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Note 15 | 12 Months Ended
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Dec. 31, 2021
Hedging derivatives and fair value changes of the hedged items in portfolio hedge of interest rate risk [Abstract] |
Disclosure of Hedging derivatives and fair value changes of the hedged items in portfolio hedge of interest rate risk [Text Block] | 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)
|  | 2021 | 2020 | 2019 |  |  |  |  |  |
ASSETS |  |  |  |  |  |  |  |  |  |
Derivatives - Hedge accounting |  | 1,805 | 1,991 | 1,729 |  |  |  |  |  |
Fair value changes of the hedged items in portfolio hedges of interest rate risk |  | 5 | 51 | 28 |  |  |  |  |  |
LIABILITIES |  |  |  |  |  |  |  |  |  |
Derivatives - Hedge accounting |  | 2,626 | 2,318 | 2,233 |  |  |  |  |  |
Fair value changes of the hedged items in portfolio hedges of interest rate risk |  | — | — | — |  |  |  |  |  |
As of December 31, 2021, 2020 and 2019, the main positions hedged by the Group and the derivatives designated to hedge those positions were: –Fair value hedging: a.Fixed-interest debt securities at fair value through other comprehensive income and at amortized cost: The interest rate risk of these securities is hedged using interest rate derivatives (fixed-variable swaps) and forward sales. b.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). c.Fixed-interest loans: The equity price risk of these instruments is hedged using interest rate derivatives (fixed-variable swaps). d.Fixed-interest and/or embedded derivative deposit 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 rate 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, interest-rate swaps, inflation and FRA (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 and forward currency sales and purchases. Note 7 analyzes the Group’s main risks that are hedged using these financial instruments. The details of the net positions by hedged risk of the fair value of the hedging derivatives recognized in the accompanying consolidated balance sheets are as follows:
Derivatives - Hedge accounting. Breakdown by type of risk and type of hedge (Millions of Euros)
| 2021 | 2020 | 2019
| Assets | Liabilities | Assets | Liabilities | Assets | Liabilities
Interest rate | 697 | 322 | 989 | 525 | 920 | 488
OTC | 697 | 322 | 989 | 525 | 920 | 488
Organized market | — | — | — | — | — | —
Equity | — | — | — | — | — | 3
OTC | — | — | — | — | — | 3
Organized market | — | — | — | — | — | —
Foreign exchange and gold | 463 | 135 | 435 | 350 | 420 | 316
OTC | 463 | 135 | 435 | 350 | 420 | 316
Organized market | — | — | — | — | — | —
Credit | — | — | — | — | — | —
Commodities | — | — | — | — | — | —
Other | — | — | — | — | — | —
FAIR VALUE HEDGES | 1,160 | 457 | 1,424 | 874 | 1,341 | 808
Interest rate | 228 | 1,786 | 154 | 1,055 | 224 | 850
OTC | 226 | 1,786 | 154 | 1,041 | 224 | 839
Organized market | 2 | — | — | 15 | — | 11
Equity | — | — | — | — | — | —
Foreign exchange and gold | 180 | 79 | 225 | 55 | 115 | 18
OTC | 180 | 79 | 225 | 50 | 115 | 18
Organized market | — | — | — | 5 | — | —
Credit | — | — | — | — | — | —
Commodities | — | — | — | — | — | —
Other | — | — | — | — | — | —
CASH FLOW HEDGES | 408 | 1,865 | 379 | 1,111 | 339 | 868
HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION | 198 | 196 | 166 | 139 | 12 | 242
PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK | 18 | 95 | 18 | 170 | 37 | 216
PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK | 21 | 13 | 3 | 23 | 1 | 99
DERIVATIVES-HEDGE ACCOUNTING | 1,805 | 2,626 | 1,991 | 2,318 | 1,729 | 2,233
of which: OTC - credit institutions | 1,454 | 2,248 | 1,718 | 1,965 | 1,423 | 1,787
of which: OTC - other financial corporations | 349 | 378 | 273 | 333 | 306 | 426
Below there is a breakdown of the items covered by fair value hedges:
Hedged items in fair value hedges (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
| 2021 | 2020 | 2021 | 2020 | 2021 | 2020 | 2021 | 2020
ASSETS |  |  |  |  |  |  |  |
Financial assets measured at fair value through other comprehensive income | 20,333 | 28,091 | (52) | (99) | 11 | 12 | — | —
Interest rate | 20,285 | 28,059 |  |  |  |  |  |
Other | 49 | 33 |  |  |  |  |  |
Financial assets measured at amortized cost | 8,273 | 11,177 | 168 | 386 | 5 | 3 | 1,997 | 2,500
Interest rate | 8,270 | 11,177 |  |  |  |  |  |
Foreign exchange and gold | 2 | — |  |  |  |  |  |
LIABILITIES |  |  |  |  |  |  |  |
Financial liabilities measured at amortized costs | 24,567 | 23,546 | (690) | (576) | — | 2 | — | —
Interest rate | 24,563 | 23,543 |  |  |  |  |  |
Foreign exchange and gold | 5 | 3 |  |  |  |  |  |
The following is the breakdown, by their notional maturities, of the hedging instruments as of December 31, 2021:
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 |  | 2,820 |  | 8,467 |  | 28,506 |  | 13,615 |  | 53,409
Of which: Interest rate |  | 2,807 |  | 8,360 |  | 27,239 |  | 13,615 |  | 52,021
CASH FLOW HEDGES |  | 195 |  | 3,346 |  | 36,410 |  | 4,381 |  | 44,332
Of which: Interest rate |  | — |  | 2,713 |  | 34,787 |  | 4,381 |  | 41,882
HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION |  | 2,241 |  | 2,617 |  | — |  | — |  | 4,857
PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK |  | 175 |  | 647 |  | 1,258 |  | 1,108 |  | 3,187
PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK |  | 171 |  | 428 |  | 851 |  | 132 |  | 1,583
DERIVATIVES-HEDGE ACCOUNTING |  | 5,602 |  | 15,505 |  | 67,024 |  | 19,236 |  | 107,368
In 2021, 2020 and 2019, 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 effectiveness test in December 31, 2021, 2020 and 2019 were not material. IBOR Reform The transition from IBOR indices to the new risk free rates (RFR) (see Note 2.3) may cause uncertainty about the future of some references or its impact on the contracts held by an entity, which could cause uncertainty about the term or the amounts of the cash flows of the hedged instrument or the hedging instrument. Due to such uncertainties, in the period before the benchmark rate reform actually takes place, some entities may be forced to discontinue hedge accounting, or not be able to designate new hedging relationships. To avoid this, the IASB made a series of transitory amendments to IFRS 9, IAS 39 and IFRS 7 providing temporary exceptions to the application of certain specific hedge accounting requirements that are applicable to all hedging relationships that are affected by the uncertainty derived from the IBOR Reform. These exceptions should end once the uncertainty is resolved (rates to be modified according to the new RFRs) or the hedge ceases to exist. The nominal amount of the hedging instruments for hedging relationships directly affected by the IBOR reform as of December 31, 2021 is the following:
Hedges affected by the IBOR reform (Millions of Euros)
|  | LIBOR USD |  | LIBOR GBP | Other | Total
Cash flow hedges |  | 1,056 |  | — | — | 1,056
Fair value hedges |  | 7,939 |  | 389 | 583 | 8,910

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