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Economic capital

Attributable economic risk capital (ERC) (1) consumption amounted to €27,984m as of the close of March 2012, an increase of 0.4% on the figure for December 2011.

As is to be expected from BBVA’s profile, the largest allocation to ERC (63.4%) relates to credit risk on portfolios originated in the Group’s branch network from its own customer base. There has been a fall of 2.3% since the end of 2011, focused above all in the United States and Spain.

Equity risk, which refers basically to the portfolio of holdings in industrial and financial companies and the stake in CNCB, increased by 0.8% on the figure at the close of December, but maintains its weight in ERC practically unchanged, at 11.1%.

Structural balance-sheet risk, originated in the management of structural interest-rate risk and exchange-rate risk, accounts for 7.1% of ERC, and was up 11.5% on the figure for 31-Dec-2011.

Market risk, which is of less importance given the nature of the business and BBVA’s policy of minimal proprietary trading, increased its relative weight in the quarter to 2.3%.

Finally, operational risk was stable (6.9% of total ERC), while fixed-asset risk was up over the quarter by 10.7% to 8.0% of total ERC.

(1) The growth rates presented here are calculated on a comparable basis against the close of December 2011 (€27,874m), including the annual effects of the updates carried out at the end of the year (Mexico, South America and United States) in the credit risk parameters and the revision of models for all other risks, as compared to the official figure published for the close of 2011 (€29,145m).

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