| Financial instruments risks | 35. Financial instruments risks Presentation of Risk Management and Risk-Weighted Assets (RWA) Strategies and processes The purpose of the organization is based on assuming a prudential level of risks in order to generate yields and keep acceptable levels of capital and funding, and generate benefits on a recurring basis. Therefore, it is vital that the teams assigned to risk management are highly trained professionals. The General Risks Policy of BBVA Argentina expresses the levels and types of risk the Entity is willing to take to carry out its strategic plan, with no relevant deviations, even under stress conditions. Along this line, the process for risks management is comprehensive and proportional to the economic size and importance of the financial institution. To achieve its goals, BBVA Argentina uses a management model with two guiding principles for the decision-making process:
• Prudential analysis: related to the management of the various risks acknowledged by the Entity.
• Anticipation: it refers to the capacity to make decisions foreseeing relevant changes in the environment, the competition and customers that may have an impact in the mid-term. This process is adequate, sufficiently proven, duly documented and periodically reviewed based on the changes to the Entity’s risk profile and the market. In this regard, the Board of Directors and the Senior Management are highly committed to the identification, evaluation, follow-up, control and mitigation of significant risks. These bodies periodically review credit, financial and operational risks, which may potentially affect the success of BBVA Argentina’s activities, and place special emphasis on strategic, reputation and concentration risks. Structure and organization The Group has a formal organizational structure, with a set of roles and responsibilities, organized in a pyramidal structure that generates control instances from lower to higher levels, up to the highest decision-making bodies. The following are the areas that conform the structure and a list of their functions:
• Risks Management Unit.
• Committees.
• Reporting Units.
• Cross-Control Areas. Risks Management Unit: This is an area that is independent from the Bank’s business units, in charge of implementing the criteria, policies and procedures defined by the organization within the scope of credit (retail and wholesale), operational and market risk management, with a follow-up
• Active management throughout the life of the risk.
• Clear processes and procedures.
• Integrated management of all risks through identification and quantification.
• Generation, implementation and dissemination of advanced decision-making support tools. Committees Committees are the governance bodies through which risks are treated. Reporting Units The Reporting Units are in charge of control procedures for risk in compliance with Central Bank regulations, determining the risk quota for each segment of economic activity and type of financing, preparing fundamental metrics setting forth the principles and general risk profile in the statement of Appetite for Risk. In addition, it is in charge of generating reports for the Risks Management Unit for decision-making process in accordance with internal credit policies and control organizations’ policies, reviewing processes and proposing alternatives.
Cross-Control Areas Internal Control and Compliance Department - has the following main functions: to ensure that there is a sufficient internal regulatory framework; a process and measures defined for each type of risk; to control its application and operation; and to ensure that an assessment is made of the existence of a control environment and its adequate implementation and operation. Model Validation - Internal Control and Compliance Department - who ensures that BBVA Argentina’s internal statistical risk models are adequate for their use, and must issue a well-founded and updated opinion on their adequate use. The control and monitoring areas are in charge of giving cohesion to credit risk management and ensuring that the management of the rest of the critical risks for the Bank is carried out in accordance with the established standards. Finally, Internal Audit, transversal to the business and support units. Risk Appetite Framework Risk appetite is a key element which provides the Group with a comprehensive framework to determine the risks and level of risks, expressed in terms of capital, liquidity, profitability, income recurrence, risk costs or other metrics. Risk appetite is expressed through a statement containing the general principles for the Group’s strategy and quantitative metrics. Stress Testing In compliance with the provisions on “guidelines for risk management in Financial Institutions” set forth by the Argentine Central Bank, the Entity has developed a stress test program, within the Entity’s comprehensive risk management. Stress test means the evaluation of the Entity’s financial position under an adverse but plausible scenario, which requires the simulation of scenarios to estimate the potential impact on the value of portfolios, profitability, solvency and liquidity for the purposes of identifying latent risks or detecting vulnerabilities. Credit risk The Bank defines credit risk as the possibility to sustain losses as a result of a debtor’s or counterparty’s noncompliance with the contractual obligations assumed. Credit risk is present in on and off-balance sheet transactions, as well as settlement risk , that is to say, when a financial transaction cannot be completed or settled as agreed. Credit risk losses arise from a debtor’s or counterparty’s noncompliance with its obligations. Also, it takes into consideration several types of risks, such as country risk, and counterparty credit risk. BBVA Argentina defines country risk as the risk of sustaining losses generated in investments and loans to individuals, companies, and governments due to the incidence of economic, political, and social events occurring in a foreign country. Strategy and processes BBVA Argentina develops its credit risk strategy defining the goals that will guide its granting activities, the policies to be adopted and the necessary practices and procedures to carry out those activities. Additionally, the Risks Management Department, together with the rest of the Bank’s Management Departments, annually develops a budget process, which includes the main variables of credit risk:
• Expected growth per portfolio and product.
• Evolution of default ratio.
• Evolution of write-off This way, the expected standard credit risk values are set for a term of one year. Afterwards, the real values obtained are compared with that budget, to assess the growth of the portfolio and its quality. Also, maximum limits or exposures per economic activity are formalized, pursuant to the Group’s placement strategy, which are used to follow up credit portfolios. In case of deviations from the set limits, these are analyzed by the Risks Follow-Up Origination BBVA Argentina has credit risk origination policies in place, to define the criteria to obtain quality assets, establish risk tolerance levels and alignment of the credit activities with the strategy of BBVA Argentina and in accordance with the Group. The policy of accepting risks is therefore organized into three different levels within the Group:
• Analysis of the financial risk of the transaction, based on the debtor’s capacity for repayment or funds generation.
• The constitution of guarantees that are adequate, or at any rate generally accepted, for the risk assumed, in any of the generally accepted forms: monetary, secured, personal or hedge guarantees.
• Assessment of the repayment risk (asset liquidity) of the guarantees received. Monitoring The main monitoring procedures carried out by the various Banking areas are:
• Monitoring of the limit granted: Since customer profiles vary over time, the limits of products contracted are periodically reviewed for the purpose of broadening, reducing or suspending the limit assigned, based on the risk situation.
• Maintenance of pre-approved pre-approved follow-up pre-approved
• Monitoring of rating tools: Rating tools are a reflection of the internal inputs and show the characteristics and biases of such inputs. Therefore, they need a long period to reduce or eliminate those biases through the inclusion of new information, correction of existing information and periodic reviews optimizing the results of back-tests.
• Portfolio analysis: The portfolio analysis consists of a monitoring process and study of the complete cycle of portfolio risk for the purpose of analyzing the status of the portfolio, identifying potential paths towards improvements in management and forecasting future behavior. Additionally, the following functions are carried out:
• Monitoring of specific customers.
• Monitoring of products.
• Monitoring of units (branches, areas).
• Other monitoring actions (samples, control of admission process and risk management, campaigns). The priority in credit risk monitoring processes is focused mainly on problematic or potentially problematic customers for preventive purposes. The remaining aspects, the monitoring of products, units and other monitoring actions, are supplementary to the specific monitoring of customers. Recovery BBVA Argentina also has a Recoveries Area within Risk Management to mitigate the severity of credit portfolios, both regarding the Bank and its subsidiaries, as well as to provide the results directly through collections of write-off Scope and nature of information and/or risk measurement systems BBVA Argentina has several tools to be used in credit risk management for effective risk control and to facilitate the entire process. The periodic reports are:
• Progress of Risks.
• Payment Schedules.
• Ratings.
• Dashboard.
• Early Alerts System.
• Quarterly tools follow-up
Exposure to credit risk The Group’s credit risk exposure of financial assets, loan commitments and financial guarantees
Credit risk exposure December 31, Stage 1 Stage 2 Stage 3
Cash and cash equivalents 415,678,677 415,678,677 — —
Financial assets at amortized cost 3,492,654,055 3,154,006,364 303,440,509 35,207,182
Debt securities 96,681,440 — 96,681,440 —
Wholesale 1,221,331,138 1,129,949,339 85,843,115 5,538,684
- Business 528,849,835 504,743,775 19,918,423 4,187,637
- Corporate and Investment Banking 362,392,695 311,601,170 50,791,308 217
- Institutional and international 10,319 3,685 1,537 5,097
- MSMEs 159,206,280 142,728,700 15,131,847 1,345,733
- Others 170,872,009 170,872,009 — —
Retail 972,219,682 821,635,230 120,915,954 29,668,498
- Advances 1,909,410 1,166,156 377,016 366,238
- Credit cards 674,523,874 582,116,623 78,202,893 14,204,358
- Personal loans 153,475,842 131,013,331 11,302,243 11,160,268
- Pledge loans 47,968,181 46,532,007 653,277 782,897
- Mortgages 90,404,966 58,129,217 29,121,012 3,154,737
- Receivables from financial leases 2,177,565 2,163,236 14,329 —
- Others 1,759,844 514,660 1,245,184 —
Reverse repurchase agreements 1,202,421,795 1,202,421,795 — —
- BCRA repos 1,202,421,795 1,202,421,795 — —
Financial assets at fair value through other comprehensive income 841,884,579 192,781,776 649,102,803 —
Debt securities 841,884,579 192,781,776 649,102,803 —
Total financial assets risk 4,750,217,311 3,762,466,817 952,543,312 35,207,182
Loan commitments and financial guarantees 647,025,344 585,414,818 61,403,032 207,494
Wholesale 241,347,117 217,735,177 23,589,353 22,587
- Business 96,632,508 83,741,932 12,885,097 5,479
- Corporate and Investment Banking 95,868,758 92,737,597 3,131,153 8
- Institutional and international 35,404,046 31,588,932 3,815,114 —
- MSMEs 13,441,805 9,666,716 3,757,989 17,100
Credit risk exposure December 31, Stage 1 Stage 2 Stage 3
Retail 405,678,227 367,679,641 37,813,679 184,907
- Advances 13,284,965 12,787,853 494,004 3,108
- Credit cards 390,703,870 353,899,032 36,679,554 125,284
- Mortgages 1,598,766 913,866 628,385 56,515
- Others 90,626 78,890 11,736 —
Total loan commitments and financial guarantees 647,025,344 585,414,818 61,403,032 207,494
Total credit risk exposure 5,397,242,655 4,347,881,635 1,013,946,344 35,414,676
Credit risk exposure December 31, Stage 1 Stage 2 Stage 3
Cash and cash equivalents 556,906,904 556,906,904 — —
Financial assets at amortized cost 2,783,507,847 2,401,123,764 343,206,765 39,177,318
Debt securities 138,659,964 — 138,659,964 —
Wholesale 1,214,785,498 1,155,211,671 53,184,583 6,389,244
- Business 524,857,823 489,222,837 30,582,887 5,052,099
- Corporate and Investment Banking 352,986,681 334,163,826 18,822,815 40
- Institutional and international 188,578 8,729 178,046 1,803
- MSMEs 153,825,763 148,889,626 3,600,835 1,335,302
- Others 182,926,653 182,926,653 — —
Retail 1,266,372,541 1,082,222,249 151,362,218 32,788,074
- Advances 3,354,887 1,837,008 987,944 529,935
- Credit cards 822,762,185 707,207,058 102,601,449 12,953,678
- Personal loans 220,915,565 194,713,429 13,703,503 12,498,633
- Pledge loans 84,573,077 79,746,567 2,299,056 2,527,454
- Mortgages 131,979,055 95,975,191 31,729,028 4,274,836
- Receivables from financial leases 2,688,360 2,643,692 41,130 3,538
- Others 99,412 99,304 108 —
Reverse repurchase agreements 163,689,844 163,689,844 — —
- BCRA repos 163,689,844 163,689,844 — —
Financial assets at fair value through other comprehensive income 1,922,232,186 1,478,379,540 443,852,646 —
Debt securities 1,922,232,186 1,478,379,540 443,852,646 —
Total financial assets risk 5,262,646,937 4,436,410,208 787,059,411 39,177,318
Credit risk exposure December 31, Stage 1 Stage 2 Stage 3
Loan commitments and financial guarantees 664,472,529 606,937,314 57,326,255 208,960
Wholesale 124,191,534 109,972,663 14,184,466 34,405
- Business 46,597,993 38,071,627 8,513,906 12,460
- Corporate and Investment Banking 54,373,985 51,837,248 2,536,737 —
- Institutional and international 11,467,755 9,147,894 2,319,861 —
- MSMEs 11,751,801 10,915,894 813,962 21,945
Retail 540,280,995 496,964,651 43,141,789 174,555
- Advances 30,487,566 29,181,844 1,301,474 4,248
- Credit cards 507,464,932 466,048,328 41,291,086 125,518
- Mortgages 2,108,796 1,528,230 535,777 44,789
- Others 219,701 206,249 13,452 —
Total loan commitments and financial guarantees 664,472,529 606,937,314 57,326,255 208,960
Total credit risk exposure 5,927,119,466 5,043,347,522 844,385,666 39,386,278
Information on the credit quality of assets The Group’s credit quality analysis of financial assets under IFRS 9 with risk allocation as of December 31, 2023 and 2022 is provided below:
Credit quality analysis December 31, December 31,
Cash and cash equivalents
- Low risk (PD < 2.3%) 415,678,677 556,906,904
Total cash and cash equivalents 415,678,677 556,906,904
Wholesale
- Low risk (PD < 4%) 1,254,676,711 1,167,991,905
- Medium risk (PD ≥ 4% to < 24%) 166,178,544 112,799,574
- High risk (PD ≥ 24% to < 100% or Individually Stage 2) 36,261,729 51,761,904
- Non performing (PD = 100% or Individually Stage 3) 5,561,271 6,423,649
Total wholesale 1,462,678,255 1,338,977,032
Retail
- Low risk (PD < 2.3%) 1,075,897,337 1,379,787,080
- Medium risk (PD ≥ 2.3% to < 29%) 266,128,432 375,330,757
- High risk (PD ≥ 29% to < 100% or Individually Stage 2) 6,018,735 18,573,070
- Non performing (PD = 100% or Individually Stage 3) 29,853,405 32,962,629
Total retail 1,377,897,909 1,806,653,536
Reverse repurchase agreement
- BCRA repos (CCC+) 1,202,421,795 163,689,844
Total reverse repurchase agreement 1,202,421,795 163,689,844
Debt securities
- BCRA Liquidity Bills (CCC+) 174,330,520 1,466,786,104
- Government securities (CCC-) 752,062,939 582,512,610
- Corporate bonds (B) 12,085,356 11,593,436
- Corporate bonds (B-) 87,204 —
Total debt securities 938,566,019 2,060,892,150
Total credit risk exposure 5,397,242,655 5,927,119,466
The amounts included in the table above represent the Entity’s maximum exposure to credit risk as of December 31, 2023 and 2022, without taking account of any collateral held or other credit enhancements. In order to mitigate credit risk, the following table shows the net credit risk exposure as of December 31, 2023 and 2022:
December 31, December 31,
Maximum exposure to credit risk 5,397,242,655 5,927,119,466
Collateral held or other credit enhancements (2,164,506,418 ) (1,089,537,232 )
Total net credit risk exposure 3,232,736,237 4,837,582,234
Mitigation of credit risk, collateralized credit risk and other credit enhancements In most cases, maximum credit risk exposure is reduced by collateral, credit enhancements and other actions which mitigate the Group’s exposure. The Group applies a credit risk hedging and mitigation policy deriving from a banking approach focused on relationship banking. The existence of guarantees could be a necessary but not sufficient instrument for accepting risks, as the assumption of risks by the Group requires prior evaluation of the debtor’s capacity for repayment, or that the debtor can generate sufficient resources to allow the amortization of the risk incurred under the agreed terms. The procedures for the management and valuation of collateral following the Corporate Policies (retail and wholesale), which establish the basic principles for credit risk management, including the management of collaterals assigned in transactions with customers. The methods used to value the collateral are in line with the best market practices and imply the use of appraisal of real-estate collateral, the market price in market securities, the trading price of shares in investment funds, etc. All the collaterals received must be correctly assigned and entered in the corresponding register. The following are the principal types of collateral managed by BBVA Argentina:
• Guarantees: It includes sureties or unsecured instruments.
• Joint and several guarantee: upon default on payment, the creditor may collect the unpaid amount from either the debtor or the surety.
• Joint guarantee: in this case the guarantors and debt-holders are liable in proportion to their interest in the company / transaction and restricted to such amount or percentage.
• Security interest: it includes guarantees based on tangible assets, which are classified as follows:
• Mortgages: a mortgage does not change the debtor’s unlimited liability, who is fully liable. They are documented pursuant to the Group’s internal regulations for such purposes and are duly registered. Also, there is an independent appraisal, at market value, which enables a prompt sale.
• Pledges: this includes chattel mortgages of motor vehicles or machinery, as well as liens on time deposits and investment funds. To be accepted, they shall be effective upon realization accordingly, be properly documented and approved by the Legal Services area. Loan commitments To meet the specific financial needs of customers, the Group’s credit policy also includes, among others, the granting of financial guarantees, letters of credit and lines of credit through checking account overdrafts and credit cards. Although these transactions are not recognized in the Consolidated Statement of Financial Position, because they imply a potential liability for the Group, they expose the Group to credit risks in addition to those recognized in the Consolidated Statement of Financial Position and are, therefore, an integral part of the Group’s total risk. Hedging based on netting of on and off-balance sheet transactions The Entity, within the limits defined by regulations regarding netting, negotiates with its customers the execution of master agreements (for instance, ISDA or CMOF) for the derivatives business, including the netting of off-balance sheet transactions. The wording of each agreement determines in each case the transaction subject to netting. The reduction in the exposure of counterparty risk arising from the use of mitigation techniques (netting plus use of collateral agreements) implies a decrease in total exposure (current market value plus potential risk).
Main types of guarantors The Group defines that the collateral shall be direct, explicit, irrevocable and unconditional in order to be accepted as risk mitigation. Furthermore, regarding admissible guarantors, BBVA Argentina accepts financial institutions (local or foreign), public entities, stock exchange companies, resident and non-resident Credit quality of financial assets that are neither past due nor impaired The Group has tools (“scoring” and “rating”) that enable it to rank the credit quality of its transactions and customers based on an assessment and its correspondence with the PD scales. To analyze the performance of PD, the Group has a series of tracking tools and historical databases that collect the relevant internally generated information. These tools can be grouped together into scoring and rating models, being the main difference between ratings and scorings is that the latter are used to assess retail products, while ratings use a wholesale banking customer approach. These different levels and their PD were calculated by using as a reference the rating scales and default rates. These calculations establish the PD levels for the Bank’s Master Rating Scale. Although this scale is common to the entire Group, the calibrations (mapping scores to PD sections/Master Rating Scale levels) are carried out at the country level. Financial risks The Financial Risks Management of the Risks Management area applies the criteria, policies and procedures defined by the Board of Directors to manage, with a follow-up The financial risks management model of BBVA Argentina consists of the Market Risks and Structural Risks and Economic Capital Areas, which are coordinated for the control and follow-up The management of these risks is in line with the basic principles of the Basel Committee on Banking Supervision, with a comprehensive process to identify, measure, monitor and control risks. The organization of financial risks is completed with a scheme of committees in which it participates, for the purpose of having an agile management process integrated into the treatment of the various risks. Among others:
• Assets and liabilities Committee (ALCO).
• Risk Management Committee (RMC).
• Financial Risks Committee (FRC). BBVA Argentina has many tools and systems to manage and follow-up Market risk BBVA Argentina considers market risk as the likelihood of losses of value of the trading portfolio as a consequence of adverse changes in market variables affecting the valuation of financial products and instruments. The main market risk factors the Group is exposed to are as follows:
• Interest rate risk: From exposure to changes in the various interest rate curves.
• Foreign exchange risk: From changes in the various foreign exchange rates. All positions in a currency other than the currency of the consolidated statements of financial position create foreign exchange risk. The main market risk metric is Value at Risk (“VaR”), a parameter to estimate the maximum loss expected for the trading portfolio positions with a 99% confidence level and a time horizon of 1 day. Current management structure and procedures in force include the follow-up The market risk measurement model is periodically validated through Back-Testing to determine the quality and precision of the VaR estimate. The Market Risk management model contemplates procedures for communication in the event the risks levels defined are exceeded, establishing specific communication and acting circuits based on the exceeded threshold. The market risk measurement perimeter is the trading portfolio (trading book) managed by the Global Markets unit. This portfolio mainly consists of:
• Argentine Government Securities.
• BCRA Liquidity Bills
• Corporate Bonds.
• Foreign exchange spot.
• Derivatives (Exchange rate Futures and Forwards and Interest rate swaps). The following tables show the trading portfolio total VaR and VaR per risk factors based on daily VaR information: VaR (in millions of pesos)
Year ended Year ended
Average 303.54 141.13
Minimum 24.49 48.71
Maximum 1,586.80 263.07
Closing 296.22 112.22 VaR per risk factors – (in millions of pesos)
VaR interest rate Year ended Year ended
Average 336.97 157.79
Minimum 29.58 49.32
Maximum 2,163.96 298.07
Closing 298.78 121.29
VaR foreign exchange rate Year ended Year ended
Average 7.24 1.05
Minimum 0.29 -0.47
Maximum 190.63 65.11
Closing 12.28 0.15 Currency risk The position in foreign currency is shown below:
Total as of As of December 31, 2023 (per currency) Total as of
US Dollar Euro Real Other
ASSETS
Cash and cash equivalents 1,076,719,793 1,041,165,789 32,597,593 494,680 2,461,731 773,572,820
Financial assets at fair value through profit or loss - Debt securities 225,199,948 225,199,948 — — — 10,961,484
Other financial assets 80,696,615 80,681,827 14,788 — — 59,884,911
Loans and advances 196,957,836 196,589,749 368,087 — — 119,996,346
Financial assets at fair value through other comprehensive income - Debt securities 74,070,243 74,070,243 — — — 17,022,612
Financial assets at fair value through other comprehensive income - Equity instruments 432,216 404,468 27,748 — — 187,625
TOTAL ASSETS 1,654,076,651 1,618,112,024 33,008,216 494,680 2,461,731 981,625,798
LIABILITIES
Deposits 1,281,848,662 1,263,551,944 18,296,718 — — 890,641,779
Other financial liabilities 79,930,161 73,958,024 5,400,352 — 571,785 68,186,188
Bank loans 3,119,096 2,800,253 318,843 — — 3,455,761
Other liabilities 61,891,994 38,792,328 23,099,666 — — 36,704,866
TOTAL LIABILITIES 1,426,789,913 1,379,102,549 47,115,579 — 571,785 998,988,594
NET ASSETS / (LIABILITIES) 227,286,738 239,009,475 (14,107,363 ) 494,680 1,889,946 (17,362,796 )
The notional values of forward transactions, foreign currency forwards and interest rate swaps are detailed in Note 5.2. Interest rate risk Structural interest risk (SIR) gathers the potential impact of market interest rate variations on the margin of interest and the equity value of BBVA Argentina. The process to manage this risk has a limits structure to keep the exposure to this risk within levels that are consistent with the appetite for risk and the business strategy defined and approved by the Board of Directors. Within the core metrics used for measurement, follow-up
• Margin at Risk (MaR): quantifies the maximum loss which may be recorded in the financial margin projected for 12 months under the worst case scenario of rate curves for a certain level of confidence.
• Economic Capital (EC): quantifies the maximum loss which may be recorded in the economic value of the Group under the worst case scenario of rate curves for a certain level of confidence. The Group additionally carries out an analysis of sensitivity of the economic value and the financial margin for parallel variations by +/- 100 basis points over interest rates. The following table shows the sensitivity of the economic value (SEV), to +100 basis points variation presented as a proportion of Core Capital: SEV +100 bps
December 31, December 31,
Closing 1.09 % 0.62 %
Minimum 0.67 % 0.62 %
Maximum 1.09 % 1.42 %
Average 0.79 % 1.00 % The following table shows the sensitivity of the financial margin (SFM), to -100 12-month SFM -100
December 31, December 31,
Closing 0.30 % 0.47 %
Minimum 0.11 % 0.43 %
Maximum 0.35 % 1.01 %
Average 0.24 % 0.75 % Liquidity and financing risk Liquidity risk is defined as the possibility of the Group not efficiently meeting its payment obligations without incurring significant losses which may affect its daily operations or its financial standing. The short-term purpose of the liquidity and financing risk management process at BBVA Argentina is to timely and duly address payment commitments agreed, without resorting to additional funding deteriorating the Group’s reputation or significantly affecting its financial position, keeping the exposure to this risk within levels that are consistent with the appetite for risk and the business strategy defined and approved by the Board of Directors. In the medium and long term, to watch for the suitability of the financial structure of the Bank and its evolution, according to the economic situation, the markets and regulatory changes. Within the core metrics used for measurement, follow-up LtSCD: (Loan to Stable Customers Deposits), measures the relationship between the net credit investment and the customers’ stable resources, and is set forth as the key metric of appetite for risk. The goal is to preserve a stable financing structure in the medium and long term. Below are the Bank’s LtSCD ratios as of the dates indicated:
December 31, December 31,
LtSCD Closing 59.7 % 58.0 %
Max 80.3 % 62.8 %
Min 58.2 % 54.6 %
Avg 62.7 % 58.6 %
LCR: (Liquidity Coverage Ratio), BBVA Argentina calculates the liquidity coverage coefficient daily by measuring the relation between high quality liquid assets and total net cash outflows during a 30-day Below are the Bank’s LCR ratios as of the dates indicated:
December, December,
LCR Closing 271 % 348 %
Max 433 % 348 %
Min 151 % 223 %
Avg 246 % 278 % The following chart shows the concentration of deposits as of December 31, 2023 and 2022:
December 31, 2023 December 31, 2022
Number of customers Debt balance % over total Debt balance % over total
10 largest customers 550,858,950 15.14 % 304,614,921 7.45 %
50 following largest customers 392,517,039 10.79 % 439,358,749 10.74 %
100 following largest customers 186,621,640 5.13 % 166,445,085 4.07 %
Rest of customers 2,509,309,031 68.94 % 3,180,893,681 77.74 %
TOTAL 3,639,306,660 100.00 % 4,091,312,436 100.00 %
The following chart shows the breakdown by contractual maturity of loans and advances, other financing and financial liabilities considering the total amounts to their due date, as of December 31, 2023 and 2022:
Assets (1) Liabilities (1)
December 31, December 31, December 31, December 31,
Up to 1 month ( 2 948,027,726 1,156,925,565 3,870,639,601 3,924,202,723
From more than 1 month to 3 month 372,964,126 378,153,999 288,142,094 333,552,210
From more than 3 month to 6 month 351,924,061 284,396,797 100,401,517 342,760,271
From more than 6 month to 12 month 311,728,457 236,503,073 33,725,396 13,392,406
From more than 12 month to 24 month 210,364,472 250,085,084 11,714,874 10,388,584
More than 24 months 349,270,361 433,127,189 18,691,790 15,713,621
TOTAL 2,544,279,203 2,739,191,707 4,323,315,272 4,640,009,815
(1) These figures includes expected interest amounts. For floating rate instruments such interest amounts were calculated using interest rate prevailing at the end of each period.
(2) The Bank has liquid assets such as cash and cash equivalents (Note 4), reverse repurchase agreements (Note 6.3) and BCRA liquidity bills (Note 10.1), among others, to settle its liabilities. Additionally, the Bank has issued financial guarantees and loan commitments which may require outflows on demand.
Financial guarantees and loan commitments December 31, December 31,
Up to 1 month 1,889,829,494 2,607,674,595
From more than 1 month to 3 month 22,031,136 20,057,032
From more than 3 month to 6 month 13,917,028 14,712,799
From more than 6 month to 12 month 23,063,990 7,609,973
From more than 12 month to 24 month 22,742,910 1,576,585
More than 24 months 5,176,587 2,847,496
TOTAL 1,976,761,145 2,654,478,480
The amounts of the Bank’s financial assets and liabilities, which were expected to be collected or paid twelve months after the closing date as of December 31, 2023 and 2022 are set forth below:
December 31, December 31,
Financial assets
Loans and advances 559,634,833 683,212,273
Debt securities 134,719,555 5,242,340,911
Other financial assets 34,420,575 23,594,306
Total 728,774,963 5,949,147,490
Financial liabilities
Other financial liabilities 22,099,882 18,421,874
Bank loans 8,017,438 7,438,454
Deposits 289,344 241,877
Total 30,406,664 26,102,205 |
