APPENDIX XII Additional information on Sovereign Risk

Sovereign risk exposure in Europe

The table below provides a breakdown of the exposure of the Group’s credit institutions to European sovereign risk as of December 31, 2015, 2014 and 2013, by type of financial instrument and the country of residence of the counterparty, under EBA (European Banking Authority) requirements:

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	Millions of Euros
	December 2015
	Debt securities			Loans and receivables	Derivatives						Total	%
	Financial Assets Held-for-Trading	Available-for-Sale Financial Assets	Held-to-Maturity Investments		Direct exposure			Indirect exposure
Exposure to Sovereign Risk by European Union Countries					Notional value	Fair value +	Fair value -	Notional value	Fair value +	Fair value -
Spain	5,293	-	31,621	26,111	1,871	125	(37)	(1,785)	82	(84)	63,112	85.7%
Italy	1,205	-	7,385	80	-	-	-	258	12	(26)	8,656	11.8%
France	531	-	10	34	-	-	-	141	2	(31)	546	0.7%
Germany	162	-	-	-	-	-	-	166	-	(21)	141	0.2%
Portugal	179	-	1	428	1,161	2	(225)	90	1	(1)	384	0.5%
United Kingdom	-	-	-	-	-	-	-	13	2	(1)	2	-
Greece	-	-	-	-	-	-	-	-	-	-	-	-
Hungary	-	-	-	-	-	-	-	-	-	-	-	-
Ireland	1	-	-	-	-	-	-	-	-	-	1	-
Rest of European Union	319	-	429	38	-	-	-	33	15	(8)	794	1.1%
Total Exposure to Sovereign Counterparties (European Union)	7,689	-	39,446	26,691	3,033	127	(263)	(1,084)	115	(172)	73,634	100.0%

(1) This table shows sovereign risk balances with EBA criteria. Therefore, sovereign risk of the Group’s insurance companies (€6,300 million as of December 31, 2015) is not included. (2) Includes credit derivatives CDS (Credit Default Swaps) shown at fair value. Download Excel

	Millions of Euros
	December 2014
	Debt securities			Loans and receivables	Derivatives						Total	%
	Financial Assets Held-for-Trading	Available-for-Sale Financial Assets	Held-to-Maturity Investments		Direct exposure			Indirect exposure
Exposure to Sovereign Risk by European Union Countries					Notional value	Fair value +	Fair value -	Notional value	Fair value +	Fair value -
Spain	4,419	-	28,857	25,997	4,007	165	(8)	(6,003)	141	(548)	59,024	86.9%
Italy	1,141	-	6,601	142	-	-	-	(1,293)	235	(366)	7,753	11.4%
France	264	-	40	28	-	-	-	131	2	(1)	333	0.5%
Germany	(331)	-	92	-	-	-	-	(821)	-	(1)	(239)	-0.4%
Portugal	269	-	23	280	842	-	(101)	(35)	3	(4)	470	0.7%
United Kingdom	-	-	115	-	-	-	-	11	3	(1)	117	0.2%
Greece	-	-	-	-	-	-	-	-	-	-	-	-
Hungary	-	-	-	-	-	-	-	-	-	-	-	-
Ireland	1	-	167	-	-	-	-	-	-	-	168	0.2%
Rest of European Union	161	-	131	33	-	-	-	88	12	(10)	328	0.5%
Total Exposure to Sovereign Counterparties (European Union)	5,925	-	36,026	26,480	4,849	165	(108)	(7,922)	397	(930)	67,954	100.0%

(1) This table shows sovereign risk balances with EBA criteria. Therefore, sovereign risk of the Group’s insurance companies (€13,406 million as of December 31, 2014) is not included. (2) Includes credit derivatives CDS (Credit Default Swaps) shown at fair value.

As it can be seen in the above tables, exposure to sovereign risk in Europe is concentrated in Spain. As of December 31, 2015, 2014 and 2013 the breakdown of total exposure faced by the Group’s credit institutions to Spain and other countries, by maturity of the financial instruments, is as follows:

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	Millions of Euros
	December 2015
	Debt securities			Loans and receivables	Derivatives						Total	%
	Financial Assets Held-for-Trading	Available-for-Sale Financial Assets	Held-to-Maturity Investments		Direct exposure			Indirect exposure
Maturities of Sovereign Risks European Union					Notional value	Fair value +	Fair value -	Notional value	Fair value +	Fair value -
Spain	5.293	-	31.621	26.111	1.871	125	(37)	(1.785)	82	(84)	63.112	86%
Up to 1 Year	4.552	-	5.665	10.267	242	2	(19)	(1.721)	79	(77)	20.469	27,8%
1 to 5 Years	662	-	11.890	10.693	932	25	(1)	(48)	-	(1)	23.269	31,6%
Over 5 Years	79	-	14.067	5.151	698	98	(17)	(17)	3	(7)	19.373	26,3%
Rest of European Union	2.396	-	7.825	580	1.161	2	(225)	702	32	(88)	10.522	14,3%
Up to 1 Year	1.943	-	40	24	319	2	(4)	292	5	(6)	2.005	2,7%
1 to 5 Years	237	-	4.150	245	-	-	-	161	23	(29)	4.626	6,3%
Over 5 Years	216	-	3.635	311	842	-	(221)	248	4	(53)	3.891	5,3%
Total Exposure to European Union Sovereign Counterparties	7.689	-	39.446	26.691	3.033	127	(263)	(1.084)	115	(172)	73.634	100,0%

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	Millions of Euros
	December 2014
	Debt securities			Loans and receivables	Derivatives						Total	%
	Financial Assets Held-for-Trading	Available-for-Sale Financial Assets	Held-to-Maturity Investments		Direct exposure			Indirect exposure
Maturities of Sovereign Risks European Union					Notional value	Fair value +	Fair value -	Notional value	Fair value +	Fair value -
Spain	4,419	-	28,857	25,997	4,007	165	(8)	(6,003)	141	(548)	59,024	86.9%
Up to 1 Year	1,484	-	1,233	9,675	1,971	7	(1)	123	-	(3)	12,396	18.2%
1 to 5 Years	764	-	11,424	6,312	1,106	35	(6)	(892)	1	(23)	18,507	27.2%
Over 5 Years	2,170	-	16,200	10,010	930	123	(1)	(5,234)	140	(522)	28,121	41.4%
Rest of European Union	1,506	-	7,169	483	842	-	(101)	(1,919)	255	(382)	8,930	13.1%
Up to 1 Year	774	-	328	329	-	-	-	(586)	4	(8)	1,427	2.1%
1 to 5 Years	(190)	-	4,348	24	-	-	-	(21)	14	(11)	4,184	6.2%
Over 5 Years	923	-	2,493	130	842	-	(101)	(1,312)	238	(363)	3,319	4.9%
Total Exposure to European Union Sovereign Counterparties	5,925	-	36,026	26,480	4,849	165	(108)	(7,922)	397	(930)	67,954	100%