26
RISK AND ECONOMIC CAPITAL MANAGEMENT 4Q09
Risk management
NPA provisions reached €8,943m, ie, 5.7% up on
the figure recorded in September 2009. Generic and
country-risk provisions, €2,975m, accounted for
33.3% of the total NPA provisions. Collaterals were
worth 195% of the value of secured doubtful loans
and NPA provisions covered 128% of the unsecured
doubtful risks.
The Group’s coverage ratio of 57% at 31-Dec-2009
is considered adequate because if the value of the
collateral associated to these risks is included
(€16,842m), coverage would increase to 165%. By
business area, this ratio increased most significantly
in the United States (from 43% to 57%), a
consequence of the additional provisioning effort. In
Spain & Portugal it was 48%. In other areas it
achieved similar levels to the end of the third
quarter: in Wholesale Banking & Asset Management
it was 102%, in Mexico 130% and in South
America also 130%.
Market risk
During the fourth quarter of 2009, BBVA Group’s
average market-risk exposure has been €28m
(referenced to VaR without exponential flattening).
This is €4m more than the previous quarterly average.
As interest rates in Latin America began to flatten out
after ongoing cuts, interest-rate exposure gradually
went down in almost all the Latin-American trading
desks. However, risk increased in Global Markets
Europe, due mainly to higher exposure to interest rates
and greater volatility on equities. These were the main
factors driving the evolution of the Group’s overall
exposure. At the quarter end, exposure was €31m,
having peaked at €33m on 11th December.
By geographical area, the concentration of risk
increased slightly in Europe, where 65% of total
average exposure was located in the fourth quarter. The
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