24
RISK AND ECONOMIC CAPITAL MANAGEMENT 1Q09
Risk management
the end of 2008. At the quarter-end, the risk was
€24.9m, having peaked at €31.1m on 9th March.
By geographical area, risk remained more
concentrated in Europe. Europe and USA together
account for almost 62% of total average exposure in
the first quarter of 2009. Mexico accounts for 20%,
while South America’s contribution is 18%.
By risk type, the biggest risk on BBVA Group’s
market exposure on its trading portfolio at 31st
March 2009, was from interest rates and lending
spreads, as has become customary. However, these
reduced their relative weight against the previous
Market risk by risk factors
(First Quarter 2009. Million euros)
Risk
Interest + credit spread
Exchange rate
Equity
Vega and correlation
Diversification effect
TOTAL
AVERAGE
MAXIMUM
MINIMUM
31-03-09
22.3
1.7
1.8
13.2
(14.0)
,
24.9
27.4
31.3
22.0
(1) This figure includes the annual effects of recalibration and review of models implemented in January 2009. The like-for-like figure for year-end December 2008 would be
€22,375m, as compared to the published figure of €21,541m.
quarter, as did exchange-rate and volatility risk
(although volatility risk continued to account for a
large part of total exposure). Meanwhile, equity risk
increased its share of exposure on the global risk
portfolio.
Economic capital
Attributable ERC consumption (economic risk
capital) reached €22,099m at the end of March,
(1)
down 1.2% against December 2008.
ERC for credit risk remained stable during the
quarter. However, ERC for structural risk went down
22.6%, focussed on exchange-rate risk. ERC for
fixed assets grew 10.1%.
BBVA Group economic risk capital.
Distribution by risk type
(Data in attributable terms, 31-03-09)
Other 9.1%
9% South America
Operational
15% The United States
7.3% 13% Mexico
Holdings
11.1%
Structural
(balance
sheet) 7.8%
Market 4.3%
Lending
60.3%
17%
46%
Wholesale Banking &
Asset Management
Spain and Portugal
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