BBVA in 2012

Credit risk in market activitiesThe credit risk assessment in OTC financial instruments is made by means of a Monte Carlosimulation, which calculates not only the current exposure of the counterparties, but also theirpossible future exposure to fluctuations in market variables.The model combines different credit risk factors to produce distributions of future credit lossesand thus allows a calculation of the portfolio effect; in other words, it incorporates the term effect(the exposure of the various transactions presents potential maximum values at different pointsin time) and the correlation effect (the relation between exposures, risk factors, etc. are normallydifferent from 1). It also uses credit risk mitigation techniques such as legal netting and collateralagreements.The maximum credit risk exposure in derivatives with counterparties in the Group as of31-Dec-2012 stood at €60,796m, an increase of 4% on 2011 year-end. Excluding intra-groupcounterparties, the maximum risk in derivatives is €59,755m.) Maximum exposure to creditrisk in derivatives at BBVA, S.A. is estimated at €55,516m (€55,081m excluding intra-groupcounterparties). BBVA S.A.’s overall reduction in terms of exposure due to netting and collateralagreements is €42,375m.Therefore, the net risk in derivatives at BBVA, S.A. as of December 31, 2012 is €13,123m. Excludingthe exposure with intra-group counterparties, the net risk in derivatives at BBVA, S.A. as ofDecember 31, 2012 is €12,707m.Counterparty risk by type of product and by sector. Maximum exposure in BBVA, S.A.(Million euros)Derivatives Depos Repurchases Rest TotalFinancial sector 4,788 231 162 53 5,234Corporate 5,245 - - (50) 5,195Sovereign 80 17 - 3 100Branches 2,594 - - - 2,594Total 12,707 248 162 6 13,123The table above shows the distribution by sectors and by products of the amounts of themaximum credit risk exposure in financial instruments in BBVA, S.A. By sectors, exposure is mainlyconcentrated in financial institutions (40%) and corporates (40%).The table below shows the distribution by maturity of the maximum exposure amounts infinancial instruments. Maturity index is 3.5 years.Maturity vector by rating and tranches at BBVA, S.A. (excluding intra-group counterparties. Data as ofdecember 2012) (Million euros)Up to 3 months Up to 12 months Up to 3 years Up to 5 years Up to 10 years More than 10 yearsAAA - 108 - - 439 681AA 19 45 133 75 75 37A 1,171 808 758 310 612 370BB 136 960 717 218 368 288Non investment grade 94 430 549 329 336 510NR 5 24 60 36 44 36D - 6 12 15 115 174Risk in market units119