4.5% figure of the previous quarter, having dropped
56 basis points, owed mainly to the addition of
Guaranty. Finally, in South America, the NPA ratio
flattened out at 2.8%, very close to the 2.6%
reported three months earlier.
Highly selective purchases of distressed assets,
accounting for €104m over the third quarter, in
comparison with €178m in the second quarter and
€490m in the first quarter of 2009.
Coverage provisions for customer risks of €8,459m,
which were 5.4% higher than the June 2009 figure.
Of this amount, generic provisions and country-risk
provisions (€4,037m) represented 47.7% of the
total.
And a coverage ratio that the Group has maintained
at 68%. By business area, Spain & Portugal brought
its coverage up to 59%, Wholesale Banking & Asset
Management had a ratio of 118%, Mexico 135%
and United States 43%, while in South America,
coverage was 127%.
NPA coverage ratio
(Percentage)
127
92 76 68
68
September December March
June September
2008 2008 2009 2009
2009
Non-performing assets are covered by an adequate
amount of collateral. Including the value of the
collateral securing non-performing assets, ie,
€12,607m, the overall coverage ratio rises to 169%.
This is 5 percentage points higher than in June 2009.
The value of the collateral is 190% of the balance of
secured non-performing loans, and the coverage
provisions represent 144% of the unsecured
non-performing loans. Both figures are higher than
those published to 30th June 2009.
3Q09 RISK AND ECONOMIC CAPITAL MANAGEMENT
Risk management
Coverage including provisions and
collaterals (Million euros)
Market risk
The Group’s average exposure to market risk was
€24m in the third quarter (referenced to VaR without
exponential flattening). This was 5.4% down on the
figure reported for the previous quarter. The first
symptoms that the economic slowdown was bottoming
out have prevented further cuts to base rates, both in
Europe and America, and alternative measures have
been intensified to stimulate activity. South America
Global Markets is the unit that has made the biggest
contribution to this lower market-risk profile, mainly
due to the significant exposure drop in Peru and Chile.
Average market risk in Europe Global Markets
remained flat, and increased in Mexico. At the
quarter-end, the risk was €26m, having peaked at a
quarterly figure of €28m on 4th August.
Trends in market risk (1)
(VaR, million euros)
40
30
20
10
0
12,607
Value of
collaterals
Secured Non secured
+190%
6,620
NPAs
30-9-08 31-12-08 31-3-09 30-6-09
30-9-09
(1) On 29-2-08 the Bank of Spain approved the Algorithmic internal model for the European and Mexican trading
portfolios. The methodology applied for the VaR metric in these businesses is the historical simulation.
8,459
Provisions
+144%
5,880
NPAs
25
To view a Ceros magazine you need to have JavaScript enabled in your browser and have the flash player 8 or higher installed. To install the latest flash player, click the icon above, install the flash plugin and then click here to refresh this page.