January-December 2012

Economic capital

Attributable economic risk capital (ERC) consumption amounted to €36,062m as of the close of December 2012, a decrease of 0.3% on the figure for 30-Sep-2012.

As is to be expected from BBVA’s profile, the largest allocation to ERC (58.3%) relates to credit risk on portfolios originated in the Group’s branch network from its own customer base. A 2.2% increase has been posted in the quarter, originated in the trading business of the Assets and Liabilities Committee (ALCO) and the South America loan book.

Equity risk, which refers basically to the portfolio of holdings in industrial and financial companies, the stake in CNCB, and consumption of economic capital from goodwill, has maintained its proportion stable in relation to total risks (19.4%).

Structural balance-sheet risk, originated from the management of structural interest-rate risk and exchange-rate risk, accounts for 7.9% of ERC, and rose 5.3% over the last quarter.

Operational risk increased by 2.4%, and its relative weight accounts for 5.8%, while fixed-asset risk declined by 17.0% due to the provisions made. It accounts for 5.3% of total ERC consumption.

Finally, market risk, which is of less importance given the nature of the business and BBVA’s policy of minimal proprietary trading, reduced its relative weight over the quarter to 2.5%.