Logotype

January-March 2013

Economic capital

Attributable economic risk capital (ERC) consumption as of 31-Mar-2013 amounted to €35,161m, a decrease of 1.2% on the figure for December (1) 2012.

As is to be expected from BBVA’s profile, the largest allocation to ERC (56.3%) relates to credit risk on portfolios originated in the Group’s branch network from its own customer base. A 1.1% decline was reported in the quarter, concentrated in Spain.

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 7.3% of ERC, and declined 4.0% over the last quarter.

Operational risk increased by 1.0%, with a relative weight of 6.2%, while fixed-asset risk increased by 3.6% and accounts for 7.5% 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 2.3%.

(1) The changes presented here are with respect to a December 2012 close (€35,594m) that uses comparable figures, including the annual effects of the methodology updates carried out at the end of the year (Mexico, South America and the United States) in the credit risk parameters and the review of other risk models, rather than the official closing figure published for 2012 (€35,561m).

Tools