XML 175 R158.htm IDEA: XBRL DOCUMENT v3.22.4
Note 8 Fair value of financial assets by levels, valuation techniques and inputs (Details) - EUR (€)
€ in Millions
12 Months Ended
Dec. 31, 2022
Dec. 31, 2021
Dec. 31, 2020
Financial assets at fair value by levels [Line Items]      
Assets € 713,140 € 662,885 € 733,797
Financial assets held for trading [Member]      
Financial assets at fair value by levels [Line Items]      
Observable inputs - 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    
Financial assets held for trading [Member] | equity instruments [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Comparable pricing (Observable price in a similar market)Net asset value    
Observable inputs - Brokers quotes- Market operations- NAVs published    
Unobservable inputs -NAV provided by the administrator of the fund    
Financial assets held for trading [Member] | Debt securities [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Present-value method(Discounted future cash flows)Observed prices in non-active markets    
Observable inputs - Issuer´s credit risk- Current market interest rates- Non active markets prices    
Unobservable inputs - Prepayment rates- Issuer´s credit risk- Recovery rates    
Financial assets held for trading [Member] | loans and advances [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Present-value method(Discounted future cash flows)    
Observable inputs - Issuer´s credit risk- Current market interest rates- Funding interest rates observed in the market or in consensus services- Exchange rates    
Unobservable inputs - Prepayment rates- Issuer´s credit risk- Recovery rates- Funding interest rates not observed in the market or in consensus services    
Financial assets held for trading [Member] | Interest rate [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Interest rate products (Interest rate Swaps, Call money Swaps and FRA): Discounted cash flowsCaps/Floors: Black 76, Hull-White and SABRBond options: Black 76Swaptions: Black, Hull-White and LGMOther Interest rate Options: Black 76, Hull-White and LGMConstant Maturity Swaps: SABR    
Unobservable inputs - Beta- Implicit correlations between tenors- interest rates volatility    
Financial assets held for trading [Member] | Equity [member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Future and Equity Forward: Discounted future cash flowsEquity Options: Local Volatility, Momentum adjustment and Heston    
Unobservable inputs - Volatility of volatility- Implicit assets correlations- Long term implicit correlations- Implicit dividends and long term repos    
Financial assets held for trading [Member] | Foreign exchange and gold [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Future and Equity Forward: Discounted future cash flowsForeign exchange Options: Local volatility, momentum adjustment    
Unobservable inputs - Volatility of volatility- Implicit assets correlations- Long term implicit correlations    
Financial assets held for trading [Member] | Credit [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Credit Derivatives: Default model and Gaussian copula    
Unobservable inputs - Correlation default- Credit spread- Recovery rates- Interest rate yield- Default volatility    
Financial assets held for trading [Member] | Commodities [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Commodities: Momentum adjustment and discounted cash flows    
Non trading financial assets mandatorily at fair value through profit or loss [Member] | equity instruments [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Comparable pricing (Observable price in a similar market)Net asset value    
Observable inputs - Brokers quotes- Market operations- NAVs published    
Unobservable inputs - NAV provided by the administrator of the fund    
Non trading financial assets mandatorily at fair value through profit or loss [Member] | Debt securities [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Present-value method(Discounted future cash flows)    
Observable inputs - Issuer credit risk- Current market interest rates    
Unobservable inputs - Prepayment rates- Issuer credit risk- Recovery rates    
Non trading financial assets mandatorily at fair value through profit or loss [Member] | loans and advances [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Specific 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    
Unobservable inputs - Prepayment rates- Business plan of the underlying asset, WACC, macro scenario- Property valuation    
Financial assets designated at fair value through profit or loss [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Present-value method(Discounted future cash flows)    
Observable inputs - Issuer credit risk- Current market interest rates    
Financial assets at fair value through other comprehensive income, category [member] | equity instruments [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Comparable pricing (Observable price in a similar market)Net asset value    
Observable inputs - Brokers quotes- Market operations- NAVs published    
Unobservable inputs - NAV provided by the administrator of the fund    
Financial assets at fair value through other comprehensive income, category [member] | Debt securities [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Present-value method(Discounted future cash flows)Observed prices in non-active markets    
Observable inputs - Issuer´s credit risk- Current market interest rates- Non active market prices    
Unobservable inputs - Prepayment rates- Issuer credit risk- Recovery rates    
Hedging derivatives [Member]      
Financial assets at fair value by levels [Line Items]      
Observable inputs - 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    
Hedging derivatives [Member] | Interest rate [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Interest rate products (Interest rate Swaps, Call money Swaps and FRA): Discounted cash flowsCaps/Floors: Black, Hull-White and SABRBond options: Black 76Swaptions: Black 76, Hull-White and LGMOther Interest rate Options: Black 76, Hull-White and LGMConstant maturity Swaps: SABR    
Unobservable inputs - Beta- Implicit correlations between tenors- interest rates volatility    
Hedging derivatives [Member] | Equity [member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Future and Equity Forward: Discounted future cash flowsEquity Options: Local volatility, Black 76, Momentum adjustment and Heston    
Unobservable inputs - Volatility of volatility- Implicit assets correlations- Long term implicit correlations- Implicit dividends and long term repos    
Hedging derivatives [Member] | Foreign exchange and gold [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Future and Equity Forward: Discounted future cash flowsForeign exchange Options: Local volatility, momentum adjustment    
Unobservable inputs - Volatility of volatility- Implicit assets correlations- Long term implicit correlations    
Hedging derivatives [Member] | Credit [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Credit Derivatives: Default model and Gaussian copula    
Unobservable inputs - Correlation default- Credit spread- Recovery rates- Interest rate yield- Default volatility    
Hedging derivatives [Member] | Commodities [Member]      
Financial assets at fair value by levels [Line Items]      
Valuation techniques Commodities: Momentum adjustment and Discounted cash flows    
Level 2 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member]      
Financial assets at fair value by levels [Line Items]      
Assets € 85,636 87,736 71,938
Level 2 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | equity instruments [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 0 0 31
Level 2 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | Debt securities [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 7,934 13,725 11,123
Level 2 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | loans and advances [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 39,562 47,279 26,741
Level 2 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | Derivatives [member]      
Financial assets at fair value by levels [Line Items]      
Assets 38,140 26,732 34,043
Level 2 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | Interest rate [Member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 2 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | Equity [member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 2 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | Foreign exchange and gold [Member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 2 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | Credit [Member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 2 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | Commodities [Member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 2 Of Fair Value Hierarchy [Member] | Non trading financial assets mandatorily at fair value through profit or loss [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 151 522 381
Level 2 Of Fair Value Hierarchy [Member] | Non trading financial assets mandatorily at fair value through profit or loss [Member] | equity instruments [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 40 394 57
Level 2 Of Fair Value Hierarchy [Member] | Non trading financial assets mandatorily at fair value through profit or loss [Member] | Debt securities [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 111 128 324
Level 2 Of Fair Value Hierarchy [Member] | Non trading financial assets mandatorily at fair value through profit or loss [Member] | loans and advances [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 0 0 0
Level 2 Of Fair Value Hierarchy [Member] | Financial assets designated at fair value through profit or loss [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 0 176 178
Level 2 Of Fair Value Hierarchy [Member] | Financial assets designated at fair value through profit or loss [Member] | Debt securities [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 0 176 178
Level 2 Of Fair Value Hierarchy [Member] | Financial assets at fair value through other comprehensive income, category [member]      
Financial assets at fair value by levels [Line Items]      
Assets 10,237 7,545 7,866
Level 2 Of Fair Value Hierarchy [Member] | Financial assets at fair value through other comprehensive income, category [member] | equity instruments [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 58 36 34
Level 2 Of Fair Value Hierarchy [Member] | Financial assets at fair value through other comprehensive income, category [member] | Debt securities [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 10,179 7,509 7,832
Level 2 Of Fair Value Hierarchy [Member] | Hedging derivatives [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 1,887 1,733 1,862
Level 2 Of Fair Value Hierarchy [Member] | Hedging derivatives [Member] | Interest rate [Member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 2 Of Fair Value Hierarchy [Member] | Hedging derivatives [Member] | Equity [member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 2 Of Fair Value Hierarchy [Member] | Hedging derivatives [Member] | Foreign exchange and gold [Member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 2 Of Fair Value Hierarchy [Member] | Hedging derivatives [Member] | Credit [Member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 2 Of Fair Value Hierarchy [Member] | Hedging derivatives [Member] | Commodities [Member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 3 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 2,325 3,386 1,386
Level 3 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | equity instruments [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 34 37 60
Level 3 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | Debt securities [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 148 189 57
Level 3 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | loans and advances [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 1,169 2,913 1,148
Level 3 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | Derivatives [member]      
Financial assets at fair value by levels [Line Items]      
Assets 974 247 121
Level 3 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | Interest rate [Member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 3 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | Equity [member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 3 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | Foreign exchange and gold [Member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 3 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | Credit [Member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 3 Of Fair Value Hierarchy [Member] | Financial assets held for trading [Member] | Commodities [Member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 3 Of Fair Value Hierarchy [Member] | Non trading financial assets mandatorily at fair value through profit or loss [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 1,017 1,186 992
Level 3 Of Fair Value Hierarchy [Member] | Non trading financial assets mandatorily at fair value through profit or loss [Member] | equity instruments [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 1,014 751 465
Level 3 Of Fair Value Hierarchy [Member] | Non trading financial assets mandatorily at fair value through profit or loss [Member] | Debt securities [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 0 0 28
Level 3 Of Fair Value Hierarchy [Member] | Non trading financial assets mandatorily at fair value through profit or loss [Member] | loans and advances [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 3 435 499
Level 3 Of Fair Value Hierarchy [Member] | Financial assets designated at fair value through profit or loss [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 0 0 0
Level 3 Of Fair Value Hierarchy [Member] | Financial assets designated at fair value through profit or loss [Member] | Debt securities [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 0 0 0
Level 3 Of Fair Value Hierarchy [Member] | Financial assets at fair value through other comprehensive income, category [member]      
Financial assets at fair value by levels [Line Items]      
Assets 508 719 598
Level 3 Of Fair Value Hierarchy [Member] | Financial assets at fair value through other comprehensive income, category [member] | equity instruments [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 100 106 105
Level 3 Of Fair Value Hierarchy [Member] | Financial assets at fair value through other comprehensive income, category [member] | Debt securities [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 408 613 493
Level 3 Of Fair Value Hierarchy [Member] | Hedging derivatives [Member]      
Financial assets at fair value by levels [Line Items]      
Assets 0 9 8
Level 3 Of Fair Value Hierarchy [Member] | Hedging derivatives [Member] | Interest rate [Member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 3 Of Fair Value Hierarchy [Member] | Hedging derivatives [Member] | Equity [member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 3 Of Fair Value Hierarchy [Member] | Hedging derivatives [Member] | Foreign exchange and gold [Member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 3 Of Fair Value Hierarchy [Member] | Hedging derivatives [Member] | Credit [Member]      
Financial assets at fair value by levels [Line Items]      
Assets
Level 3 Of Fair Value Hierarchy [Member] | Hedging derivatives [Member] | Commodities [Member]      
Financial assets at fair value by levels [Line Items]      
Assets