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Note 8 (Tables)
 12 Months Ended
Dec. 31, 2021
Fair value of financial instruments [Abstract]  
Carrying Value And Fair Value [Table Text Block] The fair value of the Group’s financial instruments in the accompanying consolidated balance sheets and its corresponding carrying amounts, as of December 31, 2021, 2020 and 2019 are presented below:
Fair Value and Carrying Amount (Millions of euros)
202120202019
NotesCarrying
Amount
Fair
Value
Carrying
Amount
Fair
Value
Carrying AmountFair Value
ASSETS
Cash, cash balances at central banks and other demand deposits967,79967,79965,52065,52044,30344,303
Financial assets held for trading10123,493123,493105,878105,87899,46999,469
Non-trading financial assets mandatorily at fair value through profit or loss116,0866,0865,1985,1985,5575,557
Financial assets designated at fair value through profit or loss121,0921,0921,1171,1171,2141,214
Financial assets at fair value through other comprehensive income1360,42160,42169,44069,44061,18361,183
Financial assets at amortized cost14372,676377,451367,668374,267439,162442,788
Derivatives – Hedge accounting151,8051,8051,9911,9901,7291,729
LIABILITIES
Financial liabilities held for trading 1091,13591,13584,10984,10986,41486,413
Financial liabilities designated at fair value through profit or loss 129,6839,68310,05010,05010,01010,010
Financial liabilities at amortized cost 22487,893488,733490,606491,006516,641515,910
Derivatives – Hedge accounting152,6262,6262,3182,3182,2332,233
Financial Instruments At Fair Value By Levels [Table Text Block] The following table shows the financial instruments carried at fair value in the accompanying consolidated balance sheets, broken down by level used to determine their fair value as of December 31, 2021, 2020 and 2019:
Fair Value of Financial Instruments by Levels (Millions of Euros)
202120202019
Level 1Level 2Level 3Level 1Level 2Level 3Level 1Level 2Level 3
ASSETS
Financial assets held for trading32,37187,7363,38632,55571,9381,38631,13567,2621,072
Equity instruments 15,925—3711,36731608,832—59
Debt securities 11,87713,72518912,79011,1235718,0768,17855
Loans and advances61547,2792,9132,37926,7411,14869730,491849
Derivatives3,95426,7322476,01934,0431213,53028,593109
Non-trading financial assets mandatorily at fair value through profit or loss4,3785221,1863,8263819924,305921,160
Equity instruments4,1583947513,612574654,2231103
Debt securities —128—432428—9119
Loans and advances220—435210—49982—1,038
Financial assets designated at fair value through profit or loss916176—939178—1,214——
Equity instruments—————————
Debt securities 916176—939178—1,214——
Loans and advances—————————
Financial assets at fair value through other comprehensive income52,1577,54571960,9767,86659850,8969,2031,084
Equity instruments1,17836106961341051,794146480
Debt securities 50,9527,50961359,9827,83249349,0709,057604
Loans and advances27——33——33——
Derivatives – Hedge accounting631,73391201,8628441,685—
LIABILITIES
Financial liabilities held for trading 26,21564,30561527,58756,12739526,26659,438710
Trading derivatives4,75526,5603897,40234,0462324,42529,466175
Short positions15,12411—11,805504312,24612
Deposits6,33537,7332268,38121,5771599,59529,971533
Financial liabilities designated at fair value through profit or loss18,2431,439—8,5581,492—8,6291,382
Customer deposits—809——902——944—
Debt certificates11,9561,439—3,0381,492—3,2741,382
Other financial liabilities—5,479——4,617——4,410—
Derivatives – Hedge accounting532,573—532,25015302,19211
Financial Assets at Fair Value By Levels [Table Text Block] The following table sets forth the main valuation techniques, hypothesis and inputs used in the estimation of fair value of the financial instruments classified under Levels 2 and 3, based on the type of financial asset and liability and the corresponding balances as of December 31, 2021, 2020 and 2019.
Fair value of Financial Instruments by levels.(Millions of euros)
202120202019
Level 2Level 3Level 2Level 3Level 2Level 3Valuation technique(s)Observable inputsUnobservable inputs
ASSETS
Financial assets held for trading87,7363,38671,9381,38669,0921,508
Equity instruments —373160—59Comparable pricing (Observable price in a similar market)
Net asset value		- Brokers quotes
- Market operations
- NAVs published		-NAV provided by the administrator of the fund
Debt securities 13,72518911,123578,17855Present-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
Loans and advances47,2792,91326,7411,14830,491849Present-value method
(Discounted future cash flows)		- 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
Derivatives26,73224734,04312128,593109
Interest rateInterest rate products (Interest rate Swaps, Call money Swaps y FRA): Discounted cash flows
Caps/Floors: Black 76, Hull-White y SABR
Bond options: Black 76
Swaptions: Black, Hull-White y LGM
Other Interest rate Options: Black 76, Hull-White y 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
EquityFuture and Equity Forward: Discounted future cash flows
Equity Options: Local Volatility, Momentum adjustment and Heston		- 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 flows
Foreign exchange Options: Local volatility, momentum 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 loss5221,186381992921,160
Equity instruments394751574651103Comparable pricing (Observable price in a similar market)
Net asset value		- Brokers quotes
- Market operations
- NAVs published		- NAV provided by the administrator of the fund
Debt securities128—324289119Present-value method
(Discounted future cash flows)		- Issuer credit risk
- Current market interest rates		- Prepayment rates
- Issuer credit risk
- Recovery rates
Loans and advances—435—499—1,038Specific 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
Financial assets designated at fair value through profit or loss176—178———Present-value method
(Discounted future cash flows)		- Issuer credit risk
- Current market interest rates
Debt securities176—178———
Financial assets at fair value through other comprehensive income7,5457197,8665989,2031,084
Equity instruments3610634105146480Comparable pricing (Observable price in a similar market)
Net asset value		- Brokers quotes
- Market operations
- NAVs published		- NAV provided by the administrator of the fund
Debt securities7,5096137,8324939,057604Present-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
Hedging derivatives1,73391,86281,685—
Interest rateInterest rate products (Interest rate Swaps, Call money Swaps y FRA): Discounted cash flows
Caps/Floors: Black, Hull-White y SABR
Bond options: Black 76
Swaptions: Black 76, Hull-White y LGM
Other Interest rate Options: Black 76, Hull-White y 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
EquityFuture and Equity Forward: Discounted future cash flows
Equity Options: Local volatility, Black 76, Momentum adjustment and Heston		- 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 flows
Foreign exchange Options: Local volatility, momentum 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
Financial Liabilities at Fair Value By Levels [Table Text Block]
Fair Value of Financial Instruments by Levels.(Millions of Euros)
202120202019
Level 2Level 3Level 2Level 3Level 2Level 3Valuation technique(s)Observable inputsUnobservable inputs
LIABILITIES
Financial liabilities held for trading 64,30561556,12739561,588827
Deposits37,73322621,57715929,971533Present-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
Derivatives26,56038934,04623229,466175
Interest rateInterest rate products (Interest rate Swaps, call money Swaps y FRA): Discounted cash flows
Caps/Floors: Black 76, Hull-White y SABR
Bond options: Black 76
Swaptions: Black 76, Hull-White y LGM
Other Interest rate Options: Black 76, Hull-White, SABR y 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
EquityFuture and Equity forward: Discounted future cash flows
Equity Options: Local volatility, momentum adjustment and Heston		- Volatility of volatility
- Assets correlation
Foreign exchange and goldFuture and Equity Forward: Discounted future cash flows
Foreign exchange Options: Black 76, Local volatility, momentum 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 11—504312Present-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 loss8,2431,4398,5581,4928,6291,382Present-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 accounting2,573—2,250152,19211
Interest rateInterest rate products (Interest rate Swaps, Call money Swaps y FRA): Discounted cash flows
Caps/Floors: Black 76, Hull-White y SABR
Bond options: Black 76
Swaptions: Black, Hull-White y LGM
Other Interest rate Options: Black 76, Hull-White, SABR y 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
EquityFuture and Equity Forward: Discounted future cash flows
Equity Options: Local volatility, momentum adjustment and Heston		- 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 flows
Foreign exchange Options: Black 76, Local Volatility, momentum 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
Unobservable inputs [Table Text Block] Quantitative information of unobservable inputs used to calculate Level 3 valuations is presented below as of December 31, 2021, 2020 and 2019:
Unobservable inputs. December 2021
Financial instrumentValuation technique(s)Significant unobservable inputsMinAverageMaxUnits
Debt SecuritiesPresent value methodCredit Spread2.72125.412,374.39bp
Recovery Rate0.00 %37.34 %40.00 %%
0.10 %96.63 %144.11 %%
Equity/Fund instruments (*)Net Asset Value
Comparable Pricing
Loans and advancesPresent value methodRepo funding curve(2.71)%1.16 %4.99 %Abs Repo rate
Credit DerivativesGaussian CopulaCorrelation Default34.56 %43.47 %52.78 %%
Black 76Price Volatility—Vegas
Equity DerivativesOption models on equities, baskets of equity, fundsDividends (**)
Correlations(88)%60 %99 %%
Volatility5.5726.3062.00Vegas
FX DerivativesOption models on FX underlyingsVolatility3.969.7116.34Vegas
IR DerivativesOption models on IR underlyingsBeta0.252.0018.00%
Correlation Rate/Credit(100)100%
Credit Default Volatility— — — Vegas
(*) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them.
(**) The range of unobservable dividends is too wide range to be relevant.
Unobservable inputs. December 2020
Financial instrumentValuation technique(s)Significant unobservable inputsMinAverageMaxUnits
Debt SecuritiesPresent value methodCredit Spread4.3247.01564.22bp
Recovery Rate0.00 %37.06 %40.00 %%
0.10 %99.92 %143.87 %%
Equity/Fund instruments (*)Net Asset Value
Comparable Pricing
Loans and advancesPresent value methodRepo funding curve(1.18)%(0.25)%0.74 %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(77)%51 %98 %%
Volatility6.5229.90141.77Vegas
FX DerivativesOption models on FX underlyingsVolatility4.1110.0016.14Vegas
IR DerivativesOption models on IR underlyingsBeta0.25 2.00 18.00 %
Correlation Rate/Credit(100)100 %
Credit Default Volatility— — — Vegas
(*) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them.
(**) The range of unobservable dividends is too wide range to be relevant.
Unobservable inputs. December 2019
Financial instrumentValuation technique(s)Significant unobservable inputsMinAverageMaxUnits
Loans and advancesPresent value methodRepo funding curve(6)16100bp
Debt securitiesComparable pricingCredit spread1883504bp
Recovery rate0.00 %28.38 %40.00 %%
0.01 %98.31 %135.94 %%
Equity instruments (*)Net asset value
Comparable pricing
Credit optionGaussian CopulaCorrelation default19.37 %44.33 %61.08 %%
Corporate Bond optionBlack 76Price volatility—Vegas
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 ModelBeta0.25 2.00 18.00 %
Correlation rate/Credit(100)100 %
Credit default Volatility———Vegas
(*) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them.
(**) The range of unobservable dividends is too wide range to be relevant.
Financial assets level 3 Changes in the year [Table Text Block]
The changes in the balance of Level 3 financial assets and liabilities included in the accompanying consolidated balance sheets are as follows:
Financial assets Level 3: Changes in the year (Millions of Euros)
202120202019
AssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Balance at the beginning2,9841,9023,3162,1033,5274,115
Changes in fair value recognized in profit and loss (*)33814361129611271
Changes in fair value not recognized in profit and loss(47)(10)(89)(4)2—
Acquisitions, disposals and liquidations (**)2,531156(725)(652)(432)479
Net transfers to Level 3(436)(80)54919976(2,751)
Exchange differences and others(69)(56)(160)(35)31189
 Discontinued operations (***)——(518)(5)——
Balance at the end5,3012,0542,9841,9023,3162,103
(*)Profit or loss that is attributable to gains or losses relating to those financial assets and liabilities held as of December 31, 2021, 2020 and 2019. Valuation adjustments are recorded under the heading “Gains (losses) on financial assets and liabilities (net)”.
(**) Of which, in 2021, the assets roll forward is comprised of €2,742 million of acquisitions and €211 million of disposals. The liabilities roll forward is comprised of €213 million of acquisitions and €57 million of sales.
(***)The balance of 2020 corresponds mainly to the companies in the United States included in the USA Sale (see Notes 1.3, 3 and 21)
Transfer between levels [Table Text Block]
The financial instruments transferred among the different levels of measurement for the years ended December 31, 2021, 2020 and 2019 are at the following amounts in the accompanying consolidated balance sheets as of December 31, 2021, 2020 and 2019:
Transfers among levels. December 2021 (Millions of Euros)
From:Level 1Level 2Level 3
To:Level 2Level 3Level 1 Level 3Level 1Level 2
ASSETS
Financial assets held for trading92423518410637
Non-trading financial assets mandatorily at fair value through profit or loss8———1423
Financial assets designated at fair value through profit or loss——————
Financial assets at fair value through other comprehensive income5961750650—6
Derivatives – Hedge accounting——————
Total1,5281954223424665
LIABILITIES
Financial liabilities held for trading562—24571595
Financial liabilities designated at fair value through profit or loss———38—65
Derivatives – Hedge accounting——————
Total562—249515160
Transfer among levels (Millions of Euros)
20202019
From:Level 1Level 2Level 3Level 1Level 2Level 3
To:Level 2Level 3Level 1 Level 3Level 1Level 2Level 2Level 3Level 1 Level 3Level 1Level 2
ASSETS
Financial assets held for trading1,4601120354849874—1,1195021160
Non-trading financial assets mandatorily at fair value through profit or loss9114——17——232—44
Financial assets designated at fair value through profit or loss143—————————1—
Financial assets at fair value through other comprehensive income484—13596—6664209—454
Derivatives – Hedge accounting———8—————26—10
Total2,0962234265241217961,1457392667
LIABILITIES
Financial liabilities held for trading83—180—131—————
Financial liabilities designated at fair value through profit or loss———56—27———27—2,679
Derivatives – Hedge accounting—————————27—125
Total83—236—401——54—2,804
Financial assets level 3 Sensitivity analysis [Table Text Block]
As of December 31, 2021, the effect on profit for the year and total equity of changing the main unobservable inputs used for the measurement of Level 3 financial instruments for other reasonably possible unobservable inputs, taking the highest (most favorable input) or lowest (least favorable input) value of the range deemed probable, would be as follows:
Financial instruments Level 3: sensitivity analysis (Millions of Euros)
Potential impact on consolidated
 income statement
Potential impact on
other comprehensive income
Most favorable hypothesisLeast favorable hypothesisMost favorable hypothesisLeast favorable hypothesis
ASSETS
Financial assets held for trading33(57)——
Loans and advances4(4)——
Debt securities24(24)——
Equity instruments1(25)——
Derivatives5(5)——
Non-trading financial assets mandatorily at fair value through profit or loss35(36)——
Loans and advances16(5)——
Debt securities10(10)——
Equity instruments9(21)——
Financial assets designated at fair value through profit or loss————
Financial assets at fair value through other comprehensive income——41(43)
Total68(93)41(43)
LIABILITIES
Financial liabilities held for trading3(3)——
Total3(3)——
Fair value of financial instruments at amortized cost by levels [Table Text Block]
The following table presents the fair value of key financial instruments carried at amortized cost in the accompanying consolidated balance sheets as of December 31, 2021, 2020 and 2019, broken down according to the method of valuation used for the estimation:
Fair value of financial instruments at amortized cost by Levels (Millions of Euros)
202120202019
Level 1Level 2Level 3Level 1Level 2Level 3Level 1Level 2Level 3
ASSETS
Cash, cash balances at central banks and other demand deposits67,581—21865,355—16544,111—192
Financial assets at amortized cost33,21313,033331,20535,19615,066324,00529,391217,279196,119
LIABILITIES
Financial liabilities at amortized cost 91,870243,847153,01690,839255,278144,88967,229289,599159,082
Fair value of financial instruments at amortized cost by valuation technique [Table Text Block]
The main valuation techniques and inputs used to estimate the fair value of financial instruments accounted for at cost and classified in levels 2 and 3 is shown below. These are broken down by type of financial instrument and the balances correspond to those as of December 31, 2021, 2020 and 2019:
Fair Value of financial Instruments at amortized cost by valuation technique (Millions of Euros)
202120202019Valuation technique(s)Main inputs used
Level 2Level 3Level 2Level 3Level 2Level 3
ASSETS
Financial assets at amortized cost13,033331,20515,066324,005217,279196,119Present-value method
(Discounted future cash flows)
Loans and advances to central banks—————2- Credit spread
- Prepayment rates
- Interest rate yield
Loans and advances to credit institutions86312,3291,88312,6419,0494,628- Credit spread
- Prepayment rates
- Interest rate yield
Loans and advances to customers3,416318,0593,904310,924194,897190,144- Credit spread
- Prepayment rates
- Interest rate yield
Debt securities8,7558179,27944013,3331,345- Credit spread
- Interest rate yield
LIABILITIES
Financial liabilities at amortized cost 243,847153,016255,278144,889289,599159,082
Deposits from central banks—300—207129—Present-value method
(Discounted future cash flows)		- Issuer´s credit risk
- Prepayment rates
- Interest rate yield
Deposits from credit institutions14,8534,91622,9144,63321,5756,831
Deposits from customers209,345137,803210,097129,525245,720135,514
Debt certificates10,0144,39114,4134,84814,19411,133
Other financial liabilities9,6365,6067,8545,6767,9815,604