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Note 8 - Fair Value (Tables)
 12 Months Ended
Dec. 31, 2020
Fair Value Abstract  
Carrying Value And Fair Value
Fair Value and carrying amount (Millions of euros)
202020192018
NotesCarrying amountFair valueCarrying amountFair valueCarrying amountFair value
ASSETS
Cash, cash balances at central banks and other demand deposits965.52065.52044.30344.30358.19658.196
Financial assets held for trading10108.257108.257101.735101.73589.10389.103
Non-trading financial assets mandatorily at fair value through profit or loss115.1985.1985.5575.5575.1355.135
Financial assets designated at fair value through profit or loss121.1171.1171.2141.2141.3131.313
Financial assets at fair value through other comprehensive income1369.44069.44061.18361.18356.33756.337
Financial assets at amortized cost14367.668374.267439.162442.788419.660419.857
Hedging derivatives 151.9911.9911.7291.7292.8922.892
LIABILITIES
Financial liabilities held for trading 1086.48886.48888.68088.68079.76179.761
Financial liabilities designated at fair value through profit or loss 1210.05010.05010.01010.0106.9936.993
Financial liabilities at amortized cost 22490.606491.006516.641515.910509.185510.300
Hedging derivatives152.3182.3182.2332.2332.6802.680
Fair Value Of Financial Instruments
Fair value of financial instruments by levels (Millions of Euros)
202020192018
Level 1Level 2Level 3Level 1Level 2Level 3Level 1Level 2Level 3
ASSETS
Financial assets held for trading32.55573.8561.84731.13569.0921.50826.73061.969404
Loans and advances2.37928.6591.60969732.3211.2854728.64260
Debt securities 12.79011.1235718.0768.1785517.8847.494199
Equity instruments 11.36731608.832-595.194-60
Derivatives6.01934.0431213.53028.5931093.60525.83385
Non-trading financial assets mandatorily at fair value through profit or loss3.8263819924.305921.1603.127781.929
Loans and advances210-49982-1.03825-1.778
Debt securities 432428-9119907176
Equity instruments3.612574654.22311033.012875
Financial assets designated at fair value through profit or loss939178-1.214--1.313--
Debt securities 939178-1.214--1.313--
Financial assets at fair value through other comprehensive income60.9767.86659850.8969.2031.08445.8249.3231.190
Loans and advances33--33--33--
Debt securities 59.9827.83249349.0709.05760443.7889.211711
Equity instruments961341051.7941464802.003113479
Derivatives – Hedge accounting1201.8628441.685-72.8823
LIABILITIES-
Financial liabilities held for trading 27.58758.04585626.26661.58882722.93256.560269
Deposits8.38123.4956219.59532.1216497.98929.945-
Trading derivatives7.40234.0462324.42529.4661753.91926.615267
Other financial liabilities11.805504312.2461211.024-1
Financial liabilities designated at fair value through profit or loss-8.5581.492-8.6291.382-3.1493.844
Customer deposits-902--944--976-
Debt certificates (*)-3.0381.492-3.2741.382-1.5291.329
Other financial liabilities-4.617--4.410--6432.515
Derivatives – Hedge accounting532.25015302.192112232.4543
Financial Instruments At Fair Value By Levels
Fair value of financial Instruments by levels. December 2020 (Millions of euros)
202020192018
Level 2Level 3Level 2Level 3Level 2Level 3Valuation technique(s)Observable inputsUnobservable inputs
ASSETS
Financial assets held for trading73.8561.84769.0921.50861.969404- 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 advances28.6591.60932.3211.28528.64260Present-value method(Discounted future cash flows)
Debt securities 11.123578.178557.494199Present-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 3160-59-60Comparable pricing (Observable price in a similar market)Net asset value- Brokers quotes- Market operations- NAVs published- NAV not published
Derivatives34.04312128.59310925.83385
Interest rateInterest rate products (Interest rate Swaps, Call money Swaps and FRA): Discounted cash flowsCaps/Floors: Black, Hull-White and SABRBond options: BlackSwaptions: Black, Hull-White and LGMOther Interest rate Options: Black, Hull-White and LGMConstant 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
EquityFuture and Equity Forward: Discounted future cash flowsEquity Options: Local Volatility, Momentum adjustment - Volatility of volatility- Implicit assets correlations- Long term implicit correlations- Implicit dividends and long term repos
Foreign exchange and goldFuture and Equity Forward: Discounted future cash flowsForeign exchange Options: Local volatility, moments adjustment- Volatility of volatility- Implicit assets correlations- Long term implicit correlations
CreditCredit Derivatives: Default model and Gaussian copula- Correlation default- Credit spread- Recovery rates- Interest rate yield- Default volatility
CommoditiesCommodities: Momentum adjustment and discounted cash flows
Non-trading financial assets mandatorily at fair value through profit or loss381992921.160781.929
Loans and advances-499-1.038-1.778Specific liquidation criteria regarding losses of the EPA proceedingsPD 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 securities3242891197176Present-value method(Discounted future cash flows)- Issuer credit risk- Current market interest rates- Prepayment rates- Issuer credit risk- Recovery rates
Equity instruments574651103875Comparable 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 loss178-----Present-value method(Discounted future cash flows)- Issuer credit risk- Current market interest rates
Debt securities178-----
Financial assets at fair value through other comprehensive income7.8665989.2031.0849.3231.190
Debt securities7.8324939.0576049.221711Present-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 instruments34105146480113479Comparable 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 derivatives1.86281.685-2.8823
Interest rateInterest rate products (Interest rate Swaps, Call money Swaps and FRA): Discounted cash flowsCaps/Floors: Black, Hull-White and SABRBond options: BlackSwaptions: Black, Hull-White and LGMOther Interest rate Options: Black, Hull-White and LGMConstant 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
EquityFuture and Equity Forward: Discounted future cash flowsEquity Options: Local volatility, Momentum adjustment
Foreign exchange and goldFuture and Equity Forward: Discounted future cash flowsForeign exchange Options: Local volatility, moments adjustment
CreditCredit Derivatives: Default model and Gaussian copula
CommoditiesCommodities: Momentum adjustment and Discounted cash flows

Fair Value of financial Instruments by Levels.(Millions of Euros)
202020192018
Level 2Level 3Level 2Level 3Level 2Level 3Valuation technique(s)Observable inputsUnobservable inputs
LIABILITIES
Financial liabilities held for trading 58.04585661.58882756.560269
Deposits23.49562132.12164929.945-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
Derivatives34.04623229.46617526.615267
Interest rateInterest rate products (Interest rate Swaps, call money Swaps and FRA): Discounted cash flowsCaps/Floors: Black, Hull-White and SABRBond options: BlackSwaptions: Black, Hull-White and LGMOther Interest rate Options: Black, Hull-White and LGMConstant 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
EquityFuture and Equity forward: Discounted future cash flowsEquity Options: Local volatility, momentum adjustment - Volatility of volatility- Assets correlation
Foreign exchange and goldFuture and Equity Forward: Discounted future cash flowsForeign exchange Options: Local volatility, moments adjustment- Volatility of volatility- Assets correlation
CreditCredit Derivatives: Default model and Gaussian copula- Correlation default- Credit spread- Recovery rates- Interest rate yield- Default volatility
CommoditiesCommodities: Momentum adjustment and discounted cash flows
Short positions 504312-1Present-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 loss8.5581.4928.6291.3823.1493.844Present-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 accounting2.250152.192112.4543
Interest rateInterest rate products (Interest rate Swaps, Call money Swaps and FRA): Discounted cash flowsCaps/Floors: Black, Hull-White and SABRBond options: BlackSwaptions: Black, Hull-White and LGMOther Interest rate Options: Black, Hull-White and LGMConstant 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
EquityFuture and Equity Forward: Discounted future cash flowsEquity Options: Local volatility, momentum adjustment - Volatility of volatility- Implicit assets correlations- Long term implicit correlations- Implicit dividends and long term repos
Foreign exchange and goldFuture and Equity Forward: Discounted future cash flowsForeign exchange Options: Local Volatility, moments adjustment- Volatility of volatility- Implicit assets correlations- Long term implicit correlations
CreditCredit Derivatives: Default model and Gaussian copula- Correlation default- Credit spread- Recovery rates- Interest rate yield- Default volatility
CommoditiesCommodities: Momentum adjustment and discounted cash flows
Disclosure Of Significant Unobservable Inputs Used In Fair Value Measurement Of Assets
Unobservable inputs. December 2020
Financial instrumentValuation technique(s)Significant unobservable inputsMinAverageMaxUnits
Debt SecuritiesPresent value methodCredit Spread4,3247,01564,22b.p.
Recovery Rate0,00%37,06%40,00%%
0,10%99,92%143,87%%
Equity/Fund instruments (*)Net Asset Value
Comparable Pricing
Security FinancePresent value methodRepo funding curve(1,00%)0,00%1,00%Abs Repo rate
Credit DerivativesGaussian CopulaCorrelation Default30,40%44,87%60,95%%
Black 76Price Volatility-Vegas
Equity DerivativesOption models on equities, baskets of equity, fundsDividends (**)
Correlations(100%)100%100%%
Volatility6,5229,90141,77Vegas
FX DerivativesOption models on FX underlyingsVolatility4,1110,0016,14Vegas
IR DerivativesOption models on IR underlyingsBeta0,252,0018,00%
Correlation Rate/Credit(100)100%
Credit Default Volatility---Vegas

Unobservable inputs. December 2019
Financial instrumentValuation technique(s)Significant unobservable inputsMinAverageMaxUnits
Loans and advancesPresent value methodRepo funding curve(6)16100b.p.
Debt securitiesComparable pricingCredit spread1883504b.p.
Recovery rate0,00%28,38%40,00%%
0,01%98,31%135,94%%
Equity instruments (*)Comparable pricingNet asset value
Credit optionGaussian CopulaCorrelation default19,37%44,33%61,08%%
Equity OTC optionHestonForward volatility skew35,1235,1235,12Vegas
Local volatilityDividends (**)
Volatility2,4923,2160,90Vegas
FX OTC optionsBlack Scholes/Local VolVolatility3,706,3010,05Vegas
Interest rate optionsLibor Market ModelBeta0,252,0018,00%
Correlation rate/Credit(100)100%
Credit default Volatility---Vegas

Unobservable inputs. December 2018
Financial instrumentValuation technique(s)Significant unobservable inputsMinAverageMaxUnits
Debt securitiesComparable pricingCredit spread37152385b.p.
Recovery rate0,00%32,06%40,00%%
1,00%88,00%275,00%%
Equity instruments (*)Comparable pricingNet asset value
Credit optionGaussian CopulaCorrelation default0,00%37,98%60,26%%
Equity OTC optionHestonForward volatility skew47,0547,0547,05Vegas
Local volatilityDividends (**)
Volatility13,7927,2465,02Vegas
FX OTC optionsBlack Scholes/Local VolVolatility5,057,739,71Vegas
Interest rate optionsLibor Market ModelBeta0,259,0018,00%
Correlation rate/Credit(100)100%
Credit default Volatility---Vegas
Level 3 Financial Instruments
Financial assets Level 3: Changes in the year (Millions of Euros)
202020192018
AssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Balance at the beginning3.7542.2203.5274.1158351.386
Changes in fair value recognized in profit and loss (*)60929311271(167)(28)
Changes in fair value not recognized in profit and loss(89)(4)2-(4)-
Acquisitions, disposals and liquidations (**)(699)(393)55952.1022.710
Net transfers to Level 354928777(2.751)76147
Exchange differences and others(160)(35)31189--
Discontinued operations (***)(518)(5)----
Balance at the end3.4462.3633.7542.2193.5274.115
Levels Transfers
Transfer between Levels. December 2020 (Millions of Euros)
From:Level 1Level 2Level 3
To:Level 2Level 3Level 1 Level 3Level 1Level2
ASSETS
Financial assets held for trading1.46011203548498
Non-trading financial assets mandatorily at fair value through profit or loss9114--17
Financial assets designated at fair value through profit or loss143-----
Financial assets at fair value through other comprehensive income484-13596-6
Derivatives – Hedge accounting---8--
Total2.096233426524122
LIABILITIES
Financial liabilities held for trading83-268-13
Financial liabilities designated at fair value through profit or loss---56-27
Total83-324-40

Transfer between levels (Millions of Euros).
20192018
From:Level 1Level 2Level 3Level 1Level 2Level 3
To:Level 2Level 3Level 1 Level 3Level 1Level2Level 2Level 3Level 1 Level 3Level 1Level2
ASSETS
Financial assets held for trading74-1.11950211601.171226-2
Non-trading financial assets mandatorily at fair value through profit or loss--232-44--967-24
Financial assets designated at fair value through profit or loss----1-------
Financial assets at fair value through other comprehensive income664209-45413472-515--
Derivatives – Hedge accounting---26-10---5211849
Total7961.14573926671.305741164111875
LIABILITIES
Financial liabilities held for trading1--------138-37
Financial liabilities designated at fair value through profit or loss---27-2.679------
Derivatives – Hedge accounting---27-125------
Total1--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 onother comprehensive income
Most favorable hypothesisLeast favorable hypothesisMost favorable hypothesisLeast favorable hypothesis
ASSETS
Financial assets held for trading10(40)--
Loans and Advances1(1)--
Debt securities5(5)--
Equity instruments1(31)--
Derivatives3(3)--
Non-trading financial assets mandatorily at fair value through profit or loss229(60)--
Loans and advances204(29)--
Debt securities15(15)--
Equity instruments9(16)--
Financial assets at fair value through other comprehensive income--22(23)
Total239(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)
202020192018
Level 1Level 2Level 3Level 1Level 2Level 3Level 1Level 2Level 3
ASSETS
Cash, cash balances at central banks and other demand deposits65.355-16544.111-19258.024-172
Financial assets at amortized cost35.19615.066324.00529.391217.279196.11921.419204.619193.819
LIABILITIES
Financial liabilities at amortized cost 90.839255.278144.88967.229289.599159.08258.225269.128182.948
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)
202020192018Valuation technique(s)Main inputs used
Level 2Level 3Level 2Level 3Level 2Level 3
ASSETS
Financial assets at amortized cost15.066324.005217.279196.119204.619193.819Present-value method(Discounted future cash flows)
Central banks---2-1- Credit spread- Prepayment rates- Interest rate yield
Loans and advances to credit institutions1.88312.6419.0494.6284.9344.291- Credit spread- Prepayment rates- Interest rate yield
Loans and advances to customers3.904310.924194.897190.144190.666183.645- Credit spread- Prepayment rates- Interest rate yield
Debt securities9.27944013.3331.3459.0195.881- Credit spread- Interest rate yield
LIABILITIES
Financial liabilities at amortized cost 255.278144.889289.599159.082269.128182.948
Deposits from central banks-207129-196-Present-value method(Discounted future cash flows)- Issuer´s credit risk- Prepayment rates- Interest rate yield
Deposits from credit institutions22.9144.63321.5756.83122.2819.852
Deposits from customers210.097129.525245.720135.514240.547135.270
Debt certificates14.4134.84814.19411.1336.10425.096
Other financial liabilities7.8545.6767.9815.604-12.730