| Block | Points | Audit Annual Financial Statements | IRP (PILAR III) |
|---|---|---|---|
| Introduction | Regulatory environment | Note 31 | Section 0 |
| General informational requirements | Reconciliation of the public balance sheet from the accounting perimeter to the regulatory perimeter | Note 31 | Section 1.1.3 |
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Main changes in the Group's scope of consolidation in 2015 | Note 3 | Section 1.1.4 |
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General control and risk management model | Note 7.1 | Section 3.1 |
| Information on total eligible capital | Amount of capital | Note 31 | Section 2.2 |
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Reconciliation of shareholders' equity with regulatory capital | Note 31 | Section 2.2 |
| Credit risk | Exposure to credit risk | Note 7.3.1 | Section 3.2.3.1 |
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Distribution by geographical area | Note 7.3.4 | Section 3.2.3.3 |
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Value adjustments for impairment losses and allowances for contingent risks and commitments | Note 7.3.8 | Section 3.2.3.6 |
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Total impairment losses for the period | Note 46 | Section 3.2.3.7 |
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Structure of internal rating systems and relationship between internal and external ratings | Note 7.3.5 | Section 3.2.5.1.2 |
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Definition and estimation of risk parameters | Note 2.2 | Section 3.2.5.1.7 |
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Amounts of counterparty risk | Note 10.4 | Section 3.2.6.2 |
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Credit risk. Capital requirements by Credit Valuation Adjustments (CVA) | Note 8.1.1 | Section 3.2.6.3 |
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Variations in terms of RWAs of CVA | Note 8.1.1 | Section 3.2.6.3 |
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Balance of specific, generic and country risk allowances for losses, by exposure category | Note 23 | Section 3.2.4.3 |
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Assets and liabilities subject to contractual netting rights | Note 7.3.3 | Section 3.2.4.3 |
| Market risk in trading book activities | Scope of application of the internal models | Note 7.4.1 | Section 3.3.4.1 |
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Market risk development | Note 7.4.1 | Section 3.3.4.2.1 |
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Variaciones en términos de APRs de Riesgo de Mercado | Note 7.4 | Section 3.3.3 |
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Variaciones en términos de APRs de Riesgo de tipo de cambio | Note 7.4 | Section 3.5.1 |
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VaR by model type | Note 7.4.1 | Section 3.3.4.2.1 |
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VaR without smoothing by risk factors for the Group | Note 7.4.1 | Section 3.3.4.2 |
| "Investments in capital instruments not included in the trading book" | Value of equity investments | Note 16 | Section 3.4.4 |
| Interest rate risk | Variations in interest rates. Impact on margin interest | Note 7.4.2 | Section 3.6 |
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Variations in interest rates. Impact on economic value | Note 7.4.2 | Section 3.6 |
| Liquidity and funding risk | Liquidity and funding prospects | Note 7.5 | Section 3.7.4 |
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Assets committed in finance transactions | Note 7.6 | Section 3.7.5 |
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Types and amounts of instruments included in the liquidity fund of the most significant units | Note 7.5 | Section 3.7.3 |
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Liquidity inflows | Note 7.5 | Section 3.7.3 |
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Liquidity outflows | Note 7.5 | Section 3.7.3 |
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Collateral committed or potentially committed | Note 7.6 | Section 3.7.5 |
| Operational risk | Operational risk definition | Note 7.7 | Section 3.8.2 |
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Variations in terms of RWAs of operational risk | Note 7.7 | Section 3.8.9 |
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Operational risk management principles | Note 7.7 | Section 3.8.5 |
| Remuneration | Variable share-based remuneration system | Note 43.1.1 | Section 5 |
| Subsequent events | Subsequent events | Note 55 | Section 6 |
Correspondence between the sections of Pillar III and the Group’s Annual Consolidated Financial Statements as of 31 December 2015
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