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| 1Q10 | BBVA Group highlights | Group information | Risk and economic capital management | Business areas | Corporate responsibility |
value of the collateral associated to these risks is
included (€16,605m), coverage increases to 163%.
By business area, in Spain and Portugal the rate has
been maintained at 48%; in Mexico, it increased
from 130% to 131%, in South America from 130%
to 132%, in the United States from 58% to 56% and
in Wholesale Banking & Asset Management from
70% to 68%.
MARKET RISK
In the first quarter of 2010, the BBVA Group’s
average market-risk exposure was €31m (referenced
to VaR without exponential smoothing). This
represents a mean consumption of limits for the
Risk management
Economic profit and risk-adjusted return on economic capital
1 This figure includes the annual effects of the recalibration and revision of models carried out in January 2010. The figures for
the close of December 2009 using the new model would be €22,304m, compared to the published figure of €22,135m.
Market risk by risk factors
(1 st Quarter 2010. Million euros)
Risk
Interest + spread
Exchange rate
Equity
Volatility
Diversification effect
Total
Average
Maximun
Minimun
Group of 50%. The increase in risk in Global
Markets Europe, due mainly to higher exposure to
foreign exchange risk, explains most of this increase.
At the quarter end, exposure was €34m, having
peaked at €35m on January 14.
By geographical areas, the concentration of risk
increased slightly in Europe, where it was 68.0% of
the total. The banks in South America saw their
relative share of total exposure go down by one
percentage point to 11,9%.
The types of market risk on the Group’s trading
portfolio as of 31-Mar-2010 were as follows: the
greatest exposure was to interest rates and lending
spread, which remained stable on the previous
quarter. Volatility and correlation risk has also
remained unchanged at around €15m. Equity risk
fell by nearly 45% as a result of the fall in equity risk
in Mexico, while currency risk has increased from
€2.3m to €3.4m.
ECONOMIC CAPITAL
Attributable economic risk capital (ERC)
consumption was €23,095m at the close of March,
with an increase of 3.5% on December 2009. 1
31-03-10
38
3
5
15
(28)
34
31
35
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