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| Fair value of financial instruments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Disclosure of fair value of financial instruments [text block] | Fair value of financial instruments Framework and processes control The process for determining the fair value established in the Group seeks to ensure that financial assets and liabilities are properly recorded following the IFRS 13 principles, which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants in the principal market or most advantageous market, at the measurement date. BBVA has established, at a geographic level, a structure of Risk Operational Admission and Product Governance Committees responsible for validating and approving new products or types of financial assets and liabilities before being contracted. Local management responsible for valuation, which are independent from the business are members of these committees. These areas seek to ensure, prior to the approval stage, the existence of not only technical and human resources, but also adequate informational sources to measure the fair value of these financial assets and liabilities, in accordance with the rules established by the valuation global area and using models that have been validated and approved by the responsible areas complying with the governance of BBVA Group's official models. Fair value hierarchy All financial instruments, both assets and liabilities are initially recognized at fair value, which at that point is equivalent to the transaction price, unless there is evidence to the contrary in the market. Subsequently, depending on the type of financial instrument, it may continue to be recognized at amortized cost or fair value through adjustments in the consolidated income statement or equity. When possible, the fair value is determined as the market price of a financial instrument. However, for many of the financial assets and liabilities of the Group, especially in the case of derivatives, there is no market price available, so its fair value is estimated on the basis of the price established in recent transactions involving similar instruments or, in the absence thereof, by using mathematical measurement models that are sufficiently tried and trusted by the international financial community. The estimates of the fair value derived from the use of such models take into consideration the specific features of the asset or liability to be measured and, in particular, the various types of risk associated with such asset or liability. However, the limitations inherent in the measurement models and possible inaccuracies in the assumptions and parameters required by these models may mean that the estimated fair value of an asset or liability does not exactly match the price for which the asset or liability could be exchanged or settled on the date of its measurement. Additionally, for financial assets and liabilities that show significant uncertainty in inputs or model parameters used for valuation, criteria are established to measure said uncertainty and activity limits are set based on these. Finally, these measurements are compared, as much as possible, against other sources such as the measurements obtained by the business teams and/or those obtained by other market participants. The process for determining the fair value requires the classification of the financial assets and liabilities according to the measurement processes used as set forth below: –Level 1: valuation using directly the quotation of the instrument, observable and readily and regularly available from independent price sources and referenced to active markets that the entity can access at the measurement date. The instruments classified within this level are fixed-income securities, equity instruments and certain derivatives. –Level 2: valuation of financial instruments with commonly accepted techniques that use inputs obtained from observable data in markets. –Level 3: valuation of financial instruments with valuation techniques that use significant unobservable inputs in the market. As of December 31, 2025, the affected instruments at fair value accounted for approximately 0.70% of financial assets and 0.47% of the Group’s financial liabilities. Model selection and validation is undertaken by control areas outside the business areas. Fair value of financial instruments recognized at fair value, according to valuation criteriaBelow are the different elements used in the valuation technique of financial instruments. Active Market BBVA considers an active market as a market that allows the observation of bid and offer prices representative of the levels to which the market participants are willing to negotiate an asset, with sufficient frequency and volume. Furthermore, BBVA considers as traded in an “Organized Market” quotations for assets or liabilities from over-the-counter (OTC) markets when they are obtained from independent sources, observable on a daily basis and fulfil certain conditions. The fair value of the Group's financial instruments recognized at fair value in the consolidated balance sheets is presented below, broken down according to the valuation method used to determine their fair value, and their respective book value as of December 31, 2025, 2024 and 2023:
The following table sets forth the main valuation techniques, hypothesis and inputs used in the estimation of fair value of the financial instruments recognized at fair value classified under Levels 2 and 3, based on the type of financial asset and liability and the corresponding balances as of December 31, 2025, 2024 and 2023.
Main valuation techniques The main techniques used for the assessment of the majority of the financial instruments classified in level 3, and its main unobservable inputs, are described below: –The net present value (net present value method): this technique uses the future cash flows of each financial instrument, which are established in the different contracts, and discounted to their present value. This technique often includes many observable inputs, but may also include unobservable inputs, as described below: a.Credit Spread: this input represents the difference in yield of a debt security and the reference rate, reflecting the additional return that a market participant would require to take the credit risk of that debt security. Therefore, the credit spread of the debt security is part of the discount rate used to calculate the present value of the future cash flows. b.Recovery rate: this input represents the percentage of principal and interest recovered from a debt instrument that has defaulted. –Comparable prices (similar asset prices): this input represents the prices of comparable financial instruments and benchmarks used to calculate a reference yield based on relative movements from the entry price or current market levels. Further adjustments to account for differences that may exist between financial instrument being valued and the comparable financial instrument may be added. It can also be assumed that the price of the financial instrument is equivalent to the comparable instrument. –Net asset value: this technique utilizes certain assumptions to use net asset value as representative of fair value, which is equal to the total value of the assets and liabilities of a fund published by the managing entity. –Gaussian copula: this model is used to integrate default probabilities of credit instruments referenced to more than one underlying CDS (Credit Default Swaps). The joint density function used to value the instrument is constructed by using a Gaussian copula that relates the marginal densities by a normal distribution, usually extracted from the correlation matrix of events approaching default by CDS issuers. –Black 76: variant of Black Scholes model, whose main application is the valuation of bond options, cap floors and swaptions where the behavior of the Forward and not the Spot itself, is directly modeled. –Black Scholes: the Black Scholes model postulates log-normal distribution for the prices of securities, so that the expected return under the risk neutral measure is the risk-free interest rate. Under this assumption, the price of vanilla options can be obtained analytically, so that inverting the Black Scholes formula, the implied volatility for process of the price can be calculated. –Heston: this model, typically applied to equity OTC options, assumes stochastic behavior of volatility. According to which, the volatility follows a process that reverts to a long-term level and is correlated with the underlying equity instrument. As opposed to local volatility models, in which the volatility evolves deterministically, the Heston model is more flexible, allowing it to be similar to that observed in the short term today. –Libor market model: this model assumes that the dynamics of the interest rate curve can be modeled based on the set of forward contracts that compose the underlying interest rate. The correlation matrix is parameterized on the assumption that the correlation between any two forward contracts decreases at a constant rate, beta, to the extent of the difference in their respective due dates. The input “Credit default volatility” is a volatility input of the credit factor dynamic applied in rate/credit hybrid operative. The multifactorial frame of this model makes it ideal for the valuation of instruments sensitive to the slope or curve, including interest rate option. –LGM (Linear Gaussian Model): the model, commonly used for the valuation of interest rate instruments, assumes that the evolution of the yield curve is driven by a single stochastic factor following a linear Gaussian process. Under this framework, instantaneous rates evolve continuously with a volatility proportional to the level of rates, allowing for a parsimonious and stable description of the dynamics of bond prices and interest rate swap derivatives. Unlike more complex or multifactor models, the LGM retains a simple analytical structure that facilitates calibration to market-implied swaption volatilities. –QGM (Quasi Gaussian Model): an advanced pricing model for the valuation of callable products. It is a valuation framework based on Monte Carlo simulations that employs a local volatility parameterization to model interest rates, designed to price exotic derivatives with cancellable features. The model uses a quasi-Gaussian approach to represent the dynamics of interest rates, leveraging a combination of variables and an auxiliary matrix to capture the evolution of forward rates. –Local volatility: in the local volatility models, the volatility, instead of being static, evolves deterministically over time according to the level of moneyness (i.e. probability that the option has a positive value on its date of expiration) of the underlying, capturing the existence of volatility smiles. The volatility smile of an option is the empirical relationship observed between its implied volatility and its strike price. These models are appropriate for options whose value depends on the historical evolution of the underlying which use Monte Carlo simulation technique for their valuation. Unobservable inputs Quantitative information of unobservable inputs used to calculate level 3 valuations is presented below as of December 31, 2025, 2024 and 2023.
(1) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them. (2) The range of unobservable dividends is too wide range to be relevant.
(1) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them. (2) The range of unobservable dividends is too wide range to be relevant.
(1) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them. (2) The range of unobservable dividends is too wide range to be relevant. Adjustments to the valuation Under IFRS 13, the entity must estimate the value taking into account the assumptions and conditions that market participants would have when setting the price of the asset or liability on the valuation date. In order to comply with the fair value requirements, the entity applies adjustments to the fair valuation considering inherent and counterparties´ default criteria, funding valuation risk and valuation risks due to valuation uncertainty and related to the prudent valuation criteria. The above is aligned with the regulatory requirements (EBA CRR 105.10) and considers the model risk, liquidity risk (Bid/Offer) and price uncertainty risk. Adjustments to the valuation for risk of default The fair value of liabilities should reflect the entity's default risk, which includes, among other components, its own credit risk. Taking this into account, the Group makes valuation adjustments for credit risk in the estimates of the fair value of its assets and liabilities. These adjustments are calculated by estimating Exposure At Default, Probability of Default and Loss Given Default, which are based on the recovery levels for all derivative products on any instrument, deposits and repos at the legal entity level (all counterparties under a same master agreement), in which BBVA has exposure. Credit Valuation Adjustment (hereinafter “CVA”) and Debit Valuation Adjustments (hereinafter “DVA”) are included in the valuation of derivatives, both assets and liabilities, to reflect the impact on the fair value of the counterparty credit risk and its own, respectively. The Group incorporates in its valuation, for all exposures classified in any of the categories valued at fair value, both the counterparty credit risk and its own. In the trading portfolio, and in the specific case of derivatives, credit risk is recognized through such adjustments. As a general rule, the calculation of CVA is the sum of the expected positive exposure in time t, the probability of default between t-1 and t, and the Loss Given Default of the counterparty. Consequently, the DVA is calculated as the sum of the expected negative exposure in time t, the probability of default of BBVA between t-1 and t, and the Loss Given Default of BBVA. Both calculations are performed throughout the entire period of potential exposure. The calculation of the expected positive and negative exposure is done through a Montecarlo simulation of the market variables involved in all trades’ valuation under the same legal netting set. The information needed to calculate the probability of default and the loss given default of a counterparty comes from the credit markets. The counterparty’s Credit Default Swaps are used if liquid quotes are available. If a market price is not available, BBVA has implemented a mapping process based on the sector, rating and geography of the counterparty to assign probabilities of default and loss given default calibrated directly to market. An additional adjustment for Own Credit Adjustment (hereinafter "OCA") is applied to the instruments accounted for by applying the Fair Value Option permitted by IFRS 9. The related amounts recognized in the consolidated balance sheet as of December 31, 2025 and 2024, related to OCA were €459 million and €393 million, respectively. The amounts recognized in the consolidated balance sheets as of December 31, 2025, 2024 and 2023 related to the valuation adjustments incorporated to the credit assessment derivative assets amounted to €-140 million, €-205 million and €-133 million, respectively as Credit Valuation Adjustments (CVA), and amounted to €87 million, €116 million and €91 million, respectively as Debit Valuation Adjustment (DVA). The impact recorded under “Gains (losses) on financial assets and liabilities held for trading, net” in the consolidated income statement was €62 million for the year ended December 31, 2025 and €17 million and €26 million in 2024 and 2023, respectively. Valuation adjustments for financing risk The fair value of the positions recorded at fair value must reflect the entity's financing risk. Taking into account the above, the Group makes adjustments for financing risk valuation (Funding Valuation Adjustment, hereinafter "FVA") in the estimates of the fair value of its assets and liabilities. The adjustment to the valuation for financing risk incorporates the cost of financing implicit in the valuation of positions at fair value. This adjustment reflects the cost of funding for non-collateralized or partially collateralized operations. Additionally, as of December 31, 2025, 2024 and 2023, €-10 million, €-19 million and €-16 million related to the FVA were recognized in the consolidated balance sheet, being the impact on results not significant. Collateral Valuation Adjustments on Bond-Collateralized Agreements Non-standard collateral valuation adjustments (hereinafter, “ColVA”) are incorporated into the valuation of both asset and liability derivatives to reflect, in their fair value, the impact of uncertainty in the discount curve associated with collateralized positions in bonds. A standard collateral agreement for a derivative is understood to be one that requires daily posting of collateral reflecting changes in the derivative’s market value, in the same currency as the derivative, and remunerated at the standard collateral rate. When the collateral agreement permits the delivery of bonds as collateral, an adjustment is required to capture the specific characteristics of the eligible collateral that cause the valuation of the transaction to differ from that under a standard cash collateralization in the deal’s currency of denomination. These adjustments account for the cost (or benefit) of funding the bond collateral that covers the Expected Positive Exposure (EPE) or Expected Negative Exposure (ENE) of a derivatives portfolio over time, using the market rehypothecation curve of the posted collateral. ColVA adjustments are typically considered a component of FVA. Valuation adjustments for valuation uncertainty The fair value of the positions recorded at fair value must reflect the valuation risk derived from the uncertainty in the valuation for concepts of pure uncertainty of prices, liquidity risk and model risks. This adjustment is aligned with the regulatory requirements for prudent valuation via valuation adjustments with an impact on CET1, and meets the requirements of EBA CRR 105.10 for this purpose. The adjustment to the valuation for liquidity incorporates an adjustment for Bid / Offer spreads in the valuation of positions that do not meet the necessary conditions to be considered a Market Maker operation. The adjustment to the valuation for model risk captures the uncertainty in the price associated with the products valued with the use of a valuation model ("Mark to Model") given the existence of more than one possible model applicable to the valuation of the product or the calibration of its parameters from the observations of inputs in the market. The adjustment to the valuation for price uncertainty includes the uncertainty associated with the dispersion in the values observed in the market for the prices taken in the valuation of assets or as inputs in the valuation models. The impact recorded under “Gains (losses) on financial assets and liabilities held for trading, net” in the consolidated income statement for the year ended December 31, 2025 corresponding to the mentioned adjustments was a net impact of €-59 million, (€-53 million in 2024). An adjustment was also made as of December 31, 2025 on financial assets at fair value through other comprehensive income for a total of €-10 million (€-17 million and €-15 million in 2024 and 2023, respectively). Financial assets and liabilities classified as level 3 The changes in the balance of level 3 financial assets and liabilities included in the consolidated balance sheets are as follows:
(1) Profit or loss that is attributable to gains or losses relating to those financial assets and liabilities held as of December 31, 2025, 2024 and 2023. Valuation adjustments are recorded under the heading “Gains (losses) on financial assets and liabilities (net)”. During 2025, there was an increase in level 3 asset positions (+19%), resulting in equal parts from market price evolution and decreased observability. This increase is primarily distributed between the derivatives portfolio and equity cash trading. During 2024, there was an increase in positions classified as level 3, mainly concentrated in cash fixed-income positions due to unobservability in market prices applied in their fair valuation. No significant changes were observed in other positions, such as derivatives, reverse repurchase agreements and cash variable-income positions. In 2023, as a result of the implementation of the multifactor criteria in the classification, which considered all the risk factors of the exposures, their observability and uncertainty, there was a reduction in exposure to level 3 derivatives, offset by an increase in exposure classified at level 3 in repurchase agreements positions due to unobservability in the inputs used in their valuation. The increase in level 3 exposure was mainly related to cash positions of variable income and fixed income due to unobservability in their prices. For the years ended December 31, 2025, 2024 and 2023, the profit/loss on sales of financial instruments classified as level 3 recognized in the consolidated income statement was not material. Transfers among levels The Global Valuation area, in collaboration with the Group, has established the rules for an appropriate financial instruments held for trading classification according to the fair value hierarchy defined by IFRS. On a monthly basis, derivative positions, deposits, loans and advances from the portfolio are classified, according to this criterion, by the subsidiaries. Then, there is a quarterly review of the portfolio in order to analyze the need for a change in classification of any of these assets. On a quarterly basis, the positions of equity instruments and debt securities are classified, following these criteria, by the local areas in coordination with Global Markets Valuation. The financial instruments transferred among the different levels of measurement for the years ended December 31, 2025, 2024 and 2023 are at the following amounts in the consolidated balance sheets as of December 31, 2025, 2024 and 2023:
In 2025, transfers between the different levels of the fair value hierarchy at a Group level were very limited and did not represent a significant change in any of the categories. However, in the banking book, there were significant transfers from level 1 to level 2 in the portfolio of ‘Financial assets designated at fair value through profit or loss’ due to decreased observability, which were only partially offset by transfers from level 2 to level 1 in the portfolio of ‘Financial assets at fair value through other comprehensive income’. The amount of the financial instruments at fair value that were transferred among the different valuation levels during 2024 showed a stable performance in relation to the evolution of market observability in the inputs applied in their valuation. No significant level transfers were made from level 1 to level 3, with the most significant volumes of transfers concentrated between level 1 and level 2, and level 2 and level 3. In both cases, the changes were solely due to the observability conditions of market inputs. The amount of the financial instruments at fair value portfolio that were transferred among the different valuation levels during 2023 correspond mainly, with respect to level 1 to level 2, to the review of the classification among levels due to the implementation of the short-term maturities model valuation of the listed options for those positions for which it is guaranteed that the inputs applied from real OTC market transactions are complied with the corroboration criteria. Additionally, there is a transfer of exposure level 1 to Level 2 in cash positions in debt securities and equities, partially netted by a transfer of exposure Level 2 to level 1, all directly related to the observability of the inputs. The volume of positions transferred from Level 2 to level 3 is partly offset by the transfer of certain positions from level 3 to level 2, mainly in cash positions in debt securities, equities and loans and advances. Sensitivity analysis Sensitivity analysis is performed on financial instruments with significant unobservable inputs (financial instruments included in level 3), in order to obtain a reasonable range of possible alternative valuations. This analysis is carried out based on the criteria defined by the Global Valuation area in line with the official regulatory requirements for Prudent Valuation metrics, taking into account the nature of the methods used for the assessment and the reliability and availability of inputs and proxies used. In order to establish, with a sufficient degree of certainty, the valuation risk that is incurred in such assets without applying diversification criteria between them. As of December 31, 2025, the effect on profit for the year and total equity of changing the main unobservable inputs used for the measurement of level 3 financial instruments for other reasonably possible unobservable inputs, taking the highest (most favorable input) or lowest (least favorable input) value of the range deemed probable, would be as follows:
The valuation technique used to calculate the fair value of financial assets and liabilities carried at cost are presented below: Financial assets –Cash, balances at central banks and other demand deposits / loans to central banks / short-term loans to credit institutions / repurchase agreements: in general, their fair value approximates to their book value, due to the nature of the counterparty and because they are mainly short-term balances in which the book value is the most reasonable estimation of the value of the asset. –Loans to credit institutions which are not short-term and loans to customers: in general, these financial assets will be valued by discounting future cash flows using the interest rate curve adjusted by the market spread at the time of valuation and considering any behavioral hypothesis considered to be relevant (early prepayments, optionality, etc.). Therefore, their valuations will be conditioned by the interest rates and spreads of the portfolios and their durations. –Debt securities: generally, fair value is estimated based on the available market price or by using internal valuation methodologies. Financial liabilities –Deposits from central banks: for recurrent liquidity auctions and other monetary policy instruments of central banks / short-term deposits, from credit institutions / repurchase agreements / short-term customer deposits: their book value is considered to be the best estimation of their fair value. –Deposits of credit institutions which are not short-term and term customer deposits: these deposits are valued by discounting future cash flows using the interest rate curve in effect at the time of the adjustment adjusted by the credit spread and incorporating any behavioral assumptions considered to be relevant (early repayments, optionalities, etc.). –Debt certificate (Issuances): the fair value estimation of these liabilities is based on the availability of market prices or the present value method: discount of future cash flows, using market interest rates at valuation time and taking into account the credit spread. The table below shows the fair value of the Group's financial instruments recognized at amortized cost in the consolidated balance sheets, broken down according to the valuation method used to determine their fair value, and their respective book value, as well as the main valuation techniques and inputs used for financial instruments classified in level 2 and level 3 as of December 31, 2025, 2024 and 2023:
(1) Financial instruments whose book value is presented as an approximation to their fair value, mainly short-term financial instruments.
(1) Financial instruments whose book value is presented as an approximation to their fair value, mainly short-term financial instruments.
(1) Financial instruments whose book value is presented as an approximation to their fair value, mainly short-term financial instruments. The fair value of the “Financial assets at amortized cost” has been estimated mainly using the valuation techniques of the Present-value method (discounted future cash flows). The main inputs considered for Levels 2 and 3 are the interest rate yield, the prepayment rates and the credit spread. In the case of “Financial liabilities at amortized cost”, the fair value is also obtained mainly through the Present-value method (discounted future cash flows). The main inputs considered for, at levels 2 and 3, the issuer's credit risk, the interest rate yield and the prepayment rate.
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