XML 176 R159.htm IDEA: XBRL DOCUMENT v3.22.4
Note 8 Fair value of financial liabilities by levels, valuation techniques and inputs (Details) - EUR (€)
€ in Millions
12 Months Ended
Dec. 31, 2022
Dec. 31, 2021
Dec. 31, 2020
Financial liabilities at fair value by levels [Line Items]      
Liabilities € 662,526 € 614,125 € 683,777
Financial liabilities held for trading [Member]      
Financial liabilities 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 liabilities held for trading [Member] | deposits [Member]      
Financial liabilities at fair value by levels [Line Items]      
Valuation techniques Present-value method(Discounted future cash flows)    
Observable inputs - Interest rate yield- Funding interest rates observed in the market or in consensus services- Exchange rates    
Unobservable inputs - Funding interest rates not observed in the market or in consensus services    
Financial liabilities held for trading [Member] | Interest rate [Member]      
Financial liabilities 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 76, Hull-White and LGMOther Interest rate Options: Black 76, Hull-White, SABR and LGMConstant Maturity Swaps: SABR    
Unobservable inputs - Beta- Correlation between tenors- Interest rates volatility    
Financial liabilities held for trading [Member] | Equity [member]      
Financial liabilities 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- Assets correlation    
Financial liabilities held for trading [Member] | Foreign exchange and gold [Member]      
Financial liabilities at fair value by levels [Line Items]      
Valuation techniques Future and Equity Forward: Discounted future cash flowsForeign exchange Options: Black 76, Local volatility, momentum adjustment    
Unobservable inputs - Volatility of volatility- Assets correlation    
Financial liabilities held for trading [Member] | Credit [Member]      
Financial liabilities 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 liabilities held for trading [Member] | Commodities [Member]      
Financial liabilities at fair value by levels [Line Items]      
Valuation techniques Commodities: Momentum adjustment and discounted cash flows    
Financial liabilities held for trading [Member] | Short positions [Member]      
Financial liabilities at fair value by levels [Line Items]      
Valuation techniques Present-value method(Discounted future cash flows)    
Unobservable inputs - Prepayment rates- Issuer´s credit risk- Current market interest rates    
Financial liabilities at fair value through profit or loss, category [member]      
Financial liabilities at fair value by levels [Line Items]      
Valuation techniques Present-value method(Discounted future cash flows)    
Observable inputs - Prepayment rates- Issuer´s credit risk- Current market interest rates    
Unobservable inputs - Prepayment rates- Issuer´s credit risk- Current market interest rates    
Derivatives hedge accounting [Member]      
Financial liabilities 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    
Derivatives hedge accounting [Member] | Interest rate [Member]      
Financial liabilities 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, SABR and LGMConstant Maturity Swaps: SABR    
Unobservable inputs - Beta- Implicit correlations between tenors- interest rates volatility    
Derivatives hedge accounting [Member] | Equity [member]      
Financial liabilities 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    
Derivatives hedge accounting [Member] | Foreign exchange and gold [Member]      
Financial liabilities at fair value by levels [Line Items]      
Valuation techniques Future and Equity Forward: Discounted future cash flowsForeign exchange Options: Black 76, Local Volatility, momentum adjustment    
Unobservable inputs - Volatility of volatility- Implicit assets correlations- Long term implicit correlations    
Derivatives hedge accounting [Member] | Credit [Member]      
Financial liabilities 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    
Derivatives hedge accounting [Member] | Commodities [Member]      
Financial liabilities at fair value by levels [Line Items]      
Valuation techniques Commodities: Momentum adjustment and discounted cash flows    
Level 2 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities € 73,871 64,305 56,127
Level 2 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member] | deposits [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities 37,577 37,733 21,577
Level 2 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member] | Derivatives [member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities 36,161 26,560 34,046
Level 2 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member] | Interest rate [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 2 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member] | Equity [member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 2 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member] | Foreign exchange and gold [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 2 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member] | Credit [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 2 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member] | Commodities [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 2 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member] | Short positions [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities 133 11 504
Level 2 Of Fair Value Hierarchy [Member] | Financial liabilities at fair value through profit or loss, category [member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities 8,990 8,243 8,558
Level 2 Of Fair Value Hierarchy [Member] | Derivatives hedge accounting [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities 3,179 2,573 2,250
Level 2 Of Fair Value Hierarchy [Member] | Derivatives hedge accounting [Member] | Interest rate [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 2 Of Fair Value Hierarchy [Member] | Derivatives hedge accounting [Member] | Equity [member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 2 Of Fair Value Hierarchy [Member] | Derivatives hedge accounting [Member] | Foreign exchange and gold [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 2 Of Fair Value Hierarchy [Member] | Derivatives hedge accounting [Member] | Credit [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 2 Of Fair Value Hierarchy [Member] | Derivatives hedge accounting [Member] | Commodities [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 3 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities 1,129 615 395
Level 3 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member] | deposits [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities 127 226 159
Level 3 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member] | Derivatives [member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities 1,002 389 232
Level 3 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member] | Interest rate [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 3 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member] | Equity [member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 3 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member] | Foreign exchange and gold [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 3 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member] | Credit [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 3 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member] | Commodities [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 3 Of Fair Value Hierarchy [Member] | Financial liabilities held for trading [Member] | Short positions [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities 0 0 3
Level 3 Of Fair Value Hierarchy [Member] | Financial liabilities at fair value through profit or loss, category [member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities 1,590 1,439 1,492
Level 3 Of Fair Value Hierarchy [Member] | Derivatives hedge accounting [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities 25 0 15
Level 3 Of Fair Value Hierarchy [Member] | Derivatives hedge accounting [Member] | Interest rate [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 3 Of Fair Value Hierarchy [Member] | Derivatives hedge accounting [Member] | Equity [member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 3 Of Fair Value Hierarchy [Member] | Derivatives hedge accounting [Member] | Foreign exchange and gold [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 3 Of Fair Value Hierarchy [Member] | Derivatives hedge accounting [Member] | Credit [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities
Level 3 Of Fair Value Hierarchy [Member] | Derivatives hedge accounting [Member] | Commodities [Member]      
Financial liabilities at fair value by levels [Line Items]      
Liabilities