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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, 2020
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)
|  | 2020 | 2019 | 2018
ASSETS |  |  |  |
Derivatives - Hedge accounting |  | 1.991 | 1.729 | 2.892
Fair value changes of the hedged items in portfolio hedges of interest rate risk |  | 51 | 28 | (21)
LIABILITIES |  |  |  |
Hedging derivatives |  | 2.318 | 2.233 | 2.680
As of December 31, 2020, 2019 and 2018, 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 compreh ensive 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 depos it portfolio hedges: it covers the interest 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 rat e 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 fair value through other comprehensive income portfolio. This risk is hedged using foreign-exchange, in terest-rate swaps, inflation and FRA’s (“Forward Rate Agreement”). Net foreign-currency investment hedges: These hedged risks are foreign-currency investments in the Group’s foreign subsidiaries. This risk is hedged mainly with foreign-exchange options an d 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 consolidate d balance sheets are as follows:
Derivatives - Hedge accounting breakdown by type of risk and type of hedge. (Millions of Euros)
| 2020 | 2019 | 2018
| Assets | Liabilities | Assets | Liabilities | Assets | Liabilities
Interest rate | 989 | 525 | 920 | 488 | 982 | 513
OTC | 989 | 525 | 920 | 488 | 982 | 513
Equity | - | - | - | 3 | 6 | -
OTC | - | - | - | 3 | 6 | -
Foreign exchange and gold | 435 | 350 | 420 | 316 | 587 | 398
OTC | 435 | 350 | 420 | 316 | 587 | 398
FAIR VALUE HEDGES | 1.424 | 874 | 1.341 | 808 | 1.575 | 912
Interest rate | 154 | 1.055 | 224 | 850 | 221 | 562
OTC | 154 | 1.041 | 224 | 839 | 219 | 562
Organized market | - | 15 | - | 11 | 2 | -
Foreign exchange and gold | 225 | 55 | 115 | 18 | 955 | 873
OTC | 225 | 50 | 115 | 18 | 955 | 873
Organized market | - | 5 | - | - | - | -
CASH FLOW HEDGES | 379 | 1.111 | 339 | 868 | 1.176 | 1.435
HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION | 166 | 139 | 12 | 242 | 92 | 231
PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK | 18 | 170 | 37 | 216 | 33 | 90
PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK | 3 | 23 | 1 | 99 | 15 | 12
DERIVATIVES-HEDGE ACCOUNTING | 1.991 | 2.318 | 1.729 | 2.233 | 2.892 | 2.680
of which: OTC - credit institutions | 1.718 | 1.965 | 1.423 | 1.787 | 2.534 | 2.462
of which: OTC - other financial corporations | 273 | 333 | 306 | 426 | 355 | 216
of which: OTC - other | - | - | - | 8 | 2 | 2
Below there is a breakdown of the items covered by fair value hedges:
Hedged items in fair value hedges. December 2020 (Millions of Euros)
| Carrying amount | Hedge adjustments included in the carrying amount of assets/liabilities | Remaining adjustments for discontinued micro hedges including hedges of net positions | Hedged items in portfolio hedge of interest rate risk
ASSETS |  |  |  |
Financial assets measured at fair value through other comprehensive income | 28.091 | (99) | 12 | -
Interest rate | 28.059 |  |  |
Other | 33 |  |  |
Financial assets measured at amortized cost | 11.177 | 386 | 3 | 2.500
Interest rate | 11.177 |  |  |
LIABILITIES |  |  |  |
Financial liabilities measured at amortized costs | 23.546 | (576) | 2 | -
Interest rate | 23.543 |  |  |
Foreign exchange and gold | 3 |  |  |
The following is the calendar of the notional maturities of the hedging instruments as of December 31, 2020:
Calendar of the notional maturities of the hedging instruments (Millions of Euros)
| Up to 3 months | From 3 months to 1 year | From 1 to 5 years | More than 5 years | Total
FAIR VALUE HEDGES | 3.581 | 10.945 | 28.487 | 18.656 | 61.668
Of which: Interest rate | 3.569 | 10.879 | 26.946 | 18.609 | 60.003
CASH FLOW HEDGES | 10.495 | 2.808 | 2.576 | 6.972 | 22.852
Of which: Interest rate | 6.756 | 154 | 1.816 | 6.600 | 15.326
HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION | 1.853 | 2.910 | - | - | 4.763
PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK | 299 | 576 | 1.533 | 1.029 | 3.437
PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK | 101 | 11 | 1.049 | - | 1.161
DERIVATIVES-HEDGE ACCOUNTING | 15.933 | 17.340 | 33.984 | 26.623 | 93.881
In 2020, 2019 and 2018, 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 effecti veness test in December 31, 2020, 2019 and 2018 were not material.

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