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Note 15 - Hedging derivatives and fair value changes of the hedged items in portfolio hedge of interest rate risk | 12 Months Ended
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Dec. 31, 2017
Hedging derivatives and fair value changes of the hedged items in portfolio hedge of interest rate risk |
Derivatives - Hedge accounting and fair value changes of the hedged items in portfolio hedge of interest rate risk | Hedging derivatives and fair value changes of the hedged items in portfolio hedge of interest rate risk The balance of these headings in the accompanying consolidated balance sheets is as follows:
Derivatives – Hedge accounting and fair value changes of the hedged items in portfolio hedge of interest rate risk (Millions of euros)
| 2017 | 2016 | 2015
ASSETS- |  |  |
Hedging Derivatives | 2,485 | 2,833 | 3,538
Fair value changes of the hedged items in portfolio hedges of interest rate risk | (25) | 17 | 45
LIABILITIES- |  |  |
Hedging Derivatives | 2,880 | 2,347 | 2,726
Fair value changes of the hedged items in portfolio hedges of interest rate risk | (7) | - | 358
As of December 31, 2017, 2016 and 2015, the main positions hedged by the Group and the derivatives designated to hedge those positions were: 1) Fair value hedging: Available-for-sale fixed-interest debt securities and loans and receivables: The in terest rate risk of these securities is hedged using interest rate derivatives (fixed-variable swaps) and forward sales. Long-term fixed-interest debt securities issued by the Bank: the interest rate risk of these securities is hedged using interest rate d erivatives (fixed-variable swaps). Fixed-interest loans: The equity price risk of these instruments is hedged using interest rate derivatives (fixed-variable swaps). 2) Fixed-interest and/or embedded derivative deposit portfolio hedges: it covers the inter est rate risk through fixed-variable swaps. The valuation of the borrowed deposits corresponding to the interest rate risk is in the heading "Fair value changes of the hedged items in portfolio hedges of interest rate risk”. 3) Cash-flow hedges: Most of th e hedged items are floating interest-rate loans and asset hedges linked to the inflation of the available for sale portfolio. This risk is hedged using foreign-exchange, interest-rate swaps, inflation and FRA’s (“Forward Rate Agreement”). Net foreign-curre ncy investment hedges: These hedged risks are foreign-currency investments in the Group’s foreign subsidiaries. This risk is hedged mainly with foreign-exchange options and forward currency sales and purchases. The details of the net positions by hedged risk of the fair value of the hedging derivatives recognized in the accompanying consolidated balance sheets are as follows:
Hedging Derivatives Breakdown by type of risk and type of hedge (Millions of euros)
| 2017 | 2016 | 2015
| Assets | Liabilities | Assets | Liabilities | Assets | Liabilities
Interest rate | 1,141 | 850 | 1,154 | 974 | 1,660 | 875
OTC options | 100 | 111 | 125 | 118 | 187 | 128
OTC other | 1,041 | 739 | 1,029 | 856 | 1,473 | 747
Equity | - | - | - | 50 | 12 | 74
OTC options | - | - | - | 50 | - | 72
OTC other | - | - | - | - | 12 | 2
Foreign exchange and gold | 625 | 511 | 817 | 553 | 675 | 389
OTC other | 625 | 511 | 817 | 553 | 675 | 388
FAIR VALUE HEDGES | 1,766 | 1,362 | 1,970 | 1,577 | 2,347 | 1,337
Interest rate | 244 | 533 | 194 | 358 | 204 | 319
OTC other | 242 | 533 | 186 | 358 | 204 | 318
Organized market other | 2 | - | 8 | - | - | 1
Foreign exchange and gold | 119 | 714 | 248 | 118 | 242 | 34
OTC options | - | - | 89 | 70 | 42 | 12
OTC other | 119 | 714 | 160 | 48 | 200 | 22
CASH FLOW HEDGES | 363 | 1,247 | 442 | 476 | 446 | 353
HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION | 301 | 15 | 362 | 79 | 47 | 304
PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK | 46 | 256 | 55 | 214 | 697 | 732
PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK | 9 | - | 4 | - | - | -
DERIVATIVES-HEDGE ACCOUNTING | 2,485 | 2,880 | 2,833 | 2,347 | 3,538 | 2,726
of which: OTC - credit institutions | 1,829 | 2,527 | 2,381 | 2,103 | 3,413 | 2,366
of which: OTC - other financial corporations | 651 | 234 | 435 | 165 | 95 | 256
of which: OTC - other | 2 | 120 | 9 | 79 | 29 | 103
The cash flows forecasts for the coming years for cash flow hedging recognized on the accompanying consolidated balance sheet as of December 31, 2017 are:
Cash Flows of Hedging Instruments (Millions of euros)
| 3 Months or Less | From 3 Months to 1 Year | From 1 to 5 Years | More than 5 Years | Total
Receivable cash inflows | 144 | 407 | 2,237 | 2,287 | 5,076
Payable cash outflows | 144 | 491 | 2,703 | 2,348 | 5,686
The above cash flows will have an impact on the Gro up’s consolidated income statements until 2057. In 2017, 2016 and 2015, there was no reclassification in the accompanying consolidated income statements of any amount corresponding to cash flow hedges that was previously recognized in equity (see note 41). The amount for derivatives designated as accounting hedges that did not pass the effectiveness test in December 31, 2017. 2016 and 2015 were not material.

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