XML 42 R22.htm IDEA: XBRL DOCUMENT
v3.19.1

Note 15 - Hedging derivatives and fair value changes of the hedged items in portfolio hedge of interest rate risk | 12 Months Ended
--- | ---
Dec. 31, 2018
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 | 15. Hedging derivatives and fair value changes of the hedged items in portfolio hedges 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)
| 2018 | 2017 | 2016
ASSETS |  |  |
Hedging Derivatives | 2,892 | 2,485 | 2,833
Fair value changes of the hedged items in portfolio hedges of interest rate risk | (21) | (25) | 17
LIABILITIES |  |  |
Hedging Derivatives | 2,680 | 2,880 | 2,347
Fair value changes of the hedged items in portfolio hedges of interest rate risk | - | (7) | -
As of December 31, 2018, 2017 and 2016, the main positions hedged by the Group and the derivatives designated to hedge those positions were: Fair value hedging: - Fixed-interest debt securities at fair value through other comprehensive income and at amortized cost: The interest 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 derivatives (fixed-variable swaps). - Fixed-interest loans: The equity price risk of these instruments is hedged using interest rate derivatives (fixed-variable swaps). - Fixed-interest and/or embedded derivative deposit portfolio hedges: it covers the interest rate risk through fixed-variable swaps. The valuation of the borrowed deposits corresponding to the interest r a te risk is in the heading "Fair value changes of the hedged items in portfolio hedges of interest rate risk”. Cash-flow hedges: Most of the hedged items are floating interest-rate loans and asset hedges linked to the inflation of the financial assets at fa ir value through other comprehensive income portfolio. This risk is hedged using foreign-exchange, interest-rate swaps, inflation and FRA’s (“Forward Rate Agreement”). Net foreign-currency investment hedges: These hedged risks are foreign-currency investm ents in the Group’s foreign subsidiaries. This risk is hedged mainly with foreign-exchange options and forward currency sales and purchases. Note 7 analyzes the Group’s main risks that are hedged using these derivatives. 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)
|  | 2018 | 2017 | 2016
|  | Assets | Liabilities | Assets | Liabilities | Assets | Liabilities
Interest rate |  | 982 | 513 | 1,141 | 850 | 1,154 | 974
OTC options |  | 5 | 158 | 100 | 111 | 125 | 118
OTC other |  | 978 | 355 | 1,041 | 739 | 1,029 | 856
Equity |  | 6 | - | - | - | - | 50
OTC options |  | 6 | - | - | - | - | 50
Foreign exchange and gold |  | 587 | 398 | 625 | 511 | 817 | 553
OTC other |  | 587 | 398 | 625 | 511 | 817 | 553
FAIR VALUE HEDGES |  | 1,575 | 912 | 1,766 | 1,362 | 1,970 | 1,577
Interest rate |  | 221 | 562 | 244 | 533 | 194 | 358
OTC other |  | 219 | 562 | 242 | 533 | 186 | 358
Organized market other |  | 2 | - | 2 | - | 8 | -
Foreign exchange and gold |  | 955 | 873 | 119 | 714 | 248 | 118
OTC options |  | - | - | - | - | 89 | 70
OTC other |  | 955 | 873 | 119 | 714 | 160 | 48
CASH FLOW HEDGES |  | 1,176 | 1,435 | 363 | 1,247 | 442 | 476
HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION |  | 92 | 231 | 301 | 15 | 362 | 79
PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK |  | 33 | 90 | 46 | 256 | 55 | 214
PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK |  | 15 | 12 | 9 | - | 4 | -
DERIVATIVES-HEDGE ACCOUNTING |  | 2,892 | 2,680 | 2,485 | 2,880 | 2,833 | 2,347
of which: OTC - credit institutions |  | 2,534 | 2,462 | 1,829 | 2,527 | 2,381 | 2,103
of which: OTC - other financial corporations |  | 355 | 216 | 651 | 234 | 435 | 165
of which: OTC - other |  | 2 | 2 | 2 | 120 | 9 | 79
The cash flows forecasts for the coming years for cash flow hedging recognized on the accompanying consolidated balance sheet as of December 31, 2018 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 | 116 | 277 | 1,828 | 2,181 | 4,401
Payable cash outflows | 139 | 517 | 2,215 | 2,221 | 5,092
The above cash flows will have an impact on the Group’s consolidated income statements until 2058. In 2018, 2017 and 2016, 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, 2018, 2017 and 2016 were not material.

X
- References No definition available. + Details
Name: | bbva_Disclosureofhedgingderivativesandfairvaluechangesofthehedgeditemsinportfoliohedgeofinterestrateriskabstract
Namespace Prefix: | bbva_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Text Block which displays the derivatives, hedge accounting and fair value changes of the hedged items in portfolio hedge of interest rate risk + References No definition available. + Details
Name: | bbva_Disclosureofhedgingderivativesandfairvaluechangesofthehedgeditemsinportfoliohedgeofinterestrateriskexplanatory
Namespace Prefix: | bbva_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration