banks in South America saw their relative share of total
exposure go down three percentage points to 13%.
The different types of market risk on the Group’s
trading portfolio at 31-Dec-2009 were as follows.
The greatest exposure was to interest rates and
lending spread, which rose by €9m against the end
of the previous quarter, due to higher exposure in
Europe. Equity risk increased from €3m to €9m,
reflecting higher exposure in Mexico and, albeit less
so, in Europe. Finally, exchange-rate and volatility
risk went down by between 10 and 20%.
Market risk by risk factors
(Fourth Quarter 2009. Million euros)
Risk
Interest + credit spread
Exchange rate
Equity
Vega and correlation
Diversification effect
TOTAL
AVERAGE
MAXIMUM
MINIMUM
Economic capital
Attributable ERC consumption (economic risk
capital) reached €22,135m at the end of December,
up 1.0% against September 2009.
31-12-09
37.6
2.3
8.9
15.4
(33.2)
,
31.1
28.3
33.1
21.1
4Q09 RISK AND ECONOMIC CAPITAL MANAGEMENT
Risk management
In general, the distribution of risks remained quite
stable from the third to the fourth quarter. The
largest category (63.3%) was credit risk on
portfolios originated in the Group branch-network
from its own customer base.
Operational risk ERC stood at 8.3% of the total, as
it had the previous quarter.
ERC for risks linked to market variables (market
risk, stake-holdings and structural balance-sheet risk)
went down by 0.8% over the quarter. Market risk
(3.4%) was the smallest single item, given the nature
of BBVA’s business and its policy of minimal
proprietary trading. Stake-holding risk (7.5%)
basically reflected the portfolio of Holdings in
Industrial & Financial Companies and the stake in
CITIC. The structural balance-sheet risk (9.2%)
originated from the management of the Group’s
structural interest-rate and exchange-rate risk, both
stemming from the Group’s activity in the different
countries in which it operates.
27
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