BANCO BILBAO VIZCAYA ARGENTARIA, S.A. AND ... - BBVA

Determining the fair value of financial instruments
Below is a comparison of the carrying amount of the Group’s financial assets and liabilities in the
accompanying consolidated balance sheets and their respective fair values:
Fair Value and Carrying Amount
Notes
Carrying
Amount
Millions of Euros
June 2010 December 2009
Fair Value
Carrying
Amount
Fair Value
ASSETS-
Cash and balances with central banks 9 22,298 22,298 16,344 16,344
Financial assets held for trading 10 73,330 73,330 69,733 69,733
Other financial assets designated at fair value
through profit or loss 11 2,796 2,796 2,337 2,337
Available-for-sale financial assets 12 60,729 60,729 63,521 63,521
Loans and receivables 13 361,766 370,827 346,117 354,933
Held-to-maturity investments 14 9,768 9,494 5,437 5,493
Hedging derivatives 15 4,586 4,586 3,595 3,595
LIABILITIES-
Financial assets held for trading 10 43,734 43,734 32,830 32,830
Other financial liabilities designated at fair value
through profit or loss 11 1,651 1,651 1,367 1,367
Financial liabilities at amortized cost 23 466,329 462,624 447,936 448,537
Hedging derivatives 15 2,191 2,191 1,308 1,308
For financial instruments whose carrying amount is different from its fair value, fair value was calculated in
the following manner:
• The fair value of “Cash and balances with central banks”, which are short term by their very nature, is
equivalent to their carrying amount.
• The fair value of “Held-to-maturity investments” is equivalent to their quoted price in active markets.
• The fair values of “Loans and receivables” and “Financial liabilities at amortized cost” were estimated
by discounting estimated cash flows using the market interest rates prevailing at each year-end.
For financial instruments whose carrying amount corresponds to their fair value, the measurement processes
used are set forth below:
• Level 1: Measurement using market observable quoted prices for the financial instrument in question,
secured from independent sources and linked to active markets. This level includes listed debt
securities, listed equity instruments, some derivatives and mutual funds.
• Level 2: Measurement using valuation techniques the inputs for which are drawn from market
observable data.
• Level 3: Measurement using valuation techniques, where some of the inputs are not taken from market
observable data. Model selection and validation is undertaken at the independent business units. As of
June 30, 2010, Level 3 financial instruments accounted for 0.26% of financial assets and 0.02% of
financial liabilities.
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