Balance Sheet at 31 December 2010 of BBVA

Subsidiaries
Substandard risk
Tax liabilities
Trading derivatives
Value at Risk (VaR)
Companies which the Group has the power to control. Control is presumed to exist
when the parent owns, directly or indirectly through subsidiaries, more than one half of
an entity's voting power, unless, exceptionally, it can be clearly demonstrated that
ownership of more than one half of an entity's voting rights does not constitute control
of it. Control also exists when the parent owns half or less of the voting power of an
entity when there is:
· an agreement that gives the parent the right to control the votes of other
shareholders;
· power to govern the financial and operating policies of the entity under a statute or an
agreement; power to appoint or remove the majority of the members of the board of
directors or equivalent governing body and control of the entity is by that board or body;
· power to cast the majority of votes at meetings of the board of directors or equivalent
governing body and control of the entity is by that board or body.
All debt instruments and contingent risks which do not meet the criteria to be classified
individually as non-performing or written-off, but show weaknesses that may entail for
the entity the need to assume losses greater than the hedges for impairment of risks
subject to special monitoring.
All tax related liabilities except for provisions for taxes.
The fair value in favor of the entity of derivatives not designated as accounting hedges.
Value at Risk (VaR ) is the basic variable for measuring and controlling the Group’s
market risk. This risk metric estimates the maximum loss that may occur in a portfolio’s
market positions for a particular time horizon and given confidence level
VaR figures are estimated following two methodologies:
- VaR without smoothing, which awards equal weight to the daily information for the
immediately preceding last two years. This is currently the official methodology for
measuring market risks vis-à-vis limits compliance of the risk.
- VaR with smoothing, which weights more recent market information more heavily.
This is a metric which supplements the previous one.
VaR with smoothing adapts itself more swiftly to the changes in financial market
conditions, whereas VaR without smoothing is, in general, a more stable metric that will
tend to exceed VaR with smoothing when the markets show less volatile trends, while it
will tend to be lower when they present upturns in uncertainty.
173