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

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Millions of Euros December 2009 Amortized Cost Unrealized Gains Unrealized Losses Fair Value Domestic Debt Securities Spanish Government and other government agency debt securities 1,674 21 (13) 1,682 Other domestic debt securities 952 8 (18) 942 Subtotal 2,626 29 (31) 2,624 Foreign Debt Securities Government and other government agency debt securities 2,399 64 (7) 2,456 Other debt securities 412 7 (6) 413 Subtotal 2,811 71 (13) 2,869 Total 5,437 100 (44) 5,493 The foreign securities held by the Group as of June 30, 2010 and December 31, 2009 in the held-to-maturity portfolio correspond to European issuers. After analyzing the unrealized losses, it was concluded that they are temporary, since the payment deadlines on the interests have been met for all debt securities, there is no evidence that the issuer will not continue meeting the payment terms and the future payments of principal and interest are sufficient to recover the cost of the securities. The changes over the six months ended June 30, 2010 and 2009 under this heading in the accompanying consolidated balance sheets are as follows: Millions of Euros Held-to-Maturity Investments Changes on the Period June 2010 June 2009 Balance at beginning 5,438 5,285 Acquisitions 4,434 - Redemptions and other (103) (184) Balance at end 9,769 5,101 Impairment (1) - Total 9,768 5,101 15. HEDGING DERIVATIVES (RECEIVABLE <strong>AND</strong> PAYABLE) <strong>AND</strong> FAIR VALUE CHANGES OF THE HEDGE IN MACRO-HEDGE The breakdown of the balance of these items in the accompanying consolidated balance sheets was as follows: Millions of Euros Hedging derivatives and Fair value changes of the hedged items in portfolio hedges of interest rate risk June 2010 December 2009 ASSETS- Fair value changes of the hedged items in portfolio hedges of interest rate risk 118 - Hedging derivatives 4,586 3,595 LIABILITIES- Fair value changes of the hedged items in portfolio hedges of interest rate risk - - Hedging derivatives 2,191 1,308 78
As of June 30, 2010 and December 31, 2009, the main positions hedged by the Group 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-interest debt issued by Group: this risk is hedged using interest-rate derivatives (fixed-variable 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 options of interest rate. The valuation of the deposit hedges corresponding to interestrate 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 in the Group’s subsidiaries abroad. This risk is hedged mainly with foreign-exchange options and forward currency purchase. Note 7 analyzes the Group's main risks that are hedged using these financial instruments. The breakdown of the fair value of the hedging derivatives, organized hedged risk, recognized in the accompanying consolidated balance sheets are as follows: June 2010 Currency Risk Interest Rate Risk Millions of Euros Equity Price Risk Other Risks OTC markets Credit institutions Fair value hedge (7) 2,393 88 (1) 2,473 Cash flow hedge (98) 266 - - 168 Net investment in a foreign operation hedge - (6) - - (6) Subtotal (105) 2,653 88 (1) 2,635 Other financial Institutions - - - - - Fair value hedge - 143 32 - 175 Cash flow hedge (1) (1) - - (2) Net investment in a foreign operation hedge - - - - - Subtotal (1) 142 32 - 173 Other sectors - - - - - Fair value hedge - (414) - - (414) Of wich: Macro hedge - (404) - - (404) Cash flow hedge - - - - - Net investment in a foreign operation hedge - - - - - Subtotal - (414) - - (414) Total (106) 2,381 120 (1) 2,394 Of which: Asset Hedging Derivatives - 4,399 187 - 4,586 Of which: Liability Hedging Derivatives (106) (2,017) (69) (1) (2,191) Total 79
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BANCO BILBAO VIZCAYA ARGENTARIA, S.
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27. COMMON STOCK...................
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Translation of consolidated financi
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Millions of Euros LIABILITIES AND E
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Millions of Euros June June Notes 2
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The BBVA Group ICFR Model is summar
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2.2. ACCOUNTING POLICIES AND VALUAT
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- Other financial instruments The f
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In the case of unsecured transactio
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2.2.2. TRANSFERS AND DERECOGNITION
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The fair value of non-current asset
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Page 32 and 33: insurees, as the case may be, based
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Page 40 and 41: IFRIC 17 - Distributions of non-cas
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Page 48 and 49: The breakdown of the consolidated n
Page 50 and 51: Management & Asset Allocation, Risk
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Page 56 and 57: Policies and procedures for prevent
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Page 60 and 61: 7.2 MARKET RISK a) Market Risk Mark
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Page 64 and 65: 7.4. RISK CONCENTRATIONS Below is p
Page 66 and 67: Determining the fair value of finan
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Page 72 and 73: 10.2. DEBT SECURITIES The breakdown
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Page 92 and 93: 23. FINANCIAL LIABILITIES AT AMORTI
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Page 108 and 109: Reserves Assigned to the Consolidat
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Page 112 and 113: on equity (ROE) by each business; a
Page 114 and 115: 39. INTEREST, INCOME AND SIMILAR EX
Page 116 and 117: 39.3. AVERAGE RETURN ON INVESTMENTS
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Page 124 and 125: 48. PROVISIONS (NET) The net allowa
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BBVA executive team. It is to end o
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Commission (CNMV) announced the lif
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APPENDIX I. FINANCIAL STATEMENTS OF
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Millions of Euros LIABILITIES AND E
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Millions of Euros (Continued) June
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APPENDIX II. Additional information
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APPENDIX III. Additional informatio
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APPENDIX V. Changes and notificatio
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APPENDIX VI. Fully consolidated sub
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APPENDIX VIII. Breakdown of the mos
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Outsanding as of June 30, 2010 of S
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APPENDIX IX. Consolidated balance s
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Diluted earnings per share Early re
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Other financial assets/liabilities
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The explanations of the changes in
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4. SUMMARIZED INTERIM CONSOLIDATED
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Spain and Portugal Millions of Euro
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Mexico Millions of Euros Mexico Jun
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South America Millions of Euros Sou
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The United States Millions of Euros
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Wholesale Banking and Asset Managem
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The changes in the principal headin
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Aggregating Tier I and Tier II, as
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BANCO BILBAO VIZCAYA ARGENTARIA, S.A. AND ... - BBVA

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