BBVA in 2012

BBVA continues working to improve and enrich the information provided by the stress tests,drawing up scenarios to detect the possible combinations of impacts on the market variablesthat might have a significant effect on the performance of trading portfolios, completing theinformation provided by VaR and the historical scenarios and acting as a warning indicator thatsupplements the policies for measuring and controlling normal risks.In order to assess business unit performance over the year, the accrual of negative earningsis linked to the reduction of the VaR limits that have been set. The control structure in placeis supplemented by limits on loss and a system of warning signals to anticipate the effects ofadverse situations in terms of risk and/or result. All the tasks associated with stress testing,methodologies, scenarios of market variables and reports are coordinated among BBVAGroup’s various risk areas.Finally, the market risk measurement model includes backtesting, or ex-post comparison, whichhelps to refine the accuracy of the risk measurements by comparing day-on-day managementresults with their corresponding VaR measurements.Market risk in 2012The Group’s market risk remains at low levels compared with the aggregates of risks managedby BBVA, particularly in terms of credit risk. This is due to the nature of the business and theGroup’s policy of minimal proprietary trading. In 2012, the market risk of the Group’s trading bookdecreased on the previous year to an average economic capital of €242m.34BBVA Group. Market risk evolution in 2012(VaR, million euros)403020100Dec-11Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12The main risk factor in the Group continues to be linked to interest rates, with a weight of72% of the total at the end of 2012 (this figure includes the spread risk). Equity risk accountsfor 5%, a decrease on the figure 12 months prior. The exchange-rate risk also decreased itsweight slightly to 5%. Finally, the volatility risk increased and accounts for 18% of the totalportfolio risk.Risk in market units117