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Note 8 - Fair Value (Tables) | 12 Months Ended
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Dec. 31, 2020
Fair Value Abstract |
Carrying Value And Fair Value |
Fair Value and carrying amount (Millions of euros)
|  | 2020 | 2019 | 2018
| Notes | Carrying amount | Fair value | Carrying amount | Fair value | Carrying amount | Fair value
ASSETS |  |  |  |  |  |  |
Cash, cash balances at central banks and other demand deposits | 9 | 65.520 | 65.520 | 44.303 | 44.303 | 58.196 | 58.196
Financial assets held for trading | 10 | 108.257 | 108.257 | 101.735 | 101.735 | 89.103 | 89.103
Non-trading financial assets mandatorily at fair value through profit or loss | 11 | 5.198 | 5.198 | 5.557 | 5.557 | 5.135 | 5.135
Financial assets designated at fair value through profit or loss | 12 | 1.117 | 1.117 | 1.214 | 1.214 | 1.313 | 1.313
Financial assets at fair value through other comprehensive income | 13 | 69.440 | 69.440 | 61.183 | 61.183 | 56.337 | 56.337
Financial assets at amortized cost | 14 | 367.668 | 374.267 | 439.162 | 442.788 | 419.660 | 419.857
Hedging derivatives | 15 | 1.991 | 1.991 | 1.729 | 1.729 | 2.892 | 2.892
LIABILITIES |  |  |  |  |  |  |
Financial liabilities held for trading | 10 | 86.488 | 86.488 | 88.680 | 88.680 | 79.761 | 79.761
Financial liabilities designated at fair value through profit or loss | 12 | 10.050 | 10.050 | 10.010 | 10.010 | 6.993 | 6.993
Financial liabilities at amortized cost | 22 | 490.606 | 491.006 | 516.641 | 515.910 | 509.185 | 510.300
Hedging derivatives | 15 | 2.318 | 2.318 | 2.233 | 2.233 | 2.680 | 2.680
Fair Value Of Financial Instruments |
Fair value of financial instruments by levels (Millions of Euros)
| 2020 | 2019 | 2018
| Level 1 | Level 2 | Level 3 | Level 1 | Level 2 | Level 3 | Level 1 | Level 2 | Level 3
ASSETS |  |  |  |  |  |  |  |  |
Financial assets held for trading | 32.555 | 73.856 | 1.847 | 31.135 | 69.092 | 1.508 | 26.730 | 61.969 | 404
Loans and advances | 2.379 | 28.659 | 1.609 | 697 | 32.321 | 1.285 | 47 | 28.642 | 60
Debt securities | 12.790 | 11.123 | 57 | 18.076 | 8.178 | 55 | 17.884 | 7.494 | 199
Equity instruments | 11.367 | 31 | 60 | 8.832 | - | 59 | 5.194 | - | 60
Derivatives | 6.019 | 34.043 | 121 | 3.530 | 28.593 | 109 | 3.605 | 25.833 | 85
Non-trading financial assets mandatorily at fair value through profit or loss | 3.826 | 381 | 992 | 4.305 | 92 | 1.160 | 3.127 | 78 | 1.929
Loans and advances | 210 | - | 499 | 82 | - | 1.038 | 25 | - | 1.778
Debt securities | 4 | 324 | 28 | - | 91 | 19 | 90 | 71 | 76
Equity instruments | 3.612 | 57 | 465 | 4.223 | 1 | 103 | 3.012 | 8 | 75
Financial assets designated at fair value through profit or loss | 939 | 178 | - | 1.214 | - | - | 1.313 | - | -
Debt securities | 939 | 178 | - | 1.214 | - | - | 1.313 | - | -
Financial assets at fair value through other comprehensive income | 60.976 | 7.866 | 598 | 50.896 | 9.203 | 1.084 | 45.824 | 9.323 | 1.190
Loans and advances | 33 | - | - | 33 | - | - | 33 | - | -
Debt securities | 59.982 | 7.832 | 493 | 49.070 | 9.057 | 604 | 43.788 | 9.211 | 711
Equity instruments | 961 | 34 | 105 | 1.794 | 146 | 480 | 2.003 | 113 | 479
Derivatives – Hedge accounting | 120 | 1.862 | 8 | 44 | 1.685 | - | 7 | 2.882 | 3
LIABILITIES- |  |  |  |  |  |  |  |  |
Financial liabilities held for trading | 27.587 | 58.045 | 856 | 26.266 | 61.588 | 827 | 22.932 | 56.560 | 269
Deposits | 8.381 | 23.495 | 621 | 9.595 | 32.121 | 649 | 7.989 | 29.945 | -
Trading derivatives | 7.402 | 34.046 | 232 | 4.425 | 29.466 | 175 | 3.919 | 26.615 | 267
Other financial liabilities | 11.805 | 504 | 3 | 12.246 | 1 | 2 | 11.024 | - | 1
Financial liabilities designated at fair value through profit or loss | - | 8.558 | 1.492 | - | 8.629 | 1.382 | - | 3.149 | 3.844
Customer deposits | - | 902 | - | - | 944 | - | - | 976 | -
Debt certificates (*) | - | 3.038 | 1.492 | - | 3.274 | 1.382 | - | 1.529 | 1.329
Other financial liabilities | - | 4.617 | - | - | 4.410 | - | - | 643 | 2.515
Derivatives – Hedge accounting | 53 | 2.250 | 15 | 30 | 2.192 | 11 | 223 | 2.454 | 3
Financial Instruments At Fair Value By Levels |
Fair value of financial Instruments by levels. December 2020 (Millions of euros)
| 2020 | 2019 | 2018 |  |  |
| Level 2 | Level 3 | Level 2 | Level 3 | Level 2 | Level 3 | Valuation technique(s) | Observable inputs | Unobservable inputs
ASSETS |  |  |  |  |  |  |  |  |
Financial assets held for trading | 73.856 | 1.847 | 69.092 | 1.508 | 61.969 | 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- Funding interest rates not observed in the market or in consensus services
Loans and advances | 28.659 | 1.609 | 32.321 | 1.285 | 28.642 | 60 | Present-value method(Discounted future cash flows)
Debt securities | 11.123 | 57 | 8.178 | 55 | 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 | 31 | 60 | - | 59 | - | 60 | Comparable pricing (Observable price in a similar market)Net asset value | - Brokers quotes- Market operations- NAVs published | - NAV not published
Derivatives | 34.043 | 121 | 28.593 | 109 | 25.833 | 85 |  |  |
Interest rate |  |  |  |  |  |  | Interest rate products (Interest rate Swaps, Call money Swaps and FRA): Discounted cash flows Caps/Floors: Black, Hull-White and SABR Bond options: Black Swaptions: Black, Hull-White and LGM Other Interest rate Options: Black, Hull-White and 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 | 381 | 992 | 92 | 1.160 | 78 | 1.929 |  |  |
Loans and advances | - | 499 | - | 1.038 | - | 1.778 | 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 | 324 | 28 | 91 | 19 | 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 | 57 | 465 | 1 | 103 | 8 | 75 | Comparable pricing (Observable price in a similar market)Net asset value | - Brokers quotes- Market operations- NAVs published | - NAV provided by the administrator of the fund
Financial assets designated at fair value through profit or loss | 178 | - | - | - | - | - | Present-value method(Discounted future cash flows) | - Issuer credit risk- Current market interest rates |
Debt securities | 178 | - | - | - | - | -
Financial assets at fair value through other comprehensive income | 7.866 | 598 | 9.203 | 1.084 | 9.323 | 1.190 |  |  |
Debt securities | 7.832 | 493 | 9.057 | 604 | 9.221 | 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 | 34 | 105 | 146 | 480 | 113 | 479 | Comparable pricing (Observable price in a similar market)Net asset value | - Brokers quotes- Market operations- NAVs published | - NAV provided by the administrator of the fund
Hedging derivatives | 1.862 | 8 | 1.685 | - | 2.882 | 3 |  |  |
Interest rate |  |  |  |  |  |  | Interest rate products (Interest rate Swaps, Call money Swaps and FRA): Discounted cash flows Caps/Floors: Black, Hull-White and SABR Bond options: Black Swaptions: Black, Hull-White and LGM Other Interest rate Options: Black, Hull-White and 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.(Millions of Euros)
| 2020 | 2019 | 2018 |  |  |
| Level 2 | Level 3 | Level 2 | Level 3 | Level 2 | Level 3 | Valuation technique(s) | Observable inputs | Unobservable inputs
LIABILITIES |  |  |  |  |  |  |  |  |
Financial liabilities held for trading | 58.045 | 856 | 61.588 | 827 | 56.560 | 269 |  |  |
Deposits | 23.495 | 621 | 32.121 | 649 | 29.945 | - | 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 | 34.046 | 232 | 29.466 | 175 | 26.615 | 267 |  |  |
Interest rate |  |  |  |  |  |  | Interest rate products (Interest rate Swaps, call money Swaps and FRA): Discounted cash flows Caps/Floors: Black, Hull-White and SABR Bond options: Black Swaptions: Black, Hull-White and LGM Other Interest rate Options: Black, Hull-White and 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 | 504 | 3 | 1 | 2 | - | 1 | 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 | 8.558 | 1.492 | 8.629 | 1.382 | 3.149 | 3.844 | 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 | 2.250 | 15 | 2.192 | 11 | 2.454 | 3 |  |  |
Interest rate |  |  |  |  |  |  | Interest rate products (Interest rate Swaps, Call money Swaps and FRA): Discounted cash flows Caps/Floors: Black, Hull-White and SABR Bond options: Black Swaptions: Black, Hull-White and LGM Other Interest rate Options: Black, Hull-White and 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 |
Unobservable inputs. December 2020
Financial instrument | Valuation technique(s) | Significant unobservable inputs | Min | Average | Max | Units
Debt Securities | Present value method | Credit Spread | 4,32 | 47,01 | 564,22 | b.p.
Recovery Rate | 0,00% | 37,06% | 40,00% | %
| 0,10% | 99,92% | 143,87% | %
Equity/Fund instruments (*) | Net Asset Value |  |
Comparable Pricing |
Security Finance | Present value method | Repo funding curve | (1,00%) | 0,00% | 1,00% | Abs Repo rate
Credit Derivatives | Gaussian Copula | Correlation Default | 30,40% | 44,87% | 60,95% | %
Black 76 | Price Volatility | - | Vegas
Equity Derivatives | Option models on equities, baskets of equity, funds | Dividends (**) |
Correlations | (100%) | 100% | 100% | %
Volatility | 6,52 | 29,90 | 141,77 | Vegas
FX Derivatives | Option models on FX underlyings | Volatility | 4,11 | 10,00 | 16,14 | Vegas
IR Derivatives | Option models on IR underlyings | Beta | 0,25 | 2,00 | 18,00 | %
Correlation Rate/Credit | (100) |  | 100 | %
Credit Default Volatility | - | - | - | Vegas
Unobservable inputs. December 2019
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 | Comparable pricing | Credit spread | 18 | 83 | 504 | b.p.
Recovery rate | 0,00% | 28,38% | 40,00% | %
| 0,01% | 98,31% | 135,94% | %
Equity instruments (*) | Comparable pricing Net asset value |  |
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
Unobservable inputs. December 2018
Financial instrument | Valuation technique(s) | Significant unobservable inputs | Min | Average | Max | Units
Debt securities | Comparable pricing | Credit spread | 37 | 152 | 385 | b.p.
Recovery rate | 0,00% | 32,06% | 40,00% | %
| 1,00% | 88,00% | 275,00% | %
Equity instruments (*) | Comparable pricing Net asset value |  |
Credit option | Gaussian Copula | Correlation default | 0,00% | 37,98% | 60,26% | %
Equity OTC option | Heston | Forward volatility skew | 47,05 | 47,05 | 47,05 | Vegas
Local volatility | Dividends (**) |
Volatility | 13,79 | 27,24 | 65,02 | Vegas
FX OTC options | Black Scholes/Local Vol | Volatility | 5,05 | 7,73 | 9,71 | Vegas
Interest rate options | Libor Market Model | Beta | 0,25 | 9,00 | 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)
| 2020 | 2019 | 2018
| Assets | Liabilities | Assets | Liabilities | Assets | Liabilities
Balance at the beginning | 3.754 | 2.220 | 3.527 | 4.115 | 835 | 1.386
Changes in fair value recognized in profit and loss (*) | 609 | 293 | 112 | 71 | (167) | (28)
Changes in fair value not recognized in profit and loss | (89) | (4) | 2 | - | (4) | -
Acquisitions, disposals and liquidations (**) | (699) | (393) | 5 | 595 | 2.102 | 2.710
Net transfers to Level 3 | 549 | 287 | 77 | (2.751) | 761 | 47
Exchange differences and others | (160) | (35) | 31 | 189 | - | -
Discontinued operations (***) | (518) | (5) | - | - | - | -
Balance at the end | 3.446 | 2.363 | 3.754 | 2.219 | 3.527 | 4.115
Levels Transfers |
Transfer between Levels. December 2020 (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 |  | 1.460 | 11 | 203 | 548 | 4 | 98
Non-trading financial assets mandatorily at fair value through profit or loss |  | 9 | 11 | 4 | - | - | 17
Financial assets designated at fair value through profit or loss |  | 143 | - | - | - | - | -
Financial assets at fair value through other comprehensive income |  | 484 | - | 135 | 96 | - | 6
Derivatives – Hedge accounting |  | - | - | - | 8 | - | -
Total |  | 2.096 | 23 | 342 | 652 | 4 | 122
LIABILITIES |  |  |  |  |  |  |
Financial liabilities held for trading |  | 8 | 3 | - | 268 | - | 13
Financial liabilities designated at fair value through profit or loss |  | - | - | - | 56 | - | 27
Total |  | 8 | 3 | - | 324 | - | 40
Transfer between levels (Millions of Euros).
|  | 2019 | 2018
| From: | Level 1 | Level 2 | Level 3 | Level 1 | Level 2 | Level 3
| To: | Level 2 | Level 3 | Level 1 | Level 3 | Level 1 | Level2 | Level 2 | Level 3 | Level 1 | Level 3 | Level 1 | Level2
ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |
Financial assets held for trading |  | 74 | - | 1.119 | 502 | 1 | 160 | 1.171 | 2 | 2 | 6 | - | 2
Non-trading financial assets mandatorily at fair value through profit or loss |  | - | - | 23 | 2 | - | 44 | - | - | 9 | 67 | - | 24
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 | 134 | 72 | - | 515 | - | -
Derivatives – Hedge accounting |  | - | - | - | 26 | - | 10 | - | - | - | 52 | 118 | 49
Total |  | 79 | 6 | 1.145 | 739 | 2 | 667 | 1.305 | 74 | 11 | 641 | 118 | 75
LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |  |
Financial liabilities held for trading |  | 1 | - | - | - | - | - | - | - | - | 138 | - | 37
Financial liabilities designated at fair value through profit or loss |  | - | - | - | 27 | - | 2.679 | - | - | - | - | - | -
Derivatives – Hedge accounting |  | - | - | - | 27 | - | 125 | - | - | - | - | - | -
Total |  | 1 | - | - | 54 | - | 2.804 | - | - | - | 138 | - | 37
Sensitivity Analysis Level 3 |
Financial instruments Level 3: 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 | 10 | (40) | - | -
Loans and Advances | 1 | (1) | - | -
Debt securities | 5 | (5) | - | -
Equity instruments | 1 | (31) | - | -
Derivatives | 3 | (3) | - | -
Non-trading financial assets mandatorily at fair value through profit or loss | 229 | (60) | - | -
Loans and advances | 204 | (29) | - | -
Debt securities | 15 | (15) | - | -
Equity instruments | 9 | (16) | - | -
Financial assets at fair value through other comprehensive income | - | - | 22 | (23)
Total | 239 | (101) | 22 | (23)
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)
| 2020 | 2019 | 2018
| Level 1 | Level 2 | Level 3 | Level 1 | Level 2 | Level 3 | Level 1 | Level 2 | Level 3
ASSETS |  |  |  |  |  |  |  |  |
Cash, cash balances at central banks and other demand deposits | 65.355 | - | 165 | 44.111 | - | 192 | 58.024 | - | 172
Financial assets at amortized cost | 35.196 | 15.066 | 324.005 | 29.391 | 217.279 | 196.119 | 21.419 | 204.619 | 193.819
LIABILITIES |  |  |  |  |  |  |  |  |
Financial liabilities at amortized cost | 90.839 | 255.278 | 144.889 | 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 2020 (Millions of Euros)
| 2020 | 2019 | 2018 | Valuation technique(s) | Main inputs used
| Level 2 | Level 3 | Level 2 | Level 3 | Level 2 | Level 3
ASSETS |  |  |  |  |  |  |  |
Financial assets at amortized cost | 15.066 | 324.005 | 217.279 | 196.119 | 204.619 | 193.819 | Present-value method(Discounted future cash flows) |
Central banks | - | - | - | 2 | - | 1 | - Credit spread- Prepayment rates- Interest rate yield
Loans and advances to credit institutions | 1.883 | 12.641 | 9.049 | 4.628 | 4.934 | 4.291 | - Credit spread- Prepayment rates- Interest rate yield
Loans and advances to customers | 3.904 | 310.924 | 194.897 | 190.144 | 190.666 | 183.645 | - Credit spread- Prepayment rates- Interest rate yield
Debt securities | 9.279 | 440 | 13.333 | 1.345 | 9.019 | 5.881 | - Credit spread- Interest rate yield
LIABILITIES |  |  |  |  |  |  |  |
Financial liabilities at amortized cost | 255.278 | 144.889 | 289.599 | 159.082 | 269.128 | 182.948 |  |
Deposits from central banks | - | 207 | 129 | - | 196 | - | Present-value method(Discounted future cash flows) | - Issuer´s credit risk- Prepayment rates- Interest rate yield
Deposits from credit institutions | 22.914 | 4.633 | 21.575 | 6.831 | 22.281 | 9.852
Deposits from customers | 210.097 | 129.525 | 245.720 | 135.514 | 240.547 | 135.270
Debt certificates | 14.413 | 4.848 | 14.194 | 11.133 | 6.104 | 25.096
Other financial liabilities | 7.854 | 5.676 | 7.981 | 5.604 | - | 12.730

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