During the year, the objective of the Integral Risk Management process focused on controlling the different types of risks the Institution is exposed to (credit, market, liquidity, non-discretionary and non-quantifiable), in accordance with the regulations established in the General Provisions Applicable to Credit Institutions, issued by the National Banking and Securities Commission (CNBV), published in the Official Journal of the Federation on December 2, 2005.
Strategic Capital Limits
The Board of Directors in its February 24, 2016, session authorized a temporary mechanism to distribute each month’s official profits to speed up Capital Management if the pressure on Credit Limit exceeds 90%. The distributable capital was established in 19.7 billion pesos. It is worth mentioning that a safety margin of 2.5% of capitalization index was set in the capital management model to comply with the capital conservation supplement required by Basel III as of 2014.
The limits at a strategic level, as well as their levels of consumption as of December 2017, are as follows:
Tactical Capital Limits
Based on the strategic limits authorized by the Board of Directors, the Comprehensive Risk Management Committee (CAIR) approved the distribution of capital limits, at the tactical level, determined according to the needs of the various business areas.
The consumption of the limits was monitored to control the risk assumed by the Institution. In all cases, consumption remained within the authorized boundaries, with no recorded deviations. The limits for credit risk at a strategic level and their consumption as of December 2017 were:
For the portfolio risk-sharing loans, the limits and consumption of credit risk as of December 2017 were:
On the other hand, by the General Provisions Applicable to Credit Institutions in the area of risk diversification in active and passive operations, the maximum limits for financing by common risk were determined and informed to the Business Units and the Comprehensive Risk Management Committee (CAIR).
By these Provisions, the credit exposures and occupancy level of the applicable Limits for each reference period for the Private Sector, the three largest debtors of the Private Sector, the Entities and Bodies of the Parastatal Public Sector and the Financial Banking Intermediaries were determined. Additionally, prudential limits were established to comply with regulatory limits.
Tactical limits structure of the Counterparty Portfolio and its consumption levels as of December 2017
It should be noted that from January to December 2017, the authorized limits were not exceeded.
The Treasury Portfolio showed a capital consumption of 468 million pesos, 96% of the tactical limit.
Regarding market risk, below are listed the tactical limits and consumption registered as of December 2017:
At the end of December 2017, the Market Risk portfolio recorded a capital consumption of 1.7 billion pesos, 77% of the strategic level limit. The highest consumption at the tactical level corresponds to the Liquid Assets portfolio, with 1.2 billion pesos, 82% of the authorized limit.