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Note 15 - Hedging derivatives and fair value changes of the hedged items in portfolio hedge of interest rate risk (Tables) | 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 |
Table of Derivatives - Hedge accounting 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 (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
Hedging Derivatives Breakdown By Type Of The Risk And Type Of Hedge |
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
Items Hedged 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 |  |  |
Schedule Of The Nominal Amount Of The Hedging Instrument |
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

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