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

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