January - September 2012

Economic capital

Attributable economic risk capital (ERC) consumption amounted to €36,181m as of the close of September, an increase of 9.2% on the figure for 30-Jun-2012.

As is to be expected from BBVA’s profile, the largest allocation to ERC (56.8%) relates to credit risk on portfolios originated in the Group’s branch network from its own customer base. This amount increased over the quarter by 9.6%, basically due to the inclusion of Unnim.

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 (20.0%).

Structural balance-sheet risk, originated from the management of structural interest-rate risk and exchange-rate risk, accounts for 7.4% of ERC, and was up 13.3% over the quarter.

Operational risk increased by 5.0% in absolute terms, although it reduced its relative weight to 5.6%; while fixed-asset risk increased by 7.8% and accounts for 6.4% of total ERC consumption.

Finally, the relative weight of market risk, which is of less importance given the nature of the business and BBVA’s policy of minimal proprietary trading, stood at 2.8% at the close of September.