Attributable economic risk capital (ERC) consumption amounted to €28,946m as of 30-Sep-2011, 7.2% up on the figure as of 30-Jun-2011. This increase is due to the recalibration of the credit risk models in Spain in the month of August.
As is to be expected from BBVA’s profile, most of this figure (64.3%) is credit risk on portfolios originated in the Group’s branch network from its own customer base.
Market risk continues to be the least relevant item (1.8%), given the nature of BBVA’s business and its policy of minimal proprietary trading. It remains at a similar level to the previous quarter. Equity risk (10.1%) basically reflects the portfolio of Holdings in Industrial & Financial Companies and the stake in CNCB. Its level is also similar to that at the close of the previous quarter. The structural balance-sheet risk, originating from the management of the Group’s structural interest-rate risk and exchange-rate risk, stood at 7.7%. Finally, operational risk stood at 6.9% of total ERC.