Economic capital

Attributable economic risk capital (ERC) consumption amounted to €29,145m as of 31-Dec-2011, an increase of barely 0.7% on the previous quarter.

As is to be expected from BBVA’s profile, the largest allocation to ERC (64.3%) relates to credit risk on portfolios originated in the Group’s branch network from its own customer base. This percentage remained stable in comparison with the close of the previous quarter.

Market risk, which is of less importance given the nature of the business and BBVA’s policy of minimal proprietary trading has fallen back by 6.1% on the previous quarter, although it remains practically the same as a proportion of the total (1.7%). Equity risk, which refers basically to the portfolio of holdings in the industrial and financial companies and the stake in CNCB, increased by 8.6% on the close of the previous quarter and amounts to 10.9% of the total capital. This increase is due to the higher exposure in CNBC related to the appreciation of the Hong Kong dollar. Structural balance-sheet risk fell by 11.5%. It originates from the management of the Group’s structural interest-rate risk, and accounts for 6.8% of ERC. Finally, operational risk was stable at 6.7% of total ERC.