Factual error: Bilbao is in the Basque Country, which has its own police force, the Ertzaintza, that is independent from the Spanish National Police. When the police burst into the Swiss banker's flat, it is the Ertzaintza who enters, with their traditional red caps. However, when Bond is walking away, the police cars that are going towards the crime scene belong to the Spanish National Police, which has no jurisdiction in the Basque Country.
Trivia: In the opening sequence with the speed boat jetting through the boat house and over the road was filmed in Wapping, East London. It took a week to film that one sequence as I saw them doing it. Also, for the matter of continuity, when the boat goes across the road, it goes into some sort of alley with an arch above it; in reality it's actually a Group 4 building on the other side of that road.