2019 Anual Report
Market risk
For this risk there have been stablished limits for the portfolio and for business, daily monitoring the risk to verify the fulfillment on the limits on the business area’s behalf.
The results from the follow-up of the VaR are within the stablished limits for the portfolios of markets and currency, and for the portfolios of Foreign National Currency.
As of December 2019, capital consumption and VaR were within the limits established for the Markets and Exchange portfolios, as well as for the Investment portfolios in National and Foreign Currency.
To December 2019, the active and passive positions for reappreciation, for foreign currency are unbalanced in the time of 2 years due to the emission of the Mandatory Subordinate TIER 2 for 700 million dollars in August of 2016 and its coverage to 50%; for the national currency are practically in balance, thus do not represent a volatile exposition for the base rate.
The profile for the expiration of balance, foreign currency and national currency, present a structure of medium- and long-term assets funded with short term resources, with exposition to the increase of the capture rate in December 2019.
By December 2019, the profile of due-date balance of foreign currency shows that for the next month there is a need of 81 million pesos for funding and for the national currency 3,189 million dollars are required.
In both cases there are medium and long-term assets funded with short term resources, with the exposition to the rise of the capture overate.
