Balance Sheet at 31 December 2010 of BBVA

As of December 31, 2010 and 2009 the main positions hedged by the Bank and the derivatives assigned to
hedge those positions are:
• Fair value hedge:
- Available-for-sale fixed-interest debt securities: this risk is hedged using interest-rate derivatives
(fixed-variable swaps).
- Long term fixed rate debt issued by Bank: this risk is hedged using interest-rate derivatives (fixedvariable
swaps).
- Available-for-sale equity securities: this risk is hedged using equity swaps.
- Fixed-interest loans: this risk is hedged using interest-rate derivatives (fixed-variable swaps).
- Fixed-interest deposit portfolio Macro-hedges: this risk is hedged using fixed-variable swaps and
derivatives for interest rate. The valuation of the deposit hedges corresponding to interest-rate risk is
recognized under the heading "Changes in the fair value of the hedged items in the portfolio hedges
of interest-rate risk”.
• Cash-flow hedge:
Most of the hedged items are floating interest-rate loans: this risk is hedged using foreign-exchange and
interest-rate swaps.
• Net foreign-currency investment hedge:
The risks hedged are foreign-currency investments that the Bank made in the Group’s subsidiaries abroad.
This risk is hedged mainly with foreign-exchange options and forward currency purchase.
Note 5 analyze the Bank's main risks that are hedged using these financial instruments.
The breakdown of the fair value of the hedging derivatives held by the Bank as of December 31, 2010 and
2009 and recognized in the balance sheets is as follows:
Hedging Derivatives. Breakdown of the Fair Value by Markets and Transaction Type
Millions of Euros
2010 Currency Risk
Interest Rate
Risk
Equity Price
Risk
Other Risks
OTC markets
Credit institutions
Fair value hedge - 1,557 6 3 1,566
Cash flow hedge (4) (42) - - (46)
Subtotal (4) 1,515 6 3 1,520
Other financial Institutions
Fair value hedge - 74 5 - 79
Cash flow hedge - (1) - - (1)
Subtotal - 73 5 - 78
Other sectors
Fair value hedge - (1) - - (1)
Subtotal - (1) - - (1)
Total (4) 1,587 11 3 1,597
of which:
Asset Hedging Derivatives 10 2,916 59 3 2,988
of which:
Liability Hedging Derivatives (14) (1,329) (48) - (1,391)
Total
64