In financial markets, the financial year 2022 was characterised by a surge in inflation and by the actions of central banks as they began to implement liquidity-tightening policies.
The Bank's exposure to changes in market interest rates arising from the different timing structure of maturities and repricing of global balance sheet items. Bankinter actively manages this risk with the aim of safeguarding net interest income and preserving the Bank's economic value.
The exposure of net interest income to different scenarios of interest rate changes is analysed monthly using dynamic simulation measures. With a more long-term outlook, the Bank also analyses the sensitivity of its economic value to movements in interest rates.
Net interest income exposure to interest rate changes of ±100 parallel basis points is +6.1% for rising rates and -6.2% for falling rates, both for a 12-month horizon. The sensitivity of economic value to parallel shifts of ±100 basis points was +0.9%/–2.1% of own funds at year-end 2022.
For the calculation of both measures, management assumptions are used in which negative rates are considered, with the exception of those items with a Euribor floor.
Risk associated with the Bank's ability to meet the payment obligations it acquires and to fund its investment lending business. The Bank actively monitors liquidity and liquidity forecasts, as well the actions to be taken in both business-as-usual situations and in exceptional circumstances arising due to internal causes or market behaviours.
Risk associated with the Bank's ability to meet the payment obligations it acquires and to fund its investment lending business. The Bank actively monitors liquidity and liquidity forecasts, as well the actions to be taken in both business-as-usual situations and in exceptional circumstances arising due to internal causes or market behaviours.
During financial year 2022, customer funds increased by more than 2 billion euro, a growth driven by all business units. As a result, the average of retail funds continued to be considerably higher than customer lending, with the ratio of customer funds to lending standing at 102.8%. The liquidity position at the end of 2022 made it possible to keep an LCR level of 193.5%, comfortably above both internal and regulatory limits.
The NSFR (Net Stable Funding Ratio), which measures the proportion of long-term assets that are covered by stable funding, closed the year at 139.72%. The Bank's funding structure keeps a significant proportions of customer deposits and wholesale funding focused on the medium/long term.
Regarding wholesale funding, a 1 billion euro issue of covered bonds matured in August. It was partially replaced in November with a 750 million covered bond issue, which was very well received by wholesale investors. In December, 2.55 billion euro matured from the liquidity auction of the European Central Bank's TLTRO (Targeted Long Term Refinancing Operations) programme.
The possibility of losses as a result of changes in the market prices of on- and off-balance sheet positions of the trading book. To measure it, Bankinter uses the historical value at risk (VaR) methodology with data for one year and a 95% confidence interval.
An asset portfolio's VaR is the estimated maximum potential loss that could be incurred for a specific time horizon with a particular confidence interval. Given the instability experience in recent years, Bankinter kept limits unchanged from the previous year.
The following table sets out the VaR values of trading positions at the close of 2022.
2022 VaR trading | |
---|---|
In millions of euros | Last |
VaR – Interest rate | 0.44 |
VaR – Equities | 1.13 |
VaR – Exchange rate | 0.33 |
VaR – Volatility rate | 1.26 |
Total VaR | 2.55 |
Moreover, the VaR of the portfolio positions of the subsidiary Bankinter Luxembourg are monitored on a monthly basis using the historical simulation methodology. The VaR of this portfolio at the end of the year was 1.77 million euros.
We use first and third-party cookies for analytical and statistical purposes and to show you personalised advertisements based on a profile compiled from your browsing habits (e.g. pages visited). For more information, click on our Cookie Policy. You can accept all cookies by pressing 'Accept' or personalise your choice by clicking on MANAGE OR REJECT COOKIES.