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Note 8 - Fair Value (Tables) | 12 Months Ended
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Dec. 31, 2019
Fair Value Abstract |
Carrying Value And Fair Value |
Fair Value and carrying amount (Millions of euros)
|  | 2019 | 2018
| Notes | Carrying amount | Fair value | Carrying amount | Fair value
ASSETS |  |  |  |  |
Cash, cash balances at central banks and other demand deposits | 9 | 44,303 | 44,303 | 58,196 | 58,196
Financial assets held for trading | 10 | 102,688 | 102,688 | 90,117 | 90,117
Non-trading financial assets mandatorily at fair value through profit or loss | 11 | 5,557 | 5,557 | 5,135 | 5,135
Financial assets designated at fair value through profit or loss | 12 | 1,214 | 1,214 | 1,313 | 1,313
Financial assets at fair value through other comprehensive income | 13 | 61,183 | 61,183 | 56,337 | 56,337
Financial assets at amortized cost | 14 | 439,162 | 442,788 | 419,660 | 419,857
Hedging derivatives | 15 | 1,729 | 1,729 | 2,892 | 2,892
LIABILITIES |  |  |  |  |
Financial liabilities held for trading | 10 | 89,633 | 89,633 | 80,774 | 80,774
Financial liabilities designated at fair value through profit or loss | 12 | 10,010 | 10,010 | 6,993 | 6,993
Financial liabilities at amortized cost | 22 | 516,641 | 515,910 | 509,185 | 510,300
Hedging derivatives | 15 | 2,233 | 2,233 | 2,680 | 2,680
Fair value and carrying amount (Millions of Euros)
|  | 2017
| Notes | Carrying amount | Fair value
ASSETS |  |  |
Cash, cash balances at central banks and other demand deposits | 9 | 42,680 | 42,680
Financial assets held for trading | 10 | 64,695 | 64,695
Financial assets designated at fair value through profit or loss | 12 | 2,709 | 2,709
Available-for-sale financial assets | - | 69,476 | 69,476
Loans and receivables | - | 431,521 | 438,991
Held-to-maturity investments | - | 13,754 | 13,865
Derivatives – Hedge accounting | 15 | 2,485 | 2,485
LIABILITIES |  |  |
Financial liabilities held for trading | 10 | 46,182 | 46,182
Financial liabilities designated at fair value through profit or loss | 12 | 2,222 | 2,222
Financial liabilities at amortized cost | 22 | 543,713 | 544,604
Derivatives – Hedge accounting | 15 | 2,880 | 2,880
Fair Value Of Financial Instruments |
Fair value of financial instruments by levels (Millions of Euros)
| 2019 | 2018
| Level 1 | Level 2 | Level 3 | Level 1 | Level 2 | Level 3
ASSETS- |  |  |  |  |  |
Financial assets held for trading | 31,135 | 70,045 | 1,508 | 26,730 | 62,983 | 404
Loans and advances | 697 | 32,321 | 1,285 | 47 | 28,642 | 60
Debt securities | 18,076 | 8,178 | 55 | 17,884 | 7,494 | 199
Equity instruments | 8,832 | - | 59 | 5,194 | - | 60
Derivatives | 3,530 | 29,546 | 109 | 3,605 | 26,846 | 85
Non-trading financial assets mandatorily at fair value through profit or loss | 4,305 | 92 | 1,160 | 3,127 | 78 | 1,929
Loans and advances | 82 | - | 1,038 | 25 | - | 1,778
Debt securities | - | 91 | 19 | 90 | 71 | 76
Equity instruments | 4,223 | 1 | 103 | 3,012 | 8 | 75
Financial assets designated at fair value through profit or loss | 1,214 | - | - | 1,313 | - | -
Debt securities | 1,214 | - | - | 1,313 | - | -
Financial assets at fair value through other comprehensive income | 50,896 | 9,203 | 1,084 | 45,824 | 9,323 | 1,190
Loans and advances | 33 | - | - | 33 | - | -
Debt securities | 49,070 | 9,057 | 604 | 43,788 | 9,211 | 711
Equity instruments | 1,794 | 146 | 480 | 2,003 | 113 | 479
Hedging derivatives | 44 | 1,685 | - | 7 | 2,882 | 3
LIABILITIES- |  |  |  |  |  |
Financial liabilities held for trading | 26,266 | 62,541 | 827 | 22,932 | 57,573 | 269
Deposits | 9,595 | 32,121 | 649 | 7,989 | 29,945 | -
Trading derivatives | 4,425 | 30,419 | 175 | 3,919 | 27,628 | 267
Other financial liabilities | 12,246 | 1 | 2 | 11,024 | - | 1
Financial liabilities designated at fair value through profit or loss | - | 9,984 | 27 | - | 4,478 | 2,515
Customer deposits | - | 944 | - | - | 976 | -
Debt certificates | - | 4,629 | 27 | - | 2,858 | -
Other financial liabilities | - | 4,410 | - | - | 643 | 2,515
Derivatives – Hedge accounting | 30 | 2,192 | 11 | 223 | 2,454 | 3
Fair value of financial instruments by levels (Millions of euros)
| 2017
| Level 1 | Level 2 | Level 3
ASSETS- |  |  |
Financial assets held for trading | 29,057 | 35,349 | 289
Loans and advances to customers | - | 56 | -
Debt securities | 21,107 | 1,444 | 22
Equity instruments | 6,688 | 33 | 80
Derivatives | 1,262 | 33,815 | 187
Financial assets designated at fair value through profit or loss | 2,061 | 648 | -
Loans and advances to customers | - | 648 | -
Debt securities | 174 | - | -
Equity instruments | 1,888 | - | -
Available-for-sale financial assets | 57,381 | 11,082 | 544
Debt securities | 54,850 | 10,948 | 454
Equity instruments | 2,531 | 134 | 90
Hedging derivatives | - | 2,483 | 2
LIABILITIES- |  |  |
Financial liabilities held for trading | 11,191 | 34,866 | 125
Derivatives | 1,183 | 34,866 | 119
Short positions | 10,008 | - | 6
Financial liabilities designated at fair value through profit or loss | - | 2,222 | -
Derivatives – Hedge accounting | 274 | 2,606 | -
Financial Instruments At Fair Value By Levels |
Fair value of financial Instruments by levels. December 2019 (Millions of euros)
| Level 2 | Level 3 | Valuation technique(s) | Observable inputs | Unobservable inputs
ASSETS |  |  |  |  |
Financial assets held for trading | 70,045 | 1,508 |  | - Issuer´s credit risk- Current market interest rates- Funding interest rates observed in the market or in consensus services- Exchange rates | - Prepayment rates- Issuer´s credit risk- Recovery rates- Funding interest rates not observed in the market or in consensus services
Loans and advances | 32,321 | 1,285 | Present-value method(Discounted future cash flows)
Debt securities | 8,178 | 55 | Present-value method(Discounted future cash flows)Observed prices in non active markets | - Issuer´s credit risk- Current market interest rates- Non active markets prices | - Prepayment rates- Issuer´s credit risk- Recovery rates
Equity instruments | - | 59 | Comparable pricing (Observable price in a similar market)Present-value method | - Brokers quotes- Market operations- NAVs published | - NAV not published
Derivatives | 29,546 | 109 |  |  |
Interest rate |  |  | Interest rate products (Interest rate Swaps, Call money Swaps y FRA): Discounted cash flows Caps/Floors: Black, Hull-White y SABR Bond options: Black Swaptions: Black, Hull-White y LGM Other Interest rate Options: Black, Hull-White y LGM Constant Maturity Swaps: SABR | - Exchange rates- Market quoted future prices- Market interest rates- Underlying assets prices: shares, funds, commodities- Market observable volatilities - Issuer credit spread levels- Quoted dividends- Market listed correlations | - Beta- Implicit correlations between tenors- interest rates volatility
Equity |  |  | Future and Equity Forward: Discounted future cash flows Equity Options: Local Volatility, Momentum adjustment | - Volatility of volatility- Implicit assets correlations- Long term implicit correlations- Implicit dividends and long term repos
Foreign exchange and gold |  |  | Future and Equity Forward: Discounted future cash flows Foreign exchange Options: Local volatility, moments adjustment | - Volatility of volatility- Implicit assets correlations- Long term implicit correlations
Credit |  |  | Credit Derivatives: Default model and Gaussian copula | - Correlation default- Credit spread- Recovery rates- Interest rate yield- Default volatility
Commodities |  |  | Commodities: Momentum adjustment and discounted cash flows |
Non-trading financial assets mandatorily at fair value through profit or loss | 92 | 1,160 |  |  |
Loans and advances | - | 1,038 | Specific liquidation criteria regarding losses of the EPA proceedings PD and LGD of the internal models, valuations and specific criteria of the EPA proceedings Discounted future cash flows |  | - Prepayment rates- Business plan of the underlying asset, WACC, macro scenario- Property valuation
Debt securities | 91 | 19 | Present-value method(Discounted future cash flows) | - Issuer credit risk- Current market interest rates | - Prepayment rates- Issuer credit risk- Recovery rates
Equity instruments | 1 | 103 | Comparable pricing (Observable price in a similar market)Present-value method | - Brokers quotes- Market operations- NAVs published | - NAV provided by the administrator of the fund
Financial assets at fair value through other comprehensive income | 9,203 | 1,084 |  |  |
Debt securities | 9,057 | 604 | Present-value method(Discounted future cash flows)Observed prices in non active markets | - Issuer´s credit risk- Current market interest rates- Non active market prices | - Prepayment rates- Issuer credit risk- Recovery rates
Equity instruments | 146 | 480 | Comparable pricing (Observable price in a similar market)Present-value method | - Brokers quotes- Market operations- NAVs published | - NAV provided by the administrator of the fund
Hedging derivatives | 1,685 | - |  |  |
Interest rate |  |  | Interest rate products (Interest rate Swaps, Call money Swaps y FRA): Discounted cash flows Caps/Floors: Black, Hull-White y SABR Bond options: Black Swaptions: Black, Hull-White y LGM Other Interest rate Options: Black, Hull-White y LGM Constant maturity Swaps: SABR | - Exchange rates- Market quoted future prices- Market interest rates- Underlying assets prices: shares, funds, commodities- Market observable volatilities - Issuer credit spread levels- Quoted dividends- Market listed correlations |
Equity |  |  | Future and Equity Forward: Discounted future cash flows Equity Options: Local volatility, Momentum adjustment |
Foreign exchange and gold |  |  | Future and Equity Forward: Discounted future cash flows Foreign exchange Options: Local volatility, moments adjustment |
Credit |  |  | Credit Derivatives: Default model and Gaussian copula |
Commodities |  |  | Commodities: Momentum adjustment and Discounted cash flows |
Fair Value of financial Instruments by Levels. December 2019 (Millions of euros)
| Level 2 | Level 3 | Valuation technique(s) | Observable inputs | Unobservable inputs
LIABILITIES |  |  |  |  |
Financial liabilities held for trading | 62,541 | 827 |  |  |
Deposits | 32,121 | 649 | Present-value method(Discounted future cash flows) | - Interest rate yield- Funding interest rates observed in the market or in consensus services- Exchange rates | - Funding interest rates not observed in the market or in consensus services
Derivatives | 30,419 | 175 |  |  |
Interest rate |  |  | Interest rate products (Interest rate Swaps, call money Swaps y FRA): Discounted cash flows Caps/Floors: Black, Hull-White y SABR Bond options: Black Swaptions: Black, Hull-White y LGM Other Interest rate Options: Black, Hull-White y LGM Constant Maturity Swaps: SABR | - Exchange rates- Market quoted future prices- Market interest rates- Underlying assets prices: shares, funds, commodities- Market observable volatilities - Issuer credit spread levels- Quoted dividends- Market listed correlations | - Beta- Correlation between tenors- Interest rates volatility
Equity |  |  | Future and Equity forward: Discounted future cash flows Equity Options: Local volatility, momentum adjustment | - Volatility of volatility- Assets correlation
Foreign exchange and gold |  |  | Future and Equity Forward: Discounted future cash flows Foreign exchange Options: Local volatility, moments adjustment | - Volatility of volatility- Assets correlation
Credit |  |  | Credit Derivatives: Default model and Gaussian copula | - Correlation default- Credit spread- Recovery rates- Interest rate yield- Default volatility
Commodities |  |  | Commodities: Momentum adjustment and discounted cash flows |
Short positions | 1 | 2 | Present-value method(Discounted future cash flows) |  | - Prepayment rates- Issuer´s credit risk- Current market interest rates
Financial liabilities designated at fair value through profit or loss | 9,984 | 27 | Present-value method(Discounted future cash flows) | - Prepayment rates- Issuer´s credit risk- Current market interest rates | - Prepayment rates- Issuer´s credit risk- Current market interest rates
Derivatives – Hedge accounting | 2,192 | 11 |  |  |
Interest rate |  |  | Interest rate products (Interest rate Swaps, Call money Swaps y FRA): Discounted cash flows Caps/Floors: Black, Hull-White y SABR Bond options: Black Swaptions: Black, Hull-White y LGM Other Interest rate Options: Black, Hull-White y LGM Constant Maturity Swaps: SABR | - Exchange rates- Market quoted future prices- Market interest rates- Underlying assets prices: shares, funds, commodities- Market observable volatilities - Issuer credit spread levels- Quoted dividends- Market listed correlations | - Beta- Implicit correlations between tenors- interest rates volatility
Equity |  |  | Future and Equity Forward: Discounted future cash flows Equity Options: Local volatility, momentum adjustment | - Volatility of volatility- Implicit assets correlations- Long term implicit correlations- Implicit dividends and long term repos
Foreign exchange and gold |  |  | Future and Equity Forward: Discounted future cash flows Foreign exchange Options: Local Volatility, moments adjustment | - Volatility of volatility- Implicit assets correlations- Long term implicit correlations
Credit |  |  | Credit Derivatives: Default model and Gaussian copula | - Correlation default- Credit spread- Recovery rates- Interest rate yield- Default volatility
Commodities |  |  | Commodities: Momentum adjustment and discounted cash flows |
Fair Value of financial Instruments by Levels. December 2018 (Millions of euros)
| Level 2 | Level 3 | Valuation technique(s) | Observable inputs | Unobservable inputs
ASSETS |  |  |  |  |
Financial assets held for trading | 62,983 | 404 |  | - Issuer´s credit risk- Current market interest rates- Funding interest rates observed in the market or in consensus services- Exchange rates | - Prepayment rates- Issuer´s credit risk- Recovery rates
Loans and advances | 28,642 | 60 | Present-value method(Discounted future cash flows)
Debt securities | 7,494 | 199 | Present-value method(Discounted future cash flows)Observed prices in non active markets | - Issuer´s credit risk- Current market interest rates- Non active markets prices | - Prepayment rates- Issuer´s credit risk- Recovery rates
Equity instruments | - | 60 | Comparable pricing (Observable price in a similar market)Present-value method | - Brokers quotes- Market operations- NAVs published | - NAV provided by the administrator of the funds
Derivatives | 26,846 | 85 |  |  |
Interest rate |  |  | Interest rate products (Interest rate Swaps, Call money Swaps y FRA): Discounted cash flows Caps/Floors: Black, Hull-White y SABR Bond options: Black Swaptions: Black, Hull-White y LGM Other Interest rate Options: Black, Hull-White y LGM Constant Maturity Swaps: SABR | - Exchange rates- Market quoted future prices- Market interest rates- Underlying assets prices: shares, funds, commodities- Market observable volatilities - Issuer credit spread levels- Quoted dividends- Market listed correlations | - Beta- Implicit correlations between tenors- interest rates volatility
Equity |  |  | Future and Equity Forward: Discounted future cash flows Equity Options: Local Volatility, Momentum adjustment | - Volatility of volatility- Implicit assets correlations- Long term implicit correlations- Implicit dividends and long term repos
Foreign exchange and gold |  |  | Future and Equity Forward: Discounted future cash flows Foreign exchange Options: Local volatility, moments adjustment | - Volatility of volatility- Implicit assets correlations- Long term implicit correlations
Credit |  |  | Credit Derivatives: Default model and Gaussian copula | - Correlation default- Credit spread- Recovery rates- Interest rate yield- Default volatility
Commodities |  |  | Commodities: Momentum adjustment and discounted cash flows |
Non-trading financial assets mandatorily at fair value through profit or loss | 78 | 1,929 |  |  |
Loans and advances | - | 1,778 | -Present-value method(Discounted future cash flows)Specific criteria for the liquidation of losses established by the EPA protocol |  | - Prepayment rates- Issuer credit risk- Recovery rates- PD and LGD
Debt securities | 71 | 76 | Present-value method(Discounted future cash flows) | - Issuer credit risk- Current market interest rates | - Prepayment rates- Issuer credit risk- Recovery rates
Equity instruments | 8 | 75 | Present-value method(Discounted future cash flows) | - Issuer credit risk- Current market interest rates | - Prepayment rates- Issuer credit risk- Recovery rates
Financial assets at fair value through other comprehensive income | 9,323 | 1,190 |  |  |
Debt securities | 9,211 | 711 | Present-value method(Discounted future cash flows)Observed prices in non active markets | - Issuer´s credit risk- Current market interest rates- Non active market prices | - Prepayment rates- Issuer credit risk- Recovery rates
Equity instruments | 113 | 479 | Comparable pricing (Observable price in a similar market)Present-value method | - Brokers quotes- Market operations- NAVs published | - NAV provided by the administrator of the fund
Hedging derivatives | 2,882 | 3 |  |  |
Interest rate |  |  | Interest rate products (Interest rate Swaps, Call money Swaps y FRA): Discounted cash flows Caps/Floors: Black, Hull-White y SABR Bond options: Black Swaptions: Black, Hull-White y LGM Other Interest rate Options: Black, Hull-White y LGM Constant maturity Swaps: SABR | - Exchange rates- Market quoted future prices- Market interest rates- Underlying assets prices: shares, funds, commodities- Market observable volatilities - Issuer credit spread levels- Quoted dividends- Market listed correlations |
Equity |  |  | Future and Equity Forward: Discounted future cash flows Equity Options: Local volatility, Momentum adjustment |
Foreign exchange and gold |  |  | Future and Equity Forward: Discounted future cash flows Foreign exchange Options: Local volatility, moments adjustment |
Credit |  |  | Credit Derivatives: Default model and Gaussian copula |
Commodities |  |  | Commodities: Momentum adjustment and Discounted cash flows |
Fair Value of financial Instruments by Levels. December 2018 (Millions of euros)
| Level 2 | Level 3 | Valuation technique(s) | Observable inputs | Unobservable inputs
LIABILITIES |  |  |  |  |
Financial liabilities held for trading | 57,573 | 269 |  |  |
Deposits | 29,945 | - |  |  |
Derivatives | 27,628 | 267 |  |  |
Interest rate |  |  | Interest rate products (Interest rate Swaps, call money Swaps y FRA): Discounted cash flows Caps/Floors: Black, Hull-White y SABR Bond options: Black Swaptions: Black, Hull-White y LGM Other Interest rate Options: Black, Hull-White y LGM Constant Maturity Swaps: SABR | - Exchange rates- Market quoted future prices- Market interest rates- Underlying assets prices: shares, funds, commodities- Market observable volatilities - Issuer credit spread levels- Quoted dividends- Market listed correlations | - Beta- Correlation between tenors- Interest rates volatility
Equity |  |  | Future and Equity forward: Discounted future cash flows Equity Options: Local volatility, momentum adjustment | - Volatility of volatility- Assets correlation
Foreign exchange and gold |  |  | Future and Equity Forward: Discounted future cash flows Foreign exchange Options: Local volatility, moments adjustment | - Volatility of volatility- Assets correlation
Credit |  |  | Credit Derivatives: Default model and Gaussian copula | - Correlation default- Credit spread- Recovery rates- Interest rate yield- Default volatility
Commodities |  |  | Commodities: Momentum adjustment and discounted cash flows |
Short positions |  | 1 | Present-value method(Discounted future cash flows) |  | - Correlation default- Credit spread- Recovery rates- Interest rate yield
Financial liabilities designated at fair value through profit or loss | 4,478 | 2,515 | Present-value method(Discounted future cash flows) | - Prepayment rates- Issuer´s credit risk- Current market interest rates | - Prepayment rates- Issuer´s credit risk- Current market interest rates
Derivatives – Hedge accounting | 2,454 | 3 |  |  |
Interest rate |  |  | Interest rate products (Interest rate Swaps, Call money Swaps y FRA): Discounted cash flows Caps/Floors: Black, Hull-White y SABR Bond options: Black Swaptions: Black, Hull-White y LGM Other Interest rate Options: Black, Hull-White y LGM Constant Maturity Swaps: SABR | - Exchange rates- Market quoted future prices- Market interest rates- Underlying assets prices: shares, funds, commodities- Market observable volatilities - Issuer credit spread levels- Quoted dividends- Market listed correlations | - Beta- Implicit correlations between tenors- interest rates volatility
Equity |  |  | Future and Equity Forward: Discounted future cash flows Equity Options: Local volatility, momentum adjustment | - Volatility of volatility- Implicit assets correlations- Long term implicit correlations- Implicit dividends and long term repos
Foreign exchange and gold |  |  | Future and Equity Forward: Discounted future cash flows Foreign exchange Options: Local Volatility, moments adjustment | - Volatility of volatility- Implicit assets correlations- Long term implicit correlations
Credit |  |  | Credit Derivatives: Default model and Gaussian copula | - Correlation default- Credit spread- Recovery rates- Interest rate yield- Default volatility
Commodities |  |  | Commodities: Momentum adjustment and discounted cash flows |
Disclosure Of Significant Unobservable Inputs Used In Fair Value Measurement Of Assets |
Financial instrument | Valuation technique(s) | Significant unobservable inputs | Min | Average | Max | Units
Loans and advances (*) | Present value method | Repo funding curve | (6) | 16 | 100 | b.p
Debt securities | Net present value | Credit spread | 18 | 83 | 504 | b.p
Recovery rate | 0.00% | 28.38% | 40.00% | %
Comparable pricing |  | 0.01% | 98.31% | 135.94% | %
Equity instruments (**) | Net asset Value |  |
Comparable pricing |
Credit option | Gaussian Copula | Correlation default | 19.37% | 44.33% | 61.08% | %
Equity OTC option | Heston | Forward volatility skew | 35.12 | 35.12 | 35.12 | Vegas
Local volatility | Dividends (***) |
Volatility | 2.49 | 23.21 | 60.90 | Vegas
FX OTC options | Black Scholes/Local Vol | Volatility | 3.70 | 6.30 | 10.05 | Vegas
Interest rate options | Libor Market Model | Beta | 0.25 | 2.00 | 18.00 | %
Correlation rate/Credit | (100) |  | 100 | %
Credit default Volatility | - | - | - | Vegas
Level 3 Financial Instruments |
Financial assets Level 3: Changes in the year (Millions of Euros)
| 2019 | 2018 | 2017
| Assets | Liabilities | Assets | Liabilities | Assets | Liabilities
Balance at the beginning | 3,527 | 2,787 | 835 | 125 | 822 | 116
Changes in fair value recognized in profit and loss (*) | 112 | 44 | (167) | (95) | (24) | (21)
Changes in fair value not recognized in profit and loss | 2 | - | (4) | - | (45) | -
Acquisitions, disposals and liquidations (**) | 5 | 595 | 2,102 | 2,710 | 32 | 320
Net transfers to Level 3 | 77 | (2,751) | 761 | 47 | 106 | (39)
Exchange differences and others | 31 | 189 | - | - | (55) | (250)
Balance at the end | 3,753 | 865 | 3,527 | 2,787 | 835 | 125
Levels Transfers |
Transfer between Levels. December 2019 (Millions of Euros)
| From: | Level 1 | Level 2 | Level 3
| To: | Level 2 | Level 3 | Level 1 | Level 3 | Level 1 | Level2
ASSETS |  |  |  |  |  |  |
Financial assets held for trading |  | 74 | - | 1,119 | 502 | 1 | 160
Non-trading financial assets mandatorily at fair value through profit or loss |  | - | - | 23 | 2 | - | 44
Financial assets designated at fair value through profit or loss |  | - | - | - | - | 1 | -
Financial assets at fair value through other comprehensive income |  | 6 | 6 | 4 | 209 | - | 454
Derivatives |  | - | - | - | 26 | - | 10
Total |  | 79 | 6 | 1,145 | 739 | 2 | 667
LIABILITIES |  |  |  |  |  |  |
Derivatives |  | - | - | - | 27 | - | 125
Financial liabilities held for trading |  | 1 | - | - | - | - | -
Financial liabilities designated at fair value through profit or loss |  | - | - | - | 27 | - | 2,679
Total |  | 1 | - | - | 54 | - | 2,804
Sensitivity Analysis Level 3 |
Financial instruments Level 3 2019: Sensitivity analysis (Millions of Euros)
| Potential impact on consolidated income statement | Potential impact on other comprehensive income
| Most favorable hypothesis | Least favorable hypothesis | Most favorable hypothesis | Least favorable hypothesis
ASSETS |  |  |  |
Financial assets held for trading | 5 | (60) | - | -
Loans and Advances | - | (10) | - | -
Debt securities | 3 | - | - | -
Equity instruments | 1 | (48) | - | -
Derivatives | 2 | (2) | - | -
Non-trading financial assets mandatorily at fair value through profit or loss | 367 | (66) | - | -
Loans and advances | 354 | (61) | - | -
Debt securities | 7 | - | - | -
Equity instruments | 5 | (6) | - | -
Financial assets at fair value through other comprehensive income | - | - | 10 | (1)
Total | 372 | (126) | 10 | (1)
LIABILITIES |  |  |  |
Financial liabilities held for trading | 3 | (3) | - | -
Total | 3 | (3) | - | -
Disclosure of fair value instruments carried at cost main valuation techniques assets explanatory |
Fair value of financial instruments at amortized cost by levels (Millions of euros)
| 2019 | 2018
| Level 1 | Level 2 | Level 3 | Level 1 | Level 2 | Level 3
ASSETS |  |  |  |  |  |
Cash, cash balances at central banks and other demand deposits | 44,111 | - | 192 | 58,024 | - | 172
Financial assets at amortized cost | 29,391 | 217,279 | 196,119 | 21,419 | 204,619 | 193,819
LIABILITIES |  |  |  |  |  |
Financial liabilities at amortized cost | 67,229 | 289,599 | 159,082 | 58,225 | 269,128 | 182,948
Disclosure of main valuation techniques financial instruments assets explanatory |
Fair Value of financial Instruments at amortized cost by valuation technique. December 2019 (Millions of Euros)
| Level 2 | Level 3 | Valuation technique(s) | Main inputs used
ASSETS |  |  |  |
Financial assets at amortized cost | 217,279 | 196,119 | Present-value method(Discounted future cash flows) |
Central banks | - | 2 | - Credit spread- Prepayment rates- Interest rate yield
Loans and advances to credit institutions | 9,049 | 4,628 | - Credit spread- Prepayment rates- Interest rate yield
Loans and advances to customers | 194,897 | 190,144 | - Credit spread- Prepayment rates- Interest rate yield
Debt securities | 13,333 | 1,345 | - Credit spread- Interest rate yield
LIABILITIES |  |  |  |
Financial liabilities at amortized cost | 289,599 | 159,082 |  |
Deposits from central banks | 129 | - | Present-value method(Discounted future cash flows) | - Issuer´s credit risk- Prepayment rates- Interest rate yield
Deposits from credit institutions | 21,575 | 6,831
Deposits from customers | 245,720 | 135,514
Debt certificates | 14,194 | 11,133
Other financial liabilities | 7,981 | 5,604

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- Definition The disclosure of the fair value of financial instruments. [Refer: Financial instruments, class [member]; At fair value [member]] + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Name IAS -Number 1 -IssueDate 2019-01-01 -Paragraph 10 -Subparagraph e -URI http://eifrs.ifrs.org/eifrs/xifrs-link?type=IAS&num=1&code=ifrs-tx-2019-en-r&anchor=para_10_e&doctype=Standard -URIDate 2019-03-27 + Details
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- References No definition available. + Details
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