Information of Prudential Relevance 2016

Mapping between the sections of Pillar III and the Group’s Annual Consolidated Financial Statements

BLOCK POINTS AUDITED ANNUAL FINANCIAL STATEMENTS PILLAR III
Introduction Regulatory environment Note 32 N/A
General informational requirements Company name and differences in the consolidable group for the purposes of the solvency regulations and accounting criteria    
  Corporate name and scope of application Note 1.1 1.1.1
  Differences in the consolidable group for the purposes of the solvency regulations and accounting criteria Note 1.2 1.1.2
  Reconciliation of the Public Balance Sheet from the accounting perimeter to the regulatory perimeter Note 32 1.1.3
  Main changes in the Group's scope of consolidation in 2016 Note 3 1.1.4
  Identification of dependent institutions with capital resources below the minimum requirement. Possible impediments for transferring capital. N/A 1.2
  Exemptions from capital requirements at the individual or sub-consolidated level N/A 1.3
Capital resources Characteristics of the eligible capital resources Note 32 2.1
  Amount of eligible capital resources Note 32 2.2
  Bank risk profile Note 7 2.3
  A breakdown of minimum capital requirements by risk type Note 32 2.4
  Procedures used in the internal capital adequacy assessment process Note 32 2.5
Risks General risk control and management model    
  Governance and organization Note 7.1 3.1.1
  Risk Appetite Framework Note 7.1.2 3.1.2
  Decisions and processes Note 7.1.3 3.1.3
  Evaluation, monitoring and reporting Note 7.1.4 3.1.4
  Infrastructure Note 7.1.5 3.1.5
  Risk culture Note 7.1.6 3.1.6
  Credit and counterparty risk    
  Scope and nature of the credit risk measurement and reporting systems Note 7.3 3.2.1
  Definitions and accounting methodologies Note 7.3.6 and 2.2.1 3.2.2
  Information on credit risks Note 7.3.1 3.2.3
  Information on the standardized approach N/A 3.2.4
  Information on the IRB method N/A 3.2.5
  Information on counterparty risk N/A 3.2.6
  Information on securitizations Note 22.3 3.2.7
  Information on credit risk mitigation techniques Note 7.3.2 3.2.8
  RWA density by geochartal area N/A 3.2.9
  Market risk    
  Scope and nature of the market risk measurement and reporting systems Note 7.4 3.3.1
  Differences in the trading book for the purposes of applying the solvency regulations and accounting criteria N/A 3.3.2
  Standardized approach N/A 3.3.3
  Internal Models N/A 3.3.4
  Structural risk in the equity portfolio    
  Scope and nature of the structural risk in the equity portfolio measurement and reporting systems Note 7.4.2 3.4.1
  Differentiation between portfolios held for sale and those held for strategic purposes N/A 3.4.2
  Book value and exposure of equity investments and capital instruments contained in above portfolios Note 16 3.4.3
  Risk-weighted assets of equity investments and capital instruments N/A 3.4.4
  Profit and loss and adjustments for valuation of equity investments and capital instruments N/A 3.4.5
  Structural exchange-rate risk    
  Scope and nature of the exchange-rate risk measurement and reporting systems Note 7.4.2 3.5.1
  Interest-rate risk    
  Scope and nature of the interest-rate risk measurement and reporting systems Note 7.4.2 3.6.1
  Nature of interest rate risk and key hypotheses Note 7.4.2 3.6.2
  Variations in interest rates Note 7.4.2 3.6.3
  Liquidity Risk    
  Scope and nature of the liquidity risk measurement and reporting systems Note 7.5.1 3.7.1
  Governance and monitoring Note 7.5.1 3.7.2
  Liquidity and funding performance in 2016 Note 7.5.1 3.7.3
  Liquidity and funding prospects N/A 3.7.4
  Assets committed in finance transactions Note 7.5.2 3.7.5
  Operational risk    
  Scope and nature of the operational risk measurement and reporting systems Note 7.6 3.8.1
  Operational Risk definition Note 7.6 3.8.2
  Operational Risk methodology Note 7.6 3.8.3
  Model based on 3 lines of defense Note 7.6 3.8.4
  Principles of BBVA's Operational Risk management model Note 7.6 3.8.5
  Methods used Note 7.6 3.8.6
  The Group's Operational Risk profile Note 7.6 3.8.7
  Main variations in the period N/A 3.8.8
Remuneration Information on remunerations Note 54  
Subsequent events Subsequent events Note 56 N/A

Index of tables

TABLE DESCRIPTION
TABLE 1Reconciliation of the Public Balance Sheet from the accounting perimeter to the regulatory perimeter
TABLE 2LI1 - Differences between the accounting and regulatory scopes of consolidation and the mapping of the financial statements categories with regulatory risk categories
TABLE 3LI2 - Main sources of the differences between regulatory original exposure amounts and carrying values in financial statements
TABLE 4Breakdown of the credit risk amounts and counterparty by the items of the Public Balance Sheet by EO, EAD and RWAs
TABLE 5Amount of capital
TABLE 6Reconciliation of shareholders 'equity with regulatory capital'
TABLE 7EU OV1 - Capital requirements by risk type
TABLE 8CR1 - Credit quality of financial assets
TABLE 9Average value of the exposures throughout 2016 and 2015
TABLE 10Distribution by geochartal area of exposure to credit risk
TABLE 11Distribution by geochartal area of the account balances of the non-performing and impaired exposures of financial assets and contingent liabilities
TABLE 12Distribution by geochartal area of the account balances of the value adjustments for impairment of financial assets and contingent liabilities
TABLE 13Distribution by sector of exposure to credit risk
TABLE 14Distribution by sector of the account balances of the non-performing and impaired exposures of financial assets and contingent liabilities
TABLE 15Distribution by sector of the account balances of the value adjustments for impairment of financial assets and contingent liabilities
TABLE 16Distribution by residual maturity of exposure to credit risk
TABLE 17Value adjustments for impairment losses and allowances for contingent risks and commitments
TABLE 18Total impairment losses for the period
TABLE 19CR2 - Changes in stock of defaulted loans and debt securities
TABLE 20CR4: Original exposure to Credit Risk
TABLE 21Standardized approach: Exposure values after the application of credit risk mitigation techniques
TABLE 22EU CR5 - Standardized approach: Exposure values after the application of credit risk mitigation techniques
TABLE 23Variations in the period in terms of RWAs under Credit Risk standardized approach
TABLE 24Balance of risk provisions, by exposure category (standardized approach)
TABLE 25Models authorized by the supervisor to be used on the calculation of capital requirements
TABLE 26Master Scale of BBVA’s rating
TABLE 27EU CR6 - Advanced method: Exposure values by category and PD range
TABLE 28EU CR9 - Advanced Measurement Approach: Backtesting of probability of Default (PD) per portfolio
TABLE 29EU CR8 - Variations in the period in terms of RWAs for the Credit Risk advanced measurement approach
TABLE 30Balance of risk provisions, by exposure category
TABLE 31CR10 (1) Specialized lending risk weightings
TABLE 32CR10 (2) - Equity exposures under Simple Risk-weight Method by risk weightings
TABLE 33Counterparty credit risk. EAD derivatives by product and risk
TABLE 34Assets and liabilities subject to contractual netting rights
TABLE 35Positions subject to counterparty credit risk in terms of EO, EAD and RWAs
TABLE 36Amounts of counterparty credit risk in the trading book
TABLE 37Counterparty risk. Exposure in derivatives. Netting effect and collateral
TABLE 38CCR1 - Analysis of exposure to counterparty credit risk by method
TABLE 39EU-CCR3- Standard method for exposure to CCR by regulatory portfolio and risk weightings
TABLE 40Variations in terms of RWAs for the Counterparty Credit Risk standardized approach
TABLE 41EU-CCR4 - Relevant parameters in the calculation of the RWAs by the advanced Counterparty Credit Risk method
TABLE 42EU-CCR7 - Variations in terms of RWAs for the advanced measurement Counterparty Risk approach
TABLE 43CCR5 - Composition of collateral for counterparty credit risk exposures
TABLE 44Counterparty credit risk. Credit derivative transactions
TABLE 45CCR2 - Credit risk. Capital requirement for credit valuation adjustment (CVA)
TABLE 46Variations in terms of RWAs per CVA
TABLE 47CCR8 - Exposures to central counterparties
TABLE 48SEC1 - Securitization exposure in the banking book
TABLE 49SEC4 - Exposure to securitization in the banking book and associated regulatory capital requirements (bank that acts as investor)
TABLE 50Variations in terms of RWAs of investment and retained securitizations
TABLE 51SEC3 - Exposure to securitization in the banking portfolio and associated regulatory capital requirements (bank that acts as originator or sponsor)
TABLE 52Breakdown of securitized balances by type of assett
TABLE 53Outstanding balance corresponding to the underlying assets of the Group’s originated securitizations, in which risk transfer criteria are not fulfilled
TABLE 54Exposure covered with financial guarantees and other collateral calculated using the standardized and advanced approaches
TABLE 55Exposure covered by personal guarantees. Standardized and advanced approach
TABLE 56CR3 - Credit risk mitigation techniques in loans and debt securities
TABLE 57Breakdown of RWA density by geochartal area and approach
TABLE 58EU MR1 - Market risk calculated under the standardized approach
TABLE 59MR3 - IMA values for trading portfolios
TABLE 60Trading Book. VaR without smoothing by risk factors
TABLE 61EU - MR2 A - Trading Book. Market risk and regulatory capital
TABLE 62EU MR2 B RWA flow statement of market risk exposures under internal model approach
TABLE 63Trading Book. Impact on earnings in Lehman scenario
TABLE 64Trading Book. Stress resampling
TABLE 65Breakdown of book value, EAD and RWAs of equity investments and capital instruments
TABLE 66Exposure in equity investments and capital instruments
TABLE 67Breakdown of RWAs, equity investments and capital instruments by applicable approach
TABLE 68Variation in RWAs for Equity Risk
TABLE 69Realized profit and loss from sales and settlements of equity investments and capital instruments
TABLE 70Valuation adjustments for latent revaluation of equity investments and capital instruments
TABLE 71Variations in interest rates. Impact on net interest income and economic value
TABLE 72Loan-to-Stable Customer Deposits (LtSCD)
TABLE 73Types and amounts of instruments included in the liquidity fund of the most significant units
TABLE 74Liquidity inflows
TABLE 75Liquidity outflows
TABLE 76Maturity of Euro Balance Sheet wholesale issues by nature
TABLE 77Maturity of Bancomer wholesale issues by nature
TABLE 78Maturity of Compass wholesale issues by nature
TABLE 79Maturity of Garanti wholesale issues by nature
TABLE 80Maturity of South America wholesale issues by nature
TABLE 81Encumbered assets or unencumbered
TABLE 82Collateral received for encumbrance or available for encumbrance
TABLE 83Encumbered assets/collateral assigned and associated liabilities
TABLE 84Characteristics of the Operational Risk management model
TABLE 85Regulatory capital for Operational Risk
TABLE 86Variations in terms of Operational Risk RWAs
TABLE 87Elements comprising the leverage ratio
TABLE 88Composition of the Remuneration Committee
TABLE 89Settlement and payment system for annual variable remuneration
TABLE 90Remuneration of the Identified Staff in 2016
TABLE 91Remuneration of the Identified Staff in 2016 from prior years
TABLE 92Remuneration of the Identified Staff in 2016 by business activity
TABLE 93Number of people with total remuneration in excess of €1 million in 2016

Index of charts

CHART DESCRIPTION
CHART 1Distribution of RWAs by risk type
CHART 2BBVA Group's Core Metrics
CHART 3Scheme of BBVA Group Risk Appetite Framework
CHART 4Distribution by geographical area of exposure to credit risk
CHART 5Advanced Measurement Approach: EAD by obligor category
CHART 6Advanced Measurement Approach: Average weighted PD by EAD
CHART 7Advanced Measurement Approach: Average weighted DLGD by EAD
CHART 8Advanced Measurement Approach: RWAs by obligor category
CHART 9Comparative analysis of expected loss: Retail mortgages
CHART 10Comparative analysis of expected loss: Consumer finance
CHART 11Comparative analysis of expected loss: Credit cards
CHART 12Comparative analysis of expected loss: Automobiles
CHART 13Comparative analysis of expected loss: SMEs and Developers
CHART 14Comparative analysis of expected loss: PD ́s of Corporates and Developers
CHART 15Comparative analysis of expected loss: Mexico Credit Cards
CHART 16Comparative analysis of expected loss: Mexico Corporates
CHART 17EAD for derivatives broken down by risk
CHART 18Functions carried out in the securitization process and degree of involvement of the Group
CHART 19MR4 - Trading Book. Trends in VaR without smoothing
CHART 20Trading Book. Validation of the Market Risk Measurement model for BBVA S.A. Hypothetical backtesting
CHART 21Trading Book. Validation of the Market Risk Measurement model for BBVA S.A. Real backtesting
CHART 22Trading Book. Validation of the Market Risk Measurement model for BBVA Bancomer. Hypothetical backtesting
CHART 23Trading Book. Validation of the Market Risk Measurement model for BBVA Bancomer. Real backtesting
CHART 24Trends in the main currencies comprising the Group's exposure to structural exchange-rate risk
CHART 25Operational risk management framework: Three lines of defense
CHART 26Required Capital per method
CHART 27BBVA Group's Operational Risk profile
CHART 28Operational Risk profile by risk and country
CHART 29Trends in the leverage ratio

Mapping of the Pillar III tables to the Basel templates

Template DESCRIPTION Pilar III section
LI1Reconciliation of the Public Balance Sheet from the accounting perimeter to the regulatory perimeter1.1.3
LI2Main sources of the differences between original exposure and the book balance1.1.3
EU-0V1Capital requirements by risk type (*)2.4
CR4Original exposure to credit risk3.2.3.1
CR1Credit quality of assets3.2.3.1
CR2Changes in stock of defaulted loans and debt securities3.2.3.7
EU-CR5Standardized approach: Exposure values before the application of credit risk mitigation techniques (*)3.2.4.3
EU-CR8Variations in the period in terms of RWAs for the Credit Risk standardized approach (*)3.2.4.3
EU-CR6Advanced Measurement Approach: Exposure values by category and PD interval (*)3.2.5.2
CR9Advanced Measurement Approach: Calculation of the Probability of Default (PD) by portfolio3.2.5.2
CR10Exposures assigned to each one of the risk weightings of the specialized lending exposures3.2.5.4
CCR1Analysis of exposure to counterparty credit risk by method3.2.6.2
EU-CCR3Standard method for exposure to CCR by regulatory portfolio and risk weightings (*)3.2.6.2.1
EU-CCR4Relevant parameters in the calculation of the RWAs by the advanced Counterparty Risk method (*)3.2.6.2.2
EU-CCR7Variations in terms of RWAs for the advanced measurement Counterparty Risk approach (*)3.2.6.2.2
CCR5Composition of collateral for counterparty risk exposures3.2.6.2.3
CCR6Counterparty risk. Transactions with credit derivatives used in intermediation activities3.2.6.2.4
CCR2Credit risk. Capital requirement for credit valuation adjustment (CVA)3.2.6.3
CCR8Exposures to central counterparty entities3.2.6.4
SEC1Amounts in terms of EAD of securitization positions in the investment portfolio3.2.7.3
SEC4Amounts in terms of EAD, RWAs and capital requirements of securitization positions in the investment portfolio3.2.7.4
SEC3Amounts in terms of EAD, RWAs and capital requirements of securitization positions in the trading portfolio3.2.7.5.2
CR3Credit risk mitigation techniques in loans and fixed-income3.2.6.2.1
EU-MR1Market risk calculated under the standardized approach (*)3.3.3
MR3VaR per model types3.3.4.2.1
EU-MR2ATrading Book. Market risk. Regulatory capital (*)3.3.4.2.1
EU-MR2BMain changes in the market RWAs, calculated using the method based on internal models (*)3.3.4.2.1
MR4Trading Book. Trends in VaR without smoothing3.3.4.2.2
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