%) | 2,84% | 5,75% | (1,48%) | 1,75% | 15,51%
2022 | 5,82% | 15,92% | 2,49% | 3,25% | 5,53% | (0,06%) | 3,56% | 13,64%
2023 | 2,88% | 13,99% | 4,94% | 1,48% | 5,34% | 0,17% | 3,92% | 12,33%
2024 | 2,03% | 12,70% | 2,45% | 1,41% | 5,17% | 0,99% | 3,91% | 11,56%
2025 | 1,97% | 11,45% | 2,36% | 1,41% | 5,02% | 1,70% | 3,91% | 11,20%
| Peru | Argentina | Colombia
Date | GDP | Unemployment | GDP | Unemployment | GDP | Unemployment
2020 | (14,33%) | 12,85% | (15,28%) | 14,34% | (8,25%) | 18,31%
2021 | 7,53% | 10,69% | 0,89% | 16,38% | 4,16% | 16,66%
2022 | 3,78% | 10,48% | 1,33% | 13,69% | 3,16% | 15,10%
2023 | 3,69% | 9,15% | 1,86% | 10,19% | 3,15% | 14,84%
2024 | 3,57% | 7,62% | 1,83% | 8,63% | 3,27% | 13,04%
2025 | 3,35% | 7,27% | 1,86% | 7,75% | 3,60% | 12,80%
Moratorium Amounts Per Stage |
Amount of payment deferral by stages as of December 31, 2020 (Millions of Euros)
| Stage 1 | Stage 2 | Stage 3 | Total
Group | 21.670 | 9.761 | 2.397 | 33.828
Customers | 13.608 | 5.920 | 1.805 | 21.333
Of which: Mortgages | 8.310 | 3.163 | 914 | 12.387
SMEs | 4.326 | 1.461 | 299 | 6.087
Non-financial corporations | 3.495 | 2.362 | 293 | 6.150
Other | 240 | 17 | - | 258
Amounts Of Moratoriums And Financing With Public Guarantee By Concept |
Amount of payment deferral and financing with public guarantees as of December 31, 2020 (Millions of Euros)
| Payment deferral | Financing with public guarantees |  |
| Existing | Completed | Total | Number of customers | Total | Number of customers | Total Payment deferral and guarantees | (%) credit investment
Group | 6.803 | 27.025 | 33.828 | 2.843.977 | 18.619 | 271.870 | 52.446 | 13,1%
Amount of payment deferral and financing with public guarantees as of December 31, 2020 (Millions of Euros)
| Payment deferral | Financing with public guarantees |  |
| Existing | Completed | Total | Number of customers | Total | Number of customers | Total Payment deferral and guarantees | (%) credit investment
Group | 6.803 | 27.025 | 33.828 | 2.843.977 | 18.619 | 271.870 | 52.446 | 13,1%
Amount of payment deferral and financing with public guarantees as of December 31, 2020 (Millions of Euros)
| Payment deferral | Financing with public guarantees |  |
| Existing | Completed | Total | Number of customers | Total | Number of customers | Total Payment deferral and guarantees | (%) credit investment
Group | 6.803 | 27.025 | 33.828 | 2.843.977 | 18.619 | 271.870 | 52.446 | 13,1%
Amounts Of Moratoriums And Financing With Public Guarantee |
Amount of payment deferral and financing with public guarantees as of December 31, 2020 (Millions of Euros)
| Payment deferral | Financing with public guarantees
| Existing | Completed | Total
Group | 6.803 | 27.025 | 33.828 | 18.619
Customers | 4.657 | 16.676 | 21.333 | 1.237
Of which: Mortgages | 3.664 | 8.723 | 12.387 | 1
SMEs | 1.031 | 5.056 | 6.087 | 11.373
Non-financial corporations | 1.055 | 5.095 | 6.150 | 5.930
Other | 60 | 198 | 258 | 79
Favorable scenario for GDP unemployment rate estimates for major geographies |
Positive scenario of GDP, unemployment rate and HPI for the main geographies
| Spain | Mexico | Turkey
Date | GDP | Unemployment | HPI | GDP | Unemployment | HPI | GDP | Unemployment
2020 | (11,20%) | 16,44% | (1,44%) | (8,85%) | 4,57% | 1,71% | 2,07% | 13,45%
2021 | 6,63% | 16,03% | (3,28%) | 4,58% | 5,40% | (1,23%) | 9,08% | 12,60%
2022 | 6,27% | 12,72% | 4,56% | 3,80% | 5,17% | 0,32% | 5,30% | 11,58%
2023 | 2,95% | 10,82% | 5,79% | 1,62% | 5,04% | 0,31% | 4,13% | 11,58%
2024 | 2,07% | 9,58% | 3,66% | 1,47% | 4,91% | 1,01% | 4,11% | 11,19%
2025 | 2,01% | 8,55% | 3,57% | 1,47% | 4,76% | 1,72% | 4,10% | 10,85%
| Peru | Argentina | Colombia
Date | GDP | Unemployment | GDP | Unemployment | GDP | Unemployment
2020 | (11,74%) | 12,75% | (10,64%) | 13,60% | (6,80%) | 18,14%
2021 | 12,56% | 10,29% | 9,95% | 14,39% | 6,80% | 16,14%
2022 | 5,25% | 10,00% | 3,52% | 11,88% | 3,70% | 14,53%
2023 | 3,68% | 8,73% | 2,08% | 8,99% | 3,15% | 14,28%
2024 | 3,58% | 7,23% | 2,11% | 7,69% | 3,27% | 12,49%
2025 | 3,35% | 6,88% | 2,14% | 6,78% | 3,60% | 12,28%
Estimation Scenario For GDP Unemployment Rate Estimates For Major Geographies |
Estimate of GDP, unemployment rate and HPI for the main geographies
| Spain | Mexico | Turkey
Date | GDP | Unemployment | HPI | GDP | Unemployment | HPI | GDP | Unemployment
2020 | (11,48%) | 16,95% | (1,98%) | (9,25%) | 4,62% | 1,81% | (0,01%) | 13,98%
2021 | 5,99% | 17,51% | (5,08%) | 3,71% | 5,57% | (1,32%) | 5,52% | 14,05%
2022 | 6,04% | 14,35% | 3,48% | 3,53% | 5,35% | 0,15% | 4,53% | 12,58%
2023 | 2,93% | 12,41% | 5,44% | 1,55% | 5,19% | 0,31% | 4,01% | 11,95%
2024 | 2,07% | 11,14% | 3,20% | 1,45% | 5,03% | 1,02% | 3,99% | 11,38%
2025 | 2,01% | 9,99% | 3,12% | 1,46% | 4,88% | 1,71% | 3,98% | 11,03%
| Peru | Argentina | Colombia
Date | GDP | Unemployment | GDP | Unemployment | GDP | Unemployment
2020 | (13,04%) | 12,80% | (13,00%) | 13,98% | (7,51%) | 18,23%
2021 | 10,05% | 10,48% | 5,54% | 15,40% | 5,48% | 16,40%
2022 | 4,52% | 10,23% | 2,54% | 12,80% | 3,46% | 14,83%
2023 | 3,69% | 8,93% | 1,98% | 9,60% | 3,15% | 14,57%
2024 | 3,58% | 7,41% | 1,98% | 8,18% | 3,27% | 12,78%
2025 | 3,35% | 7,06% | 2,01% | 7,28% | 3,60% | 12,55%
Sensitivity To 1% |
Sensitivity to 1% (Millions of Euros)
Currency | 2020 | 2019 | 2018
Mexican peso | 4,9 | 12,7 | 13,0
Turkish lira | 4,5 | 3,1 | 3,0
Peruvian sol | 0,4 | 1,9 | 1,3
Chilean peso | 0,3 | 0,5 | 0,7
Colombian peso | 1,4 | 2,6 | 1,9
Argentine peso | 0,9 | 1,3 | (0,3)
US Dollar | 4,3 | 5,9 | 7,3
Variation In Expected Loss |
Expected loss variation
| BBVA Group |  | Spain |  | Mexico |  | Turkey
GDP | Total Portfolio | Retail | Mortgages | Wholesaler | Fixed income | Total Portfolio | Mortgages | Companies | Total Portfolio | Mortgages | Cards | Total Portfolio | Mortgages | Cards
-100pb | 3,55% | 3,47% | 3,72% | 3,91% | 1,58% | 3,72% | 4,39% | 3,96% | 3,91% | 2,20% | 6,30% | 1,56% | 1,58% | 1,62%
+100pb | (3,25%) | (3,14%) | (3,03%) | (3,69%) | (1,97%) | (3,32%) | (3,57%) | (3,53%) | (3,64%) | (2,07%) | (5,78%) | (1,47%) | (1,55%) | (1,47%)
Housing price |  |  |  |  |  |  |  |  |  |  |  |  |  |
-100pb |  |  |  |  |  |  | 5,41% | 0,79% |  | 3,13% |  |  |  |
+100pb |  |  |  |  |  |  | (5,35%) | (0,77%) |  | (4,47%) |  |  |  |

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